Sessions

Trading session types available in the system.

How an InstrumentMarket is traded, and what rules apply to orders entered for each InstrumentMarket, is governed by the Session that is effective for that InstrumentMarket and the trading rules that are associated with that session.

Session

At any time, a particular Session applies to each InstrumentMarket. The Session defines the matching algorithm that is force for the InstrumentMarket.

Some of the standard Session types are summarised in the following table:

Session	Order Entry	Order Amend	Order Cancel	Trade Reports	Description
NOTTRADING	N	N	Y	Y	There is no trading allowed for the InstrumentMarket but existing orders may be cancelled and negotiated deals may be reported.
CLOSED	N	N	N	N	The InstrumentMarket has closed for the Trading Day and no further transactions are possible.
AUCTION	Y	Y	Y	Y	The InstrumentMarket is trading in an auction. No matching is performed on the OrderBook, which may become crossed. When the Session ends, matching will be done at a price that maximises the traded volume. During the Session, an indicative final auction price and volume is calculated on a periodic basis.
CONTINUOUS	Y	Y	Y	Y	Standard price-time priority matching of orders on a continuous basis.
REPORTING	N	N	N	Y	Only allow reporting of trades (no matching)
RFQ	Y	Y	Y	N	Only allow Requests for Quote
RFQNOEXECUTE	Y	Y	Y	N	Only allow Requests for Quote, but not execution

`NOTTRADING`

This session is used to place products into a state where new orders and amendment of existing orders is not possible. However, existing orders can be cancelled and trades may be reported (if allowed for the product).

`CLOSED`

This session is generally used at the finish of the trading day. In this session orders may not be entered, amended nor cancelled, and no trade reports will be accepted.

`AUCTION`

In an auction session, new orders may be entered and will be placed in the order book, but no matching will occur. This means that the order book may become 'crossed', meaning that the best buy order may have a higher price than the best sell order. The purpose of an auction is to conduct fair price discovery during a highly volatile phase of trading, such as pre-open or pre-close.

When an InstrumentMarket exits an auction session, the system calculates the matching price that will cause the greatest volume of trades (by lots traded) to be executed, based on the orders in the order book at that time. It then matches the orders in the OrderBook using a price-time priority algorithm to produce a sequenced series of trades.

While an InstrumentMarket is in an auction session, the system will calculate an indicative match price (IMP) at a preconfigured interval (usually every few seconds). The IMP is the price at which orders would be executed were the auction be closed at that time. The IMP is distributed with Level One data for the InstrumentMarket.

Market orders and pegged-price orders, as well as expiry types FOK (Fill or Kill) and FAK (Fill and Kill) are not accepted during an auction since they require matching to be done immediately.

More on auctions

`CONTINUOUS`

During continuous matching, new orders are accepted and will be matched immediately against existing orders on the opposite side of the book (buys against sells, sells against buys), if possible.

Depending on the order type of a new order, if it cannot be matched against existing orders, it may itself be placed into the order book or immediately withdrawn by the system:

A limit order will match to the extent possible against existing orders in the book and the residual balance will be added to the book.
A market order will match to the extent possible against existing orders in the book and the residual balance will be withdrawn.
A FOK order must match completely with existing orders in the book, otherwise it will be withdrawn and not matched at all.
A FAK order will match to the extent possible with existing orders in the book with the unmatched balance withdrawn.

Note: The difference between a market order and a FAK order is that a FAK order may have a limit price, while a market order matches at any price(s) available in the book.

Unless custom behaviour is required, orders are executed in price-time priority. That is to say, better prices (lower for sells and higher for buys) will be prioritised ahead of worse prices, and for the same price, older orders will be prioritised ahead of newer orders.

More on continuous matching

Session changes

A session change for any Product (Market, InstrumentGroup, Instrument, or InstrumentMarket) may be initiated either by manual operator action, or automatically at a scheduled time.

The session for an InstrumentMarket may be changed by one of the following:

The session for a parent of the InstrumentMarket (Market, InstrumentGroup, Instrument) changes and the InstrumentMarket has been setup to inherit changes from that parent using its Inherit_Market, Inherit_InstrumentGroup or Inherit_Instrument fields.
The session for the specific InstrumentMarket changes.

At any point in time, every InstrumentMarket is in one of the possible sessions enumerated in the Session table. When the Session changes (triggered as described above), the current Session is terminated and the new Session is started.

For each InstrumentMarket, when its Session changes, the following steps will occur:

The System will automatically withdraw any active orders for the InstrumentMarket that have an expiry type of GFS (Good For Session).
If so configured, all active orders for the InstrumentMarket, regardless of expiry type may be automatically withdrawn.
Any orders not automatically withdrawn will be removed from the order book for the InstrumentMarket and re-entered. In being re-entered, they will be re-validated against the rules in force for the InstrumentMarket's new session. Any orders that are invalid in the new session will enter a Suspended state and will not re-enter the order book. During the new Session, a suspended order can be amended, in which case if it passes validation it will re-enter the order book.