CHAPTER 5 : TRADING OF SECURITIES ON THE JSE
PHASES OF THE JSE AUCTION PROCESS: >
call phase ; Random end ; price determination period
1) CALL PHASE
↳ Order books = frozen & all
trading stops
> All orders from market = collected
>
Enter new orders ( no execution constraints )
>
Existing orders could be adapted removed
> NO
trading takes place during this phase .
s order book is
continuously updated
> ( 08:30 09 00 ) 30
opening
call :
phases auction mins
>
( 16:50 17 00 ) 10 mins
Closing auction
>
auction ( 12:00 12 15 ) 15
lntraday mins
2) RANDOM END :
> call phase ends with a random period of 0 to 30 seconds
Impossible to new orders orders
exchange existing
>
enter
for ( manipulation )
1 Makes any attempt spoofing more difficult
3) PRICE DETERMINATION PERIOD
> Principles for determining the auction price ( specific order )
-
Maximum execution principle :
'
price that will the highest executable
create
trading volume
2- Minimum surplus :
'
the price that will result in the smallest surplus
3. Market pressure of the surplus :
side
I
Buy : Take the highest price
'
sell Side : Take the lowest price .
::
, TRADING IN AN OPEN OUCTRY MARKET:
open outery market:(1857 1996)
·
Market participants (e.g. brokers) pathered at specific location
called out of shares
·
the name the
company in which
they wanted to
buy sell
·
Within 7 business days: share certificate and signed transfer forms
3
DISADVANTAGES:
Limited no of shares could be traded on a
daily basis.
Misunderstandings amongst brokers
Hand signals used to communicate
ELECTRONIC TRADING
·
1998: JET SYSTEM (Tohannesburg Equitles Trading System
Continuous screen
trading
·
Computer
·
program connects executable requests.
·passive orders on order books.
&2001: JSE SETS: (stock system (
exchange trading
·
Based London
on
Trading system
Two ways of trading:
·
1. Continuous
trading throughout the
day (similar to (JET)
2. Auctions at certain times of the
day (begs, end of day to ensure fair opening? Closing prices
determined).
&
2007: TSE TRADELECT SYSTEM:
platform was based London.
Trading In
·
·
Considerable Increase in
trading volumes.
2013: MILLENNIUM EXCHANGE:
·
Trading platform moves to
Johannesburg
400 faster Tradelect
Trading times than the
·
Increased market (more shares bought/cold during day)
·
Liquidity can be
3
·
Auctions: lunch-time, late afternoon
morning,
Rest of the
&
day trading takes place on a continuous basis.
PHASES OF THE JSE AUCTION PROCESS: >
call phase ; Random end ; price determination period
1) CALL PHASE
↳ Order books = frozen & all
trading stops
> All orders from market = collected
>
Enter new orders ( no execution constraints )
>
Existing orders could be adapted removed
> NO
trading takes place during this phase .
s order book is
continuously updated
> ( 08:30 09 00 ) 30
opening
call :
phases auction mins
>
( 16:50 17 00 ) 10 mins
Closing auction
>
auction ( 12:00 12 15 ) 15
lntraday mins
2) RANDOM END :
> call phase ends with a random period of 0 to 30 seconds
Impossible to new orders orders
exchange existing
>
enter
for ( manipulation )
1 Makes any attempt spoofing more difficult
3) PRICE DETERMINATION PERIOD
> Principles for determining the auction price ( specific order )
-
Maximum execution principle :
'
price that will the highest executable
create
trading volume
2- Minimum surplus :
'
the price that will result in the smallest surplus
3. Market pressure of the surplus :
side
I
Buy : Take the highest price
'
sell Side : Take the lowest price .
::
, TRADING IN AN OPEN OUCTRY MARKET:
open outery market:(1857 1996)
·
Market participants (e.g. brokers) pathered at specific location
called out of shares
·
the name the
company in which
they wanted to
buy sell
·
Within 7 business days: share certificate and signed transfer forms
3
DISADVANTAGES:
Limited no of shares could be traded on a
daily basis.
Misunderstandings amongst brokers
Hand signals used to communicate
ELECTRONIC TRADING
·
1998: JET SYSTEM (Tohannesburg Equitles Trading System
Continuous screen
trading
·
Computer
·
program connects executable requests.
·passive orders on order books.
&2001: JSE SETS: (stock system (
exchange trading
·
Based London
on
Trading system
Two ways of trading:
·
1. Continuous
trading throughout the
day (similar to (JET)
2. Auctions at certain times of the
day (begs, end of day to ensure fair opening? Closing prices
determined).
&
2007: TSE TRADELECT SYSTEM:
platform was based London.
Trading In
·
·
Considerable Increase in
trading volumes.
2013: MILLENNIUM EXCHANGE:
·
Trading platform moves to
Johannesburg
400 faster Tradelect
Trading times than the
·
Increased market (more shares bought/cold during day)
·
Liquidity can be
3
·
Auctions: lunch-time, late afternoon
morning,
Rest of the
&
day trading takes place on a continuous basis.
