Automated Trading Rules
Introduction
The Automated Trading System (ATS) is designed to match buy and sell orders
placed by the member firms of the CSE. Bid and Ask prices are entered into a central
electronic order book. During trading hours, orders are matched according to fixed
rules and execution prices are set. Price and volume details of all completed
transactions are electronically communicated immediately to all the members
involved.
The trading day at the CSE will be divided into following time periods:
1. Pre-open
2. Open-Auction
3. Regular trading
4. Close
During pre-open the system accepts orders unless otherwise stated in Rule 3 (page 9).
Orders can be amended and cancelled during pre-open. However, no executions take
place during this stage.
During open-auction, the system temporarily closes the order book and starts
matching orders. It establishes the opening price and determines the orders to be
executed according to the rules for the open-auction period (please refer Rule 4 –
page 9).
During regular trading new orders are continually matched to existing orders in the
order book according to Rule 5 (page 11). If an order cannot be executed it is stored
in the order book.
Preference shares, non-voting shares, and warrants do not update the market indices.
The following rules are applicable to shares, warrants, units of closed-end
funds/ETFs and any other security to be determined by the Board of Directors of the
CSE (commonly referred to as security/securities in these rules) which are traded in
the ATS.
Entering orders
Clients who have accounts with the Central Depository Systems (Pvt.) Ltd. (CDS)
place their orders with the brokers, either directly or through a custodian bank.
Orders are entered by the brokers through the ATS trading terminals, which are then
transmitted on-line to the ATS.
The ATS trading terminals are located in the member firm’s offices. The trading
terminal performs three functions; display of market data, display of trader’s orders
and executions, and acceptance of new orders, amendments and cancellation of
orders.
The ATS acknowledges the receipt of an order, marks it with a time stamp, and
checks it for validity (please refer Page 8 – Order Validation). If it is technically
valid, processing continues. If not, it is returned with the appropriate comment. No
checks apart from those explicitly stated in these rules will be performed on order
size or price.
The ATS maintains an order book for each traded security, divided into bids and
asks. The prices are determined and orders executed according to specific rules
detailed in the ATS Rules.
Division of Market
The market is divided into the normal lot, odd lot and block books. The block book is
sub divided in to crossings and all or none blocks.
Trading Session
The securities market is open from Monday through Friday except on days declared as
holidays by the Exchange.
Pre-open : 9.00 A.M. to 9.30 A.M.
Open-auction : 9.30 A.M.
Regular trading : 9.30 A.M. to 2.30 P.M.
Close : 2.30 P.M.
In the event of technical problem with the ATS the Exchange may change the above
trading hours as necessary.
February 2009
Pricing
Price Indices
The CSE has two main price indices (ASPI & MPI), 20 sector price indices and total return indices which are based on ASPI, MPI and sector indices. Index values are calculated on an on-going basis during the trading session, with the closing values published at the end of each session.
The two main price indices are the All Share Price Index (ASPI) and the Milanka Price Index (MPI). These indices are market capitalization weighted indices where the weight of any company is taken as the number of ordinary shares listed in the market. This weighting system allows the price movements of larger companies to have a greater impact on the index. Such a weighting system was adopted on the assumption that the general economic situation has a greater influence on larger companies than on smaller ones.
The ASPI indicates the price fluctuations of all the listed companies and covers all the traded companies during a market day.
Where,
Base values are established with average market value on year 1985. Hence the base year becomes 1985.
Milanka Price Index (MPI)
The Colombo Stock Exchange introduced the �Milanka Price Index�(MPI) on 4th January 1999. The MPI comprises of 25 companies and they are selected by considering their performances over the past four quarters. The base index was set at 1000 points as at 31st December 1998.
The CSE reviewed and revised the companies to be included in the MPI annually up to 2004 and quarterly from 2005, considering the increased level of activity and the need for the MPI to represent the changes in the market conditions more regularly. The CSE now reviews & revises the companies to be included in the MPI on a biannual basis commencing from 2007.
Selection criteria
Step 1: Companies to be excluded in selecting the companies for the MPI
- (a) Companies in which dealing/trading were suspended as at end of the quarter immediately preceding the date of evaluation. Eg: 30th September 2006.
- (b) Companies that have made application to the CSE to de list & are likely to be de listed in the near future as at the date of evaluation.
- (c) Companies that have been subject to public offers under the Takeovers & Mergers Code subject to their public holding falling below 25% immediately subsequent to the offer during the period of one full year immediately preceding the date of evaluation. Eg : 1st October 2005 to 30th September 2006.
- (d) Companies that were in the Default Board as at the date of evaluation.
Step 2: Criteria to be satisfied for inclusion in the MPI
The criteria taken into account in its construction are size and liquidity.
- (1) Size is measured by the average of market capitalization of companies as at end of the immediately preceding 4 quarters of the date of evaluation. Eg: 31st December 2005, 31st March 2006, 30th June 2006 & 30th September 2006.
(2) Liquidity is measured by
- (a) Number of trades excluding odd lot trades executed over the one full year period immediately preceding the date of evaluation. Eg: 1st October 2005 to 30th September 2006 &
(b) Trading value over the one full year period immediately preceding the date of evaluation as a percentage of average of market capitalization of companies as at end of the immediately preceding 4 quarters of the date of evaluation. Eg. Trading value over the period 1st October 2005 to 30th September 2006 as a percentage of average of market capitalization of companies as at 31st December 2005, 31st March 2006, 30th June 2006 and 30th September 2006.
Step 3: Minimum criteria to be satisfied for inclusion in the MPI
The companies should satisfy minimum criteria in respect of the following parameters:
- (1) Average of market capitalization of companies as at end of the immediately preceding 4 quarters of the date of evaluation.
(2) Number of trades excluding odd lot trades executed over the one full year period immediately preceding the date of evaluation.
(3) Trading value over the one full year period immediately preceding the date of evaluation as a percentage of average of market capitalization companies as at end of the immediately preceding 4 quarters of the date of evaluation.
The CSE set minimum criteria in 2001 in respect of the above. The minimum criteria were subsequently revised annually in 2002, 2003, 2004, quarterly from 2005 and biannually from 2007 based on the level of activity during the period under evaluation.
Step 4: MPI Calculation
csc
Stock market
cds
Stock Exchange
Share Market
Stock Market Today
SriLankan Share Market
Profitable top 10 Today (2011-09-01)
| Company Name | Symbol | Last Traded Price (Rs.) | Change (Rs.) | Change (%) |
| SMOT.N0000 | 289.00 | 42.50 | 17.24 | |
| GUAR.N0000 | 346.00 | 29.00 | 9.15 | |
| NEST.N0000 | 925.00 | 25.00 | 2.78 | |
| COLO.N0000 | 480.00 | 24.80 | 5.45 | |
| CTCE.N0000 | 300.00 | 17.50 | 6.19 | |
| SHAW.N0000 | 330.00 | 12.20 | 3.84 | |
| SIL.N0000 | 142.50 | 9.50 | 7.14 | |
| RENU.N0000 | 380.00 | 9.00 | 2.43 | |
| HAYC.N0000 | 157.00 | 7.90 | 5.30 |
Subscribe to:
Posts (Atom)
Sri Lanka Rupee Exchange Rate