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On Auction/Pre-Open Orders

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 auctions are triggered per product or market conditions during continuous trading (i.e., 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 specific products ((e.g., Forward Rate Agreements, Options, IGM and IAP futures)

When a contract is in an auction or pre-open state, you can enter and change orders, but no matching occurs. Resting Market and Limit orders are accepted. Orders used for calculating the Theoretical Opening Price (TOP) cannot be deleted during an auction, but can be changed if it improves the price/quantity in the market.

Viewing Market Status

The Market Grid Status (S) column displays the current market state:

  • An instrument in the Auction phase displays the text AUCT in the Status column and highlights the cell using the color settings of the Audit Trail Alert Warning set on global properties Color tab. The cell reverts back to the default color when the status moves out of the Auction phase.
  • An instrument in the Pre-Open phase, displays the text PRE-OPEN in the Status column.

To expose optional columns (e.g., Status (S)) in the Market Grid....

  1. Right-click the Grid pane and select Show/Hide Columns...
  2. Select S in the Show/Hide Columns dialog box.
  3. Click OK.

Viewing Indicative Price and Quantity

During the Auction and Pre-Open periods, the Indicative Price (IndPrc) and Indicative Quantity (IndQty) columns display the Theoretical Open Price (known as TOP) and Theoretical Quantity (or TOQ) values sent from the exchange. In MD Trader, the appropriate price column highlights the indicative price. Net change and P/L calculations are updated based upon the indicative price when an indicative price is present.

Viewing Imbalance Quantity

The Imbalance Quantity is the difference between the bids and asks at a given price in the market allowing you to determine if there are more buyers than sellers or vice versa at each price for a given contract. The optional Market Grid column called Imbalance Quantity (ImbQty) displays the auction imbalance quantity. A positive value indicates more quantity on the bid than the offer and a negative value indicates more quantity on the offer than the bid. Both quantities are highlighted using the Net Change Up/Net Change Down color settings.

The ImbQty column is also available as an RTD value allowing you to link values to Excel. Refer to X_TRADER Help if you would like additional information on RTD linking.

Tip: When Save and display INFO messages is enabled for BVMF on the global properties Audit Trail tab, the Audit Trail displays information about the state of an Auction (e.g., the start of the auction, or length of the auction for a given product, etc.) sent by the exchange.

Resting Market Orders

BVMF allows you to enter market orders that rest in the book without matching during the Auction and Pre-Open periods. These resting market orders are matched when the market opens using the price calculated by the exchange matching engine.

X_TRADER distinguishes these market orders from limit orders. In MD Trader, the total quantity of resting market orders to buy display above the Bid Quantity column and the total quantity of resting market orders to sell below the Ask Quantity column.

The Market Window also displays resting market orders during the Auction and Pre-Open periods. The Bid Market Quantity (BidMktQty) column displays the total quantity of resting market orders to buy and Ask Market Quantity (AskMktQty) displays the total quantity of resting market orders to sell. These optional columns are off by default, and you can expose these columns from the Show/Hide Columns dialog box.

Entering Auction Orders

X_TRADER provides an On Auction Time-in-Force value in the Order Template section of the Order Pane allowing you to create BVMF Market On Auction orders when combining this Time-in-Force with a Market order type.

The Market On Auction order restriction indicates that a Market order is valid for the on-going auction only, and can only be sent during an auction. When the auction expires, the unfilled quantity of your order is deleted from the exchange Order Book and is no longer working on the exchange.

Warning: The Synthetic SE does not support orders with the On Auction order restriction; these orders will be rejected.