Auctions are used in the Brazilian market for determining the market price of a contract by accepting bids and offers for a specified time period without matching. BVMF auction states are either scheduled (e.g., Pre-Open market state) or triggered per product or market conditions during continuous trading (ie., intra-day auction). Some triggers for intra-day auctions include:
- Prices entered outside of the auction band or price range defined for a particular product.
- Intentional cross orders submitted for lower liquidity products.
- Trading in specific products (e.g., Forward Rate Agreements, Options, IGM and IAP futures).
The BVMF Gateway identifies which contracts are in the Auction market state, and sends this information to the client trading applications.
TT Gateway Behavior
In order to support the auction market states, including Pre-Open and Pre-Close auctions, the BVMF Gateway does the following:
- Updates the contract status to “Auction” for contracts in an intra-day auction, and sends this state to X_TRADER®, which displays and highlights “Auction” in the S (Status) column in the Market Window. The “Auction” status is not displayed during Pre-Open or Pre-Close. Refer to Auction Support in X_TRADER®.
- Obtains TOP (theoretical open price) and TOQ (theoretical open quantity) from the price feed and sends it to X_TRADER®, which displays it as the Indicative Open Price (IndPrc) and Indicative Open Quantity (IndQty), respectively. The BVMF Gateway sends these values for all auctions.
- Obtains the imbalance side and quantity for each price in detailed and aggregate depth from the price feed, and sends these values to X_TRADER®, which displays them in the Market Window and MD Trader. For more details, refer to Imbalance Quantity in X_TRADER®.
- Supports Market on Auction orders during all auction phases. Refer to Market on Auction Orders.
- Provides the auction states and imbalance side and quantity values to automated trading systems. However, any synthetic orders sent to a Synthetic SE with “On Auction” order restrictions will be rejected.
- Obtains auction news (e.g., the start of the auction, or length of the auction for a given product, etc.) from the price feed and sends this to X_TRADER® where it is displayed in the Audit Trail during all auctions.
Auction Support in X_TRADER®
Auction functionality is supported in X_TRADER® 7.9.4 or higher. The following example shows the X_TRADER® Market Window displaying a contract in the auction state.
The following example shows the indicative price and quantity displayed for a contract during an Auction market state.
Imbalance Quantity in X_TRADER®
The imbalance quantity is the difference between the bids and asks at a given price in the market. This helps traders determine if there are more buyers than sellers or vice versa at each price for a given contract.
During an auction, the BVMF Gateway parses the imbalance side and imbalance quantity from the price feed and sends these to the client trading applications. For example, brokers and traders can view in X_TRADER® 7.11.1 that there are a total of 15 bids on the sell side versus 5 offers on the buy side for an “imbalance” of 10 bids for a contract at a given price.
X_TRADER® 7.11.1 and higher displays the imbalance quantity in the ImbQty column in the Market Window. If there are more buyers than sellers, a positive quantity (e.g., 10) highlighted in green is displayed in this column. If there are more sellers than buyers, a negative value (e.g. -10) highlighted in red is displayed. The following figure shows a positive imbalance quantity.
Both quantities are highlighted with the colors used for alerts and warnings in the Audit Trail. Existing workspaces are updated automatically with the ImbQty column functionality and color settings after an upgrade to X_TRADER® 7.11.1.
The ImbQty is also available as an RTD value. To create an RTD link to the imbalance quantity, refer to the X_TRADER® User Manual or X_TRADER® help system.
Viewing Auction News
News messages that are sent by the exchange communicating information about the state of an auction will be broadcast to the X_TRADER® Audit Trail. These messages are sent as INFO messages. You must ensure that Process and display INFO messages is enabled in the X_TRADER® properties screen in order to see these messages.
To view auction news in the Audit Trail
- From the X_TRADER® control panel, select Settings and click Properties.
- Select the Audit Trail tab and click the Process and display INFO messages checkbox.
- If you only want to see INFO messages from the BVMF Gateway and do not want to see INFO messages from other exchanges, click the Exchanges button next to the Process and display INFO messages checkbox.
- In the Control Panel, click the Audit Trail icon
to open the X_TRADER® Audit Trail.
The auction news is displayed in the Audit Trail.
The Audit Trail shows messages relating to auctions for all contracts listed on BVMF regardless of whether the user is viewing prices for that contract.
Market on Auction Orders
The BVMF Gateway supports the Time in Force (TIF) order restriction “Market on Auction” via a BVMF_MarketRules.xml file programmed in the Order Server. This file is not configurable. The Market on Auction restriction indicates that a Market order is valid for the ongoing auction only, and can only be sent during an auction. When the auction expires, the order is deleted from the Order Book and is no longer working at the exchange.
X_TRADER® 7.11.1 provides a Time in Force value “On Auction” in the Order Template section of the Market Window. Users create a Market On Auction order by combining this TIF with a “Market” order type. When the BVMF Gateway indicates to X_TRADER® that a contract supports Market on Auction orders, X_TRADER® makes the “On Auction” restriction available in the TIF drop down menu in the Order Pane.