Trading Procedure

Price Bands & Tick sizes

Price Bands & Tick sizes
Price Bands

There are 2 levels of Price Band.

  1. Static Price Band: Ceiling & Floor of the day
  2. Dynamic Price Band: In order to reduce abnormal price volatility during a day based on current trading price
Ceiling & Floor

The upper and lower price band set for securities traded on SET are as below

Securities typeCeiling & Floor
First day of Trading*Other Trading days
- Shares (Common and Preferred Stock)
- Investment Units
  • Unit Trusts
  • ETFs
  • Infrastructure Funds
  • Property Funds
  • Other funds specified by SET under regulations regarding Investment Units.
- Foreign ETF Units
- REIT Units
  • Not exceeding 3 times the IPO price and will not be less than Baht 0.01.
  • Not exceeding 30% of the closing price of the Securities on the preceding Trading day and will not be less than Baht 0.01.
- Depositary Receipts
  • Not exceeding 3 times the IPO price and will not be less than Baht 0.01.
  • Not exceeding 30% of the closing price or the last traded price of the preceding trading session of the Securities and will not be less than Baht 0.01.
- Securities Held by Foreign Nationals
  • Not exceeding 3 times the IPO price and will not be less than Baht 0.01.
  • Not exceeding 60% of the closing price of the Local Securities on the preceding Trading day and will not be less than Baht 0.01
- Transferable Subscription Rights (TSRs)
- Warrants
- Derivative Warrants (DWs) :Local underlying asset
- Derivative Warrants Convertible Securities issued by Foreign Listed Companies to shareholders in Thailand, in proportion to shares held by each shareholder
  • Change from the closing price on the preceding Trading day, not exceeding 1 time the closing price of the Underlying Asset on the preceding Trading day, multiplied by a Conversion Ratio and will not be less than Baht 0.01.
  • Change from the closing price on the preceding Trading day, not exceeding 30% of the closing price of the Underlying Asset on the preceding Trading day, multiplied by a Conversion Ratio and will not be less than Baht 0.01.
- Derivative Warrants (DWs): Foreign underlying asset
  • Not exceeding 20 times the IPO price and will not be less than Baht 0.01
  • Not exceeding 20 times of the closing price of the Securities on the preceding Trading day and will not be less than Baht 0.01
- Leveraged & Inverse ETFs (L&I ETFs)
  • Not exceeding 3 times the IPO price multiplied by the multiplier rate compared to the reference index as disclosed by issuer, and not less than 0.01 baht.
  • Not exceeding 30% of the closing price on the previous trading day multiplied by the multiplier rate compared to the reference index as disclosed by issuer, and not less than 0.01 baht.
*The ceiling and floor prices band criteria will be valid until trading of the securities occur. The Exchange may change the ceiling or floor price of Securities in any of the following events
  • Such security is not traded for more than 15 consecutive business days;
  • Once the Trading of such security starts on the first Trading day using the new par value; or
  • The Exchange is of the opinion that there is a circumstance which may cause a price of any security to be significantly changed; or that the application of change of ceiling or floor may not be possible under actual conditions.
Dynamic Price Band

Dynamic price band will limit price movements based on the current trading price.

Subject Detail
Rate
  • Not exceeding 10% of the reference price
Reference price
  • Last executed price
  • If there is no trading occurred on that day, the previous day’s closing price will be used as the reference price
Securities coverageThe following securities trading at the price higher or equal to 1 baht.
  • Common stocks,
  • REITs,
  • Property funds
  • Infrastructure funds
Though, the bands are not applicable to trading in Odd Lot and Foreign orderbooks.
Applied Session
  • Trading Session

The Mechanism

  • Able to place orders within the daily ceiling and floor price bands.
  • Changes in the dynamic price band during the day will not affect the orders that has already entered in the trading system.
  • When incoming order causing a potential execution price to be outside the band, the system will only match part of the order while the rest will be cancelled. The trading of such securities will then enter into a two-minute pre-open session.
  • In case of the trading time remaining in a session is insufficient for trading, the system will enter the Pre-Open session for the rest of the session. And if there is a trigger near the Intermission session, the system will match orders (if any) before transitioning to the next session.

Example

Example 1: Dynamic Price Band (DPB) behavior

price-bands-and-tick-sizes-img-en-01

Example 2 : Triggering Two-minute Pre-open

price-bands-and-tick-sizes-img-en-02

The Exchange may change the dynamic price band detail in any of the following events

  • Once the Trading of such security starts on the first Trading day or
  • There is a circumstance which may cause a price of any security to be moved outside the bands and such circumstance does not violate the normal market conditions e.g., the change of Ceiling & Floor.
Tick sizes

Minimum price movements, as prescribed by the SET for securities trading, vary according to each market price level as follows

Market Price Level (THB)Tick sizes (THB) (effective since March 30, 2009)
Less than 20.01
2 up to less than 50.02
5 up to less than 100.05
10 up to less than 250.10
25 up to less than 1000.25
100 up to less than 2000.50
200 up to less than 4001.00
400 up2.00

The above Tick sizes do not apply to trading of unit trusts and ETFs, whose Tick size is THB 0.01. However, only VAYU1 unit trusts apply the above Tick size table.