Stock Exchange Participants were consulted through a questionnaire that was sent to all Participants and the results have been taken into account.
The two new order types are Enhanced Limit Order (ELO) and Special Limit Order (SLO). AMS/3 currently accepts only Limit Orders, which are matched at one price. An ELO is similar to a Limit Order except that it will allow matching of up to two price queues at the same time. The input order price of an ELO can be matched up to one spread better than the best price on the other side of the market. Any unfilled quantity of an ELO after matching will be converted into a Limit Order at the input order price. An SLO is a market order which matches up to two price queues (i.e. the best price queue and the next queue at one spread away) as long as the traded price is not worse than the input limit price. Any unfilled quantity of an SLO after matching will be cancelled by AMS/3. As ELOs and SLOs can generate trades at more than one price, the AMS/3 order enquiry facilities have been expanded to display all trades associated with an order and their execution prices.
The trading parameter changes will include:
- Increase the range for order prices from within four spreads of the best bid and ask prices to within eight spreads
- Increase the maximum order size from 400 to 600 board lots per order
- Increase the maximum number of outstanding orders per broker ID from 800 to 2,000
- Increase the maximum number of orders per price queue from 1,000 to 2,000
