Friday, January 28, 2022 - 02:50

Market model

PARTICIPANTS:

  • Order Flow Provider: a participant enabled to send Orders from their clients on Hi-Mtf, and refrains from trading with proprietary orders on the Market.
  • Specialist: an operator that adisplays bid and/or ask proposals (Orders) regarding whatever security traded on Hi Mtf, for which an appropriate application for admission has been presented, during the continuous negotiation for quantities equal to the minimum ones communicated by Hi-Mtf.

The "Order Driven Fixed-Income" segment adopts the following times:

  • Pre-Trade phase: from 08:40 to 09:00 in which only Specialist may send Orders.
  • Trading phase: from 09:00 to 17:00 in which every participants can insert Orders (Specialists and Order Flow Provider)
  • Technical down phase: dalle ore 17:00-17:05
  • Pre-auction phase: from 17:05 to 17:20 in which every participants can insert Orders (Specialists and Order Flow Provider)
  • Auction phase: from 17.20 to 17.30
  • Closing phase: at 17:30

TYPE OF ORDERS:

  • "limited price"

Orders may specify the following methods of execution:

  • "good for auction only" (AUC): the Order may be posted both in the continuous trading and in the pre-auction phases and is executed, also partially executed, only in the auction phase for the amounts available and at the auction price; any remaining balance is cancelled after the auction;
  • "good till cancel" (GTC): the Order may be posted both in the continuous trading and in the pre-auction phases and is executed, also partially executed, only in the auction phase for the amounts available and at the auction price; any remaining balance stays on the book until it has been executed fully, until the end of the trading session and/or until it is cancelled by the entity that posted it;
  • "good till date" (GTD): the Order may be posted both in the continuous trading and in the pre-auction phases and is executed, also partially executed, only in the auction phase for the amounts available and at the auction price; any remaining balance stays on the book until it has been executed fully or for a period not extending beyond the date specified and/or until it is cancelled by the entity that posted it; the specified date will not be after 30 days calculated form the date in which the order is inserted;
  • "execute and cancel": the Order may only be posted in the continuous trading phase and is executed, even partially executed, for the amounts available at the price specified; any remaining balance is cancelled automatically;
  • "all or nothing": the Order may only be posted in the continuous trading phase and may only be executed for the entire amount specified and on the price terms specified when it is posted; if this is not possible it is cancelled automatically.

Daily auction model

Pricing of purchase and sale orders is determined according to the "call auction" rules, which provides for the fixing of the price at which the largest quantity of financial instruments can be traded. In case this condition is not univocally met, the following rules are applied in sequence:

  • First rule:the theoretical auction price is the one at which the largeest quantity of securities can be traded;
  • Second rule:at the same quantity tradable at different prices, it is the price that produces the smallest imbalance (quantity of unmatched securities with prices equal to or better than those at which contracts have been executed);
  • Third rule:with the same quantity tradable at different prices with identical imbalance, it is the price closest price to last reference price (if it exists);
  • Fourth rule:at parity of quantity tradable at different prices with identical imbalanca and prices equally far from the last reference price (if it exists), it is the higher price between the two equidistant ones.