! " # $%&' ( $! $&) % * %&! $ + # $! $&, 11, 12, /30/2013
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1 ก ก ก ก ก ก 11, 12, 13 ก /30/2013
2 ก ก ก ก ก ก 4.1 ก ก 28 Page 2 of 28
3 11, 12, ก 1) 2 : : ก : ก ก ก ก ก ก ก ก ก ก ก ก ก ก ก ก ก ก ก ก ก ก ก ก ก ก ก ก ก ก ก (Price then Time Priority) / ก ก ก ก ก ก ก ก ก ก ก ก ก ก ก ก ก ก ก ก ก ก ก ก Put-Through ( 3 ก Trade Report) ก (Internet) ก ก ก 50,000 ก ก ก ก ก ก ก ก ก กก ก ก ก ก ก ก ก ก ก ก Page 3 of 28
4 2) 2 : : ก ก ก ก ก (Open Auction) ก ก (Trading Floor) ก ก ก ก ASSET (Automated System for the Stock Exchange of Thailand) 2551 ก ก ก ARMS Advanced Resilience Matching System ก ก ก ก ก ก ก ก ก ก 3 ก 2555 ก ก ก ก SET CONNECT ก ก ก ก ก ก ก ก ก ก ก ก ก ก ก ก Protocal ก ก ก ก 3) 2 : : ก ก ก ก ก ก 2 ก (Automatic Order Matching : AOM) ก ก ก ก ก ก ก ก ก ก (Price then Time Priority) กก (1) ก ก ก ก ก กก ก กก ก ก ก ก ก ก ก ก Page 4 of 28
5 (2) ก ก ก ก ก กก ก กก ก ก ก ก ก ก ก ก ก ก (Matching) ก ก ก กก Price then Time Priority ก ก ก กก (Trade Report) ก ก Trade Report Put-Through (PT) ก ก ก ก (Dealing) ก ก ก ก (Advertise) ก ก ก Trade Report ก 2 (1) ก ก (Two-firm Trade Report) ก ก ก ก ก ก ก ก ก ก ก (2) ก ก ก (One-firm Trade Report) ก ก ก ก ก ก ก ก ก ก ก ก ก ก ก ก ก ก ก ก ก ก ก ก ก ก ก ก ก ก 1. ก ก ก ก 2. ก ก ก ก ก 3. ก ก ก ก 4. ก ก ก ก ก ก ก ก ก ก ก ก 1,2, 3 4 ก ก ก ก Page 5 of 28
6 4) 2 : : ก ก Limit Price Order ก ก ก ก ก ATO (At the Open) / ATC (At the Close) ATO ก ก ก ก (Pre Open) ATC ก ก ก ก (Pre Close) ATO ATC ก ก ก ก ก ก ATO ATC ก ก ก (Limit Price Order) Market Order ก Market Order ก ก ก ก Market Order ก ก ก ก ก Market Order ก ก Market Order ก ก ก ก ก Special Market Order ก Special Market Order ก ก ก ก Special Market Order ก ก ก ก ก Special Market Order Page 6 of 28
7 ก ก Special Market Order ก ก ก ก ก ก ก Market to Limit Order ก Market to Limit Order ก ก ก ก Market to Limit Order ก ก ก ก ก Market to Limit Order ก ก Market to Limit Order ก ก ก ก 2 ก Market to Limit Order ก Queue (Bid) (Offer) 5,000 Market to Limit Order 5, , ,000 ก 2 SET CONNECT ก 52 2,000 3,000 (5,000 2,000 ) ก 52 Market Order, Special Market Order, Market to Limit Order ก IOC (Immediate or Cancel Order) ก ก ก ก ก ก ก ก ก IOC ก ก ก ATO, ATC, Market Order, Special Market Order, Market to limit order Iceberg ก ก ก ก Page 7 of 28
8 FOK (Fill or Kill Order) ก ก ก ก ก ก ก ก ก ก ก FOK ก ก ก ATO, ATC, Market Order, Special Market Order, Market to limit order Iceberg ก ก ก ก ก ก ก Iceberg ก ก ก ก ก Iceberg ก (Limit Price) ก 100 SET CONNECT ก กก Iceberg ก ก ก ก ก 'H' (Halt) ก Iceberg ก ก ก ก ก ก ก (Opening Price) (Close Price) ก ก ก Auction ก ก ก (Pre Open Pre Close) ก ATO ATC ก ก ก ก กก (1) ก ก ก ก ก (2) ก (1) กก ก (Minimum Imbalance) 1 (3) ก (2) กก 3.1 ก กก (Positive Imbalance) ก (2) ก กก (Negative Imbalance) ก (2) ก ก ก ก Last Sale ก Last Sale ก IPO ก IPO ก 4 Page 8 of 28
9 3.4 ก ก Positive Imbalance Negative Imbalance 2 ก Positive Imbalance Negative Imbalance ก ก Last Sale ก Last Sale ก IPO ก IPO ก 5 ก ATO / ATC ก ATO/ATC Bid : ก Bid +1 tick Offer ก ก ก ATO/ATC Offer : ก Offer -1 tick Bid ก ก 1 : Maximum Executable Volume & Minimum Imbalance Page 9 of 28
10 2 : Buy Pressure (Imbalance +) 3 : Sell Pressure Pressure (Imbalance -) Page 10 of 28
11 4 : Market Pressure = 0 ก Last Sale 5 : Buy Pressure Sell Pressure 2 Market Pressure ก Buy Sell ( ก + - ) ก Last Sale Page 11 of 28
12 ก (Direct Market Access) ก ก DMA (Direct Market Access) ก ก ก ก ก ก ก ก ก (Automated Order Matching AOM) DMA ก 1) ก ก ก ก ก ก ก (ก...) 2) ก ก ก ก ก (Program Trading) ก กก ก ก ก ก ก Direct Market Access ก 1. Market Making ก Market Maker ก ก 2. Arbitrage ก (Participating Dealer :PD) ETF ก ก ETF ก ก 3. ก ก ก ก ก ก VWAP, TWAP, Volume Inline, Price Inline, Implementation Shortfall, Reserve, Float On-Close ก Program Trading ก (Automated Order Matching AOM) ก ก ก ก Page 12 of 28
13 5) 2 : : ก ก ก ก ก ก ก ก (Ceiling & Floor Limits) ก ก ก ก 30 ก ก ก ก - ก +1 ก - +1 ก ก (Foreign Stock) ก ก ก 60 ก ก ก ก ก ก ก ก ก ก ก ก XD, XR XA ก ก ก ก ก 15 ก ( Warrant) ก 30 ก กก 1 (1) ก Ceiling & Floor ก ก A ก 150 Ceiling & Floor 30% = 150 x 0.30 = 45 (Ceiling) = = 195 (Floor) = = 105 (2) ก ก ก ก : ก ก Ceiling & Floor ก ก ก ก ก ก Ceiling & Floor ก 3 IPO Floor ก 0.01 (Warrant) (Derivative Warrant) ก (Transferable Subscription Right : TSR) Ceiling & Floor IPO + (100% x Underlying x Exercise ratio) Page 13 of 28
14 (3) ก Ceiling & Floor ก XD ก A ก 150 ก 2 = ก - = = 148 Range 30% = 148 x 0.30 = Ceiling = = Ceiling = 192 Floor = = Floor = 104 (4) ก ก ก ก XA ก XA ก ก ก XD XR ก ก XD XR 6 ก A ก 150 ก 1 2 : 3 10 ก A ก กก ก = [( ก - ) x ] + ( x )] + = [(150-1) x 2] + (10 x 3) /(2 + 3) = Ceiling & Floor 30% Range 30% = x 0.30 = Ceiling = = Ceiling = Floor = = Floor = (5) ก ก ก ก ก ก 15 ก ก ก SP ก ก ก 15 ก ก ก Ceiling & Floor ก ก ก ก ก ก ก ก ก ก ก 15 ก ( ก ก ) ก ก Ceiling & Floor ก ก ก ก ก ก ก ก ก ก Page 14 of 28
15 (6) ก Ceiling & Floor Warrant ก ABC ก 15 ก ABC-W ก 5 ก ก 1 Warrant: 1.2 Range 30% Underlying Stock Warrant = (15 x 0.30) x 1.2 = 5.4 ก ABC-W = 5 (Ceiling) = = (Floor) = = (0.40) 0.01 (Spread) ก ก ก ก AOM ก ก 3 ก ก ก ก ก ก ก ก ก ก ก (ETF) 0.01 ก Page 15 of 28
16 6) 2 : : ก ก ก ก ก (Trading Administration) : ก ก ก ก ก ก ก ก ก ก ก ก / ก ก ก ก ก ก Scila Surveillance System Scila Surveillance System ก ก ก ( Real Time) (Equity), (Derivative Product ), (Commodities,, ก ก ) ก ก ก ก ก Module ก Module 1. Market Summary : ก ก ก ก ก ก / Real Time (Replay) ก ก ก ก,,, ก, ก ก ก (Market ) (Asian link) 2. Alert : ก ก / ก ก ก Alert ก ก ก ก ก ก ก ก ก parameter ก 3. Replay : ก ก ก ก ก / ก ก /ก ก 4. Report : ก ก / ก ก ก ก ก ก ก ก ก (Deal) (Order) Page 16 of 28
17 12 7) 12 : ก : ก ETF กก ETF ก ก ก ก ก ก กก ETF ก ก ก 4 ก 1. ETF (Equity ETF) ETF (Market Capitalization) ETF (Large Cap Stocks ETF) ETF ก (Mid Cap Stocks ETF) ETF ก (Small Cap Stocks ETF) ก ETF ก (Growth Stocks ETF) ETF (Value Stocks ETF) ก ก ETF ETF ก ก 80% ETF ก ก 2. ETF (Bond/Fixed Income ETF) ETF ก ก ก ก ETF ก 16% ETF ก ก ก ก ก ETF ก ก ก ก Toronto Stock Exchange Barclays Global Investors (BGI) ig5 Fund ig10 Fund 3. ETF (Commodity ETF) ETF ก ก ก ก ก ETF ETF ก ก ก ETF ก ETF Securities Gold Bullion Securities Australian Stock Exchange (ASX) 4. ETF ก (Currency ETF) ETF ก ก ก (Single Currency) ก ก ก (Basket of Currencies) European Currency Unit Asian Currency Unit ก ก ก ก ก ก (Foreign Exchange Market FOREX) ETF ก ก ก ก Rydex Investment ก The New York Stock Exchange (NYSE) Euro Currency Trust (FXE) Page 17 of 28
18 8) 13 : : : ก ก ก ( ) ก ( ) Thailand Futures Exchange (TFEX) ก ก TFEX ก ก ก TFEX ก ก ก ก ก TFEX ก SET50 Index Futures, SET50 Index Options, Single Stock Futures, 50 Baht Gold Futures, 10 Baht Gold Futures, 5-Year Government Bond Futures, 3M BIBOR Futures, 6M THBFIX Futures, Silver Futures Brent Crude Oil Futures ก TFEX (Broker) ก TFEX ก ก 13 TFEX ก ก TFEX ก TFEX ก ก ก ก TFEX ก ก ก ( ) ก Thailand Clearing House Co., Ltd. (TCH) ก ก TFEX ก ก ก ก ก ก ก Securities and Exchange Commission (SEC) ก ก ก... ก ก ก ก ก ก ก ก ก Page 18 of 28
19 9) 13 : : ก : ก ก ก ก (Single Stock) ก (Stock Basket) (Stock Index) ก ก ก ก ก กก ก ก ก ก ก TFEX ( ) ก ( ) ก SET50 Index Futures, SET50 Index Options, Single Stock Futures, 50 Baht Gold Futures, 10 Baht Gold Futures 5-Year Government Bond Futures, 3M BIBOR Futures, 6M THBFIX Futures, Silver Futures Brent Crude Oil Futures Page 19 of 28
20 2. ก 2 ก 1) 2 : : ก : ก ก ก ก ก ก ก ก ก ก ก ก ก ก ก (Portfolio) ก ก ก ก cover ก ก ก ก : - 17:00. ก : Trade Report ก ก ก ก ก ก Page 20 of 28
21 1 ก ก ก ก ก / ก (Trade Report Off-hour) ก 1 ก 3 * ก ก ก : ก ก ก ก Automatic Order Matching ( ก ) 1 Firm 2 Firm ก ก (Trade Report Big Lot) Ceiling & Floor ก ก ก ก ก ก ก ( Tender Offer ) ก ก 2. ก ก ก 1 Firm 2 Firm 2.1 ก + 15% ก ก ก 2.2 ก ก 25% ก 25%, 50%, 75% ก ก ก Ceiling & Floor +/- 60% 1 Firm 2 Firm (Trade Report Foreign) 1 ก 3 ก ก ก Page 21 of 28
22 2) 2 : : SETHD (SET High Dividend 30 Index) SETHD (SET High Dividend 30 Index) ก ก ก (Market Capitalization) ก ก 4 ก ก 2554 ก SETHD (SET High Dividend 30 Index) (CMV) ก ก SET High Dividend 30 Index = X 1,000 (BMV) SET High Dividend 30 Index Strategy Index ก ก ก ก ก ก SET Index ก ก ก ก (Market Capitalization Weight) ก (Dividend Yield) ก ก ก ก ก 15 ก ก ก ก ก ก ก ก กก ก ก ก ก 2 ก (1) ก ก ก ก ก ก ก ก ก ก SET50 SET100 Index (Periodic Review of Constituent Companies) ก ก (2) ก ก ก ก (Changes to Constituent Companies) 1, Page 22 of 28
23 3) 2 : : ก ก ก ก ก (Trading administration) : ก ก ก ก ก ก ก ก ก ก (Trading Alert) ก ก ก ก ก ก ก ก ก ก ก ก ก ก Trading Alert List ก ก ก กก ก ก Trading Alert List ก (Website) ก ( ก SETSMART ก 4) 2 : ก ก : ก (Sign) ก ก NC (Non Compliance) ก ST (Stabilization) ก ก ก ก ก Page 23 of 28
24 3. ก ก ก ก 2 ก 1) 2 : : ก ก ก ก ก ก ก ก ก ก ก ก ก ก ก ก 1. ก ก ก (Main Board),,, ก 2. ก ก (Foreign Board), AOM ก ก ก ก ก ก Ceiling & Floor (Spread) ก AOM PT AOM ก ก ก ก 1 ก (Spread) ก ก ก ก ก ก Ceiling & Floor +/- 60% ก ก ก ก PT ก ก (Board Lot) ก ก ก Ceiling & Floor +/- 60% ก ก Page 24 of 28
25 3.ก ก (Big Lot Board),,, ก 4. ก ก (Odd Lot Board),,, ก 1 ก ก ก PT 1 ก ก 3 Ceiling & Floor ก ก ก ก ก ก ก ( Tender Offer) ก ก ก ก ก ก ก ก 1. ก + 15% ก ก ก 2. ก ก 25% ก 25%, 50%, 75% AOM ก ก ก ก ก Ceiling & Floor (Spread) ก ก ก ก, 1 ก ก (ATO, ATC, MP, IOC, FOK Publish Volume) Pre-Opening Page 25 of 28
26 2) 2 : : ก ก ก ก ก ก ก 4. ก ก ก ก ก ก 3) 2 : : ก (Sign) ก ก ก ก XS (Excluding Short-Term Warrants) ก ก ก ก ก 2 ก ก ก ก ก ก กก Page 26 of 28
27 12 4) 12 : ก : ก : ก (Balanced Fund) ก ก ( ก ก ) ก ก ก ก ก ก ก ก ก... ก ก ก ก ก 65 ก 35 ก ก ก ก ก ก ก ก ก ก ก Ceiling Floor ก ก ก กก ก 5) : ก : ก ก ก ก ก ( ก ก ) ก ก ก ก ก ก ก ก ก ก ก ก ก ก ก ก ( กก ) ก ก Page 27 of 28
28 : ก ก ก ก 1. ก. ( ก ก ) 2. ก ( ก ) 1. ก ก 2. ก ก ก 3. ก ก ก 1. ( ก ) 2. ( ) 3. ( ) 4. ( ก ETF ) 1. ก 2. ก ก 3. ก 4. ก ก 5. ก 6. ก 7. ก Page 28 of 28
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