RE: LEK code 17 Aug 2019 15:01
The price monitoring extension is sort of explained in the actual RNS.
'Auction call extensions give London Stock Exchange electronic order book users a further opportunity to review the prices and sizes of orders entered in an individual security's auction call before the execution occurs. A price monitoring extension is activated when the matching process would have otherwise resulted in an execution price that is a pre-determined percentage above or below the price of the most recent automated execution today. '
But to make things simpler the matching of buy and sell orders takes place on a real-time, continuous basis known as regular trading. Auctions differ from regular trading as matching is paused for a period of time, during which orders are collected from the market, which is known as the Call Period.
At this point in time, where the electronic order book is effectively frozen, the matching algorithm considers the orders that have been entered and calculates the price that the maximum amount of shares can be executed. The goal here is to find the most popular price, rather than the highest or lowest price.
At the end of this Call Period, orders that can be matched are executed in an event referred to as an uncrossing, which takes place within a randomised 30 seconds of the end of the Call Period – meaning it could start after 1 second, after 2 seconds, after 3 seconds, and so forth.
A very large proportion of the daily volume of shares traded are executed during an auction due to the large number of participants that focus their trading during these intervals.
So,,,
Should any of these auctions fail to generate a reliable price (one within a predetermined percentage above or below the reference price, which is the price just before the stock went into the auction), then a Price Monitoring Extension RNS is automatically released to the market, and the Call Period is extended by another 5 minutes.
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