BT1B Presentation Aug-Oct2007

BURSA TRADE
SECURITIES
Presentation to Dealers’ Representatives

August – October 2007
Objective of the Slides
Note :
• Please print out a copy of the slides as

reference material when you attend the Bursa
Trade Securities briefing.
• A webcast of the presentation will be posted

on Bursa Malaysia’s website in September
2007
http://www.bursamalaysia.com/website/bm/trading/
bursa_trade.html
Bursa Trade Securities Presentation

1
Table of Contents
Overview
BT Securities – Trading Features
BT Securities - Other Features
WinScore Screens
Subsequent Release – Other Features
Appendix

2
Overview
Trends observed:
increased growth and competition for domestic liquidity; and
increased growth and competition for global liquidity
WHAT INTERMEDIARIES ARE WHAT EXCHANGES ARE

WHAT INVESTORS WANT? DOING? DOING?
FLEXIBILITY – Easy GLOBAL ACCESS

access to multiple - Market & Products TRADING PLATFORM
products across multiple
DEREGULATION
markets HIGH FLEXIBILITY &
CONNECTIVITY (IT)
SPEED – Faster execution - International Standard
MARKET ACCESS
Protocol (FIX/MMTP)
CONTROL – Control over - Order Mgmt System
trading strategies - Risk Mgmt System
PRODUCTS
COST EFFICIENCY
TOWARDS OPEN ARCHITECHTURE VIA INT’L STANDARD PROTOCOL

3
Overview
Malaysia Towards:“ A Developed Exchange”
NEW TRADING PLATFORM supports a high velocity market;

BURSA TRADE (BT) facilitates a fairer & more orderly
market;
BT Derivatives enables open-access; and
– Live Nov ‘06 is on par with the performance &
BT Securities capabilities of leading exchanges
– Target 4Q ‘07 in the developed markets.

4
Overview - Benefits of BT Securities
As Is BT Securities
CAPACITY
200 orders/second 1,300 orders/second

SPEED &
10 second matching Real-time matching

Turn-around time < 3 seconds Turn-around time < 2 seconds
Pre-opening price not transparent Transparent pre-opening price
FEATURES
3 best price limits 5 best price limits

No trading-at-last phase Trading-at-last capability
Closing price = Last done price Natural closing price
Market order & Limit order only More order types
FLEXIBILITY
Fixed Static Threshold Static & Dynamic Threshold

Hard-coded Scalable & Parameterized
No Open API Open API – DMA ready
5
Overview - Project Plan
Bursa will be in constant communication with various stakeholders : Briefings /Engagements Collaterals
June 07 July 07 Aug 07 Sept 07 Oct 07 Nov 07 Dec 07
System Integration & IUAT EUAT Ready
EUAT EUAT Target

Start sign-off Launch
End ‘07
Securities Commission
Participating Organisations
Information Vendors
Dealer Representatives / Remisiers
Webcast Media
FAQ Investors
FAQ
June 07 July 07 Aug 07 Sept 07 Oct 07 Nov 07 Dec 07

6
Overview – BT Architecture
BT
AS IS Securities
SCORE (OMT) NSC

TRADING
SCORE (DBT) TCS
SIS SURVEILLANCE ARAMIS
MASA MARKET DATA DIFF

Owned & Managed Owned by AEMS
by Bursa Managed by Bursa

7
BT Securities:
Trading Features

8
Market Segments
No changes in current market segments for Securities
Normal Market
Odd-Lot Market
Buying in Normal Market
Buying in Odd Lot Market
Direct Business Transaction

9
Trading Phases - Summary
Morning Session Afternoon Session
Pre - Opening Continuous Pre - Pre - Opening Continuous Pre - Closing Trading
Closing
LUNCH
Opening Trading Opening Trading Closing
Trading Closing At Last
At Last
8.30am 9.00am 4.50pm 4.50pm

9.00am 12.15pm 12.20pm 12.20pm 2.00pm 2.30pm 2.30pm 4.45pm
to to
12.30pm 5.00pm

10
Pre-Opening Phase
BENEFITS OF TOP DURING PRE

OPENING
• Orders can be entered, modified • Allows market to understand demand

and deleted. & supply conditions.
• No matching of orders & quotes. • Allows market to find natural price
• Theoretical opening price (TOP) of level as opposed to last trading
each instrument is dynamically session’s price as a reference to
calculated. start trading.
• Information is broadcast to market • Allows investor to gauge market and
based on orders & quotes in order price to be traded at opening.
book • Useful for IPOs
Pre - Opening Continuous Pre - Closing Trading Lunch Pre - Opening Continuous Pre - Closing Trading
Opening
Opening Trading Closing At Last Opening Trading Closing At Last

11
Pre Opening Phase Timing
0830-0900
1400-1430
Current Securities Proposed New

Model Model
Order Entry &

Maintenance

Order Matching X X
Theoretical
Opening Price X

12
Matching
Matching Mechanism:
Mechanism: TOP/TCP
TOP/TCP Algorithm
Algorithm
Current
Securities
Theoretical Pricing Algorithm for Proposed New
Pre Opening and Pre Closing: Model
Model
1. The theoretical opening price (TOP) is the price
that maximizes the number of shares traded.
2. If there are more than 1 prices based on Rule 1*,
X the TOP will be based on the one with minimize
the number of unfilled shares.
3(i) If there are still more than 1 prices based on Rule

X 2* and the imbalance of unfilled shares is on the
buy side, the TOP will be the highest price therein.
3(ii) If there are still more than1 prices based on Rule

X 2* and the imbalance of unfilled shares is on the
sell side, the TOP will be the lowest price therein.
4. Otherwise the TOP used is the price closest to the

reference price
* Rule 1 – 3 : Refer to Appendix
13
Best
Best Buy/Sell
Buy/Sell Screen
Screen during
during Pre-Opening
Pre-Opening
Best Buy/Sell (XYZ)
B/Qty Buy Sell S/Qty
34,600 3.04 3.04 32,700
49,700 3.00 3.06 1,900
8,000 2.99 3.08 16,900
16,400 2.98 3.10 8,500
5,400 2.97 3.12 21,650
TOP = RM3.04

14
WinScore Screen

15
Opening Phase
BENEFITS
• Opening price is last TOP calculated • Matching is based on price and time
before matching. priority.
• Opening price & quantity of contract • Time priority instead of randomised
matched are broadcast.
algorithm.
• At end of Opening Auction period,
system will automatically move • Time priority is a fairer method.
to Continuous Trading. Derivatives also uses time priority.
• If no matching can be done at opening, • Streamline Securities and
price of first trade occurring in main Derivatives matching methods.
trading session is designated as the
opening price.

16
Opening Phase Timing
0900
1430

Model Model
Opening Price No Indicator Indicator-Theoretical

Opening Price (TOP)

17
Continuous Trading Phase
BENEFITS
• Orders can be entered, modified • Continuous Matching
and deleted. • Increase liquidity
• Trading takes place on a continuous • Align with the practices of other
basis. major markets.
• Each incoming order are checked • Streamline Securities and
immediately for possible execution. Derivatives trading mechanisms.
• Unexecuted portion of such order is
added to the order book.
• Matched trades can be viewed
on Broker Front End.
• Matching will be based on
Price and Time Priority.
Pre - OpeningContinuous Pre - Closing Trading Lunch Pre - Opening Continuous Pre - Closing Trading

18
Continuous Trading Phase Timing
0900-1215
1430-1645

Model Model
Order Entry &

Maintenance

10-second continuous Continuous
Order Matching
auction
Pre - OpeningContinuous Pre - Closing Trading Lunch Pre - Opening Continuous Pre - Closing Trading

19
Price Determination – Continuous Trading
Current SCORE (Sell Side)
Price Determination Rules in Current Market:
current Last Done
Price 3.00
Current
BUY SELL
Market Order Limit Order 2.90

500 lots 100 lots
EARLIER
ENTRY
OR Limit Order 3.00
100 lots
Limit Order 3.10
Limit Order 3.10
500 lots 100 lots
300 lots done at
Price 3.10

20
Bursa Trade (Sell Side)
Price Determination Rules in Continuous Trading (in addition to the
price/time priority rules): current Last Done
Bursa Trade Price 3.00
BUY SELL
Limit Order 2.90 100 lots done at

Market Order 100 lots
EARLIER
ENTRY
RM 2.90
500 lots
Limit Order 3.00 100 lots done at
OR
100 lots
RM 3.00
Limit Order 3.10
500 lots Limit Order 3.10 100 lots done at
100 lots
RM 3.10

21
Current SCORE (Buy Side)
Price Determination Rules in Current Market:
current Last Done
Current Price 2.97
BUY SELL
Limit Order 3.00

100 lots Market Order
EARLIER
ENTRY
500 lots
Limit Order 2.98

100 lots OR
300 lots done at
Limit Order 2.97
Price 2.97 Limit Order 2.97
100 lots 500 lots

22
Bursa Trade (Buy Side)
price/time priority rules):
current Last Done
Bursa Trade Price 2.97
BUY SELL
100 lots done at
Limit Order 3.00 Market Order
RM 3.00
100 lots 500 lots
EARLIER
ENTRY
100 lots done at Limit Order 2.98 OR

RM 2.98 100 lots
Limit Order 2.97
100 lots done at Limit Order 2.97
100 lots 500 lots
RM 2.97

23
Pre-Closing Phase
BENEFITS
• Starts immediately after end of • Allows market to find natural closing
continuous trading phase. price at end of day when trading
• Order entry performed by activities tend to surge.
members-automatically updated in • When combined with closing price
order book without giving rise auction (ie the next phase), this will
to trades. mitigate price manipulation of
• Theoretical closing price (TCP) is last done price.
calculated each time a new order is
entered into the order book.
• TCP is published.

24
Pre Closing Phase Timing
1215-1220
1645-1650

Model Model
Order Entry &

Maintenance X
Order Matching X X
Theoretical
Closing Price X

25
Closing Phase
BENEFIT
• Same as Opening Auction.
Closing price will not be easily
• Closing price for securities traded
for day is defined in this phase. manipulated.
If no price is issued in this phase,
closing price shall be last traded
price during main trading session.
• In event of no trading quotation
during Trading Day, closing price
is last known traded price.

26
Closing Phase Timing
1220
1650

Model Model
Closing Price Last done price Last Theoretical

Closing Price (TCP)

27
Trading At Last Phase
BENEFITS
• Increase liquidity.
• Only applicable to Securities • Provides a last call opportunity for
Market. traders to close positions.
• Gives credibility to last done price
• Orders can be entered & matched (as opposed to current practice
at closing price only. where last done price could be based
on one or two trades.)
• Positive step towards after-hour
trading.

28
Trading At Last Phase Timing
1220-1230
1650-1700

Model Model
Order Entry &

Maintenance X
Order Matching X
Trading
Opening Trading Closing At Last Opening Trading Closing At
AtLast
Last

29
Order Type
Pre-Opening / Continuous Trading At

Order Type
Pre-Closing Trading Last
Limit Order
Market Order X

30
BT Securities:
Other Features

31
Trading Status of a Securities
Current Securities Model Proposed New Model
Trading status of a securities Trading status of a securities

• Open • Open
• Suspended • Suspended
• Reserved
• Frozen

32
Reserve State
• Order entry, modification and cancellation are

permitted for the securities
• The current trading status for the securities is

automatically changed to ‘Reserved’ when the
following occurs
9 Market order cannot be fully executed
9 Potential match price is outside static threshold
during pre-opening
9 Market-on-Opening has no counterpart

33
Odd Lot Market

Model Model
Order Type All or None Allow Partial Matching
Order Validity Good for Day Good for Session
Matching
Time Priority Price/Time Priority
Mechanism
Price Limit
None Yes
Control

34
Direct Business Transaction (DBT)
Current System
• Not able to provide realtime VWAP (Previous VWAP Price
- Pvwap)
BT Securities
• Capable of generating realtime VWAP

35
Market Timing - Securities
Trading Cycles Normal Market Odd Lot Buying In
Pre Opening 8:30am 8:30am 7:30am
*Opening Auction 9:00am 9:00am 8:30am
Continuous Trading 9:00am 9:00am 8:30am - 12:30pm
Pre Closing 12:15pm 12:15pm

*Closing Auction 12:20pm 12:20pm
Trading At Last 12:20pm to 12:30pm 12:20pm to 12:30pm
Lunch Lunch Lunch Lunch
Pre Opening 2:00pm 2:00pm 1:30pm
*Opening Auction 2:30pm 2:30pm 2:00pm
Continuous Trading 2:30pm 2:30pm 2:00pm - 5:00pm
Pre Closing 4:45pm 4:45pm

*Closing Auction 4:50pm 4:50pm
Trading At Last 4:50pm - 5:00pm 4:50pm - 5:00pm
*Switch over to next phase is instantaneous upon completion of this phase

Not applicable to Direct Business Trades as these are off market transaction.
36
BT Securities:
WinScore Screens

37
Current Market Segment

38
Enhanced WinScore (Normal Market)

39
Enhanced WinScore (Odd Lot)

40
Enhanced WinScore (Buying-in Market)

41
Enhanced WinScore (DBT Market)

42
BT Securities:
Other Features in
Subsequent Releases

43
New Market Order Types & Trading
Conditions
BT Securities
New Order Types

• Market On Opening (MOO)
• Market On Closing (MOC)
• Stop Order
Execution Condition
• Fill And Kill
• Fill or Kill
• Market to Limit
• Iceberg order
Validity Condition
• Good For Session
• Good For Day
• Good Till Cancelled
• Good Till Date

44
Trading Safeguards
Current Securities Model Proposed New Model
• ‘Fixed Static Threshold’ • Static Threshold

- Fixed at 30% or 30 cents - Designed to detect any major price movement
for price lower than RM1.00. compared to the Static Reference Price (SRP).
- At a defined range above/below the SRP.
SRP = Previous day closing price.
• Dynamic Threshold
- Designed to detect and manage large price
movements compared to last-done price
(Dynamic Reference Price-DRP)
- Defined range above/below DRP
DRP = Last done price.

45
Bursa Trade – Roll-Out & Future Plans
BT Derivatives - 2006 BT Securities - 2007 BT Securities - Subsequent Release(s)
Derivatives Market Securities Market

Trading Model Trading Model
New Trading Phases New Trading Phases
• Pre-Opening • Pre-Opening New Order and Execution Type for Equities Market
• Opening Auction • Opening Auction
• Continuous Trading • Continuous Trading
• Pre-Closing • Pre-Closing Classification of securities into Liquid
• Closing Auction • Closing Auction and Illiquid / Auction Trading
TRADING
• Trading At Last
Matching Mechanism: Matching Mechanism Liquidity Provider
• TOP algorithm • TOP algorithm
• Price/time priority • Price/time priority
Trading Safeguards:
New order types: Enhanced Information Dynamic Range Limits and Static Range Limits
• Market on Opening Dissemination
• Market To Limit & 5 best limits.
Minimum Order.
Automated Price Limit
Odd Lot trading allowed
Mechanism for FCPO, partial matching
FPKO & FKLI
User Defined Strategies

46
THANK YOU
Bursa Central Contact

bursatrade@bursamalaysia.com

47
Appendix

48
BT Securities:
Examples on Trade Matching
• TOP/TCP Matching algorithm

• Matching under continuous trading

49
Matching
Matching Mechanism:
Mechanism: TOP/TCP
TOP/TCP Algorithm
Algorithm
Current
Securities
Theoretical Pricing Algorithm for Proposed New
Pre Opening and Pre Closing: Model
Model
1. The theoretical opening price (TOP) is the price
that maximizes the number of shares traded.
2. If there are more than 1 prices based on Rule 1,
X the TOP will be based on the one with minimize
the number of unfilled shares.
3(i) If there are still more than 1 prices based on Rule

X 2 and the imbalance of unfilled shares is on the
buy side, the TOP will be the highest price therein.
3(ii) If there are still more than1 prices based on Rule 2

X and the imbalance of unfilled shares is on the sell
side, the TOP will be the lowest price therein.
4. Otherwise the TOP used is the price closest to the

reference price
50
Example 1 on TOP Algorithm under Rule 1
The market for ABC immediately before the market opens is:
BUY SELL
Order Qty Price Price Qty Order
A 45 1.00 1.00 66 E
B 250 1.00 1.00 175 F
C 32 1.02 1.01 36 G
D 19 1.03 1.05 50 H

51
(cont’d)
R1 : Determining the Maximum Executable Volume
The principle establishes the price(s) at which maximum volume will be executed
Buy Sell
The Cumulative Buy Quantity Price Sell Cumulative The
Cumulative Buy Quantity at Price Quantity Sell Quantity Cumulative
Buy at Price Sell Quantity
Quantity at at any price is
any price is 0 0 1.05 50 327 the sell
the buy quantity at
quantity at 19 19 1.03 0 277 that price plus
that price the sum of
plus the sum 51 32 1.02 0 277 the sell
of the buy quantities at
51 0 1.01 36 277
quantities at all lowers
all highest 346 295 1.00 241 241 Price.
Price.

52
(cont’d)
Cumulative Price Cumulative Maximum

The Executable
Buy Quantity Sell Quantity Executable
Volume at each
Volume
price is the
0 1.05 327 0 maximum
quantity which
may be traded at
19 1.03 277 19
that price .The
Maximum
51 1.02 277 51 Executable
Volume overall is
51 1.01 277 51 highest number
in this column. In
346 1.00 241 241 this example 241
is the Maximum
Executable
Volume.
TOP = RM1.00

53
Example 2 on TOP Algorithm Rule 2
The market for XYZ immediately before the market opens is:
BUY SELL
A 45 66 E
B 60 50 F
C 32 5.15 5.10 42 G
D 19 5.15 5.15 35 H

54
(cont’d)
Buy Sell
The Cumulative Buy Quantity Price Sell Cumulative The
Cumulative Buy Quantity at Price Quantity Sell Quantity Cumulative
Buy at Price Sell Quantity
Quantity at at any price
any price is 105 105 MO 0 193 is the sell
the buy quantity at
quantity at 156 51 5.15 35 193 that price
that price plus the sum
plus the sum 156 0 5.10 42 158 of the sell
of the buy quantities at
156 0 MO 116 116
quantities at all lowers
all highest Price.
Price.

55
(cont’d)
The Maximum
Cumulative Price Cumulative Maximum Executable
Buy Quantity Sell Quantity Executable Volume at each
Volume price is the
maximum
105 MO 193 105
quantity which
may be traded at
156 5.15 193 156 that Price .The
Maximum
156 5.10 158 156 Executable
Volume Overall
156 MO 116 116 is highest
number in this
column. In this
example 156 is
the Maximum
Executable
Volume.

56
(cont’d)
R2 : Establishing the Minimum Surplus
The second principle ascertains the eligible price levels at which the unfilled or
unmatched quantity is a minimum. The quantity of shares left in the market at the auction
price should always be the lowest possible.
Cumulative Price Cumulative Maximum Minimum

Buy Quantity Sell Quantity Executable Surplus Ignoring the
Volume (CBQ-CSQ) positive and
negative signs,
105 MO 193 105 the lowest
amount
156 5.15 193 156 (-) 37
displayed in this
156 5.10 158 156 (-) 2 column is 2. The
minimum surplus
156 MO 116 116 is 2.
TOP = RM 5.10

57
Example 3: The market for CZY immediately before the market

opens is:
BUY SELL
A 45 3.10 2.98 66 H
B 250 3.08 2.98 50 I
C 32 3.08 2.99 36 J
D 18 3.04 3.00 175 K
E 497 3.00 3.06 20 L
F 80 2.99 3.08 169 M
G 164 2.98 3.10 84 N

58
(cont’d)
Buy Sell
The Cumulative Buy Quantity Price Sell Cumulative The Cumulative
Cumulative Buy Quantity at Price Quantity Sell Quantity sell quantity at
buy quantity at at Price
any price is the
any price is the 45 45 3.10 84 600 sell quantity at
buy quantity at
327 282 3.08 169 516 that price plus
that price plus
327 0 3.06 20 347 the sum of the
the sum of the
345 18 3.04 0 327 sell quantities
buy quantities
at all lowers
at all highest 345 0 3.02 0 327
Price.
Price. 842 497 3.00 175 327
922 80 2.99 36 152
1,086 164 2.98 116 116

59
(cont’d)

Buy Quantity Sell Quantity Executable The Executable
Volume volume at each price
45 3.10 600 45 Is the maximum
Quantity which may
327 3.08 516 327 Be traded at that
Price .The Maximum
327 3.06 347 327
Executable volume
345 3.04 327 327 Overall is highest
Number in this
345 3.02 327 327 Column. In this
example 327 is
842 3.00 327 327
The Maximum
922 2.99 152 152 Executable Volume
1,086 2.98 116 116

60
(cont’d)

Ignoring the
Buy Quantity Sell Quantity Executable Surplus
Volume (CBQ-CSQ) Positive and
45 3.10 600 45 Negative signs
327 3.08 516 327 (-)189 The lowest

Amount
327 3.06 347 327 (-)20
Displayed in this
345 3.04 327 327 (+)18
Column is 18,
345 3.02 327 327 (+)18
There are the
842 3.00 327 327 (+)515
Minimum
922 2.99 152 152
Surplus is 18.
1,086 2.98 116 116

61
(cont’d)
R3 : Ascertaining where the Market Pressure exists
The third principle involves ascertaining where the market pressure of the potential
auction prices exists: on the buy or the sell side. A positive sign (+) indicates a surplus
will be left on the buy side, demonstrating buy side pressure at the conclusion of the
auction. A negative sign (-) indicates a surplus will remain on the sell side, demonstrating
sell side pressure at the conclusion of the auction.
Cumulative Price Cumulative Maximum Minimum A negative sign

Volume (BQ-SQ)
(-) indicates the
45 3.10 600 45
Surplus will
327 3.08 516 327 (-)188

Exit on the sell
Side
327 3.06 347 327 (-)20
A positive sign
345 3.04 327 327 (+)18
(+) indicates the
345 3.02 327 327 (+)18
Surplus will
842 3.00 327 327 (+)517
Exit on the buy
922 2.99 152 152
side
1,086 2.98 116 116
TOP = RM 3.04
62
The market for XYZ immediately before the market opens is:
BUY SELL
A 45 3.10 2.98 66 K
B 250 3.08 2.98 50 L
C 32 3.08 2.99 36 M
D 19 3.04 3.00 175 N
E 497 3.00 3.06 19 O
F 80 2.99 3.08 169 P
G 10 2.98 3.10 85 Q
H 54 2.97 3.12 216 R
I 9 2.96 3.14 114 S
J 50 2.95 3.16 30 T

63
(cont’d)
Buy Sell
The The Cumulative
Cumulative Cumulative Buy Quantity Price Sell Cumulative
Buy Quantity at Price Quantity Sell Quantity sell quantity at
buy quantity at
at Price any price is the
any price is the
sell quantity at
buy quantity at 45 45 3.10 85 600
that price plus
that price plus 327 282 3.08 169 515 the sum of the
the sum of the
sell quantities
327 0 3.06 19 346
buy quantities
at all lowers
at all highest 346 19 3.04 0 327
Price.
Price.
346 0 3.02 0 327
843 497 3.00 175 327
923 80 2.99 36 152
933 10 2.98 116 116

64
(cont’d)

Buy Quantity Sell Quantity Executable
Volume The Executable
volume at each price
45 3.10 600 45
Is the maximum
327 3.08 515 327 Quantity which may
Be traded at that
327 3.06 346 327 Price .The Maximum
Executable volume
346 3.04 327 327
Overall is highest
346 3.02 327 327 Number in this
Column. In this
843 3.00 327 327 example 327 is
The Maximum
923 2.99 152 152
Executable Volume
933 2.98 116 116

65
(cont’d)

Volume (CBQ-CSQ)
Ignoring the
45 3.10 600 45
Positive and
327 3.08 515 327 (-)188
Negative signs
327 3.06 346 327 (-)19 The lowest
346 3.04 327 327 (+)19 Amount
Displayed in this
346 3.02 327 327 (+)19
Column is 19,
843 3.00 327 327 (+)516
There are the
923 2.99 152 152 Minimum
933 2.98 116 116 Surplus is 19.

66
(cont’d)
R3 : Ascertaining where the Market Pressure exists
The third principle involves ascertaining where the market pressure of the potential
auction prices exists: on the buy or the sell side. A positive sign (+) indicates a surplus
will be left on the buy side, demonstrating buy side pressure at the conclusion of the
auction. A negative sign (-) indicates a surplus will remain on the sell side, demonstrating
sell side pressure at the conclusion of the auction.

A negative sign
Volume (BQ-SQ)
(-) indicates the
45 3.10 600 45
Surplus will
327 3.08 515 327 (-)188 Exit on the sell
327 3.06 346 327 (-)19 Side
346 3.04 327 327 (+)19 A positive sign
346 3.02 327 327 (+)19 (+) indicates the
Surplus will
843 3.00 327 327 (+)516
Exit on the buy
923 2.99 152 152
side
933 2.98 116 116

67
(cont’d)
R4: Consulting the Reference Price
The fourth and final principle determines an auction price from the range of prices
established in Principle 3 on the basis of their proximity to a reference price
In our example, if the algorithm was being used to determine the morning auction
price for XYZ, and the previous trading day's closing price was RM3.04 or lower, then
the official auction price for XYZ would be established at RM3.04. If the previous
trading day's closing price was RM3.06 or higher, then the official auction price for
XYZ would be RM3.06. For this example, we will assume the previous trading day's
closing price was RM3.04, therefore, the official auction price is RM3.04.
TOP = RM3.04

68
BT Securities:
Price Determination under

Continuous Trading

69
Price Determination - Continuous Trading

Rule 1:
If an incoming Market Order or Limit Order meets an order book in

which there are only Limit Orders on the other side, then the
incoming Order is executed :
With respect to non-executed sell orders - at the lowest sell
limit.
With respect to non-executed buy orders - at the highest buy
limit.

70
current Last Done SCORE
Example 1 Price 3.30
RM 3.30
Rule 1:
BUY SELL
Limit Order 3.00

Market Order
EARLIER
ENTRY
Limit Order 3.02
OR
Limit Order 4.00 Limit Order 3.30
Limit Order 4.00 New Last Done

Price 3.00

71
current Last Done SCORE
Example 2 Price 2.80 RM 2.80

Rule 1:
BUY SELL
New Last Done
Price 3.00
Limit Order 3.00
Market Order
EARLIER
ENTRY
Limit Order 2.99

OR
Limit Order 2.80 Limit Order 2.10
Limit Order 2.70

72

Rule 2:
If an incoming Market Order meets an order book in which there

are only Market Orders on the other side, then the incoming Market
Order is executed :
at the reference price = as general rule, reference price is the
last automated trade. If this is not available (e.g. due to a long
period of suspension), Bursa Malaysia will determine it.

73
price/time priority rules): SCORE
Example 1 Last Done Price
Rule 2:
BUY SELL
Market Order Market Orders
Last Done
Price
If no trade, Last Done Price = Last Adjusted Closing Price

74

price/time priority rules): SCORE
Example 2 Last Done Price
Rule 2: BUY SELL
Market Orders Market Order
Last Done
Price
If no trade, Last Done Price = Last Adjusted Closing Price

75

Rule 3(i):
If an incoming Market Order meets an order book in which there

are Market Orders and Limit Orders on the other side, then the
incoming Market Order is executed against the Markets Orders in
accordance with the Price/Time Priority:
With respect to non-executed sell orders - at the Reference
Price or lower (at the lowest limit of the executable orders).
With respect to non-executed buy orders - at the Reference
Price or higher (at the highest limit of the executable orders).

76
Price Determination Rules in Continuous

Trading (in addition to the price/time current Last Done SCORE
priority rules):
Price 3.40
RM 3.40
Example 1 BUY SELL
Rule 3 (i):
Market Order 1
EARLIER

ENTRY
Market Order
Market Order 2
Limit Order 3.30
Limit Order 3.40
New Last Done

Price price 3.30

77

Trading (in addition to the price/time priority current Last Done SCORE
rules):
Price 3.14 RM 3.14
Example 2 BUY SELL
Rule 3 (i):
Market Order 1
EARLIER
ENTRY
Market Order 2
Limit Order 3.24
Limit Order 3.20
Market Order
Last Done Price
price 3.24
78
Price Determination Rules in Continuous Trading (in addition to

the price/time priority rules): current Last Done SCORE
Price 3.40
Example 3 RM 3.40
Rule 3 (i): BUY SELL
Market Order Market Order 1
EARLIER
ENTRY
Market Order 2
Limit Order 3.44
Limit Order 3.50
New Last Done

Price price 3.40

79
Price Determination Rules in
Continuous Trading (in addition to SCORE
current Last Done
the price/time priority rules):
Price 3.14 RM 3.14
Example 4 BUY SELL

Rule 3 (i):
Market Order 1
EARLIER
ENTRY
Market Order 2

Limit Order 3.10
Limit Order 3.04
Market Order
New Last Done

Price price 3.14
80

Rule 3(ii):
If an incoming Limit Order meets an order book in which there are

Market Orders on the other side, then the incoming Limit Order is
executed against the Markets Orders in accordance with the
Price/Time Priority:

81

price/time priority rules): current Last Done
Price 3.40
SCORE
Example 1
Rule 3 (ii): BUY SELL RM 3.34
Market Order 1
EARLIER
ENTRY
Limit Order 3.34
Market Order 2
new Last Done

Price 3.34
82
current Last Done
Price 3.30 SCORE
Example 2 BUY SELL RM 3.24
Rule 3 (ii):
Market Order 1
EARLIER
ENTRY
Market Order 2
Limit Order 3.24
New Last Done

price 3.30

83

Rule 3(iii):
If an incoming Limit Order meets an order book in which there are

Market Orders and Limit Order on the other side, then the incoming
Limit Order is executed against the Markets Orders in accordance
with the Price/Time Priority:

84

Trading (in addition to the price/time current Last Done SCORE
priority rules):
Price 3.40
RM 3.36
Example 1 BUY SELL
Rule 3 (iii):
Market Order 1
EARLIER

ENTRY
Limit Order 3.36
Market Order 2
Limit Order 3.30
Limit Order 3.40
New Last Done

Price price 3.30

85

Trading (in addition to the price/time priority current Last Done SCORE
rules):
Price 3.14 RM 3.20
Example 2 BUY SELL
Rule 3 (iii):
Market Order 1
EARLIER
ENTRY
Market Order 2
Limit Order 3.24
Limit Order 3.20
Limit Order 3.20

Last Done Price
price 3.24
86
Price Determination Rules in Continuous Trading (in addition to

the price/time priority rules): current Last Done SCORE
Price 3.40
Example 3 RM 3.40
Rule 3 (iii): BUY SELL
Limit Order 3.44 Market Order 1
EARLIER
ENTRY
Market Order 2
Limit Order 3.44
Limit Order 3.50
New Last Done

Price price 3.40

87
Price Determination Rules in
Continuous Trading (in addition to SCORE
current Last Done
the price/time priority rules):
Price 3.14 RM 3.14
Example 4 BUY SELL

Rule 3 (iii):
Market Order 1
EARLIER
ENTRY
Market Order 2

Limit Order 3.10
Limit Order 3.04
Limit Order 3.10
New Last Done

Price price 3.14
88

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BT1B Presentation Aug-Oct2007

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BURSA TRADE

Presentation to Dealers’ Representatives

• Please print out a copy of the slides as

• A webcast of the presentation will be posted

Bursa Trade Securities Presentation

BT Securities – Trading Features

BT Securities - Other Features

Subsequent Release – Other Features

Bursa Trade Securities Presentation

WHAT INTERMEDIARIES ARE WHAT EXCHANGES ARE

FLEXIBILITY – Easy GLOBAL ACCESS

TOWARDS OPEN ARCHITECHTURE VIA INT’L STANDARD PROTOCOL

Bursa Trade Securities Presentation

Malaysia Towards:“ A Developed Exchange”

NEW TRADING PLATFORM supports a high velocity market;

Bursa Trade Securities Presentation

200 orders/second 1,300 orders/second

10 second matching Real-time matching

3 best price limits 5 best price limits

Fixed Static Threshold Static & Dynamic Threshold

System Integration & IUAT EUAT Ready

EUAT EUAT Target

Dealer Representatives / Remisiers

Bursa Trade Securities Presentation

SCORE (OMT) NSC

SIS SURVEILLANCE ARAMIS

MASA MARKET DATA DIFF

Bursa Trade Securities Presentation

Bursa Trade Securities Presentation

No changes in current market segments for Securities

Bursa Trade Securities Presentation

Morning Session Afternoon Session

8.30am 9.00am 4.50pm 4.50pm

Bursa Trade Securities Presentation

BENEFITS OF TOP DURING PRE

• Orders can be entered, modified • Allows market to understand demand

Bursa Trade Securities Presentation

Current Securities Proposed New

Order Entry &

Bursa Trade Securities Presentation

3(i) If there are still more than 1 prices based on Rule

3(ii) If there are still more than1 prices based on Rule

4. Otherwise the TOP used is the price closest to the

Best Buy/Sell (XYZ)

B/Qty Buy Sell S/Qty

34,600 3.04 3.04 32,700

49,700 3.00 3.06 1,900

8,000 2.99 3.08 16,900

16,400 2.98 3.10 8,500

5,400 2.97 3.12 21,650

Bursa Trade Securities Presentation

Bursa Trade Securities Presentation

Bursa Trade Securities Presentation

Current Securities Proposed New

Opening Price No Indicator Indicator-Theoretical

Bursa Trade Securities Presentation

Bursa Trade Securities Presentation

Current Securities Proposed New

Order Entry &

Bursa Trade Securities Presentation

Market Order Limit Order 2.90

Bursa Trade Securities Presentation