Protective mechanisms

Protective mechanisms

Protective mechanisms only come into play in the auction and continuous trading models. They are designed to

  • improve price continuity
  • preserve price quality

The safeguards are in particular volatility interruptions as well as extended volatility interruptions. A volatility interruption can occur in auctions and continuous trading.

The volatility interruption shall strengthen the price continuity of determined prices. Therefore, trading is interrupted by an additional unscheduled auction price determination according to the principle of most executable volume, in case the potential next price would deviate too much from previously determined references prices. Volatility interruptions can be initiated in two ways:

  1. The potential execution price is outside the “dynamic” price range based on the reference price. For the dynamic price range, the reference price refers to the last price determined for a security in an auction, in Continuous Trading or in a Mini Auction (= reference price 1).
  2. The potential execution price lies outside the additionally defined “static” price range. This broader “static” price range defines the maximum percentage deviation from another reference price (= reference price 2), namely the last price determined in a regular auction (with the exception of Mini Auctions and liquidity interruptions). If this does not exist, then the last price determined on one of the prior trading days shall be taken as the reference price.

The price range defines the maximum percentage deviation from the reference price for a particular security. It is set individually for each security.

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