Stock Trading Mechanism
(I) For the Main Board
Main Board stocks are mainly traded through auction trading or block trading. The specific trading mechanism is arranged as follows:
1.1 Auction Trading
1.1.1 Client Instruction
After entering into a self-service trading agreement with a member of the Exchange, a client may, by placing limit orders or market orders either in writing or through self-service channels such as telephone, self-service terminal or the Internet, instruct the member to buy or sell securities on its/his behalf. An order placed by a client shall contain such information as securities account number, code of the security, buy or sell, instructed quantity, and instructed price.
1.1.2 Order Placement
When buying stocks through auction trading, each order shall be in multiples of 100 shares. When selling stocks, any remaining quantity less than 100 shares shall be sold in a single order. The maximum size of each order for stocks shall not exceed 1 million shares.
The tick size of an order for A-share stocks shall be RMB 0.01 and that for B-share stocks shall be USD 0.001.
The Exchange imposes a 10% daily price limit on the auction trading of all A-share and B-share stocks. The daily price limit does not apply to the stocks on the first trading day after:
(1) IPO;
(2) secondary offerings;
(3) being listed which is resumed after suspension;
(4) being relisted after being delisted; and
other cases as recognized by the Exchange.
Stocks under risk warnings are subject to a price limit of 5% on each trading day.
1.1.3 Order Execution
During the trading of stocks on the Exchange, orders are matched and executed based on the principles of price priority and time priority.
During call auction, all trades are executed at the same execution price. The execution price shall be determined according to the following principles:
(1) a price that will produce the highest trading volume;
(2) a price that allows all buy orders with a higher bid and all sell orders with a lower ask to be executed; or
(3) a price that allows all buy orders at that price to be executed, or all sell orders at that price to be executed, or both.
Where more than one price satisfies the conditions above, the one that minimizes the unmatched volume will be taken as the execution price; or where the minimum unmatched volume is achieved at two or more prices that satisfy the conditions above, their average will be taken as the execution price.
During continuous auction, the execution price shall be determined according to the following principles:
(1) where the highest bid matches the lowest ask, such price will be taken as the execution price;
(2) where the bid is higher than the currently available lowest ask, such lowest ask will be taken as the execution price; or
(3) where the ask is lower than the currently available highest bid, such highest bid will be taken as the execution price.
1.2 Block Trading
A stock trade which is intended to be executed as a block trade shall meet following thresholds:
(1) for a single order for A-share stocks, the intended trading volume is no less than 300,000 shares or the transaction value is no less than RMB 2 million; or
(2) for a single order for B-share stocks, the intended trading volume is no less than 300,000 shares or the transaction value is no less than USD 200,000;
The Exchange accepts the following types of block trade orders for Main Board stocks:
(1) intent orders;
(2) execution orders; and
(3) fixed-price orders.
If any stocks are still suspended from trading as of 3:00 p.m. on a trading day, the Exchange will not accept any further block order for such stocks on that trading day.
(II) For STAR Market
STAR stocks are traded mainly through auction trading, block trading, or after-hours fixed-price trading. The specific trading mechanism is arranged as follows:
2.1 Auction Trading
2.1.1 Client Instruction
Orders for STAR stocks are placed in the same methods and contain the same information as those for Main Board stocks.
2.1.2 Order Placement
The size of each limit order to buy or sell STAR stocks through limit orders shall be no less than 200 shares and no more than 100,000 shares; the size of each market order to buy or sell STAR stocks shall be no less than 200 shares and no more than 50,000 shares. In the case of sale of STAR stocks, any remaining quantity less than 200 shares shall be sold in a single order.
The tick size of an order for STAR stocks shall be RMB 0.01.
During auction trading, STAR stocks are subject to a price limit of 20%. The daily price limit does not apply on the first five trading days after an IPO.
2.1.3 Order Execution
During the trading of STAR stocks, the execution price is determined according to the same principles as Main Board stocks.
2.2 Block Trading
The Exchange accepts the following types of block trade orders for STAR stocks:
(1) intent orders;
(2) execution orders.
Block trading of STAR stocks is not subject to relevant rules on fixed-price orders.
2.3 After-Hours Fixed-Price Trading
The after-hours fixed-price trading refers to the trading mode under which the Exchange trading system will, after the closing call auction, match orders under the principle of time priority, and execute such orders at the closing price of the day. The Exchange accepts closing price orders from trading participants. Any stocks which are still suspended from trading as of 3:00 p.m. on a trading day are not allowed to be traded through after-hours fixed-price trading.
Types of Orders
(I) Types of Orders on the Main Board
1.1 Types of Auction Orders
1.1.1 Limit Order
A limit order refers to an instruction given by an investor to a member to buy or sell a particular stock at a specified price. A limit order shall contain such information as securities account number, brokerage branch code, code of the security, buy or sell, quantity, and price.
1.1.2 Market Order
A market order refers to an instruction given by an investor to a member to buy or sell a certain quantity of a particular stock at the current best market price. Market orders are applicable only to stocks subject to daily price limit during the continuous auction. A market order shall contain such information as order type, securities account number, brokerage branch code, code of the security, buy or sell, quantity, and price.
To trade Main Board stocks, an investor may place the following types of market orders:
(1) Five Best Orders Immediate or Cancel: an order that is executed in sequence against the current five best prices on the opposite side, with the unmatched portion, if any, cancelled automatically; and
(2) Five Best Orders Immediate to Limit: an order that is executed in sequence against the current five best prices on the opposite side, with the unmatched portion, if any, converted to a limit order whose limit price is set to the last executed price on the same side. If the Five Best Orders Immediate to Limit order cannot be matched at all, it is either converted to a limit order whose limit price is set to the best quotation on the same side, or, in the absence of such a quotation, cancelled.
1.2 Types of Block Orders
1.2.1 Intent Order
The Exchange accepts intent orders during 9:30 a.m.-11:30 a.m. and 1:00 p.m.-3:30 p.m. on each trading day. An intent order shall contain such information as securities account number, code of the security, and buy or sell.
1.2.2 Execution Order
The Exchange accepts execution orders for Main Board stocks during 9:30 a.m.-11:30 a.m. and 1:00 p.m.-3:30 p.m. on each trading day.
An execution order shall contain such information as the code of the security, securities account number, buy or sell, execution price, and trading volume. The code of the security, execution price, and trading volume must be identical in the execution orders placed by the trading parties.
The price of an execution order for securities that are subject to daily price limit shall be determined by the buyer and the seller within the price limit applicable to such securities on the day of trading. The price of an execution order for securities that are not subject to daily price limit shall not be higher than either 120% of the average price or the highest price thus far in auction trading of that stock on that day, and shall not be lower than either 80% of the average price or the lowest price thus far in auction trading of that stock on that day. The average price is calculated as the turnover divided by the number of stocks traded, and is rounded to the nearest 0.01 yuan.
1.2.3 Fixed-Price Order
The Exchange accepts fixed-price orders at 3:00 p.m.-3:30 p.m. on each trading day. The trading parties to a fixed-price order on any given trading day may place the order at the closing price of the auction trading market on that trading day.
A fixed-price order shall contain such information as securities account number, code of the security, trading direction, type of trade, and trading quantity.
A fixed-price order may be cancelled during the period in which fixed-price orders are accepted; after the end of such period, the Exchange will match and execute fixed-price orders in accordance with the principle of time priority, with the unfilled portion of these orders, if any, cancelled automatically.
(II) Types of Orders on the STAR Market
2.1 Types of Auction Orders
2.1.1 Limit Order
The arrangement for limit orders on the STAR market is the same as that for limit orders on the Main Board.
2.1.2 Market Order
Market orders on the STAR market are applicable to the trading of stocks subject to price limits and those not during continuous auction.
To trade STAR stocks, an investor may place the following types of market orders:
(1) Five Best Orders Immediate or Cancel;
(2) Five Best Orders Immediate to Limit;
(3) Same-side Best Price, i.e., an order whose quotation price is the best price at the same side in the central order book at the time the order is routed into the Exchange’s trading system; or
(4) Opposite-side Best Price: i.e. an order whose quotation price is the best price at the opposite side in the central order book at the time the order is routed into the Exchange’s trading system;
An investor shall include an acceptable protection limit price (a highest bid or a lowest ask acceptable to the investor) in its/his market order for STAR stocks placed during the continuous auction session.
2.2 Types of Block Orders
2.2.1 Intent Order
The arrangement for intent orders on the STAR market is the same as that for limit orders on the Main Board.
2.2.2 Execution Order
The Exchange accepts execution orders for STAR stocks at 9:30 a.m.-11:30 a.m. and 1:00 p.m.-3:30 p.m. on each trading day. Such execution orders shall contain the same information as those for Main Board stocks in terms of restrictions on quotations, etc.
2.3 Types of After-Hours Fixed-Price Orders
2.3.1 Closing Price Orders
The Exchange accepts trading participants’ closing price orders at 9:30 a.m.-11:30 a.m. and 1:00 p.m.-3:30 p.m. on each trading day. A closing price order shall contain such information as securities account number, code of the security, brokerage branch code, trading direction, limit price, and quantity.
The size of each closing price order shall be no less than 200 shares and no more than 1,000,000 shares. In the case of sale of stocks, any remaining quantity less than 200 shares shall be sold in a single order. If the closing price is higher than the limit price of a closing price buy order, such order shall be invalid; if the closing price is lower than the limit price of a closing price sell order, such order shall be invalid.