Trading on the Sarajevo Stock Exchange is performed completely electronically via its electronic trading system - BTS (Berzni Trgovački Sistem). Stock exchange transactions may only be conducted by the SASE members.
Trading is based on the automated processing of orders entered into the system.
Trading on the Sarajevo Stock Exchange takes place mondays to friday, from 09:00 to 13:00.
The exact trading schedule, i.e. the periods when the market is in pre-open and open phase depend on the trading algorithm of the particular security.
There are currently two trading algorithms at the Sarajevo Stock Exchange:
- MFTS (Multi-Fixing-Trading Schedule) - a sort of continuous trading
- Call auction schedule
A call auction is a form of trading that died out in the pre-computer age but is making its reentrance today as an electronic marketplace. In call auction trading, customer orders for a stock are batched together and executed in multilateral trades at specific points in time when the market for the stock is "called". This contrasts with continuous market trading where a transaction is made any time a buy and a sell order meet in price during the trading day.
The decision whether a security is traded via MFTS or the auction system is made according to the liquidity of the particular security. Securities which are traded rather thinly and which do not have a great market depth are traded through the auction system.
The more liquied stocks are traded through MFTS. The most important difference between the MFTS trading schedule and "classical" continuous trading lies in the fact that you cannot buy and sell the same securities in one trading day. Introduction of "classical" continuous trading depends on changes in the settlement process done by the Securities Registry.
At 09:00, the pre-open phase starts for securities traded through MFTS. In this period, orders can be entered into the system, but no trading takes place. The market opens at 10:0x (x=0...5 min) with an opening auction (the "initial auction"), where the open price of a security is formed. The main principle of this opening auction is that the opening price for a security will be the price at which the turnover in shares will be maximized. After the initial auction, the market is now open for trading till 13:00. Prices are formed according to the aggressive order principle. There are no closing auctions at the Sarajevo Stock Exchange; the close price of a security is simply the last price at which the stock was traded.
The market starts at 09:00 with the pre-open phase. Pre-open finishes at 11:3x (x=0....5 min) with the fixing-event. Technically speaking, at this system the market is only open during the seconds of the fixing when the system tries to match orders. After the auction, the post fixing phase beginns, where only order-book cleaning operations are allowed. The post-fixing phase lasts till 13:00, when the market closes.
The precise timing of the initical auction at the MFTS and the central auction are unknown to all the market participants, as well as to the Stock Exchange staff. They exact moment of the auction is subject to a random procedure in the BTS; all that is known is that the "event" will take place in the interval of 5 minutes.