Stock Exchange of Thailand (SET)

SET is the primary equities exchange in Thailand.

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Currency: Thai Bhat (THB)

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The SET has two principal methods of trading: Automatic Order Matching (AOM) and Put-Through (PT).

Automatic Order Matching (AOM) trading performs the order matching process according to price, then time, priority, without human intervention. After brokerage houses electronically send buy or sell orders from their offices to the SET mainframe computer, the SET CONNECT system queues the orders and arranges them according to a price-then-time priority. This means orders are first grouped according to price, with the best price taking precedence. Then, within each price group, orders are arranged according to time.

There are two matching methods: Continuous Order Matching and Auction.

Continuous Order Matching procedures operate during the regular trading sessions. The SET CONNECT trading system continuously matches the first buy and sell orders in the queue, and, at the same time, confirms each executed transaction via the member’s (broker’s) terminal.

The Auction matching is utilized in calculating the opening and closing prices of a security at the opening and closing of the trading hours. This method allows brokers to enter their bid/ask orders to be queued for matching at a specified time at the price that generates the greatest trading volumes for that particular stock.

In Put Through (PT) Trading, when the trading value crosses over 10,000 units, which is equivalent roughly to 10 million Baht, an alternative method provided by TBX called “Put Through” must be selected. The counterparties can negotiate off the exchange. Once the deal is concluded, the seller can initiate the put through transaction, which then needs to be verified by the buyer. Once the confirmation process is completed, the buyer will allow that transaction to go to the next process, clearing and settlement.

• Limit Buy/Sell→ShortSell
• Market Buy/Sell→ShortSell

• Lot Size: minimum lot size is 100 shares for most stocks. For stocks priced THB 500 or more for 6 consecutive months, the minimum lot size is 50 shares.
• Tick Size: as listed in the following table:

• Short Sale Rules: only stocks in SET50 Index are allowed to be sold short. Uptick rules apply. “Covered” short sale confirmation required.
• Circuit Breakers: if the index falls by 10% from the previous day’s close, trading is suspended for 30 minutes. If the index falls by 20% from the previous day’s close, trading is suspended for 60 minutes.
• For more information, see the Rules Book.

The opening auction is randomized to occur between 9:55 and 10:00 for calculating the opening price for the morning trading session. The opening for the afternoon session is also randomized to occur between 14:25 and 14:30 for calculating the opening price for the afternoon trading session.

Time to Submit LOO – 9:30 – 9:55 (14:30 for afternoon session)

The closing price is defined by the following closing auction mechanism.

Auction means an auction conducted in a trading platform in respect to qualifying orders to determine the auction price pursuant to the following process:

• a) The price that will generate the maximum matchable volume at the close trading.
• b) If the price in a) is more than one number, the price generating a minimum imbalance shall apply.
• c) If the price in b) is more than one number, the price shall apply as follows:
  • i. Where total volume of bids is greater than total volume of offers at every price level (Positive Imbalance), the highest price of the prices in b) shall apply.
  • ii. Where total volume of offers is greater than total volume of bid orders at every price level (Negative Imbalance), the lowest price of the prices in b) shall apply.
  • iii. Where the total volume of bids is equal to the total volume of offers at every price level, the price closest to the last traded price shall apply.
  • iv. Where there are both Positive and Negative Imbalances, only two levels of the price at which a Positive Imbalance changes to a Negative Imbalance shall be considered of which the price closest to the last traded price shall be chosen.

The SET’s trading systems randomly select the closing time between 16:35 – 16:40. Therefore, members will have an extra period from 16:30 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 Auction 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:

1. The price that generates the greatest executable volume.

2. If there is more than one such price at which there is maximum executable volume, the price with minimum unexecuted volume (“minimum imbalance” or “minimum order surplus”) will be chosen.

3. If there is more than one price in 2., the market pressure on the side of the book with the minimum imbalance decides the execution price.

• If all the imbalances are on the buy side, there is a greater demand to buy the security and prices are likely to go up. The higher of the possible limit prices is therefore used as the auction price.
• If all the imbalances are on the sell side, there is a greater demand to sell the security and prices are likely to go down. The lower of the possible limit prices is therefore used as the auction price.
• If the imbalances are on both buy and sell side, select the two prices nearest to the price level where the imbalance changes sign. Among those two prices, the one that is closest to the reference price is used as the auction price.
• For each price level, if aggregated buy volume and aggregated sell volume are equal (no imbalance), the potential auction price that is closest to the reference price (usually the last traded price) will be chosen.

The reference price will always equal the last traded price. If the stock has never traded before, the reference price is an IPO price. If there is no reference price, the highest potential auction price will be chosen.

Note: because At-the-Open and At-the-Close orders contain first-matching priority over limit price order, the system will determine the price of ATO and ATC orders as follows:

• For a bid order, the price of the order is the higher of highest bid price plus one tick and highest offer price in the order book
• For an offer order, the price of the order is the lower of the lowest offer price minus one tick and the lowest bid price in the order book

Auction Periods

1. Morning Trading Session (09:55:00 – 10:00 – 12:30)

• Regular matching rules

2. Afternoon Trading Session (14:25:00 – 14:30:00 – 16:30)

• Regular matching rules

3. Pre-Close (16:30 – 16:35:00 – 16:40:00)

• Closing time will be randomly selected at 16:35 – 16:40
• Orders will be matched to the closing price once the random close has been assigned

Order Types: Limit and Market DAY orders may be used to participate in the closing auction.

For more information, see the Clearing and Settlement System, Trading Hours, and Off-Hours Trading pages.

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