| Article 1 |
These Rules are adopted under Article 38, paragraph 5 of the Operating Rules of the Taiwan Futures Exchange Corporation ("TAIFEX") to enhance the stability of market prices.
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| Article 2 |
For the purposes of these Rules, "Dynamic Price Banding Mechanism" (hereinafter, "DPBM") means the mechanism by which the TAIFEX rejects new orders for trading of applicable contracts in accordance with the provisions of these Rules.
These Rules are applicable to the following contracts:
- TAIFEX Taiwan Stock Exchange Stock Index (TAIEX) Futures Contracts.
- TAIFEX Mini-TAIEX Futures Contracts.
- TAIFEX Taiwan Stock Exchange Electronics Sector Index Futures Contracts.
- TAIFEX Taiwan Stock Exchange Banking and Insurance Sector Index Futures Contracts.
- TAIFEX Taiwan Stock Exchange NonFinance NonElectronics Sub-Index Futures Contracts.
- TAIFEX FTSE/TWSE Taiwan 50 Index Futures Contracts.
- TAIFEX Taipei Exchange Stock Index Futures Contracts.
These Rules apply to single orders for trading of contracts under the preceding paragraph and to combination orders for simultaneous trading of different expiration months of the contracts.
These Rules do not apply to call auction trading, block trades, and implied orders deriving from combination orders.
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| Article 3 |
When the TAIFEX generates the price determined for a new order under Article 38, paragraph 3 of its Operating Rules, the order will be rejected in any of the following circumstances:
- The determined price for a newly entered buy order is above the upper limit of the dynamic price band.
- The determined price for a newly entered sell order is below the lower limit of the dynamic price band.
- No determined price can be generated for part or the whole of a newly entered buy order, due to depletion of counterparty sell orders for trade execution, and the bid price of the newly entered buy order is above the upper limit of the dynamic price band.
- No determined price can be generated for part or the whole of a newly entered sell order, due to depletion of counterparty buy orders for trade execution, and the ask price of the newly entered sell order is below the lower limit of the dynamic price band.
For a newly entered order in any of the circumstances under subparagraphs 1 to 4 of the preceding paragraph, unless the order is specified as a fill-or-kill order, if, in the case of a buy order, one or more determined prices for part of the order are not above the upper limit of the dynamic price band, or, in the case of a sell order, one or more determined prices for part of the order are not below the lower limit of the dynamic price band, then the order may be executed in part, with the remaining unexecuted portion being rejected.
The term "upper limit of the dynamic price band" of the preceding two paragraphs means the base price for the applicable contract plus a variation range; the term "lower limit of the dynamic price band" of the preceding two paragraphs means the base price for the applicable contract minus a variation range.
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| Article 4 |
For single orders, the base prices referred to in Article 3 hereof shall be determined by the following principles:
- The first base price after market opening shall be determined by the following principles:
- The trade price generated by the opening call auction.
- If no trade price is generated by the opening call auction, the opening reference price shall be taken as the first base price.
- The second base price after market opening to the last base price before market closing shall be determined by the following principles:
- The last trade price before the time at which the TAIFEX determines the base price, if the following conditions are satisfied:
- The time lag between the execution of the trade and the determination of the base price does not exceed a certain time period set by the TAIFEX.
- The trade price is within a certain range, set by the TAIFEX, from the mid-price of the effective bid price and the effective ask price. However, if there is no mid-price of the effective bid price and the effective ask price, it must be within a certain range above and below the previous base price.
- If there is no last trade price that satisfies the requirements of the preceding item, the mid-price of the effective bid price and the effective ask price shall be taken as the base price.
- If no base price can be determined pursuant to the preceding two items, the base price shall be determined by the TAIFEX taking account of the price of the underlying index, the estimated index dividend drop points, the prices of relevant domestic and global financial instruments, and other relevant information.
- If the TAIFEX announces a halt of trading due to a malfunction or disruption in its trading system or trading information transmission system or for any other cause after market opening, the first base price upon resumption of trading shall be determined by the following principles:
- The trade price generated by call auction when order matching restarts after resumption of trading (hereinafter, "call-auction trade price).
- If there is no call-auction trade price, the last base price before the halt of trading shall be taken as the first base price upon resumption of trading.
For the purposes of subparagraph 2 of the preceding paragraph, the "mid-price of the effective bid price and the effective ask price" means the simple arithmetic average of the volume-weighted average bid and ask price that satisfy the requirements for a certain number of contracts and a certain bid-ask spread ratio, as calculated by the TAIFEX based on the prices and quantities of the best five bid/ask pairs, and the price and quantity of the best one implied bid/ask pair deriving from combination orders, available at the time the TAIFEX determines the base price. The bid-ask spread ratio is equal to the volume-weighted average sell price divided by the volume-weighted average buy price, minus one.
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| Article 5 |
The base prices for combination trade orders referred to in Article 3 shall be determined by the following principles:
- The first base price after market opening shall be determined by the following principles:
- If there are opening call-auction trade prices of both component contracts of a combination trade order, the opening call-auction trade price of the far contract minus the opening call-auction trade price of the near contract shall be taken as the first base price.
- If there is no opening call-auction trade price of the near contract of a combination trade order, the opening call-auction trade price of the far contract minus the opening reference price for the near contract shall be taken as the first base price; or, if there is no opening call-auction trade price of the far contract, the opening reference price for the far contract minus the opening call-auction trade price of the near contract shall be taken as the first base price.
- If there is no opening call-auction trade price of either component contract of a combination trade order, the opening reference price for the far contract minus the opening reference price for the near contract shall be taken as the first base price.
- The second base price after market opening to the last base price before market closing shall be determined by the following principles:
- The last trade price before the time the TAIFEX determines the relevant base price, if the following conditions are satisfied:
- The time lag between the execution of the trade and the determination of the relevant base price does not exceed a certain time period set by the TAIFEX.
- The trade price is within a certain range, set by the TAIFEX, from the mid-price of the effective bid price and the effective ask price. However, if there is no mid-price of the effective bid price and the effective ask price, it must be within a certain range above and below the previous base price.
- If there is no last trade price that satisfies the requirements under the preceding item, the mid-price of the effective bid price and the effective ask price shall be taken as the base price.
- If no base price can be determined pursuant to the preceding two items, the base price shall be determined by the TAIFEX taking account of the price of the underlying index, the estimated index dividend drop points, the prices of relevant domestic and global financial instruments, and other relevant information.
- If the TAIFEX announces a halt of trading due to a malfunction or disruption in its trading system or trading information transmission system or for any other cause after market opening, the first base price upon resumption of trading shall be determined by the following principles:
- If there are call-auction trade prices of both component contracts of a combination trade order, the call-auction trade price of the far contract minus the call-auction trade price of the near contract shall be taken as the first base price upon resumption of trading.
- If there is no call-auction trade price of the near contract of a combination trade order, the call-auction trade price of the far contract minus the last base price for the near contract before the halt of trading shall be taken as the first base price upon resumption of trading; or, if there is no call-auction trade price of the far contract, the last base price for the far contract before the halt of trading minus the call-auction trade price of the near contract shall be taken as the first base price upon resumption of trading.
- If there is no call-auction trade price of either component contract of a combination trade order, the last base price for the far contract before the halt of trading minus the last base price for the near contract before the halt of trading shall be taken as the first base price upon resumption of trading.
For the purposes of subparagraph 2 of the preceding paragraph, the "mid-price of the effective bid price and the effective ask price" means the simple arithmetic average of the volume-weighted average bid and ask price that satisfy the requirements for a certain number of contracts and a certain bid-ask spread range, as calculated by the TAIFEX based on the prices and quantities of the best five bid/ask pairs available at the time the TAIFEX determines the base price. The bid-ask spread range is equal to the volume-weighted average sell price minus the volume-weighted average buy price.
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| Article 6 |
The term "variation range" referred to in Article 3 hereof shall be determined in the following manner:
- Variation range for a single order: the most recent closing price of the underlying index multiplied by the variation percentage for single orders.
- Variation range for a combination order: the most recent closing price of the underlying index multiplied by the variation percentage for combination orders.
The variation percentage under the preceding paragraph shall be separately announced, and may be adjusted based on market conditions, by the TAIFEX.
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| Article 7 |
The TAIFEX may announce a temporary suspension of the DPBM in either of the following circumstances:
- If there is a natural disaster, rioting, war, or any other event of force majeure or special circumstance, foreign or domestic, which is likely to affect futures trading on the TAIFEX.
- If an event occurs that affects the normal operation of the TAIFEX DPBM.
Upon the temporary suspension of the DPBM for a cause under the preceding paragraph, the TAIFEX may announce resumption of the DPBM after the cause ceases to exist.
The TAIFEX may announce an adjustment to the variation percentage in either of the following circumstances:
- When the volatility indicator for futures trading reaches a certain standard set by the TAIFEX.
- When an event occurs under paragraph 1, subparagraph 1.
The TAIFEX shall make an announcement under the preceding three paragraphs through trading information disclosure channels or media transmission devices.
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| Article 8 |
For matters not provided for in these Rules, the relevant TAIFEX rules shall apply mutatis mutandis.
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| Article 9 |
These Rules, and any amendments hereto, shall be implemented by public announcement after approval and recordation by the Competent Authority.
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