A
Open outcry auction
Opening call auction refers to the bidding method of accepting trading declaration within the specified time before opening.
In China, there is also call auction at the opening of stock trading, but it is different from call auction at the opening of stock index futures. For example, in terms of call auction time, the opening call auction time of Shanghai Stock Exchange is from 9: 15 to 9: 25 every trading day, except for securities that are suspended or resumed during the opening period. Except the Shanghai Stock Exchange, the closing time in call auction is 14: 57 to 15: 00.
The opening time of stock index futures in call auction is within 5 minutes before the opening of trading day, that is, from 9: 25 to 9: 30. Among them, the first 4 minutes are the declaration time of the purchase and sale order, and the last 1 minute is the call auction matchmaking time. Call auction does not accept market declaration. Orders can be cancelled at the time of declaration, but not at the time of matching. The transaction price generated in call auction is the opening price. If there is no transaction price in call auction, the opening price is the first transaction price after call auction. At this time, the previous transaction price is the settlement price of the previous trading day. The opening of call auction adopts the principle of maximum turnover, that is, the maximum turnover can be obtained at this price. All the buying declarations higher than the price generated by call auction are sold; All sales declarations below the price generated in call auction were sold; A buying or selling declaration equal to the price generated in call auction; According to the amount declared for buying and selling, trade according to the amount declared by the minority party.
Limit orders, which have not been closed in the opening call auction, will automatically participate in continuous bidding transactions after the opening.
B
Continue to bid after the market opens.
The principle of continuous bidding for stock index futures is:
(1) Price first, time first;
(2) When the price stops, the position is closed first, and the time is given priority;
(3) Open before leveling.
The complete explanation of the above principle is: the buyer's highest bid is preferred; The seller's lowest bid is preferred; If the bids are the same, the earliest pending order is preferred.
situation
A trader F sold the Shanghai and Shenzhen 300 Index Futures 10 lot in a month, with a listing price of 3,400 points; Trader A hangs out 10 to pay the bill, and the offer is 3398 points; Subsequently, trader B also wanted to buy 10 lot with a hanging price of 3399 points. Because the price of B is higher than that of A, according to the principle of price priority, B's list is ranked before A, and later C also hangs out 10 to pay the bill, and the price is also 3399 points. Because the listing price is the same as B, according to the principle of time priority, C can only be ranked after B, but still before A. If a trader G sells 10 at 3397, the buyer has the priority to close the transaction.
Readers may think that the priority buyer bid is 3399 points, while the seller bid is 3397 points. So, what is the actual transaction price? 3397, 3398 and 3399 seem to be all right.
In this regard, how does CICC's computer system determine the transaction price? The computer actually determines the latest transaction price according to the previous transaction price when matching. If the previous transaction price is lower than or equal to the selling price, the latest transaction price is the selling price; If the previous transaction price is higher than or equal to the purchase price, the latest transaction price is the purchase price; If the previous transaction price is between the selling price and the buying price, the latest transaction price is the previous transaction price. Now the buyer bids 3399 points and the seller bids 3397 points. If the previous transaction price was 3397 points or less, the latest transaction price was 3397 points; If the previous transaction price is 3399 points or above, the latest transaction price is 3399 points; If the previous transaction price was 3398 points, then the latest transaction price is 3398 points. The advantage of this matching method is that it not only embodies fairness, but also makes the transaction price relatively continuous, avoiding unnecessary irregular jumps.
Summary: The matching transaction price is equal to the middle value of the buying price (bp), selling price (sp) and the previous transaction price (cp). Namely:
When bp≥sp≥cp, the latest transaction price =sp.
When bp≥cp≥sp, the latest transaction price =cp.
When cp≥bp≥sp, the latest transaction price =bp.
C
Determination of benchmark price of new listing contract
The benchmark price of the new listing contract shall be determined by the exchange and announced in advance. The benchmark price is the basis for determining the trading limit of the new contract on the first day of listing. The last trading day of the stock index futures contract is the third Friday of the contract month. Therefore, the General Exchange will publish the benchmark price of the new listing contract on the exchange website after the closing of the trading day before the third Friday. If there is no transaction within three trading days, the exchange may adjust the benchmark listing price.