The pre-market opening mechanism serves to establish an orderly market open and greatly enhances market efficiency. During the Pre-Market Opening Period, the calculated opening prices (COP) are established before the market open without matching orders. At present, the pre-market opening is only available for the trading of Hang Seng Index Futures, Mini Hang Seng Index Futures, Hang Seng China Enterprises Index Futures, Mini Hang Seng China Enterprises Index Futures, Hang Seng TECH Index Futures, MSCI Taiwan Index-related Futures and MSCI China A 50 Connect (USD) Index Futures contracts.
A random cutoff mechanism is applied to the pre-opening session and the pre-open allocation session. This mechanism aims to deter the possible gaming strategy of manipulating the COP near the end of the auction process and also to encourage order input at an earlier stage. It will be applied to the POS for both morning and afternoon sessions of the applicable markets.
Current Mechanism of Pre-Market Opening Session
Limit orders carried forward from previous day would be considered as effective and included in the COP calculation during the Pre-Market Opening Period. The COP would be updated continuously once it is determined. The pre-market opening mechanism does not apply to combination series, including standard combination and tailor-made combination series. Therefore no orders could be placed on combination series during Pre-Market Opening Period and existing combination orders would not be included in the COP calculation.
The Pre-Market Opening Period comprises of the following three trading sessions:
| Session |
Product |
Time |
Characteristics |
| Pre-Opening |
- MSCI Taiwan (USD) Index futures
- MSCI Taiwan Net Total Return (USD) Index futures
- MSCI Taiwan 25/50 (USD) Index futures
- MSCI Taiwan 25/50 Net Total Return (USD) Index futures
|
Day Trading Session
8:30 a.m. – up to 8:40 a.m.
(random cutoff start from 8:39 a.m.)
|
- Accept auction orders, limit orders and inactive orders
- Orders may be modified or cancelled
- Both limit orders and auction orders can affect the COP
|
- MSCI China A 50 Connect (USD) Index Futures
|
Day Trading Session
8:45 a.m. – up to 8:55 a.m.
(random cutoff start from 8:54 a.m.)
|
- Hang-Seng Index futures
- Mini-Hang-Seng Index futures
- HSCEI Index futures
- Mini-HSCEI Index futures
- Hang Seng TECH Index Futures
|
Morning Session
8:45 a.m. – up to 9:10 a.m.
(random cutoff start from 9:09 a.m.)
Afternoon Session
12:30 p.m. – up to 12:55 p.m.
(random cutoff start from 12:54 p.m.)
|
| Pre-Open Allocation |
- MSCI Taiwan (USD) Index futures
- MSCI Taiwan Net Total Return (USD) Index futures
- MSCI Taiwan 25/50 (USD) Index futures
- MSCI Taiwan 25/50 Net Total Return (USD) Index futures
|
Day Trading Session
After cutoff – up to 8:43 a.m.
(random cutoff start from 8:42 a.m.)
|
- Accept auction orders and inactive orders
- Order modification or cancellation as well as activation of inactive orders are not allowed
- Only new auction orders can affect the COP
|
- MSCI China A 50 Connect (USD) Index Futures
|
Day Trading Session
After cutoff – up to 8:58 a.m.
(random cutoff start from 8:57 a.m.)
|
- Hang-Seng Index futures
- Mini-Hang-Seng Index futures
- HSCEI Index futures
- Mini-HSCEI Index futures
- Hang Seng TECH Index Futures
|
Morning Session
After cutoff – up to 9:13 a.m.
(random cutoff start from 9:12 a.m.)
Afternoon Session
After cutoff – up to 12:58 p.m.
(random cutoff start from 12:57 p.m..)
|
| Open Allocation |
- MSCI Taiwan (USD) Index futures
- MSCI Taiwan Net Total Return (USD) Index futures
- MSCI Taiwan 25/50 (USD) Index futures
- MSCI Taiwan 25/50 Net Total Return (USD) Index futures
|
Day Trading Session
After cutoff – 8:45 a.m.
|
- No input, modification or cancellation of active auction orders or limit orders
- Only input of inactive orders allowed
- Orders will be matched according to order type, price and time priority at the COP at the end of the session
- If COP exists, unmatched auction orders will be converted to limit orders at the COP
- If COP does not exist, unmatched auction orders will be converted to limit orders at best bid and ask prices
- If COP does not exist and no best bid and ask price in the market, unmatched auction orders will be inactivated and reside in the Central Orderbook
- Users cannot change or delete orders during the 2-minute Open Allocation session
|
- MSCI China A 50 Connect (USD) Index Futures
|
Day Trading Session
After cutoff – 9:00 a.m.
|
- Hang-Seng Index futures
- Mini-Hang-Seng Index futures
- HSCEI Index futures
- Mini-HSCEI Index futures
- Hang Seng TECH Index Futures
|
Morning Session
After cutoff – 9:15 a.m.
Afternoon Session
After cutoff – 1:00 p.m.
|
Calculation of COP
The COP is calculated every time an order is placed in the market and it will be displayed in the "EP" column of the Price Information Window. The COP is calculated according to the rules defined below:
-
The COP cannot fall outside the best bid and offer of unfilled orders, though it can be equal to the bid or offer;
-
If more than one price satisfy rules 1 above, the COP will be the price with the number of matched contracts is maximized;
-
If more than one price satisfy the rules 1 & 2 above, the COP will be the price at which the normal order imbalance is the lowest;
-
If more than one price satisfy the rules 1 - 3 above, the COP will be the price at which the associated crossed qty is the highest;
-
If more than one price satisfy 1 - 4 above, the COP will be the price closest to the settlement price of previous trading section;
-
If more than one price satisfy 1 - 5 above or if no settlement price is defined, the highest price will be chosen.
Enhancement on Pre-Market Opening Session
Circular