price variation limits

PRICE VARIATION LIMITS
2007/04/10
EXAMPLES - DYNAMIC TRADING LIMITS
Ex amp le 1. T ra nsa ct io n at pr ice w ithin dyn a mic t rad ing limit s
Last transaction price
Dynamic trading limits range
Upper limit
Lower limit
100 zł
+/-3.5%
103.5 zł
96.5 zł
Orders book before transaction
K
Quantity (shares)
Limit (PLN)
S
Limit (PLN)
98
105
Quantity (shares)
10
10
A buy order for 10 shares at PLN 98 is placed.
Orders book after transaction
K
Quantity (shares)
S
Limit (PLN)
Limit (PLN)
105
Quantity (shares)
10
RESULT: Transaction for 10 shares at PLN 98 is performed. Reference price for dynamic trading
limits is set to PLN 98.
Reference price for next transaction
Dynamic trading limits range
Upper limit
Lower limit
98 zł
+/-3.5%
101.4 zł
94.6 zł
E x amp le 2. T ra nsa ct io n at pr i ce out s id e d yn a m i c t ra d in g l im i t s , but w it hi n
s tat ic t ra din g limits
Last transaction price
Dynamic trading limits range
Upper limit
Lower limit
100 zł
+/-3.5%
103.5 zł
96.5 zł
Reference price for static trading limits
Range of static trading limits
Upper limit
Lower limit
100 zł
+/-10%
110 zł
90 zł
Orders book before transaction
K
Quantity (shares)
Limit (PLN)
10
101
5
100
S
Limit (PLN)
103
104
Quantity (shares)
10
5
A buy order for 11 shares at PLN 104 is placed.
© Giełda Papierów Wartościowych w Warszawie S.A.
Modified: 2007/06/20
Page 1
RESULT: As one of the transactions would have to be performed ate PLN 104, which is outside the
dynamic trading limits, trading is frozen and balancing starts automatically. When balancing starts the
buy order for 11 shares at PLN 104 is accepted by the trading system.
Orders book after starting balancing
K
Quantity (shares)
Limit (PLN)
11
104
10
101
5
100
Orders book after opening
K
Quantity (shares)
10
5
S
Limit (PLN)
103
104
Quantity (shares)
10
5
S
Limit (PLN)
101
100
Limit (PLN)
104
Quantity (shares)
4
RESULT: Theoretical opening price (TKO) is PLN 104 and remains within static trading limits. After
opening (dynamic trading limits do not apply during balancing) transactions for 10 shares at PLN 104
and 1 share at PLN 104 will be preformed. Reference price for dynamic trading limits for the first
transaction after balancing is PLN 104.
Reference price for next transaction
Dynamic trading limits range
Upper limit
Lower limit
104 zł
+/-3.5%
107.6 zł
100.4 zł
Other situations possible during balancing have been presented below:
Case 2A – another order is entered during balancing
A buy order for 15 shares at PLN 105 is submitted during balancing.
Orders book after placing new order
K
Quantity (shares)
Limit (PLN)
15
105
11
104
10
101
5
100
Orders book after opening
K
Quantity (shares)
11
10
5
S
Limit (PLN)
103
104
Quantity (shares)
10
5
S
Limit (PLN)
104
101
100
Limit (PLN)
Quantity (shares)
RESULT: Theoretical opening price (TKO) is PLN 104.1 and remains within static trading limits, i.e.
the system will automatically proceed with opening (dynamic trading limits due not apply during
balancing). Two transactions are performed: 10 shares at PLN 104.1 and 5 shares at PLN 104.1.
Reference price for dynamic trading limits for the first transaction after balancing is PLN 104.104,1.
© Giełda Papierów Wartościowych w Warszawie S.A.
Modified: 2007/06/20
Page 2
Reference price for next transaction
Dynamic trading limits range
Upper limit
Lower limit
104,1 zł
+/-3.5%
107.7 zł
100.5 zł
Case 2B – orders for buying 11 shares at PLN 104 and 15 shares at PLN 105 are withdrawn during
balancing
Orders book during balancing
K
Quantity (shares)
10
5
S
Limit (PLN)
101
100
Limit (PLN)
103
104
Quantity (shares)
10
5
RESULT: This situation shows a divergent market. Opening takes place but not transaction is
performed. Reference price for dynamic trading limits applicable for the last executed transaction
becomes the reference price for the next transaction to take place.
Reference price for next transaction
Dynamic trading limits range
Upper limit
Lower limit
100 zł
+/-3.5%
103.5 zł
96.5 zł
E x amp le 3. T ra nsa ct io n w it h in d yn a m i c t ra d in g l im i t s , but outs i de s t at ic
trading limits
Last transaction price
Dynamic trading limits range
Upper limit
Lower limit
109 zł
+/-3.5%
112.8 zł
105.2 zł
Reference price for static trading limits
Range of static reading limits
Upper limit
Lower limit
100 zł
+/-10%
110 zł
90 zł
Orders book before transaction
K
Quantity (shares)
Limit (PLN)
10
106
S
Limit (PLN)
108
112
Quantity (shares)
10
5
Upper dynamic limit is PLN 112.8 and is higher than the static trading limit, which is PLN 110. A buy
order for 11 shares at PLN 112 is placed.
RESULT: Trading will be frozen, because one of the transactions would have to be performed at PLN
112, which is within dynamic trading limits, but outside static trading limits. The possible scenarios to
this situation have been described in document “LIMITATION OF PRICE VARIATIONS, EXAMPLES STATIC TRADING LIMITS”, in Example 2
© Giełda Papierów Wartościowych w Warszawie S.A.
Modified: 2007/06/20
Page 3
Ex amp le 4. Pe rfo r man ce of o rde r in se ve ra l t ra ns actio ns
Last transaction price
Dynamic trading limits range
Upper limit
Lower limit
100 zł
+/-3.5%
103.5 zł
96.5 zł
Orders book before transaction
K
Quantity (shares)
Limit (PLN)
S
Limit (PLN)
101
102
103
104
Quantity (shares)
10
10
10
10
A buy order for 30 shares at PLN 103.5 is placed.
Orders book after transaction
K
Quantity (shares)
S
Limit (PLN)
Limit (PLN)
104
Quantity (shares)
10
RESULT: Three transactions for 10 shares, each, at respectively PLN 101, 102 and 103, are
performed. The reference price for dynamic trading limits in the next transaction will be the last
transaction price at which the order was performed, i.e. PLN 103.
Reference price for next transaction
Dynamic trading limits range
Upper limit
Lower limit
103 zł
+/-3,5%
106,6 zł
99,4 zł
© Giełda Papierów Wartościowych w Warszawie S.A.
Modified: 2007/06/20
Page 4