Order book
The order book is in stock exchange trading one of the stockbroker , lead brokers or specialists run directory of all to a certain securities present securities orders .
General
An order book is the basis for determining the price of the securities traded on a stock exchange , with the stock market price being determined electronically today and executable orders being executed automatically. However, this electronic determination requires the data to be recorded by authorized persons, i.e. stockbrokers, lead brokers or specialists.
species
The transparency of the order book describes the extent of the information that market participants receive from the merging of the securities orders. The open order book is visible to all trading participants. There are also order books that are only partially visible or only visible to certain groups of people, such as the order book for iceberg orders . Only a small part of the registered herein orders, the "tip" ( English peak ) is generally visible to them. There is a permanently closed order book for block trading ("Xetra XXL") that has existed on the Frankfurt Stock Exchange since February 2001 and has a minimum size of 3 million to 7 million euros per order . A closed order book is therefore present if no information about the order flow is published.
procedure
An order book is kept for each individual traded security. In the order book all securities orders by price and date of entry are registered, which for later merge ( english matching is) important. As soon as the order is entered in the order book by the lead broker or specialist, the electronic trading system assigns a time stamp and a transaction number. Every trading participant concerned is informed by the system about the successful inclusion in the order book. The order book is usually open during continuous trading, and all orders are cumulative (summary of identical orders) displayed at the respective price limit . A limit control system permanently monitors the limits in the order book for feasibility. With the help of of market makers submitted tradable bid and ask prices, so-called quotes , is the lead broker or QLP ( English Quality and Liquidity Provider ) or a fully electronic system, these quotes against the bid and ask prices of orders, thus determining a market price.
In the case of "matching", the trading system combines the buy and sell orders according to the principle of highest execution to form a uniform stock exchange price, at which the largest stock exchange turnover is traded with the smallest surplus on the buy ( demand surplus ) or sell side ( supply surplus ) ( quoted at the equilibrium price ) . In addition, course continuity must be maintained so that excessive course jumps (which must be reported in advance with a plus / minus announcement) are avoided. The order book is closed in both pre- trading and post- trading.
Electronic registration
Since July 2002, for example, in accordance with Section 28 BörsG in Germany, the lead broker has had to work towards an orderly market development and to carry out lead brokerage neutrally. The task of a lead broker is in the detection of market-driven stock prices from his supervised Skontro . His order book is part of an electronic trading system in which the lead broker enters all existing orders for a security. He has to take appropriate organizational measures to ensure compliance with his duties. When determining the price, he must act without instructions. The lead broker must treat all orders present at the time of price determination equally when they are executed, taking into account the special regulations existing on the exchange.
In May 2011, the lead brokers in floor trading on the Frankfurt Stock Exchange were replaced by specialists for the XETRA electronic trading system with modified tasks. Specialists are employees of credit institutions who monitor the execution of securities orders on the floor exchange. A specialist is responsible for each security, who records all orders in the electronic order book and initiates the price determination by the XETRA trading venue.
Order book turnover
The total value of a security traded in a certain period is called the order book turnover. This is a measure of market liquidity and market depth as well as the activity of a security. The order book turnover serves as a criterion e.g. B. for inclusion in the DAX or the classification in Xetra trading . A more common international synonym for the term order book turnover is the trading volume , an aggregate of all order books.
Order book for securities issues
The order book is also a directory maintained by a bank consortium , in which each subscriber is entered with the subscription amount, subscription price and subscription date for securities issues. In the case of the bookbuilding process , the order book is managed centrally by the bookrunner (hence the name “Bookrunner”), in the case of the fixed price process, it is managed locally by each individual syndicate bank . The order book is closed after the subscription period has expired and then provides the bank with an overview of current demand and - in the case of bookbuilding - also an assessment of the price elasticity of the subscribers and regional subscription preferences. In the case of bookbuilding, the order book forms the basis for pricing, as the issue price can be determined using the subscription volumes associated with price limits, just like on the stock exchange.
Materials management
In materials management , the order book contains all order sources for the procurement of production or office supplies .
Individual evidence
- ↑ Springer Fachmedien Wiesbaden (ed.), Compact Lexicon Economy , 2014, p. 415
- ↑ Springer Fachmedien Wiesbaden (ed.), Compact Lexicon Economy , 2014, p. 514
- ↑ a b Jochen Klement: Credit Risk Trading, Basel II and internal markets in banks . 2007, p. 333.
- ↑ Dirk Glebe: Understanding the Stock Exchange . 2008, p. 93.
- ↑ Robert von Heusinger : The block trading model on XETRA has a future. In: Börsen-Zeitung , March 1, 2001, p. 3.
- ↑ Mike Rinker, Conclusion of Contract in the Exchange Electronic Trading System , 2003, p. 43
- ↑ Springer Fachmedien Wiesbaden (ed.), Compact Lexicon Economy , 2014, p. 501
- ↑ Springer Fachmedien Wiesbaden (ed.), Compact Lexicon Economy , 2014, p. 514
- ↑ Börse Frankfurt.de, The procedure for index adjustments
- ↑ Börse Frankfurt.de, order book turnover and XLM count
- ^ Bernd Rudolph : Corporate Finance and Capital Market. Mohr Siebeck, Tübingen 2006, p. 301; ISBN 3-16-147362-0
