ASX 24 Participants are advised of the following ASX 24 Operating Procedure amendments to Section 3200.8 and 4022.  The Procedure amendments outline the treatment of leg prices from a strategy order execution that are not consistent with the published minimum price increment in accordance with the contract specification, otherwise known as off-tick.  Off tick price fills may occur as a result of transactions from Market Operator Defined Strategy Orders or User Defined Strategy Orders (UDCs).

In the event that an off-tick price is created from a strategy order execution, ASX will undertake the following action:

1. Re-book the relevant trades where possible, such that the net price is maintained and the leg prices are on-tick.
2. 'If re-booking is not possible and a cancellation request from the executing Participants is not received with the required timeframes, Participants are advised that these trades will be accepted and cleared.

Participants should note that while the likelihood of receiving off-tick fills is low, it may occur in order to satisfy the net price condition of the strategy order.

Participants should be aware of the potential for receiving off-tick price fills (which will have the same number of decimal places but won’t conform to the ½, ¼ or 1 & 2 tick size increments) and make any system adjustments to accept these prices.

ASX 24 Operating Procedure 3200.8 and 4.22(a)(i)

Section 3

Procedure 3200.8 – Exceptions to Application of Rule 3200

(a)          Specific types of Trades

Rule [3200] and this Procedure does not apply to the following transactions and the cancellation of these trades is dealt with in the trade specific Rules and Procedures:

      ●      EFPs;

      ●      Block Trades.

Unintentional Crossing Prevention (UCP) trades are not eligible for cancellation.

(b)          Market Operator System or Process Issue

In the event that trades result from any Market Operator system or process issue, any resulting trade notified to the Market Operator may, in the Market Operator’s discretion, be cancelled (regardless of the range the trade falls within or when the Market Operator identifies the issue).

Where the Trading Platform allocates leg prices where two Market Operator Defined or User Defined Strategy Orders – Fixed Leg Price Combinations or Net Price Combinations match that are not a true reflection of current market levels or result in allocated leg prices that are not consistent with the published minimum price increment in accordance with the contract specifications (‘off-tick’), as determined by the Market Operator, the Market Operator may re-book the trade where the net price is maintained and there is not more than two counterparties to the trade. The Market Operator, when re-booking the trade may split leg volumes to achieve the net price.

Alternatively, the resulting trades of an off-tick priced Spread Order may be cancelled where 

(i) there is only one counterparty to all legs of the trade; and

(ii) the Participant requesting the trade cancellation and the Participant consenting to the trade cancellation are able to produce their clients’ consent within 5 minutes of the request for cancellation being made.

Where the Trading Platform allocates leg prices that are ‘off-tick’ and

(i) the trade cannot be re-booked where the net price is maintained; or

(ii) no cancellation request is received, in accordance with this Procedure 3200.8(b),

the trade will be accepted with the original leg prices, including any ‘off-tick’ prices.

Section 4

Procedure 4022(a)(i) – Market Operator Defined Strategy Order – Spread Orders

(d) Spread Trade Price Algorithm

The Trading Platform uses the same algorithm to determine the individual leg prices for User Defined Strategy Orders as it does for Spread to Spread Orders.

Where the Trading Platform allocates an off-tick price (to satisfy the required net price) for an individual leg, the Market Operator may re-book the price of that leg or legs where the net price is maintained and there is not more than two counterparties to the trade. The Market Operator, when re-booking the trade may split leg volumes to achieve the net price.

Alternatively the resulting trades on an off-tick priced Spread Order may be cancelled in accordance with Procedure 3200.8(b).

Where the Trading Platform allocates leg prices that are ‘off-tick’ and

(iii) the trade cannot be re-booked where the net price is maintained; or

(iv) no cancellation request is received, in accordance with Procedure 3200.8(b),

the trade will be accepted with the original leg prices, including, any ‘off-tick’ prices.

(e) Specified Tick Ranges

The Specified Tick Ranges are set out in Procedure 2500.

Amended 07/01/13, 26/05/14, 01/12/14, 20/03/17

What do I need to do by when?

Participants should be aware of the potential for receiving off-tick price fills (which will have the same number of decimal places but won’t conform to the ½, ¼ or 1 & 2 tick size increments) and make any system adjustments to accept these prices.

The effective date for the Procedure change is 9^th April 2021.   In the event that any off ticks fills occur before the effective date ASX, will follow the Procedure as detailed above.

Need more information?

Issued by

Ben Jackson
General Manager, Market Operations

Contact information

Trading Operations
+61 (02) 9256 0677 1300 655 560
tradingoperations@asx.com.au

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