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" High Liquidity " N/A
Continuous Order-Driven Market (XETRA) with possibility of
" Medium Liquidity " N/A
market-making ( Betreuers) and Floor Trading
" Low Liquidity " N/A
One or several call auctions per day (XETRA) with possibility of
market-making ( Betreuers ) and Floor Trading
Continuous Order-Driven Market (SETS)
London Stock Exchange " High Liquidity " N/A
Quote-Driven Market (SEAQ)
" Medium Liquidity " N/A
Continuous Order-Driven and Quote-driven with one dealer per
" Low Liquidity " N/A
stock (SEATS-PLUS).
Continuous Order-Driven Market (NSC)
Paris Bourse " High Liquidity " Continu A
Continuous Order-Driven Market (NSC) with possibility of one
" Medium Liquidity " Continu B
dealer per stock. ( Animateur ).
" Low Liquidity " Fixing A
Two call auctions per day (NSC) with the possibility of one dealer
per stock Animateur .
Continuous order-driven market (SWX)
Swiss Exchange " All levels of liquidity " No segmentation based
on stock liquidity
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Table 3: Trading Mechanism and Order Sizes
Categories of Order Sizes Type of Trading Mechanism
Principal trading or limit order book .
NSC " Large orders > 1 NBS* (for most liquid
stocks only)
Limit order book or Principal trading within limit order book
" Medium-sized and small orders
Principal trading. These trades are not eligible on SETS.
SETS " Very large orders> 20 NMS**.
Principal trading or limit order book. WPA for orders >
" Large orders (> 8NMS) and Medium-Sized
8xNMS***
orders
Retail Service Providers (principal trading) or limit order book.
" Small orders
Principal trading or limit order book
SWX " Large orders > CHF 200,000
Limit order book
" Medium-Sized orders
Odd lots executed in a separate limit order book
" Small orders
Principal trading or limit order book with one specialist per
TSA " Wholesale orders > f 250,000 to f 1,250,000
stock ( Hoekman ).
according to stocks.
Limit order book with one specialist per stock ( Hoekman ).
" Medium sized-orders
Executed against specialist s position at best bid and ask
" Retail orders
prices.
Limit Order Book or Vermittlungs und Suchmarkt ***
XETRA " Large Orders
Limit Order Book and/or principal trading.
" Medium-sized Orders
Call markets and/or principal trading.
" Small Orders
*NBS: Normal Bloc Size . The NBS is the minimum order size for an order to be eligible as a block trade. See footnote 19.
** NMS: Normal Market Size . One NMS represents at least 2% of a security s average trading volume.
*** Worked Principal Agreements (WPA) are described in Section 5.2.
**** Vermittlungs und Suchmarkt : block trading facility which will be implemented with XETRA Release 4.
40
Table 4: Trading Mechanism and Time of the Trading Day
In the next Table, we just consider the use of call auctions for stocks traded in continuous time either in an order-driven market or a quote-driven
market.
Market Opening Market Closing
Intraday (combined with
Use of Call Market in:
continuous trading)
Trading Systems
NSC Yes Yes No
SETS Yes No No
SWX Yes Yes No
TSA Yes (price is determined by Hoekman) No No
XETRA Yes Yes Yes
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Table 5: Degree of consolidation of the order flow
NSC SETS SWX TSA XETRA
" All orders can trade in " Two trading venues " All round lots can be " All orders below a " Two trading venues:
Order flow
central limit order for all order sizes: traded in central limit given threshold must
book. 1 Central Limit Order order book be traded at best bid Central limit order
Book and offer. book (Xetra)
" Block Trades can be
2 Principal trading with Floors
conducted away from " Odd lots are handled " odd lots executed
dealers outside SETS.
the central limit order in a separate limit against the Hoekman s
book (only for the order book. position.
most liquid stocks). " Orders larger than
" Block trades can be " Large orders can trade
20NMS are not
traded away the away from central
eligible in SETS.
central limit order limit order book.
book.
Yes* No Yes No No
Price link
Level of
Consolidation High Low High Medium Low
* Except for OTC trades that have the following characteristics. They must be at least equal to FF50m in value or 2% of the company s capital for stocks with a market
capitalization equal to or greater than FF1bn and 5% of the company s capital otherwise.
42
Table 6: Role of Dealers
Obligations Privileges
NSC
Principal traders - No specific obligations: can trade all stocks on own account at best market - No privileges
prices
Block traders - No specific obligations: can trade blocks on own account at prices at or - Publication delay if trade as principal
within Weighted Average Spread
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