Protective mechanisms

Protective mechanisms

Protective mechanisms only come into play in the Auction, Continuous Trading and Mini Auction trading models. They are designed to ...

  • improve price continuity,
  • preserve price quality,
  • increase the execution probability of market orders and to
  • avoid mistrades.
 

Protective mechanisms in Auction and Continuous Trading trading models

Protective mechanismAuctionContinuous TradingMini Auction
Volatility interruptionx*xx
Market order interruptionx*--
Liquidity interruption-xx

*limited to the opening, intraday and closing auction

Volatility interruption

Volatility interruptions are a protective mechanism that can be used in the Auction, Continuous Trading and Mini Auction trading models.

They are triggered if the price of a security leaves the dynamic and/or static price range set for it:

  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.

Market order interruption

Market order interruptions are a protective mechanism that can be used in the Auction trading model (only in regular auctions, i.e. auctions included in the auction schedule). It is triggered if a market order or a market-to-limit order in the order book cannot be fully or partially executed at the end of the outcry phase. A market order interruption can only occur once per auction.

Liquidity interruption

Liquidity interruption is an additional protective mechanism in the Continuous Trading and Mini Auction trading models that can be activated for individual instruments. A liquidity interruption is triggered in both Continuous Trading and in trading through Mini Auctions if, when a crossed order book exists, the order book does not feature a quote from a mandated Designated Sponsor. Should the potential execution price in the crossed order-book situation also meet the conditions that trigger a volatility interruption, then a liquidity interruption will nevertheless be triggered.

 

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