Moscow Exchange will update the mechanism for conducting discrete auctions – Kommersant

Moscow Exchange (MOEX: MOEX) from October 30 introduces a new procedure for holding discrete auctions for shares and depositary receipts that are not part of the trading platform index. This was stated in a press service statement on website Moscow Exchange.

Among the main changes are the removal of restrictions on the number of discrete auctions held for each security, the extension of the auction time by almost two hours (from 10:09 to 18:10 Moscow time) and the reduction of the time of continuous price deviation by more than 20% to five minutes . Evening trading sessions will also begin on the Moscow Exchange (from 19:14 to 23:20 Moscow time).

“The discrete auction session, as before, will consist of three auctions of 10 minutes each. After 30 minutes from the start of the auction, trading will resume as usual,” representatives of the trading platform said.

The price at the end of the auction will be determined using a standard algorithm without taking into account additional conditions used for securities from the Moscow Exchange index: the number of auction participants, the volume of supply and demand, the spread. The procedure for holding a discrete auction for securities from the Moscow Exchange index will not change.

The change in the discrete auction mechanism, as added by the press service, “was implemented as part of additional measures to counteract destabilization and high volatility of share prices.” August 16 Moscow Exchange reported about massive cases of destabilization of share prices – in the first two weeks of the month, the trading platform held 122 discrete auctions.

Petr Buzlaev