Quote-driven trading mechanism
In the quotation-driven trading system, according to the number of quotation market makers, it can be divided into monopoly market maker mechanism and competitive market maker mechanism. Market makers can declare multiple quotations according to the characteristics of quotation varieties and the market situation at that time, or they can adopt unilateral quotation. For monopoly market makers, the latest quotation will be constantly replaced by the latest quotation, and there is only one valid quotation in the trading book at a certain moment.
Competitive quotation-driven trading mechanism can be divided into two ways: one is similar to instruction-driven trading mechanism, and the way is "price first, time first"; The second is the so-called "proportional" model, that is, the number of transactions is allocated among several market makers with the best quotations, not in chronological order, and the allocation ratio can be allocated by average or classified by the proportion of quotation data. For the existence of a first-class market maker, all the best quotations of the first-class market maker will be closed, and the rest will be evenly distributed among other market makers. Among competitive market makers, according to different market characteristics and product characteristics, the exchange can stipulate whether market makers can trade with each other. Among them, the American market maker system stipulates that market makers cannot trade with each other, while European market makers have no similar regulations.
Instruction-driven trading mechanism
With the improvement of electronic trading, more and more securities markets tend to adopt order-driven trading system, which can be divided into call auction and continuous bidding. Intra-day trading generally adopts continuous bidding, with "price priority, time priority"; During lunch break, when the market is opened, closed or reopened, the call auction method is generally adopted. For some varieties with poor liquidity, the call auction method can be used many times in the session, and the call auction time varies.
At present, call auction in mature European markets is generally conducted in an open way, that is, the reference transaction price and transaction quantity of call auction are disclosed in call auction. As far as call auction's price determination principle is concerned, the main focus of current markets in various countries is whether to achieve the maximum transaction, whether to minimize the number of outstanding transactions and realize the maximum market determination principle. In details, different exchanges differ in whether to allow the use of market entrustment, whether to add reference price conditions and how to set reference prices during their stay in call auction.