Mini Auction

Mini Auction

The “Mini Auction” trading model is an order-driven mechanism for Continuous Trading.

 

Market Type

The Mini Auction is one of the multilateral trading models, in which competing buy and sell orders of several parties can interact. Trading is order-driven, i.e. the buy and sell orders are collected in a central limit order book. In the order book, liquidity is thus concentrated in a security by means of price determination at a particular point in time.

Market participants act as buyers or sellers. In addition, some participants can assume the role of a liquidity provider. They guarantee a security can be traded by regularly quoting binding prices and the tradable volume involved.

The auction begins with the call phase, which is followed by price determination.
During the call phase, participants can input orders and quotes, as well as change or delete their own orders.

No minimum period is defined for the call phase. The call phase ends at the latest on expiry of the maximum period. It can be terminated earlier, on the condition that the liquidity provider updates the best quote according to price/time priority on the opposite order book side opposite to incoming orders prior to the beginning of the Auction.

Should the liquidity provider not update the quote, the Mini Auction ends on expiry of the maximum period. Deletion of this quote does not trigger early termination of the call phase.

Transparency

  • Pre-trade information:
    The order book remains open until the Mini Auction is triggered: The ten best limits, the order book volumes accumulated per limit as well as the number of orders per limit are all displayed.
    During the call phase the order book is only partially open: Permanently aggregated information about the current order situation is published. If orders can be executed against each other, the indicative Auction price is displayed. This is the price that would be applicable for the Auction, were the price to be determined at this time.
    Furthermore, the volume that can be executed at the Auction price, the side on which there is an overhang, as well as the volume of the overhang are all published. Should the determination of an indicative price not prove possible, the best buy or sell price for the order, including the corresponding volumes, are displayed.
    Trading is anonymous, i.e. the name of the customer is not visible.
  • Post-trade information:
    After conclusion of the Auction, the Auction price, the volume executed in the Auction and the time at which the price was determined are all published.
    If the trade is processed by a central counterparty, the customer remains anonymous post-trade. In the case of trades in which no central counterparty is involved, the name of the customer is visible.

Pricing and Order Execution

  • Order Prioritisation:
    In the Mini Auction all orders are collected in the order book according to the price/time priority.
  • Pricing:
    The Auction price is determined in accordance with the principle of highest volume transacted. The Auction price is the price at which there is the highest executable order volume and the lowest overhang left.
  • Order Execution:
    Each incoming order (excluding stop orders) is examined to see whether it results to an order book where orders can be executed. If there is a crossed order book, the call phase of a Mini Auction is triggered.
    On account of the orders being sorted in accordance with the price/time priority, orders with a higher buy or a lower sell limit are prioritised with regard to execution. Market orders are given preference over limit orders. In the case of several orders with the same price limit, the order with a higher time priority is executed first.
    The rules of the price/time priority make certain that at most one limited or unlimited order is executed at the Auction price.

Possible uses

The Mini Auction is suitable in particular for pricing in the trading of less liquid securities.

 

Market Status

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