Participants and end users are advised that before market open (9.50am) on Monday 31 August 2020, ASX will change the Anomalous Order Threshold (AOT) calculation methodology for the SPI 200 futures contracts. The AOT methodology change is to reduce the calculation frequency and dissemination of the reference price from 30 seconds to 15 seconds. Please note there is no change to the 50bpts range or the 30 second VWAP period currently used.

ASX is making this change following market feedback on the SPI futures AOT, and further internal analysis. It was concluded that an adjustment to the parameters for the AOT on SPI futures would be helpful in volatile market conditions, allowing the market to move more quickly and thereby reducing the rejection of legitimate orders.  At the same time, the adjusted parameters will ensure that genuinely anomalous orders will still be rejected.

The AOT Reference Prices and ranges are disseminated to market via the ASX 24 MDP and FIX Market Data feeds.  The specifications are:

• Market Data Protocol (ITCH) Specification - refer to section 4.7.6, at page 51 https://www.asx.com.au/documents/products/asx-market-data-protocol-specification.pdf
• FIX Market Data Specification - refer to Tag 269 on page 28, valid values u,v,w  https://www.asx.com.au/documents/products/asx-fix-market-data-specification.pdf

The ASX 24 Operating Rules Procedures reflecting this change will be released closer to the go-live date.

What do I need to do by when?

Participant are advised that the ASX Test environment is available now, reflecting the AOT changes on SPI futures, for those who wish to conduct any testing before production go-live.

If you have any questions in relation to the above mentioned changed please contact Gregory Pill (details below).

Need more information?

Issued by

Gregory Pill – Head of Equity Derivative Products

Contact information

Gregory Pill
Phone: +61 (02) 9227 0696
Email: greg.pill@asx.com.au

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