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SwissAtMid Matching Rules

Orders in SwissAtMid are executed at the mid-point price of the best bid and offer (PBBO) of the SIX Central Limit Order Book (Primary Exchange) of the respective security at the time of execution.

The mid-point price is the arithmetic mean of the best bid and best offer. Note that for Blue Chip Shares, where the arithmetic mid-point price in SwissAtMid has more than four decimal places, the mid-point price of the execution is rounded up.

For the execution in SwissAtMid, only orders which are "in-limit" are considered. An order in SwissAtMid is considered to be "in-limit" if the limit price of the order is better than the mid-point price of the CLOB (i.e. limit price for buy orders is equal or higher than the mid-point of the CLOB and limit price for sell orders is equal or lower than the mid-point of the CLOB). Market orders are always considered to be "in-limit".

Matching in SwissAtMid is based on the size-time priority. This principle means that the "in-limit" orders with the larger order quantity shall be executed first. Relevant for the size-time priority is the original order quantity at the time the order entered the mid-point order book. The original order quantity is relevant for the entire lifetime of the order even if the was order partially executed. In case the order quantity is updated, the new quantity entered is relevant for the size-time priority. For orders with the same quantity, the order received first shall also be executed first.

In SwissAtMid, transactions (matching cycles) are triggered:

  • by an incoming "in-limit" order which can be executed with orders on the opposite side of the mid-point order book to the extent the quantity allows it; or
  • if the mid-point price of the respective security has changed in the CLOB
  • if a trading interruption in CLOB or MPOB is lifted

If an incoming order is not or is only partially executed, it is placed in the mid-point order book; other order validities or routing instructions remain reserved.