Trading models

Trading models

A trading model describes the process by which orders are transformed into transactions. The individual models differ according to ...

  • market type (e.g. number of trading parties),
  • the transparency level of available information pre- and post-trade,
  • the criteria of the order prioritisation,
  • price determination rules,
  • the form of order execution.

Auction

Market type:Transparency //
Information in pre-trading
:
Transparency // Information in post-trading:
Multilateral and order drivenIndicative auction price, executable volume, overhang and the side on which the overhang is

Exception: if no executable situation, best bid and ask limit with respective volume
Time of price determination,
auction price,
volume executed in the auction
Order sorting:Price determination:Order execution:

Price/time priority

Exception: for
hidden orders price/visibility/time priority
Principle of highest volume transactedPeriodical

Continuous trading

Market type:Transparency //
Information in pre-trading
:
Transparency // Information in post-trading:
Multilateral and order drivenFirst ten limits per page,
number of orders per limit level,
cumulated volume per limit level

Exception: hidden and midpoint orders are not shown.
Time of transaction,
price and volume of transaction
Order sorting:Price determination:Order execution:

Price/time priority

Exception: for
hidden orders price/visibility/time priority
The limit order in the order book with the highest bid or lowest ask limit determines the price.

Exception: market orders in the order book
Continuous

Continuous auction with specialist

Market type:Transparency //
Information in pre-trading
:
Transparency // Information in post-trading:
Multilateral and order drivenStandard quote of the specialistTime of price determination,
auction price, volume executed in the auction
Order sorting:Price determination:Order execution:
Price/time priorityModified principle of highest volume transactedContinuous, specialist determines execution time

Continuous auction with market maker

Market type:Transparency //
Information in pre-trading
:
Transparency // Information in post-trading:
Multilateral and order drivenPre-call opening: order book depth 1, i.e. best bid and ask limit of the order book and the quote with respective volume

Outcry phase: standard quote of the market maker
Time of price determination,
auction price, volume executed in the auction
Order sorting:Price determination:Order execution:
Price/time priorityModified principle of highest volume transactedContinuous, market maker determines execution time in special cases

Reference price trading

Market type:Transparency //
Information in pre-trading
:
Transparency // Information in post-trading:
Multilateral and order drivenNoneTime of transaction, price and volume of transaction
Order sorting:Price determination:Order execution:
Volume/time priorityReference price: midpoint of the visible bid/ask spread in continuous tradingContinuous

Trading with price optimisation

Market type:Transparency //
Information in pre-trading
:
Transparency // Information in post-trading:
Bilateral and quote drivenNoneTime of transaction, price and volume of transaction
Order sorting:Price determination:Order execution:
NonePrice improvement on volume-weighted average price in continuous tradingContinuous

Mini auction

Market type:Transparency //
Information in pre-trading
:
Transparency // Information in post-trading:
Multilateral and order drivenBefore call opening: first ten limits per page, number of orders per limit level, cumulated volume per limit level

Outcry phase: indicative auction price, executable volume, overhang and the side on which the overhang is

Exception: if no executable situation, best bid and ask limit with respective volume
Time of price determination,
auction price, volume executed in the auction
Order sorting:Price determination:Order execution:

Price/time priority

Exception: for
hidden orders price/visibility/time priority
Principle of highest volume transactedContinuous, auction ends if specific quote is updated or the maximum duration of the auction has expired
 

Market Status

XETR

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Trading System experiencing issues

Trading System experiencing serious issues

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