116 replies to this topic

[HDB]

Guys,

Is it standard and a JSE requirement that a company release a trading update?
In particular, I ask about WSL?

no...only if profits are going to be more or less than 20% of previous years actual!!!

 

In other words, if profits are going to be less than 20% of previous reporting period, no need to report TS!!

Edited by HDB, 18 June 2014 - 11:00 AM.

[Sugafoot]

Guys,

Is it standard and a JSE requirement that a company release a trading update?
In particular, I ask about WSL?

[HDB]

CPI numbers better than expected!! rand and pound strengthening!!

[mdma]

Point noted - thank you.

I still would like to know though as i hear traders talking about it...

 

 We are day traders using a system!!

 

So why should we be weary of that?  

That is just noise!

Our system takes care of that noise!!

[HDB]

Please explain the effect of future close out on the ALSI/TOP40.

What should we be weary off?

 We are day traders using a system!!

 

So why should we be weary of that?  

That is just noise!

Our system takes care of that noise!!

[mdma]

Please explain the effect of future close out on the ALSI/TOP40.

What should we be weary off?

[HDB]

The idea of an auction is to find a fair opening or closing price and to remove the threat of a single small trade being the arbitrator of the price!!!!!!

As per Simon Brown!!

[HDB]

Thanks for the info HDB. Just one question - what purpose does the auction actually serve? That is, why do we have an auction anyway?

 

The idea of an auction is to find a fair opening or closing price and to remove the threat of a single small trade being the arbitrator of the price!!!!!!

[Aragorn]

Floor is open for any questions.....

Thanks for the info HDB. Just one question - what purpose does the auction actually serve? That is, why do we have an auction anyway?

[oroman]

U need to tick the right boxes

 

Go to account balances, then settings, direct market acess then tick enable dma equities!!

 

Also under  data feeds, you have to request a feed for live prices...

 

Their is a charge for this but if you do more than one trade a month you get the full amount back!!

Thanx HDB!!

[HDB]

Thanx HDB, your posts are quite educational. I wanted you to help me I started trad last year using IG markets but all my trades were on the Top 40 Index...I wanted to ask if i want to trade CFD shares how do i go about it Because my trading platform has no option for shares its just the index and options. 

U need to tick the right boxes

 

Go to account balances, then settings, direct market acess then tick enable dma equities!!

 

Also under  data feeds, you have to request a feed for live prices...

 

Their is a charge for this but if you do more than one trade a month you get the full amount back!!

Edited by HDB, 17 June 2014 - 02:44 PM.

[Qbre77]

Thanx HDB, your posts are quite educational. I wanted you to help me I started trad last year using IG markets but all my trades were on the Top 40 Index...I wanted to ask if i want to trade CFD shares how do i go about it Because my trading platform has no option for shares its just the index and options. 

I think the best way to answer that question is to contact IG

[oroman]

Thanx HDB, your posts are quite educational. I wanted you to help me I started trad last year using IG markets but all my trades were on the Top 40 Index...I wanted to ask if i want to trade CFD shares how do i go about it Because my trading platform has no option for shares its just the index and options. 

[Qbre77]

Thanks HDB,very informative. Much appreciated 

[HDB]

I for one have used the auction to buy shares to my benefit. if you know how to use it, you will pick up some bargains especially on the smaller cap stocks where liquidity could be a problem .

 

Floor is open for any questions.....

[HDB]

Those trading the alsi via safex can also use the alsi auction which opens at about 8.25am and closes at 8.30am for their trades!! Normally very small volumes!!

[HDB]

also sometimes you see a bid or sell volume with no price... Price will be shown at 0!!

 

This means a buyer or a seller is willing to buy or sell at any price!! he will only do this if he knows their is sufficient liquidity volume wise to make sure his bid or sell will be matched at a reasonable price and not at some ridiculous manipulated price!!

[HDB]

is auction open to manipulation?

 

As hard as the JSE tries for this not to happen, sometimes the big players can manipulate it...

 

How??

 

At exactly 30 seconds before 5pm all deletions of existing orders, news orders and price changes are stopped. ie system closes for the calculations to take place. You will sometimes see a few seconds before the cut off, a large new buy or sell order is put in, or an existing order is cancelled and then this has a major change in the auction determined price at 5pm.

 

For us man in the street trading liquid top 100 shares, our drop down bid and buy only goes to 5 levels max. Most of the big boys will put in bid or sell prices after this so we cannot see it. Hence it may be dangerous trying to buy or sell in an auction!!

[HDB]

We have 3 auctions during the day.

1. Opening Auction before marlets open
2. Miday auction between 12 to 12.15 for small cap stocks
3. Closing auction which starts at 4:50pm and closes at 5pm


I posted this about 3 years ago on one of the threads about how the auction works and i will paste it here again :

Just a quick example again to show how auction works and well use AMS (arbitary figures)

bid v sell v
800 100 600 55
690 350 625 10
675 200 670 700
660 400 700 200



Now at 9am how much will AMS open at??

If you look at the bid volume in total at 675.00 its 650 shares
Now go to sell side and see where 650 shares come in at...ie 55+10+(585 of the 700)

so first auction trade in morning will be at R670 with vulume of 650 shares and next bid/sell will be as follows

bid v sell v
660 400 670 115



Ps ...dont get carried away with the high bid price of 800 and low sell price of 600 in the auction..

The market equilibrium takes care of that!!

[HDB]

To those interested in how the auction works before our markets open and again at 4:50am

 

Perhaps this extract from an Equitity Trading manual about the Auction process might explain the process a bit better.


Closing Auction
The trading day is concluded with a closing auction for all instruments except those in segment ZA04 (warrants & investment products). This closing auction has ten-minute duration with a random end period. It is subject to two price monitoring extensions as well as a market order extension, if required.

During closing price determination, the uncrossing price calculated during this closing auction determines the closing price, if available.


Closing Price Determination
As illustrated in the diagram, the closing price is determined using one of the following:

1. Closing Auction - The price determined at the uncrossing of the order book during the closing auction. If no orders are able to match at the end of the auction period the closing VWAP is used.

2. Closing VWAP - The closing volume weighted average price calculated over the last ten minutes of continuous trading. If no trading occurred during the last ten minutes of continuous trading, the last automated or auction trade price will be used.

3. Last Automated or Auction Trade - The price of the last automated (AT) or auction (UT) trade. If no trading has occurred in the instrument during the current trading day the closing price of the previous trading day will be used.

4. Mid Price - This means the mid of the best bid and offer. If no bids or offers are on the book, the closing price will be zero, irrespective of any trades that occurred prior to the ECTG period. Similarly, if there is only a best bid or only a best offer in the book, the closing price will be based on the one value.


Matching and Uncrossing
Maximum Execution = The highest executable volume for each possible price (i.e. the minimum of the buy and sell executable volumes at any given price).

Minimum Surplus = The lowest surplus for each possible price (i.e. the smallest difference between the buy and sell executable volumes at any given price).

Market Pressure = Should the market pressure be on the buy side (the buy executable volume is greater than the self executable volume), the highest possible price will be the auction price. Should the market pressure be on the sell side, the lowest possible price will be the auction price.

Reference Price = The auction price will be the possible price closest to the reference price.

During all auctions and auction extensions, as well as during the uncrossing of the order book at the close of the auction, a price determination algorithm is run calculating the indicative price and volume. This algorithm uses all orders entered during the auction call and determines price based on the following principles:

Maximum execution
The auction price is the price with the highest executable order volume for each possible price in the order book. Market orders have priority over limit orders to reward liquidity provision.

Minimum Surplus
Should the price determination process determine more than one possible price with the highest executable order volume, the lowest surplus for each possible price in the order book is taken into account as a further criterion. The auction price is the price with the highest executable order volume and the lowest surplus for each possible price in the order book.

Market Pressure
Should the price determination process determine more than one possible price with the highest executable order volume and the lowest surplus for the determination of the auction price, the surplus is referred to for further price determination. Either
- The auction price is stipulated according to the highest possible price if the surplus for all possible prices is on the buy side (surplus of demand); or
- The auction price is stipulated according to the lowest possible price if the surplus for all possible prices are on the sell side (surplus of supply).

Reference Price
If the inclusion of the surplus does not lead to a single auction price, the reference price is included as an additional criterion. This may be the case if
- there is a surplus of offerings for one part of the possible prices and a surplus of demand for another part; or
- there is no surplus for all possible prices.

In the first case, the lowest possible price with a surplus of offerings or the highest possible price with a surplus of demand is chosen for further price determination. In both cases, the reference price is included for stipulating the auction price:
- if the reference price is higher than or equal to the highest possible price, the auction price is determined according to this limit;
- if the reference price is lower than or equal to the lowest possible price, the auction price is determined according to this limit; or
- if the reference price lies between the highest and lowest possible prices, the auction price equals the reference price.

The order book is momentarily frozen while the uncrossing algorithm is run, thus preventing orders from being entered, deleted or modified. All matches will occur at the price determined by the uncrossing algorithm. After price determination is concluded, the members whose orders are executed (in part or in full) are informed by a message confirming each execution that has occurred and giving all relevant trade information (i.e. price, total volume and trade type). Trade information is also published to the market.