What is Auction on
Demand (AoD)
The A2X Auction on Demand is a pre-trade transparent intraday auction where Members can enter limit orders or midpoint pegged orders referencing the combined best bid and offer of A2X + Primary Best Bid and Offer (APBBO).
The AoD takes place on a separate order book with the same MIC code – A2XX.
An AoD is triggered when a valid order is entered into the AoD book. Each auction lasts up to 550ms. (500ms duration + 50ms random uncrossing).
How AoD works
The AoD starts when a valid order is entered. At this point the lit auction process begins. Unmatched resting orders are not broadcast. Whenever an order enters the AoD and triggers a new auction, a message is published to show that an auction has been triggered.
The indicative price and indicative volume are then displayed in real time.
Trades are published after the uncrossing of the auction.
AoD orders are matched on (member)/price/size/time priority. The AoD is designed to maximise volume, and the auction price is based on all orders entered during the auction. Pegged orders are priced at the APBBO and repriced whenever the APBBO moves. If the midpoint of the APBBO falls outside the limit set by the Member, the order will not be eligible for execution.
Key Features
Ability to price improve
Choice of standard limit orders and midpoint pegged
orders with limit, allowing price improvement. Executions
can occur mid-tick.
Choice of order validity
Day orders will be rolled into the next auction phase if a residual quantity remains. Orders with a validity of GFA (Good For Auction) will expire after the first AoD instance they participate in.
Order quantity
Orders sent to the AoD can be in any size and are not subject to minimum amounts. AoD also supports the ability to specify a Minimum Acceptable Quantity. Orders with a minimum quantity can execute against multiple orders.
Auction Process
The matching process considers all eligible Limit and Pegged orders, and applies the following logic
01
Maximise execution
Orders are executed at the price which maximises the execution volume during the uncrossing period.
02
Minimise surplus
If there is more than one price candidate in (1), the uncrossing price is the one which minimises the surplus of unmatched order volume.
03
Market pressure
If there is more than one price candidate in (2), the uncrossing price is determined by the market trend to buy/sell i.e. if there is more demand to buy the stock, the auction executes at the higher uncrossing price.
04
Tie-breaker
If there is more than one price candidate in (3), the earliest price candidate discovered in (2) is used. Member priority applies once the price has been
formed. The execution price must be within the APBBO at the end of the auction period. At the end of the auction period, residual orders with a validity type of GFA are cancelled. Residual day orders are rolled into the next auction call phase. This process repeats until there are no orders on the order book.