TRADING MANUAL
BEIRUT STOCK EXCHANGE
“BSE Trading Manual”
March 2009
BSE has made every effort to make this document accurate, up-to-date, and complete, BSE offers no warrants, express or
implied, related to this document.You should be aware that its content may be changed without prior notice. In no event shall BSE
be liable for any loss of profits, loss of business, loss of use or data, interruption of business, or for indirect, special, incidental, or
consequential damages of any kind arising from any error in this document.
TABLE OF CONTENT
I
Trading cycle
1.1
1.2
Operating hours of the BSE Platform
Different phases of the Trading Day
1.2.1
Pre opening phase
1.2.2
Opening auction
1.2.3
The main trading session
II
Orders
2.1
2.3
2.4
2.5
2.6
2.7
2.8
2.9
2.10
2.11
2.12
2.13
2.14
2.15
Order types
2.1.1
Limit orders
2.1.2
Market to limit orders
2.1.3
On first limit orders
Execution conditions
2.2.1
Fill and Kill orders
2.2.2
Minimum-quantity
2.2.3
Iceberg orders
Cross orders
Waiting Status orders
Automate orders
Basket orders
Order types and execution conditions available
Orders combinations
The price
Tick sizes
Order size
Order validity
Order Modification and cancellation
Clearing information
Order processing
III
Trading
3.1
3.2
3.3
Determination of prices and allocation for auction
Continuous trading
Trade cancellation
IV
Trading safeguards
4.1
4.2
Reference price and price range
Order confirmation
V
Dissemination of market data
5.1
5.2
Data dissemination
Trading reports
2.2
APPENDIX
“BSE Trading Manual”
March 2009
BSE has made every effort to make this document accurate, up-to-date, and complete, BSE offers no warrants, express or
implied, related to this document.You should be aware that its content may be changed without prior notice. In no event shall BSE
be liable for any loss of profits, loss of business, loss of use or data, interruption of business, or for indirect, special, incidental, or
consequential damages of any kind arising from any error in this document.
I - TRADING CYCLE
1.1
Operating hours of the Platform
The operating hours of the Platform and the times of the different phases of the Trading Day are
published in the appendix attached to this Trading Manual (The appendix).
If technical incidents cause the normal session timetable to be changed, BSE immediately
informs Members by disseminating a message giving the new trading session timetable.
1.2
Different phases of the Trading Day
1.2.1
Pre-opening phase
During the period referred to as the pre-opening phase, orders entered by Members and
transmitted to the BSE Trading Platform are automatically recorded in the central order book
without giving rise to trades.
The central order book and the theoretical opening price (TOP) defined here below, which are
calculated each time that a new order is entered into the order book, are continuously
disseminated.
1.2.2
Opening auction
At the opening, the BSE Trading Platform seeks to match orders for each Financial Instrument
(the “opening auction”).
At the beginning of the price determination phase for a Financial Instrument the order book is
frozen momentarily (orders may not be entered into the BSE Trading Platform, and orders
already entered may not be cancelled or modified) while the matching algorithm is running.
The opening price is the last theoretical opening price calculated before matching. If a match
occurs, an opening price is displayed and the Members, whose orders are, in part or in full,
executed, are informed by a message confirming each execution that has occurred and giving
all relevant trade information.
1.2.3
The main trading session
Once the price determination phase for each Security is completed, continuous trading in that
Security begins and orders can be entered, maintained, modified and deleted. All unexecuted
orders of the opening auction are forwarded to the main trading session.
Once the opening auction is completed, the execution of orders during the main trading session
is effected according to price/time priority. Each new order is immediately checked to see if it
can be executed against orders on the other side of the order book; the limits of the orders
sitting in the book determine the price. Once the opening phase is completed, trading takes
place continuously until the closing.
“BSE Trading Manual”
March 2009
BSE has made every effort to make this document accurate, up-to-date, and complete, BSE offers no warrants, express or
implied, related to this document.You should be aware that its content may be changed without prior notice. In no event shall BSE
be liable for any loss of profits, loss of business, loss of use or data, interruption of business, or for indirect, special, incidental, or
consequential damages of any kind arising from any error in this document.
II - ORDERS
2.1
2.1.1
Order types
Limit orders
A limit order stipulates a maximum purchase price or minimum selling price.
A limit order can be placed in the pre opening phase and during the main trading session.
A limit order entered during the trading session is executed either fully or partially, as market
conditions permit. Failing this, it is logged in the order book in descending buy-price order or
ascending sell-price order (the price-priority principle) and joins the queue of orders having the
same price (the time-priority principle). Limit orders have to be sent within the thresholds.
2.1.2
Market-to-limit orders
Market-to-limit orders are entered into the BSE Trading Platform with no price stipulation.
Market-to-limit orders can be placed only during the main trading session.
A market-to-limit order is converted into a limit order at the best bid price (for sell orders) or best
ask price (for buy orders). Consequently, the existence of a matching order in the opposite side
is essential. Failing this, the order is rejected.
2.1.3
On first limit orders
On first limit orders are orders that have one tick priority over limit orders.
On first limit orders can be placed in the pre opening phase and during the main trading
session.
2.2
Execution conditions
2.2.1
Fill-and-Kill orders
“Fill-and-Kill orders” (FAK) can be placed only in the main trading session.
If a FAK order is not executed immediately in full or in part upon entry in the BSE Trading
Platform, the remaining quantity, if any, is cancelled.
A FAK order may be filled in full or in part, depending on market conditions at the time it is
entered, at the specified limit price or better.
2.2.3
Minimum-quantity orders
“Minimum-quantity orders” can be placed only during the main trading session. The minimumsize requirement is valid only at the time the order is entered. If the specified minimum-quantity
is filled immediately, the unfilled portion of the order remains on the market. If not, the order is
cancelled. If the minimum-quantity is equal to the total volume this order is considered as a “Fillor-Kill order” (FOK).
2.2.4
Iceberg orders (disclosed quantity)
The disclosed quantity of an “iceberg order” means the quantity of Financial Instruments the
Member wishes to be apparent to the market. It is the maximum quantity of Securities that will
be visible to the market at any given time. An “iceberg order” can be placed in the pre-opening
phase and during the main trading session.
“BSE Trading Manual”
March 2009
BSE has made every effort to make this document accurate, up-to-date, and complete, BSE offers no warrants, express or
implied, related to this document.You should be aware that its content may be changed without prior notice. In no event shall BSE
be liable for any loss of profits, loss of business, loss of use or data, interruption of business, or for indirect, special, incidental, or
consequential damages of any kind arising from any error in this document.
On entry, the Member must specify a total quantity (hidden plus disclosed) and a disclosed
quantity (the “peak”). The disclosed quantity must be greater than a minimum of ten times
the trading unit or lot size defined by financial instrument. The initial “peak” is introduced
into the order book with the original priority of the “iceberg order” according to price/time priority.
When an “iceberg order” is executed for its disclosed quantity (the “peak”), that quantity is
renewed automatically and the order is positioned behind orders at the same limit.
2.3
Cross trades
The immediate execution through the order book of a buy and sell order from a Member is
permitted by the order book system during continuous trading. Cross trades have to be limited
at a price within the best bid-offer (BBO). A cross trade at the BBO is not allowed. The BSE
Trading Platform automatically rejects a cross trade at and outside the BBO.
2.4
Waiting status orders
A waiting status order is an order entered with a specified date and time and reaches the
Beirut Stock Exchange’s trading system only when the specified date and time are reached.
Until then the order is placed in the order book according to price-time priority.
The waiting status order allows the broker to prepare orders, which will be sent to the market
at a predetermined date and time.
2.5
Automates orders
An automate order is an order whose limit price will be positioned automatically according to
one limit within the five best limits. An automate order will compute price to follow the five best
limit evolution. It continually adjusts the price based on changes in the market price of a given
security.
Automate orders can be placed in the pre opening phase and during the main trading session.
2.6
Basket orders
A basket order is an order to buy or sell a group of securities simultaneously. In the Beirut
Stock Exchange’s system, basket order will be separated for each security to queue and
execute as a separate order. In a basket order the broker should define for each instrument
the followings:
Trade side: (buy or sell).
Order type: (limit order, market to limit order). N.B. on first limit orders are not accepted.
Quantity
Validity: (FAK, day, GTD, GTC)
Type: (client, house, cross buy, cross sell).
“BSE Trading Manual”
March 2009
BSE has made every effort to make this document accurate, up-to-date, and complete, BSE offers no warrants, express or
implied, related to this document.You should be aware that its content may be changed without prior notice. In no event shall BSE
be liable for any loss of profits, loss of business, loss of use or data, interruption of business, or for indirect, special, incidental, or
consequential damages of any kind arising from any error in this document.
2.7
Order types and execution conditions available
The following schemes explain the availability of order types and execution conditions during
trading hours.
Pre-opening Main trading
session
Order Types
Limit order
Market to limit order
On first limit order
Execution conditions
Fill-and-Kill
Minimum-quantity (and Fill-or- Kill)
Iceberg order
Yes
No
Yes
Yes
Yes
Yes
No
No
Yes
Yes
Yes
Yes
Rejection: The order will be rejected if its price limit is outside the thresholds and its volume
exceeds 99,999,999 shares.
2.8
Orders combination
Execution
conditions
Orders Types
Limit order
Market to limit
order
On first limit order
2.9
Fill-and-Kill
Fill-or-Kill
Minimumquantity
Iceberg order
Yes
Yes
Yes
Yes
Yes
Yes
Yes
Yes
Yes
Yes
Yes
Yes
The price
The price of a limit order is expressed in currency for equity and fund shares and in percentage
for bonds.
Currently, equities listed are traded either in USD or LBP.
Real prices of financial instruments listed and traded in LBP are divided by 1000, for technical
purposes, and consequently show the tens and hundreds after the point. Example: if the real
price of security A is LBP 100,050.00, in the trading system it will show as 100.05 and be read
as 100,050.00.
2.10
Tick sizes
The tick sizes are defined by bandwidths. Only orders with price limits in the respective
bandwidth defined here below are accepted for trading.
For equities listed and traded in USD:
•
•
USD
USD
0
50
to
to
USD
USD
49.99
99.99
:USD 0.01
:USD 0.05
“BSE Trading Manual”
March 2009
BSE has made every effort to make this document accurate, up-to-date, and complete, BSE offers no warrants, express or
implied, related to this document.You should be aware that its content may be changed without prior notice. In no event shall BSE
be liable for any loss of profits, loss of business, loss of use or data, interruption of business, or for indirect, special, incidental, or
consequential damages of any kind arising from any error in this document.
•
•
USD 100
Greater than
to
USD
USD
499.99
499.99
:USD 0.10
:USD 0.50
For equities listed and traded in LBP:
• LBP
0
to LBP
49,999.99 (49.99) : 0.01 equivalent to 10 LBP
• LBP
50,000
to LBP
99,999.99 (99.99) : 0.05 equivalent to 50 LBP
• LBP
100,000
to LBP 499,999.99 (499.99) : 0.10 equivalent to 100 LBP
• Greater than
LBP 4,999,999.99 (4,999.99): 0.50 equivalent to 500 LBP
For bonds listed and traded in USD and in LBP:
• 0.01 Unique Tick size
2.11
Order size
The volume of the order is a number of shares for equities and funds and a nominal value for
bonds. The volume should be a multiple of the lot size defined by Financial Instrument
and should be strictly less than 100,000,000 shares.
2.12
Order validity
The Member can determine the validity of orders within parameters set by BSE. The BSE
Trading Platform allows the following:
Good-for-Day (GFD)
Good-Till-Date (GTD)
Good-Till-Cancelled (GTC)
Order only valid for the Trading Day.
Order only valid until specified date. This date might not exceed
the last trading session of the current month
Order only valid until it is either executed or deleted by the
originator or the BSE Trading Platform on reaching its maximum
validity (end of the current month). This is the default validity of
the BSE Trading Platform
When one of the above periods of validity expires, orders are automatically deleted from the
BSE Trading Platform. GTC and GTD orders with price limits that have become outside the
thresholds available for the next trading session are automatically deleted from the BSE
Trading Platform at the end of the trading session.
2.13
Order modification and cancellation
During the pre-opening phase and the main trading session, the Member who entered an order
may change it as long as it has not been cancelled, deleted or fully executed. An order’s priority
may be affected by a modification as follows:
• It will not be changed following a decrease of the total quantity
• It will be changed following an increase of the total quantity of a simple
limit (not iceberg)
• It will not be changed following an increase of the total quantity of an
iceberg order
• It will be changed following the modification of the price limit
2.14
Clearing Information
The account type (client, house, cross buy, cross sell) should be specified with each order.
“BSE Trading Manual”
March 2009
BSE has made every effort to make this document accurate, up-to-date, and complete, BSE offers no warrants, express or
implied, related to this document.You should be aware that its content may be changed without prior notice. In no event shall BSE
be liable for any loss of profits, loss of business, loss of use or data, interruption of business, or for indirect, special, incidental, or
consequential damages of any kind arising from any error in this document.
2.15
Order Processing
2.15.1 Order identification
All orders entered into the BSE Trading Platform must specify the order’s origin, whether it is a
principal order or client order (account type).
2.15.2
Filtering orders
The Member is responsible for the validation of prices and volumes of each order. All orders
presented to the market must reflect real orders coming from clients or own accounts.
III - TRADING
All orders entered into the BSE Trading Platform are acknowledged and assigned a sequential order
number per Financial Instrument. For each trade, Members receive an execution message showing the
quantity traded and the execution price. In the event of partial execution, the unfilled order quantity is
shown in the execution message. In the event of cancellation of trades or orders by BSE, the Member
will receive a notice.
3.1
Determination of prices and allocation of Financial Instruments during the
pre-opening phase and the opening auction.
The auction price is the price with the maximum executable volume. Additionally the
minimum surplus, the market surplus side and, if necessary, the reference price are taken
into account when establishing the auction price.
Maximum Execution Principle
The auction price is determined on the basis of the order book position at the end of the preopening phase. The auction price is the price with the highest executable volume.
Minimum Surplus
Should the aforementioned process result in more than one price limit with the
highest executable volume, the lowest surplus for each of the price limits with the
highest executable volume is taken into account as a further criterion. The auction
price is set at the price with the highest executable volume and the lowest surplus.
Surplus side
Should the aforementioned process result in more than one price limit with the
highest executable volume and minimum surplus then the side of the surplus is
taken into consideration in order to define the auction price:
• the auction price is set at the highest price if the balance is higher on the buy
side (buying surplus)
• the auction price is set at the lowest price if the balance is higher on the sell
side (selling surplus)
“BSE Trading Manual”
March 2009
BSE has made every effort to make this document accurate, up-to-date, and complete, BSE offers no warrants, express or
implied, related to this document.You should be aware that its content may be changed without prior notice. In no event shall BSE
be liable for any loss of profits, loss of business, loss of use or data, interruption of business, or for indirect, special, incidental, or
consequential damages of any kind arising from any error in this document.
Reference Price (Last Closing Price)
If the inclusion of the surplus does not lead to a single auction price, the reference
price is included as additional criterion. The auction price will be the one closest to the
reference price in accordance with the tick-size principle.
No Price: An auction price cannot be determined if orders are not executable against
one another. In this case, the best bid/offer limit (if available) is issued.
At set times, the BSE Trading Platform automatically matches the orders present as follows:
Buy orders with a price limit above the auction price and sell orders with a price limit below the
auction price are filled in their entirety, including the hidden-size quantity if any (price priority).
Orders at the same price limit as the auction price are served according to the time priority
principle (first come first served).
3.2
Continuous trading during the main trading session
Each new incoming order is immediately checked for execution against orders on the other side
of the order book. A trade takes place whenever a buying order is entered at a price equal to or
higher than a corresponding selling order, or whenever a selling order is entered at a price
equal to or lower than a corresponding buying order. Orders in the central order book will be
executed according to the price/time priority principle. Orders can be executed in full, in one or
more steps, partially or not at all. Thus, each new incoming order may generate none, one or
several trades. Orders or parts thereof, which have not been executed, are sorted in the order
book according to price/time priority.
3.3
Trade cancellations
The rules and procedures set out below apply to all listed Financial Instruments.
As a rule, BSE does not cancel trades except in the exceptional circumstances evaluated by the
BSE.
All cancelled trades are notified to the Members.
IV - TRADING SAFEGUARDS
4.1
The reference price and price range
The price range defines the maximum percentage deviation from the reference price in the
relevant Security.
The reference price
For the opening auction and the session of the Trading Day, the reference price is the last
effective trading price defined by circular issued by BSE.
“BSE Trading Manual”
March 2009
BSE has made every effort to make this document accurate, up-to-date, and complete, BSE offers no warrants, express or
implied, related to this document.You should be aware that its content may be changed without prior notice. In no event shall BSE
be liable for any loss of profits, loss of business, loss of use or data, interruption of business, or for indirect, special, incidental, or
consequential damages of any kind arising from any error in this document.
The price range
For the opening auction and the session of the Trading Day, the price range is set in % of the
reference price also defined by a circular issued by the BSE.
These thresholds are disseminated to Members.
4.2
Order confirmation
Whenever the total amount of an order is equal to or greater than a predefined volume or value
(specified by the user) the system prompts the user to confirm the order before sending it to the
central order book.
“BSE Trading Manual”
March 2009
BSE has made every effort to make this document accurate, up-to-date, and complete, BSE offers no warrants, express or
implied, related to this document.You should be aware that its content may be changed without prior notice. In no event shall BSE
be liable for any loss of profits, loss of business, loss of use or data, interruption of business, or for indirect, special, incidental, or
consequential damages of any kind arising from any error in this document.
V - DISSEMINATION OF MARKET DATA
5.1
Data dissemination
BSE disseminates in real time the following data to the Members:
5.1.1
Summary market
The summary market for a given Financial Instrument comprises the best bid (price and total
disclosed quantity for sale at the lowest price bid) and the best ask (price and total disclosed
quantity for sale at the highest price asked).
5.1.2
Market by order
The market by order shows all buy orders (listed from highest to lowest) and sell orders (listed
from lowest to highest). For each order, the BSE Trading Platform reports the disclosed quantity
and the price entered. In the pre-opening phase, the equilibrium price is disseminated as soon
as it can be calculated.
For buy orders with prices higher than the theoretical price and for sell orders with
prices lower than the theoretical price, the price limit displayed is the theoretical price.
5.1.3
Market by limit
The market by limit is composed of the five best limits of buy orders (listed from highest to
lowest) and the five best limits of sell orders (listed low to high). For each limit, the system
reports the number of orders and total disclosed quantity displayed in the order book at that
price. In the pre-opening phase, the equilibrium price is disseminated as soon as it can be
calculated.
5.1.4
Trades
For each trade, the following information is disseminated immediately to Members:
• Quantity
• Price
• Time of the trade
5.2
Trading reports
BSE disseminates after the session, detailed reports of the trading of the listed Financial Instruments.
APPENDIX
Group instrument
01
Equities
Trading mode Pre opening
Continuous
9:00
Session
09:30 12:30
Closing
12:30
“BSE Trading Manual”
March 2009
BSE has made every effort to make this document accurate, up-to-date, and complete, BSE offers no warrants, express or
implied, related to this document.You should be aware that its content may be changed without prior notice. In no event shall BSE
be liable for any loss of profits, loss of business, loss of use or data, interruption of business, or for indirect, special, incidental, or
consequential damages of any kind arising from any error in this document.