Protective mechanisms in Auctions

Protective mechanisms in Auctions

In Auctions, there are two protective mechanisms available to help stabilise exchange trading:

  • Volatility interruptions
  • Market order interruptions

Overview of content

Volatility interruptions in Auctions

A volatility interruption during an Auction augments price continuity and helps avoid mistrades in volatile markets.

During an Auction, a volatility interruption is triggered if the indicative auction price at the end of the outcry phase of the Auction lies outside the dynamic and/or static price range.

The volatility interruption prolongs the outcry phase and is limited in time. Market players thus have the opportunity to enter new orders and quotes or to change or delete orders that have already been placed in the order book. After the end of this prolonged period, the outcry phase comes to a random end.

However, should the potential execution price at the end of the volatility interruption be outside a fixed spread that is broader than the dynamic price range, then an “extended” volatility interruption is initiated. The extended volatility interruption means the outcry phase is extended until such a time as Market Supervision ends it manually. If the auction is manually terminated, then the price is no longer assessed to see whether it deviates from the reference price.

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