PSE New Trading System (NTS)

NTS
Quick
Guide
This document provides an
overview of PSE New Trading
System features, new Market March 2010 V1.0
Rules and NTS-PAM fields
description

For inquiries, please contact: Ms. Jam Lopez at 8194406;

Ms. Xy-Za Foz at 8194404; Mr. Jericho Bayla 8194412

NTS Quick Guide

New Trading System (quick guide) Market Phases (Group State):
The PSE now formally introduces the new trading workstation which is known as
the PAM (Poste D’Access Aux Marche). Following is an overview of the changes: Market Phase Description

A. Market Phases Start of consultation Beginning of day. PAM open for viewing market data but
not yet for order posting.
 Pre-Opening (9:00am - 9:15am) – same as the current pre-open, brokers
Preopening/Preclosing Corresponds to either Pre-open or Pre-close. Order
can enter, modify, or cancel orders but no matching occurs.
posting, modification and cancellation are allowed but no
 Pre-Open No Cancel (9:15am - 9:30am) – part of the Pre-Open Period and order matching yet.
is also called the No Cancellation Period; any modification or cancellation
Preopening/Preclosing No Corresponds to either Pre-open no cancellation or Pre-
done by the TPs will be rejected by the system.
Cancel close no cancellation. Order posting is allowed but
 Continuous Trading (9:30am – 11:57am) – a period where orders are modification and cancellation are not allowed; no order
immediately matched. matching yet.
 Pre-Closing (11:57am-11:59am) - a period used by the system to compute
Continuous Trading Market open for posting and matching of orders.
for the Closing Price of each security, based on the posted orders. It is
exactly the same as the Pre-Open where matching is not allowed but orders Trading At Last Traders can enter Orders only at closing price.
can be posted, cancelled and modified. Surveillance Intervention Market Close. End-of-day activities.
 Pre-Close No Cancel (11:59am -12:00nn) - the last 1-minute of the Pre-
Close Period that is similar to the No Cancellation Period of the Pre-Open.
 Trading-at-Last (TAL) (12:00nn – 12:10pm) - this is the same as Run-Off
Period where users can only enter orders at the Closing Price.

B. Open and Close Price Determination

The Open Price will be determined using the following rules:

 price with the maximum number of shares matched;

 price with the minimum number of shares unmatched;
 highest (lowest) price if the market pressure is on the buying (selling) side;
 price closest to the Reference Price; and
 Reference Price.

The computation of the Close Price will be the same with the computation of the
Open Price.

In computing the Open Price, the reference price to be used is the previous day’s
Closing Price, while the reference price for the Close Price computation is the
Last Traded Price (LTP) of the Continuous Trading.

C. Order Types
NTS offers a wide array of Order Types to be introduced by the Exchange one at
a time. To manage the transition, only Limit Orders will be accepted by the
system upon launching. A Limit Order is an order entered with a specified price
and volume.
 D. Validity Types
Field name Description The following validity types will be made available:

Order Type Type of the order (e.g. limit, market, etc).  Day Order (Day) – valid until the end of the Trading Day.
Origin Trader Displays the name of the trader who inputted the order; this  Good Till Cancelled (GTC) – valid until cancelled by the User or until it has
reached the set expiration date of the Security.
does not change even if order has been transferred to
 Good Till Date (GTD) – valid until the date specified when the Order is
another trader.
entered.
Price Displays the:  Good Till Week (GTW) – valid for seven (7) calendar days from the time it is
Order Price posted; appears as GTD with seven (7) calendar days validity in PAM.
Or displays the modality for order with no price.  Sliding Validity (Sliding) – valid for 360 calendar days from the time it is
posted.
When the order is market to limit, the introduction
 Fill-and-Kill (FAK) –valid upon execution; when partially matched, the
price will be displayed after the order is on the
remaining unexecuted portion will be automatically eliminated by the system.
market.
For trades, the field displays the execution price E. Volume Qualifiers
Qty Cumul. Quantity Executed.
Volume qualifier is an order feature offered by the NTS. Following are the
Execution
definitions of each of the volume qualifier:
Qty Remaining Remaining Quantity.
Qty Total Total quantity of an Order.  Minimum Quantity – must be filled immediately upon order entry, to the
extent of the specified minimum quantity, otherwise, the order will be
Short Selling Indicates if the order has been sent with “short sell” or “buy eliminated; applies only on the first trade.
Information back”.  Iceberg (Disclosed) Quantity – successively entered and disclosed to the
Side Side of an order. market in specified tranches.

Status Status of your order (active, executed, cancelled, etc.,). F. Odd Lot
Trader Name of Trader who is in charge of the order.  Will be traded in a separate market called the Odd Lot Market.
Transaction Date and Time the order has been executed.  A prefix „O‟ should be placed before the Security Symbol when entering an
Time Odd Lot order.
Validity Date Validity date of the order or date from which the order will  Partial matching is now allowed in the Odd Lot Market.
remain valid.
Validity Type Validity type of an Order (e.g. GTW, GTC etc.,) G. Thresholds
Value Peso value of an order.  Static Thresholds - also known as the trading band, refers to the lowest
Price * volume (floor) and highest (ceiling) price limit for each security that the system will
accept.
- Fifty percent (50%) above and below the previous day‟s closing price or the
Last Adjusted Closing Price (LACP), shall apply for both the ceiling and the floor.
 Dynamic Thresholds - In lieu of the Three Fluctuation Rule, Dynamic
Thresholds will be introduced.
- The Upper and Lower Dynamic Threshold refer to the allowed price from one
trade to the next.
- When this threshold is breached, the security will be frozen, until the Market
Control acts on the Order that has been frozen.
H. Security States
Field name Description
 Open (Display in PAM: AUTHORIZED) – normal state of the Security
where orders are accepted for posting and matching.
Variance Variation of the last trade from the Instruments Previous
 Frozen (Display in PAM: AUTHORIZED FROZEN) – occurs if any of the closing Price.
thresholds are breached. A frozen security does not allow order posting,
modification and cancellation. Volume Volume of the last transaction.
 Halted (Display in PAM: AUTHORIZED/HALTED) – is equivalent to the
trading Halt of the Maktrade System. A halted security allows order posting,
modification and cancellation but no matching occurs.
 Suspended (Display in PAM: FORBIDDEN/HALTED) – is a halting of a Orderbook important fields:
Security occurring more than one trading day. A suspended security does
not allow order posting, modification and cancellation. Field name Description

I. Foreign Limit Validations Account Id PSE- Investor account code

 The Shares Available to Foreign automatically updates (decreases) when a Average Price Average price of your orders
foreign buying order is entered. trade
(TRADES_QT Y_y * TRADES_PRI CE_y) /
trade
(TRADES_QT Y_y)
0 0
 The Shares Available to Foreign automatically updates (increases) when s
foreign selling order is matched. Comment Displays the comment indicated in the Single Order Entry
window.
J. Order Entry Validations Confirmation Indicates if the order is a 'pre-confirmed‟ order or not.
 Only the Exchange-defined client account code/investor name will be Displays (1) if you have selected the Pre-confirmation
accepted by the system. checkbox in the Single Order Entry window. If not, it displays
 No need to flag orders (i.e. nationality and account type). (0).
 TPs may also assign the Order Limit for each of its traders for risk Counterpart Counterpart to a trade or trade declaration.
management purposes.
Creation Date Timestamp when the order is created or the Date and Time
when the order has been created/modified.
K. Order Status
Date Change Date and time a change (i.e. execution, modification,
 Active – Open for matching, modification and cancellation.
cancellation, etc) has occurred on the instrument.
 Cancelled – Cancelled by the User.
Exchange ID For Executed Orders this pertains to „Confirmation number‟;
 Error – Error during order posting (Error detail to be seen in „Message
Description‟ field) for active/unmatched orders this pertains to „Order number‟
 Executed – Fully matched. Internal Ref. Internal Reference Order Number.
 Frozen – Order has caused the freezing of the Instrument and is waiting for Is Scheduled Indicates if the order is a scheduled (1) order or not (0).
Market Control action. Message Description of the Status of the order/trade.
 Market Eliminated – Cancelled by the Market Control of the Exchange Description
 Modified – Original Order that has been modified. Mnemo Instrument Code/Symbol.
 Scheduled – Order not yet sent to the Market with parameters set by the Order Position Indicates the position of your order inside the 5 Best Limits.
User.
Flags 1 to 5 indicate the limit position of your order, 5+
 Sent – Order waiting Exchange Reply. indicate that your order is below the 5 limits, n/a means not
 Waiting – Order not yet sent to the Exchange. applicable (no feed data, order is in terminal state).
 Sending – Order has not reached PAM server.
 L. Account Types
Field name Description
 Institutional Client (I) – Account of i) bank, insurance company, or
registered investment company; ii) any other entity set forth in Section
Lowest Lowest trade price for the day
10.1(1) of the SRC Code as a qualified buyer (whether a natural person,
Mnemo Instrument Symbol (e.g.PSE). corporation, trust or otherwise) with total assets of at least P1.2B; provided
NSC ID Mnemonic code with Prefix „N‟ – for normal market, „O‟ – for however, that the Broker Dealer shall obtain from such entity a declaration
under oath, confirming ownership of assets.
oddlot market (e.g. NPSE/OPSE).
 Retail Client (C) – Account of an individual not categorized as institutional
client.
Number of Number of Outstanding Shares of an instrument.
Shares  Tax-Exempted Client (T) – Corporate account exempted from stock
transaction tax.
Number of Number of Transactions for the instrument.
Transaction  Group/Aggregate/Bundled Account (G) – A group of client accounts
traded as one (1) aggregate account.
Open Price Price at the opening for the instrument or Price at which the
 House/Principal/Proprietary Account (P) – Account of the TP firm when
Instrument was first traded for the day.
trading for its own account.
Price Price of the last transaction.  Error Account (E) – Account of the TP for error transactions.
Prod. Group Production Group (i.e. N: Normal; O:Oddlot).  Related Party/Associated Person Account (R) – Parties related to a TP
Quoting Valid (minimum) Price Fluctuation or Tick size. shall refer to (a) the stockholders, directors, officers, nominee, salesmen,
Step/Price employees, and other agents of a TP, (b) its subsidiaries and affiliates, or (c)
any affiliated person of the TP.
Reference Price from which the Static Threshold is computed.
Price  Market Making Account (M) – Account used by the TP to identify
transactions made in fulfillment of its market making obligations to the listed
Sector Code Provides the Sector code of the Instrument. company.
Short Name Instrument Name listed
Short Sell Inf Indicates if the instrument is eligible for short selling/buyback. M. Bundling/Aggregation of Client Orders
Theoretical Displays the projected opening/closing price of an instrument  TPs can request for a bundled account, which can be classified as local or
Open Price during pre-open/pre-close phase. foreign.
 When using bundled account, TPs must distribute the shares traded among
Threshold Dyn Upper dynamic threshold of a particular Instrument.
the clients at the end of trading day.
High
 Only the following distribution of bundled/aggregated accounts are permitted
Threshold Dyn Lower dynamic threshold of a particular Instrument.
by the Exchange:
Low
From a foreign bundled account to foreign client and local client and/or
Threshold High Ceiling price of an instrument (Upper Static Threshold).
error accounts;
Threshold Low Floor price of an instrument (Lower Static Threshold). From a local bundled account to local client and error accounts.
Value Price of the last transaction * Volume of the last transaction.
N. Cross Transactions
Var Percentage variation of the last trade from the Instrument‟s  Cross transactions can be entered using the Single Order entry window.
Previous closing Price.  During Continuous Trading, the price of cross transactions should be within
Var(-) (negative) Percentage variation of the last trade from the the Best Bid/Offer (BBO); when executed during TAL, the price should be at
the Closing Price.
Instrument‟s Previous closing Price (used in the „Top Losers‟
window)  Cross transactions can only be executed during the Continuous Trading and
the Trading-at-Last Period.
O. Order Modification
PAM Field Description
 A posted or partially matched order may be modified with new Order number Broadcasted Market Data Fields (important fields):
generated by the Exchange.
 The following modifications will cause the order requeue:
Field name Description
an increase in volume; and/or
a modification of the limit price entered. Ask Or. Qty Number of “Ask” orders available for first limit.
 The following modifications will cause the order retain its queue: Ask Price Ask Price on first limit.
a decrease in volume;
Ask Vol Volume of “Ask” orders available for first limit.
a modification in validity type (e.g. Day to GTC order);
a modification of the client account code. Available for Displays in real time the number of shares available for
Foreigner foreigner.
P. Block Sales Avg Ask Price Average ask price on first limit.
 Block Sales can be executed as an inter-firm (two party) transaction or an Avg Bid Price Average bid price on first limit.
intra-firm (cross) transaction. Avg Price Average Price of all transactions of an Instrument.
 Block Sale transaction value should be within the Trader‟s Assigned Order Bid Or. Qty Number of “Bid” orders available for first limit.
Limit.
Bid Price Bid Price on first limit.
 Ordinary Block Sales can be executed using the Trade Confirmation System
(TCS) window in PAM. Parameters/thresholds are the following: Bid Vol Volume of “Bid” orders available for first limit.
value of transaction not less than PhP20 million; Close Price Previous day‟s closing price.
price within +/- 5% from the Last Adjusted Closing Price (LACP). Company Name of the Company issuing the Security (e.g. The Phil.
 Special Block Sales are executed by the Exchange. Parameters/thresholds Name Stock Exchange).
are the following: Cumul. Volume Cumulated volume from the beginning of the day for each
value of transaction not less than PhP50 million; instrument.
can be executed at any price Cumulative Cumulated value from the beginning of the day for each
The underlying agreement and other supporting documents shall be Value instrument.
provided by the selling Trading Participant to the Exchange. Cumul. Volume * Avg. Price
Foreigner Indicates if foreign clients can trade the instrument or not.
Group Status Status of the Group (i.e. Market Phase of nomal/oddlot
market).
High Time Time of the highest price for current day.
Highest Highest trade price for the day.
Instrument Status of the Instrument.
State
ISIN International Securities Identification Number.
Last Last Transaction Time.
Transaction
Time
Lot Size Lot Size of the Instrument.
Low Time Time of the lowest price for current day