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 Opening and closing Price Calculation
To prevent the manipulation of closing prices and to stabilize opening and closing prices, the determination of the closing price has been changed from the last transaction price to the price calculated by the random call market method.
By this method, the SET's trading systems will randomly select the closing time between 16:35-16:40 hours. Therefore members will have an extra-period from 16:30 hours to the random closing time to place additional orders that will not be matched or executed until the random closing time. At the random closing time, the SET calculates the closing price by the call market method, which is the same method for determining the opening price in the pre-open session. From all the valid orders in the system, the closing price will be determined from:
- The price that generates the greatest trading volume.
- If there is more than one such price, the value that is closest to the last execution price will be chosen.
- If there is still more than one such price, the higher one will be chosen.
If the closing price of a security cannot be calculated utilizing the above criteria, the last executed price of that day will be chosen to be the closing price of that particular stock.
The SET also applies this random time method to calculate the opening price in the pre-open session by randomly selecting the opening time during the last 6 minutes of each pre-opening session, i.e., 9:55-10:00 hours for the morning session and 14:25-14:30 hours for the afternoon session. Therefore the trading method for each session will be as follows:
Trading Session |
Trading Method |
Remarks |
| Pre-opening I |
9:30 -T1 |
Call Market |
T1 is the random opening time between 9:55 - 10:00 hours for calculating the opening price in session I. |
| Trading Session I |
T1 - 12.30 |
Automatic Order Matching |
|
| Put Through |
| Intermission |
12:30 - 14:00 |
|
|
| Pre-opening II |
14:00 -T2 |
Call Market |
T2 is the random opening time between 14:25 - 14:30 hours for calculating the opening price in session II. |
| Trading Session I |
T2 - 16:30 |
Automatic Order Matching |
|
| Put Through |
| |
16:30 - T3 |
Call Market
|
T 3 is the random closing time between 16:35 - 16:40 hours for calculating the closing price of each day. |
| Put Through |
|
During the call market period, brokers may send only limit price orders without any conditions. Furthermore the SET has introduced "At the Close Order" (ATC) to make it easier for investors wanting to buy or sell at the closing price. This ATC uses the same principle as "At the Open" (ATO) in the pre-open sessions.
Example: assume that the last execution price before the call market period of that day was 151 Baht, the trading system randomly selected 16:38 hours as the closing time, and at that time, there were orders as follows:
Bid (Buy) |
Offer (Sell) |
Buy Volume |
Price |
Order Time |
Order Time |
Price |
Sell Volume |
G 500 |
ATC |
16:35 |
16:30 |
149 |
800 D |
A 300 |
150 |
16:37 |
14:25 |
150 |
700 E |
B 200 |
149 |
15:30 |
9:35 |
152 |
500 F |
C 300 |
148 |
10:50 |
|
|
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Then, the trading system will calculate the matched volume of each price level as follows:
Price |
Buy Volume |
Sell Volume |
Matched Volume |
| 148 |
300+200+300+500 = 1,300 |
0 |
0 |
| 149 |
200+300+500 = 1,000 |
800 |
800 |
| 150 |
300+500 = 800 |
800+700 = 1,500 |
800 |
| 151 |
0+500 = 500 |
800+700 = 1,500 |
500 |
| 152 |
0+500 = 500 |
800+700+500 = 2,000 |
500 |
From the above example, the prices generating the greatest trading volume are 149 and 150 Baht. So the trading system will choose 150 Baht to be the closing price, as it was closest to the last execution price (151 Baht). Orders will be matched according to the price and time priority and ATC orders would be matched as the First priority, as follows:
Deal |
Buyer |
Seller |
Time |
Price |
Volume |
1 |
G |
D |
16:38:01 |
150 |
500 |
2 |
A |
D |
16:38:02 |
150 |
300 |
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