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Article 58
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The validity of trading orders relating to the automated computer trading system shall be limited to the day on which the order is placed.
Unless otherwise provided, trading orders for the automated computer trading system may be keyed-in 30 minutes prior to the opening of the market trading by the participating securities brokers or dealers. Such orders shall include the code of the securities firm, serial number of the brokerage order ticket (or serial number of the proprietary trading order), type of order ticket (margin purchase, short sale, securities lending, central depositary, self-custody), account number of the principal (or of the dealer), code of the securities, type of trade (normal, block, odd-lot), price, volume, and sale/purchase. Upon acceptance by the computer of the TWSE, a trade confirmation slip shall be printed. When a matching trade is made, an execution report will be printed on the printer of the participating securities firms. The items printed on the trading order confirmation slip or the execution report may be adjusted by the TWSE depending on actual need.
The serial number of the brokerage order ticket to be keyed-in by the participating securities brokers as referred to in the preceding paragraph shall be sequentially assigned in the order that the orders were received. The serial number of proprietary trading orders by securities dealers shall be sequentially numbered in the order that the orders were placed.
The price of the trading orders shall be within the daily price fluctuation limit placed in accordance with paragraphs 1 and 2 of Article 63.
Thirty minutes before market opening (i.e. the commencement of trading hours) and a certain period of time before market closing (i.e. the close of trading hours), the TWSE shall disclose on a real-time basis the computed execution prices and volumes, and the computed prices and volumes of the five highest unexecuted buy orders and five lowest unexecuted sell orders. In addition, the TWSE shall disclose, on a real-time basis during trading hours, the executed trade prices and volumes, and the prices and volumes of the five highest unexecuted buy orders and five lowest unexecuted sell orders. As to the prices and volumes of other trading orders, however, the TWSE may make appropriate disclosures based on market needs.
Application of securities firms for changes to the trading orders, except in the case of orders reducing the volume to be traded, shall be accomplished by first canceling the original trading order, and then placing new trading orders.
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Article 58-3
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The competitive auction for trading orders shall without exception be conducted by call auction. Trade prices shall be determined based on the following principles:
- Satisfying the maximum trade volume such that buy orders with prices higher than the determined price and sell orders with prices lower than the determined price shall be all satisfied.
- Where there are buy and sell orders with prices equal to the determined price, at least one side shall be all satisfied.
- Where two or more prices conform to the principles set forth in the preceding two subparagraphs, the price closest to the most recent traded price in the current session shall be used. If there is not yet any traded price in the current session, the price closest to the auction reference price at market opening of the current session.
The aforesaid auction reference price at market opening of the current trading session shall be determined by the following principles:
- Use the closing price for the preceding day.
- Where there is no closing price for the preceding day, the auction reference price shall be determined by the following principles:
- If, on the preceding day, the highest buy order price at the close of market was higher than the auction reference price at the opening of market, use the highest buy order price.
- If, on the preceding day, the lowest sell order price at the close of market was lower than the auction reference price at the opening of market, use the lowest sell order price.
- When neither of the above circumstances applies, use the auction reference price at the opening of market of the preceding business day.
- In the case of an initial listing, price adjustment due to ex-rights or ex-dividend trading, or resumption of suspended trading, use the price arrived at by processing, pursuant to Article 62 herein, the reference price as set in accordance with Article 59, 59-1, 67, 67-1, or 67-2, or other rules.
The opening price of a security is the price of the first matched trade for the current session. Trading orders entered prior to market opening that are unexecuted shall continue to be matched in the order as originally randomly assigned by the computer. The closing price shall be the price of trades matched upon accumulation of all trading orders over a period of time prior to market closing. Where unexecuted, the closing price shall be the last traded price during the current session.
During the period from the first matched trade of a security during the current session until the period of time prior to market closing, if the execution price as test-calculated prior to each matching fluctuates beyond a certain range from the previous traded price, the TWSE shall immediately postpone the current matching for a period of time, and continue to accept entries, cancellations, and changes of trading orders for that security. Matching will then proceed sequentially at the conclusion of the postponement period. However, this restriction shall not apply to newly listed common stocks during the period when no price fluctuation limit is imposed, or securities for which extended matching intervals have been implemented under the bylaws or rules of the TWSE, or securities for which the opening auction reference price is lower than a certain price.
If, during the 1 minute prior to market opening or market close for a security, any given computed execution price fluctuates beyond 3.5 percent from the previous computed execution price (if there is no previous computed execution price available 30 minutes before market opening, the fluctuation shall be based on the auction reference price at market opening; if there is no previous calculated execution price available a period of time before market closing, the fluctuation shall be based on the most recent trade price; if there is no most recent trade price available, the fluctuation shall be based on the auction reference price at market opening), the first matched trade for the current session, or the matching at market close, for that security is postponed. For a security for which the first matched trade for the current session is postponed, matching and execution for the security will proceed sequentially after 2 minutes of postponement. For a security for which the matching at market close is postponed, entries, cancellations, and changes of trading orders for that security will continue to be accepted from 1:31 p.m. to 1:33 p.m., and matching and execution will then proceed sequentially at 1:33 p.m. However, this restriction shall not apply to securities for which extended matching intervals have been implemented under the bylaws or rules of the TWSE, securities for which the opening auction reference price is lower than NT$1, call (put) warrants, or company warrants.
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