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BVB introduces a new trading model to improve market quality and liquidity

The Bucharest Stock Exchange (BVB) will introduce an alternative solution, named “auction model”, to the existing trading model, that will be applied for a list of selected shares traded on the regulated market which meet the related criteria, announces a press release.

The new model, aimed at improving the market quality and liquidity, will be available starting with February 23, 2015, concurrently with the current trading model - “continuous model”. Shares may be traded, however, exclusively in one trading model.

The auction model is a new trading model and it consists in distinct sessions for introducing and administration of orders, without the registration of trades, even if the execution conditions are met, every of these being followed by a session in which the fixing algorithm is applied and the trades are registered, if the execution conditions are fulfilled.

The auction model enhances the trading in the shares with lower liquidity and it facilitates the determination of the trading prices, offering a structure that provides a balanced method for price discovery. The model is based on the concentration of orders (representing the liquidity available) at the specific points in time during a trading session”, explains release in question.

The shares for the “auction model” will be selected based on the quantitative criteria such as: average value traded, average number of trades, frequency of trading, applied to the data relative to the last quarter (November 2014 – January 2015).


How it works

The auction model will be implemented solely in the main market for the selected shares (only of Romanian companies) which will be traded as per the following program:

9:30 – 12:15 Pre-Open

12:15 Opening (fixing)

12:15 – 12:45 Trading at last

12:45 – 17:50 Pre-closed

17:50 Closing (fixing)

17:50 – 18:00 Trading at last 18:00 Closed

The first “Trading at last” session will be based on the price generated by the fixing algorithm in the “Opening” stage, the execution of trades being allowed only at that price.

In case a price will not be determined through the fixing algorithm in the first session, the symbol-market will stay in the “Pre-open” stage, until moving to the “Pre-closed” stage, as shows the trading program.


The list of the selected shares will be released on February 12, 2015 by the BVB. It will be effective for three months thenceforth - the minimum period for which a shares will be tradable in the auction system.

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