Pre-Opening Matching Algorithm

1. What is the matching algorithm that APEX adopts in pre-opening session?

In general, APEX adopts the “maximum traded volume” algorithm to determine the execution price and match the orders at the end of the pre-opening session. Such execution price shall be determined according to the rules defined below:

Rule 1: (Maximum tradeable quantity) The execution price will be the price that can generate the largest tradeable volume possible.

Rule 2: (Minimum quantity remaining) The execution price will be the price with the lowest quantity remaining if there is more than one price satisfying Rule 1.

Rule 3: (Remaining quantity direction) If there are more than one price satisfying Rules 1 and 2 and the remaining quantities are all on the same side, the execution price will be the lowest (highest) of these prices if the remaining quantities are on the sell (buy) side.

Rule 4: (Last traded price) If there are more than one price satisfying Rules 1 and 2 and the remaining quantities are on different sides, the execution price will be the price nearest to the last traded price.

 


2. Are there examples for this pre-opening matching algorithm?

Please refer to Appendix.

Appendix.pdf

 


3. What are the accepted order types?

Only limit orders are accepted during the pre-opening session.