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Continuous Trading with Auctions

Continuous trading with auctions

Xetra offers the "continuous trading with auctions" service for trading liquid securities:

  • Continuous trading ensures the immediate execution of purchase and sale orders at the current market price for all market participants.
  • In addition, in three auctions a day – at the beginning of trading, at midday, and at the end of business – liquidity is concentrated on Xetra, and this way, the price level of a major exchange is determined.
  • Auction prices serve in particular institutional investors, investment banks and pension funds as a reference for valuing portfolios and trading positions.
  • Finally, during Trade-at-Close, market participants can trade at the official closing price for a limited period of time after the closing auction.

Trading time: 9:00 a.m.-5:45 p.m.
Tradable instruments: Equities, ETFs and ETPs

 
Fortlaufender Handel mit Auktionenhover

How the service works

The "continuous trading with auctions" service combines the trading models "Auction", "Continuous Trading" and “Trade-at-Close”.

Trading begins with an opening auction. This way, liquidity is concentrated and, taking as many orders as possible into account, the opening price determined. Continuous trading begins on conclusion of the opening auction. All executable orders are executed immediately at market prices.

The daytime auction – conducted as a rule around midday – interrupts continuous trading. It enables liquidity to be concentrated in the middle of the trading day. On its conclusion, continuous trading is resumed.

In the opening and daytime auctions all executable orders are executed so as to prevent a “crossed” order book, i.e. there are no purchase and sale orders that overlap in terms of price, enabling continuous trading to continue. All Market Orders and Limit Orders that were not executed, or only executed in part are taken into in continuous trading.

In the final auction, liquidity is concentrated at the end of the trading day and the day’s closing price determined. Closing prices frequently serve as the basis for evaluating portfolios, which is why the closing price is calculated based on the market with the help of liquidity concentrated in an auction.

Trade-at-Close is triggered after the closing auction and lasts for a maximum of ten minutes. The remaining order imbalance from the closing auction can transfer to Trade-at-Close and market participants can also participate by entering new orders.

Continuous trading

In continuous trading competing buy and sell orders from several parties can interact. Trading is , i.e. the buy and sell orders are placed in a central limit order book.

  • Pre-trade information:
    The order book is open. The first ten limits, the number of orders per limit and the order volumes accumulated for each limit are displayed.
    As a matter of principle, in trading, the customer behind an order remains anonymous.
  • Post-trade information:
    Following execution of the orders, all transactions are published immediately. For each transaction, the price, volume, and time of the transaction are displayed.
    Should a central counterparty settle the transaction, the customer behind the transaction also remains anonymous afterwards. In the case of transactions in which no central counterparty is involved, the name of the customer is visible.
 

Auction

In auctions buy and sell orders are collected in a central limit order book. As such the order book bundles liquidity in a security through the mechanism of price determination at a particular point in time.

The auction begins with the outcry phase, followed by price determination. A minimum duration is defined for the auction’s outcry phase in which participants can enter orders and quotes as well as change or delete their own orders/quotes.
The outcry phase ends randomly, to avoid price manipulation.

  • Pre-trading information:
    The order book is only partly open during the outcry phase: Aggregated information on the respective current order situation is published on an ongoing basis.
    When orders match such as to enable a transaction to be executed, the indicative auction price is shown. This is the price that would result for the auction if the price determination were to take place at this point in time.
    Moreover the executable volume for the respective auction price, on which side there is an and the volume of overhang are published. Where determination of an indicative price is not possible, the best buy or sell price for the order including the corresponding volumes is shown.
    Trading is anonymous, meaning the order originator is not shown.
  • Post-trading information:
    Following completion of the auction, the auction price, the volume executed in the auction and the time of price determination are immediately published.
    Where a transaction is executed via a central counterparty the originator of the transaction also remains anonymous in post-trading. For transactions not involving a central counterparty, the name of the originator is visible.
 

Trade-at-Close

Trade-at-Close is an additional opportunity to trade at the official closing price. During Trade-at-Close, orders are matched continuously at fixed price, the closing auction price. Participation in Trade-at-Close is conditional to an opt-in flag set up to True on a Trader ID level and/or on order level.

  • Pre-trade information:
    During Trade-at-Close the order book is open, thus displaying the only possible matching price – the closing auction price - and the accumulated order volumes and the number of orders in the book.
  • Post-trade information:
    Following orders execution, all transactions are published immediately. For each transaction, the price, volume, and time of the transaction are displayed.
 

Further information

Xetra system documentation (“market model for the trading venue Xetra” is published under “overview and functionality” for each T7 release).
Auction schedule
Xetra Trade-at-Close (TaC)

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The market status window is an indication regarding the current technical availability of the trading system. It indicates whether news board messages regarding current technical issues of the trading system have been published or will be published shortly.

Please find further information about incident handling in the Emergency Playbook published on the Xetra webpage under Technology --> T7 trading architecture --> Emergency procedures. Detailed information about incident communication, market re-opening procedures and best practices for order and trade reconciliation can be found in the chapters 4.2, 4.3 and 4.5, respectively. Concrete information for the respective incident will be published during the incident via newsboard message

We strongly recommend not to take any decisions based on the indications in the market status window but to always check the production news board for comprehensive information on an incident.


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