SRI LANKA: CSE Amends Automated Trading Rules for Disclosed Quantity

Wednesday October 16 2019

On 14^th October 2019, the Colombo Stock Exchange (CSE) published an amendment to rule 1.4.4 of automated trading rules (ATS) – Disclosed Quantity (Iceberg Orders). The Securities and Exchange Commission of Sri Lanka has approved the said amendment.

The amended ATS Rule 1.4.4 is available on Annexure and the amended ATS Rules are available on the CSE website (www.cse.lk).

The amended rule will be effective from Friday, 25^th October 2019.

Annexure – Amended Rule:

Disclosed Quantity (Iceberg Orders)

The order size will be revealed as the disclosed quantity and not as the full order quantity. The disclosed quantity will cause the executions to occur in blocks of disclosed quantity. When a block of disclosed quantity is executed the balance, order loses its time priority. Disclosed quantities must be greater than 10% (Previously 25% and now amended to 10%) of the order size. When the total quantity for an incoming order is matched to an existing order in the order book, the incoming order’s disclosed quantity is ignored as it will not be visible to the market at the time of execution. Orders with a specified disclosed quantity that appear in the order book, and hence have market visibility, will be executed in blocks of disclosed quantity in the manner specified above.

Orders with a disclosed quantity will be allowed in the pre-open session. Only the disclosed quantity will be considered for execution at the open auction. Orders with a disclosed quantity can be submitted with GTD and GTC qualifiers.

Click on the above link for further information.