Johannesburg Stock Exchange (JSE)

JSE Limited is the largest stock exchange in Africa. It is an electronic multi-asset–class platform offering trading, clearing, and settlement of cash equities, equity and agricultural derivatives, and interest-rate products.

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Currency: South African cents (ZAc)

Trading Calendars

The JSE’s fully automated electronic trading system is called JSE TradElect. TradElect is operated under licence from the London Stock Exchange. The system was modified to suit the JSE’s specific needs. The JSE operates an order-driven, central order book trading system with opening, intra-day, and closing auctions.

Orders are matched on Price-Visibility-Time Basis. Within a price point, the visible orders have the highest priority over any Hidden Limit orders. Visible orders are executed based on their time priority within the price point.

• Limit Buy/Sell→ShortSell
• Limit-On-Close (LOC) Buy/Sell→ShortSell
• Market Buy/Sell→ShortSell
• Stop Buy/Sell→ShortSell
• Stop Limit Buy/Sell→ShortSell

• Lot Size: 100 shares.
• Tick Size: min. 1.
• Short Sale Rules: short selling is allowed; naked short sells are prohibited.
• Circuit Breakers: JSE has safeguards in place during auction call and continuous trading phases. For more information, please see the most recently available document on the subject.

Orders accumulated during this session will be executed at the uncrossing based on the Volume Maximizing algorithm following any Price Monitoring or Market Order Extensions. Any existing Hidden orders will participate during the uncrossing of the Auction. The opening price of an Instrument will be determined by the first trade. This is the Opening Auction uncrossing trade price. If no opening auction takes place, the first automatic trade price will be the opening price. If no trade happens for an Instrument, there will be no opening price and accordingly, no opening price message will be published.

The closing price is defined by the following auction mechanism.

Auction means an auction conducted in a trading platform with respect to qualifying orders to determine the auction price pursuant to the following process:

• a) The auction price will be the price at which the largest number of shares can be executed
• b) If the volume is maximized at multiple prices then the auction uncrossing price will be the price at which the Order Imbalance is minimized
• c) If the Order Imbalance is minimized at multiple prices then the concept of market pressure will be used
  • In b), if all the prices at which the Order Imbalance is minimized have a buy imbalance, then the highest price will be the auction price
  • In b), if all the prices at which the Order Imbalance is minimized have a sell imbalance, then the lowest price will be the auction price
  • In b), if all the prices at which the Order Imbalance is minimized have buy and sell imbalances, then the highest price out of the buy imbalances and the lowest price out of the sell imbalances will be chosen
  • Order Imbalance will be the difference between the following two quantities:
    • The aggregate quantity of all the Market Buy Orders and all the Limit Buy Orders with prices equal to or greater than the price being considered
    • The aggregate quantity of all the Market Sell Orders and Limit Sell Orders with prices equal to or less than the price being considered
• d) If c) results in two prices, then the auction uncrossing price is determined as follows:
  • If the Dynamic Reference Price is equal to or greater than the highest price, then the highest price is chosen as the auction uncrossing price
  • If the Dynamic Reference Price is equal to or less than the lowest price, then the lowest price is chosen as the auction uncrossing price
  • If the Dynamic Reference Price is between the two prices, then the Dynamic Reference Price will be chosen as the auction uncrossing price

Auction Periods

1. Continuous Trading Session (09:00 – 16:50)

• Regular orders may be entered, amended, and cancelled
• Regular orders will be matched
• All orders entered during this session will be added to the order book
• Regular orders will be matched

2. Intraday Auction Call Session (12:00 – 12:15)

• Orders may be entered, amended, and cancelled
• All orders entered during this session will be added to the order book
• Hidden orders may not be entered, amended, or cancelled
• Orders with ‘GFA’ (Good For Auction) and ‘GFX’ (Good For Intraday Auction) validity tags entered during the continuous trading session will be added to the order book
• Orders will be matched at the end of auction call

3. Closing Auction Call Session (16:50 – 16:59:45)

• Orders may be entered, amended, and cancelled
• All orders entered will be added to the order book
• Hidden orders may not be entered, amended, or cancelled
• Orders with GFA (Good For Auction) validity after the intraday auction call will be added to the order book
• Orders with ATC (At The Close) validity will be added to the order book
• Orders will not be matched

4. Closing Price Publication Session (17:00 – 17:05)

• Orders will not be matched
• Orders may be cancelled
• Orders with validity tags ‘ATC’ (At The Close), ‘OPG’ (At The Opening), ‘GFA’ (Good For Auction), ‘GFX’ (Good For Intraday Auction), ‘IOC’ (Immediate Or cancel), and ‘FOK’ (Fill-Or-Kill) will be rejected
• Orders with validity tags ‘DAY’ (Day), ‘GTD’ (Good Till Date), ‘GTC’ (Good Till Cancel), ‘GTT’ (Good Till Time), or ‘CPX’ (Closing Price Cross) may be amended
• Closing Price will be published

5. Closing Price Cross Session (17:05 – 17:10)

• Market orders entered will be eligible to participate in the closing session, excluding validity tags ‘GFA’ (Good For Auction), ‘GFX’ (Good For Intraday Auction), ‘OPG’ (At the Opening), and ‘ATC’ (At The Close)
• Limit orders with a limit price equal to or better than the published Closing Price with a valid validity tag will be eligible to participate in the crossing session
• No orders may be amended
• All orders (including market orders) entered during this session get a lower priority than orders entered during previous sessions
• Orders will be matched by time priority
• New orders may remain unmatched if there are insufficient orders on the contra side

Order Types: Limit and Market orders will be eligible to participate in the uncrossing.

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