RE: Price monitoring extension RNS29 Jun 2022 18:19
When do price monitoring extensions occur?
Price monitoring extensions occur off of the back of an auction, which take place at different times during the trading day depending on the platform the security is traded on. Therefore, as all AIM-listed companies are traded on either the SETS or SETSqx trading system, price monitoring extensions on the AIM market can occur at the following uncrossing times:
08:00 (Opening Auction; SETS)
09:00 (First Intra-Day Auction; SETSqx)
11:00 (Second Intra-Day Auction; SETSqx)
12:02 (Intra-day Auction; SETS)
14:00 (Third Intra-Day Auction; SETSqx)
16:35 (Closing Auction; SETS & SETSqx)
It is important to point out that price monitoring also takes place during regular trading. Here, again, should a potential execution be more than a defined percentage above or below the reference prices, then no executions at that price will occur and an auction will be triggered instead. The point of this auction is to allow the security’s price to reform in an orderly fashion and then be returned to regular trading.
When it comes to regular trading, the thresholds differ slightly, taking into considering two different prices: the dynamic reference price, and the static reference price. The dynamic reference price refers to the last order book execution price (or previous closing price if more recent) prior to the submission of the incoming order. The static reference price refers to the most recent auction price from the current day. However, where that auction failed to generate an execution, the next automated trade that follows the auction is adopted instead.
This price monitoring functionality during regular trading is thought to protect against large trade-to-trade price movements resulting from trading in thin order books, or through the execution of orders with incorrect details (fat fingers).
What are the degrees of tolerance?
The thresholds applicable are managed from a business perspective at trading sector level. Generally, though, more liquid securities have lower thresholds and less liquid securities have higher thresholds.
Reflecting this, AIM SETS securities typically have a 5% threshold on auctions, whereas AIM SETSqx securities have a 10% threshold. In terms of regular trading, AIM SETSqx securities maintain thresholds used during auctions, whilst SETS securities see their dynamic and static price monitoring thresholds typically increase to 10%.
The most current thresholds for all trading services are set out in this Millennium Exchange Business Parameters document.
What is the purpose of a price monitoring extension?
As already discussed, the extension draws attention to a potential price movement. By doing so, this allows participants to review the prices of the orders that they have entered and if appropriate add, delete or amend.
The extension also indicates to investors that there may be the potential of getting a good deal for the security in question, thereby encouraging