Overview of SIX Swiss Exchange Matching Rules
The Quote Driven Market of SWXess platform, has two different matching procedures:
During the opening, the first officially established price of the day (opening price) for each security traded in the SWXess-platform is arrived at in keeping with the following rules:
The opening price is determined in accordance with the principle of the largest, best execution, whereas orders and quotes are taken into account for the price determination (for opening purposes, orders without specific price parameters, i.e. "market orders", are rejected in the quote-driven portion of the Exchange System).
If prior to the opening only orders or quotes are on the book that cannot be executed against each other, trading will commence in the given security without determination of an official opening price (no delayed opening).
The orders/quotes on the book are paired off in a manner such that executions are concluded at the most recently calculated theoretical opening price. During this matching process, the order book is updated.
— Continuous trading
If an incoming order can be executed against a resting quote in the order book or vice versa, there will be a short interruption in trading during which the prices of both, the market maker/liquidity provider quotes as well as of any order can be validated before they are matched according to the largest, best execution principle. During such price validation, no pre-trade transparency is provided.
If, in the presence of a market maker/liquidity provider quote, an incoming order can be matched against a resting order, then they are executed without delay. In the absence of a quote in the order book, trading however is interrupted for 30 seconds (Stop Trading no Quote).
Definition of terms
— Price-time priority
Before matching takes place, the orders/quotes on both sides of the book are ordered by price and time of entry, regardless of which matching procedure is used:
Order of precedence from best price to worst price (price priority)
— Buy side of book: limits and quotes, from highest to lowest price
— Sell side of book: limits and quotes from lowest to highest price
Given equal price priority, orders or quotes are ranked according to time of entry, starting with the oldest (time priority)
— For orders or quotes limited at the same price, those that have been on the book the longest will be taken into account first.
— Matching according to size of order
Of two paired-off orders or quotes, the smaller one will be executed entirely. The larger order/quote will be reduced accordingly in reflection of the partial execution.
Further information on the matching rules.