(a) the operator of a Market on or through which offers to acquire or dispose of Equity Market Products are made or accepted; and
(b) CGS Market operators.
(2) In this Chapter:
Operator means any of the operators referred to in subrule (1).
Part 8.1 Order entry controls for Anomalous Orders
8.1.1 Requirement to have Anomalous Order Thresholds
(1) An Operator must determine an Anomalous Order Threshold for each Relevant Product that is quoted on its Market.
(2) An Operator must notify ASIC in writing of the Anomalous Order Threshold for each Relevant Product that is quoted on its Market, not less than 21 days before first adopting the Anomalous Order Threshold for the purposes of Rule 8.1.3.
(3) ASIC may notify an Operator that an Anomalous Order Threshold the Operator has notified to ASIC or adopted for the purposes of Rule 8.1.3 is not appropriate to promote market integrity or a fair, orderly or transparent market.
(4) If ASIC notifies an Operator under subrule (3) in relation to a Relevant Product, the Operator must, as soon as practicable, determine a new Anomalous Order Threshold for the Relevant Product and notify ASIC in writing of the new Anomalous Order Threshold before adopting the Anomalous Order Threshold for the purposes of Rule 8.1.3.
(5) In determining an Anomalous Order Threshold for a Relevant Product an Operator must take into account, at a minimum:
(a) the price at which a single Order deviates substantially from:
(i) prevailing market conditions for the Relevant Product;
(ii) historical trading patterns; and
(b) the Tick Size for the Relevant Product.
8.1.2 Requirement to make Anomalous Order Thresholds publicly available
An Operator must make an Anomalous Order Threshold determined under Rule 8.1.1 publicly available before adopting the Anomalous Order Threshold for the purposes of Rule 8.1.3.
8.1.3 Requirement to prevent Anomalous Orders from entering Markets
An Operator must have in place adequate controls to prevent Anomalous Orders from entering an Order Book (Relevant Order Book) of its Market at all times on a Trading Day other than a time during which:
(a) Orders for Relevant Products are not matched and transactions are not executed on a continuous basis on the Relevant Order Book; or
(b) an Auction is being conducted on the Relevant Order Book.
8.1.4 Requirement to have adequate arrangements in relation to Anomalous Order Thresholds
Part Part 8 - ASIC Market Integrity Rules (Securities Markets) 2017 - Extreme price movements | Zoe
(1) An Operator must have in place adequate arrangements for:
(a) determining Anomalous Order Thresholds in accordance with Rule 8.1.1;
(b) regularly reviewing, and if necessary, amending, the Anomalous Order Threshold for each Relevant Product quoted on its Market, to take into account changes to the matters set out in subrule 8.1.1(5); and
(c) monitoring, and if necessary, adjusting, the controls referred to in Rule 8.1.3 to ensure that the controls are adequate to prevent Anomalous Orders from entering its Market.
(2) An Operator must notify ASIC in writing:
(a) of the arrangements that the Operator has in place under paragraph (1)(a), not less than 21 days before first adopting an Anomalous Order Threshold for the purposes of Rule 8.1.3 in accordance with those arrangements; and
(b) each time the Operator revises the arrangements it has in place under paragraph (1)(a), not less than two business days before adopting the revised arrangements for the purposes of paragraph (1)(a).
(3) ASIC may notify an Operator that its arrangements for determining Anomalous Order Thresholds under paragraph (1)(a) are not appropriate to promote market integrity or a fair, orderly or transparent market.
(4) If ASIC notifies an Operator under subrule (3), the Operator must, as soon as practicable, revise its arrangements and notify ASIC in writing of the revised arrangements not less than two business days before adopting them for the purposes of paragraph (1)(a).
(5) An Operator must record in writing the arrangements required by subrule (1).
Part 8.2 Extreme Trade Range
8.2.1 Extreme Trade Range
(1) The Extreme Trade Range for an Equity Market Product means all prices which are greater than:
(a) the number of cents set out in the following table; or
(b) the percentage amount set out in the following table,
as the case may be, away from the Reference Price for the Equity Market Product.
Where Reference Price for Equity Market Product is in the following price range:
Extreme Trade Range (cents or percentage away from Reference Price)
0.1–9.9 cents
> 10 cents
10–99.5 cents
> 30 cents
100–199.5 cents
> 50 cents
200–499 cents
> 50.0%
500–699 cents
> 40.0%
700–999 cents
> 35.0%
1000–1999 cents
> 30.0%
2000–4999 cents
> 25.0%
5000 cents
> 20.0%
(2) The Extreme Trade Range for a CGS Depository Interest means all prices which are greater than 20% away from the Reference Price for the CGS Depository Interest on the CGS Market.
8.2.2 Obligation on Responsible Market Operator to determine and notify Reference Price
(1) The Responsible Market Operator must determine a Reference Price for each Relevant Product after each Trading Reset, as follows:
(a) if there is an Auction in the Relevant Product after the Trading Reset and before the first transaction after a Trading Reset, the price established by the Auction;
(b) if:
(i) the Responsible Market Operator determines, acting reasonably, that the price established by the Auction referred to in paragraph (a) is Invalid;
(ii) the Auction referred to in paragraph (a) does not establish a price; or
(iii) there is no Auction in the Relevant Product after the Trading Reset and before the first transaction after a Trading Reset,
the price of the first transaction after a Trading Reset; or
(c) if paragraph (b) applies and the price of the first transaction after a Trading Reset is Invalid, a price determined by the Responsible Market Operator, acting reasonably, to be not Invalid.
(2) The Responsible Market Operator must, each time it determines a Reference Price for a Relevant Product in accordance with subrule (1), immediately:
(a) use the Reference Price to determine the Extreme Trade Range for the Relevant Product in accordance with Rule 8.2.1, until the next Trading Reset for the Relevant Product; and
(b) notify ASIC and, subject to subrules 9.2.1(1) and (6), the Operator of each other Market on which the Relevant Product is quoted, of the Reference Price for the Relevant Product.
(3) Subject to subrule (4), each Operator that receives a notification under paragraph (2)(b) must immediately use the Reference Price in the notification to determine the Extreme Trade Range for the Relevant Product in accordance with Rule 8.2.1, until it next receives a notification under paragraph (2)(b) in relation to the Relevant Product.
(4) An Operator that operates an Order Book for Relevant Products other than:
(a) ASX TradeMatch (in the case of Equity Market Products admitted to quotation on the ASX Market);
(b) the central Order Book of the Responsible Market Operator for CGS Depository Interests (in the case of CGS Depository Interests);
(cb) the central order book of Chi-X (in the case of Equity Market Products admitted to quotation under the operating rules of the Chi-X Market),
must determine the Reference Price for each Relevant Product for that Order Book after each Trading Reset on that Order Book, as:
(d) the price of the first transaction after a Trading Reset; or
(e) if paragraph (d) applies and the price of the first transaction after a Trading Reset is Invalid, a price determined by the Operator, acting reasonably, to be not Invalid,
until the Operator receives a notification of the Reference Price for the Relevant Product under paragraph (2)(b).
Note: Under subrules 9.2.1(1) and (6), the relevant Responsible Market Operator for Equity Market Products must provide notifications under paragraph 8.2.2(2)(b) to other Operators through an electronic data feed, and need only make a notification in relation to a particular Equity Market Product to an Operator that has notified it will quote the Equity Market Product on its Market
8.2.2A Requirement to prevent extreme price movements
An Operator must have in place adequate controls to prevent a transaction in a Relevant Product executing on an Order Book (Relevant Order Book) of its Market in the Extreme Trade Range for the Relevant Product, at all times during a Trading Day other than at a time during which:
Orders are not matched and transactions are not executed on a continuous basis on the Relevant Order Book; or
an Auction is being conducted on the Relevant Order Book.
8.2.2B Requirement to identify and notify of ETR Event
(1) An Operator must identify when an ETR Event occurs on an Order Book (Relevant Order Book) of its Market, at all times on a Trading Day other than at a time during which:
(a) orders for financial products are not matched and transactions are not executed on a continuous basis on the Relevant Order Book; or
(b) an Auction is being conducted on the Relevant Order Book.
(2) Where an Operator (other than the Responsible Market Operator) identifies that an ETR Event has occurred on an Order Book of its Market, the Operator must immediately notify the Responsible Market Operator of the ETR Event, subject to subrule 9.2.1(1).
(3) Where a technical problem (including a power outage) prevents an Operator from making a notification referred to in subrule (2) immediately, the notification must be made to the Responsible Market Operator without delay by another appropriate means.
Note: Under subrule 9.2.1(1), an Operator must provide notifications under subrule 8.2.2B(2) to the Responsible Market Operator for the Relevant Product through an electronic data feed.
8.2.2C Requirement to impose Trading Pause
(1) Where the Responsible Market Operator:
(a) identifies an ETR Event on an Order Book of its own Market; or
(b) receives a notification of an ETR Event from another Operator,
in relation to a Relevant Product, the Responsible Market Operator must immediately:
(c) impose a Trading Pause on the Relevant Product for a period of two minutes; and
(d) notify ASIC and, subject to subrules 9.2.1(1) and (6), the Operator of each other Market on which the Relevant Product is quoted, that the Trading Pause has been imposed.
(2) An Operator that receives a notification under paragraph (1)(d) must immediately place each Relevant Product the subject of the notification into a Trading Pause on its Market.
(3) An Operator that places a Relevant Product into a Trading Pause in accordance with subrule (2) may only lift or remove that Trading Pause after the Operator receives a notification under subrule (4) in relation to the same Relevant Product.
(4) The Responsible Market Operator must immediately notify ASIC and, subject to subrules 9.2.1(1) and (6), the Operator of each other Market on which the Relevant Product is quoted when it lifts or removes the Trading Pause imposed on the Relevant Product under subrule (1).
(5) Where a technical problem (including a power outage) prevents the Responsible Market Operator from making a notification referred to in paragraph (1)(d) or subrule (4) immediately, the notification must be made to ASIC and the Operator of each other Market on which the Relevant Product is quoted, without delay by another appropriate means.
(6) The Responsible Market Operator must make publicly available information concerning:
(a) the fact that a Trading Pause will result from an ETR Event;
(b) the length of a Trading Pause resulting from an ETR Event; and
(c) how the Responsible Market Operator will resume trading in the Relevant Product on its Market after a Trading Pause resulting from an ETR Event.
Note: Under subrules 9.2.1(1) and (6), ASX (as the Responsible Market Operator for Equity Market Products) must provide notifications to other Operators under paragraph 8.2.2C(1)(d) and subrule 8.2.2C(4) through an electronic data feed, and need only make a notification in relation to a particular Equity Market Product to an Operator that has notified ASX it will quote the Equity Market Product on its Market.
8.2.3 Notification of transactions in Extreme Trade Range
If a transaction is executed on a Market within the Extreme Trade Range for a Relevant Product, the relevant Operator must, as soon as practicable after becoming aware that the transaction was executed:
(a) notify ASIC and the Operators of all other Markets on which that Relevant Product is quoted, of the price and time at which the relevant transaction was executed;
(b) notify the Market Participants that executed the relevant transaction, that the transaction was executed in the Extreme Trade Range; and
(c) make publicly available the price and time of the relevant transaction, or, where more than one transaction in the same Relevant Product was executed in the Extreme Trade Range on the Market of the relevant Operator at or around the same time, the range of prices and times at which such transactions were executed, and the total number of such transactions.
8.2.4 Operator arrangements in relation to Extreme Trade Range
(1) The Responsible Market Operator must have in place adequate arrangements for notifying ASIC and other Operators of Reference Prices in accordance with subrule 8.2.2(2), and the imposition and lifting or removal of a Trading Pause under paragraph 8.2.2C(1)(d) and subrule 8.2.2C(4).
(2) An Operator must have in place adequate arrangements for:
(a) identifying when an ETR Event occurs on its Market, in accordance with subrule 8.2.2B(1);
(ab) notifying the Responsible Market Operator that an ETR Event has occurred on its Market, in accordance with subrule 8.2.2B(2), unless the Operator is the Responsible Market Operator;
(b) notifying ASIC, other Operators and the relevant Market Participants once the Operator has become aware that a transaction was executed on its Market in the Extreme Trade Range, in accordance with paragraphs 8.2.3(a) and (b); and
(c) making publicly available the price and time of a transaction executed in the Extreme Trade Range, and, where applicable, the range of prices and times, and total number, of transactions executed in the Extreme Trade Range at or around the same time, in accordance with paragraph 8.2.3(c).
Part 8.3 Transparent cancellation policies
8.3.1 Operator to have transparent cancellation policies
(1) An Operator must have adequate policies and procedures for the cancellation of transactions in Relevant Products entered into on its Market.
(2) An Operator’s policies and procedures under subrule (1) must:
(a) include a policy that all transactions executed on its Market within the Extreme Trade Range and identified by or to the Operator will be cancelled;
Note: Under subrule 8.2.2B(1) and paragraph 8.2.4(2)(a), an Operator must identify when an ETR Event, including the execution of a transaction in the Extreme Trade Range, occurs on its Market and must have in place adequate arrangements for identifying when an ETR Event occurs on its Market.
(b) set out the circumstances, if any, in which transactions in Relevant Products other than transactions referred to in paragraph (a):
(i) will be cancelled;
(ii) may be cancelled subject to a discretion; or
(iii) will not be cancelled;
(c) provide for the timely cancellation of transactions in Relevant Products; and
(d) describe how the Operator will communicate with relevant Market Participants about the cancellation of transactions in Relevant Products.
(3) An Operator must comply with its policies and procedures required under subrule (1).
(4) An Operator must ensure that the policies and procedures it has in place to comply with subrule (1), and any changes to those policies and procedures, are made available to Market Participants of its Market before those policies and procedures, or those changes, take effect.