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ETO Crossings

Brokers that find the buy and sell sides of a trade need to follow a prescribed set of procedures to effect a crossing in the ETO market.

Depending on the size of the deal there are different rules and procedures that must be adhered to.

Special Size Crossings

Crossings that meet one of the following criteria may be reported directly to market.

  • A minimum number of contracts (determined by ASX by reference to the minimum number of contracts a market maker is required to quote) with a minimum premium value of $50k; or
  • The premium value is at least the Special Size for the underlying cash instrument reflecting the minimum block trade size in ASIC's Market Integrity Rules ($1 million, $500k or $200k)

A special size crossing table has been created to help market participants identify what the appropriate levels for each ETO class.

For combination orders where there are 2 legs, 1 leg must be special size; 3 legs, 2 legs must be special size; 4 legs, 2 legs must be special size.

For further details please refer to ASX Operating Rules Procedure 3500 Part B

Crossings Below Special Size (CURRENT)

Crossings that don't meet the special size criteria above must be shown to the market prior to being reported. Current procedures require brokers to:

Either

  • Ask a quote request with size and wait for up to 30 seconds dependant on market spread
  • Bid or Offer half the total order quantity in TradeMatch for 15 seconds
  • Subsequently enter the other side of the order for half the total order quantity in TradeMatch for 15 seconds
  • Report any untraded balance within 20 seconds   

Or when one side of the trade is already entered in the market for greater than 60 seconds

  • Ask a quote request with size and wait for up to 30 seconds dependant on market spread
  • Enter the opposing order and execute in TradeMatch in price/time priority

For combination orders only the first alternative above may be used with quote requests required in each individual series.

For further details please refer to ASX Operating Rules Procedure 4060 Part B

Crossings Below Special Size (FROM 14th April 2014)

Crossings that don't meet the special size criteria above must be shown to the market prior to being reported. Brokers are required to:

Either

  • Ask a quote request with size and wait 15 seconds
  • Bid and Offer simultaneously the full order quantity in TradeMatch within 15 seconds of the quote request time period expiring order will execute in TradeMatch in price/time priority

Or enter one side of the trade in the market prior to asking quote request.

  • Ask a quote request with size and wait 15 seconds 
  • Enter the opposing order within 15 seconds of the quote request time period expiring, order will execute in TradeMatch in price/time priority

For combination orders both alternatives above may be used with quote requests required in the TMC series.

Please note for ordinary quote requests, that don't initiate a crossing, must be asked with zero volume until July 2014.

For further details please refer to ASX Derivatives - Equity and Index Options Notice 00514

 

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