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Singapore Exchange (SGX) is consulting the public on its proposal to change the algorithm used to compute the equilibrium price at which orders are matched at the end of the opening and closing routines and adjust phases in the securities market.
The proposed algorithm will compute a price that is a better reflection of the market. This is because the algorithm’s parameters allow for a better accounting of the forces of supply and demand. This algorithm is also used by the Australian Securities Exchange (ASX) and NASDAQ OMX.
To facilitate market participants’ understanding of the proposed algorithm the changes to the algorithm will be reflected in SGX’s Practice Note. SGX intends to implement the proposed algorithm with the Reach trading engine in the second half of 2011.
The consultation paper on the proposed algorithm for determining the equilibrium price is available on SGX’s website www.sgx.com from today. Market participants and members of the public can send in their comments and suggestions on the proposal from today until 5 August 2011 via email and either by post/courier or fax to:
| Email: | rules@sgx.com |
|---|---|
| Post/Courier: |
Singapore Exchange Limited 2 Shenton Way #19-00, SGX Centre 1 Singapore 068804 |
| Attn: |
Lee Sue-Lynn Regulatory Development and Policy Risk Management and Regulation |
| Fax: | 6534 2207 |
| SGX Consultation Paper - 22 July 2011 | |
|---|---|
| Title | (In PDF) |
| Consultation paper on proposed change to the algorithm used by SGX-ST to compute the single price at which orders at the end of the Opening Routine, Closing Routine and Adjust Phase are matched |
Appendix A - Amendments to Practice Note 8.2.1
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