Sequence of orders (excerpt from the Rules of the Exchange)
When an order is entered into BTS, it is designated a time code equal to the time of entry. BTS sets such a sequence of orders, where among active buy orders priority is given to active buy orders with higher price and among active sell orders to those with lower price. If there are more active orders with the same price, the priority is given to active orders with smaller time stamp. In determining the sequence of orders withheld orders are not taken into account.
If, in accordance with the provisions of the preceding paragraph, an order with special terms of execution has priority over other particular orders, but cannot be executed, due to the special condition, it shall be skipped upon execution of a particular counter-order. The order-matching of counter-order shall continue with the following order, according to the sequence from the preceding paragraph.
The order-matching outside the sequence of orders from the preceding two paragraphs is not allowed. If there is a change in price, type and code of account or a special condition is added, changed or cancelled, or the total quantity is increased, the order is designated a new time code equal to the time of order’s modification.
Price formation on the Exchange depends on the trading schedule of the securities.
Auctions The auction price is determined on the basis of the order book situation at the end of the call phase. The auction price is the price with the highest executable order volume and the lowest surplus for each limit in the order book.
Should this process determine more than one limit with the highest executable order volume and the lowest surplus for the determination of the auction price, the surplus is referred to for further price determination.
- The auction price is stipulated according to the highest limit if the surplus for all limits is on the buy side (surplus of demand)
- The auction price is stipulated according to the lowest limit if the surplus for all limits is on the sell side (surplus of offerings)
If the inclusion of the surplus does not lead to a clear auction price, the reference price is icluded as an additional criterion. This may be the case:
- if there is a surplus of offerings for one part of the limits and a surplus of demand for another par
- if there is no surplus of any of the limits
In the first case, the lowest limit with a surplus of offerings or the highest limit with a surplus of demand is chosen for the further price determination.
In both cases, the reference price is included for stipulating the auction price.
MFTS (Continuous trading) When the market opens for trading, BTS matches trades automatically, as a result of matching of terms of active orders, whereby the sequence of orders from (see above) is taken into account.
If the entered bid price is higher, or the entered ask price is lower, than the best counter-price and all other terms are met, BTS automatically matches the trades at the best counter-price. Conclusion of trades with eventual remainder of order shall be executed in relation to the entered price (aggressive order principle)
Daily average prices
Auctions - For securities traded through auctions, the official daily average price is the auction price.
MFTS / continuous trading: For securities traded with the MFTS, the official average daily price is the arithmetic mean of prices of all trades, weighted in relation to volume, concluded in individual securities and formed at the end of a trading day.
Cross-trades ("applications" - both orders of a transaction came from the same brokerage house) In calculating the official average daily price and the average daily price of individual securities, cross trades in such securities are not included, provided that cross trades do not represent the only kind of trades in such securities. In such a case the official average daily price shall be marked with the letter A on the Stock Exchange official price list.
Block trades are also not included in the calculation of the official average daily price and of the average daily price.