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BURSA TRADE SECURITIES

Presentation to Dealers’ Representatives August – October 2007

Objective of the Slides
Note :

• •

Please print out a copy of the slides as reference material when you attend the Bursa Trade Securities briefing. A webcast of the presentation will be posted on Bursa Malaysia’s website in September 2007

http://www.bursamalaysia.com/website/bm/trading/ bursa_trade.html

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Bursa Trade Securities Presentation

Table of Contents
Overview BT Securities – Trading Features BT Securities - Other Features WinScore Screens Subsequent Release – Other Features Appendix

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Bursa Trade Securities Presentation

Overview
Trends observed: increased growth and competition for domestic liquidity; and increased growth and competition for global liquidity
WHAT INVESTORS WANT? FLEXIBILITY – Easy access to multiple products across multiple markets SPEED – Faster execution CONTROL – Control over trading strategies COST EFFICIENCY WHAT INTERMEDIARIES ARE DOING? GLOBAL ACCESS - Market & Products HIGH FLEXIBILITY & CONNECTIVITY (IT) - International Standard Protocol (FIX/MMTP) - Order Mgmt System - Risk Mgmt System DEREGULATION WHAT EXCHANGES ARE DOING?

TRADING PLATFORM

MARKET ACCESS

PRODUCTS

TOWARDS OPEN ARCHITECHTURE VIA INT’L STANDARD PROTOCOL
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Bursa Trade Securities Presentation

Overview
Malaysia Towards:“ A Developed Exchange”
NEW TRADING PLATFORM BURSA TRADE (BT)

BT Derivatives
– Live Nov ‘06

BT Securities
– Target 4Q ‘07

supports a high velocity market; facilitates a fairer & more orderly market; enables open-access; and is on par with the performance & capabilities of leading exchanges in the developed markets.

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Bursa Trade Securities Presentation

Overview - Benefits of BT Securities
As Is
SPEED & CAPACITY

BT Securities
1,300 orders/second Real-time matching Turn-around time < 2 seconds Transparent pre-opening price 5 best price limits Trading-at-last capability Natural closing price More order types Static & Dynamic Threshold Scalable & Parameterized Open API – DMA ready
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Bursa Trade Securities Presentation

200 orders/second 10 second matching Turn-around time < 3 seconds Pre-opening price not transparent 3 best price limits No trading-at-last phase Closing price = Last done price Market order & Limit order only Fixed Static Threshold Hard-coded No Open API

FLEXIBILITY

FEATURES

Overview - Project Plan
Bursa will be in constant communication with various stakeholders :
June 07 July 07 Aug 07 Sept 07

Briefings /Engagements
Oct 07 Nov 07

Collaterals
Dec 07

System Integration & IUAT

EUAT
EUAT Start EUAT sign-off

Ready
Target Launch End ‘07

Securities Commission Participating Organisations Information Vendors Dealer Representatives / Remisiers
Webcast

Media
FAQ FAQ

Investors
Dec 07

June 07

July 07

Aug 07

Sept 07

Oct 07

Nov 07

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Bursa Trade Securities Presentation

Overview – BT Architecture
AS IS BT Securities

SCORE (OMT) SCORE (DBT)

NSC

TRADING

TCS

SIS

SURVEILLANCE

ARAMIS

MASA Owned & Managed by Bursa

MARKET DATA

DIFF Owned by AEMS Managed by Bursa

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Bursa Trade Securities Presentation

BT Securities: Trading Features

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Bursa Trade Securities Presentation

Market Segments
No changes in current market segments for Securities
Normal Market Odd-Lot Market Buying in Normal Market Buying in Odd Lot Market Direct Business Transaction

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Bursa Trade Securities Presentation

Trading Phases - Summary

Morning Session
Pre Opening Continuous Pre Closing Opening Trading Closing 8.30am 9.00am

Afternoon Session

Trading At Last

Pre Opening Continuous Pre Closing Trading Opening Trading Closing At Last 2.00pm 2.30pm 2.30pm 4.45pm 4.50pm 4.50pm

LUNCH
10

9.00am 12.15pm 12.20pm 12.20pm

to 12.30pm

to 5.00pm

Bursa Trade Securities Presentation

Pre-Opening Phase
BENEFITS OF TOP DURING PRE OPENING • Orders can be entered, modified and deleted. • No matching of orders & quotes. • Theoretical opening price (TOP) of each instrument is dynamically calculated. • Information is broadcast to market based on orders & quotes in order book • Allows market to understand demand & supply conditions. • Allows market to find natural price level as opposed to last trading session’s price as a reference to start trading. • Allows investor to gauge market and price to be traded at opening. • Useful for IPOs

Pre - Opening Continuous Pre - Closing Opening Opening Trading Closing

Trading Lunch Pre - Opening At Last Opening

Continuous Pre - Closing Trading Closing

Trading At Last

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Bursa Trade Securities Presentation

Pre Opening Phase
Current Securities Model Order Entry & Maintenance Order Matching Theoretical Opening Price Proposed New Model

Timing 0830-0900 1400-1430

X X

X

Pre - Opening Continuous Pre - Closing Opening Trading Closing

Trading Lunch Pre - Opening At Last Opening

Continuous Pre - Closing Trading Closing

Trading At Last

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Bursa Trade Securities Presentation

Matching Mechanism: TOP/TCP Algorithm Matching Mechanism: TOP/TCP Algorithm
Current Securities Model

Theoretical Pricing Algorithm for Pre Opening and Pre Closing:
1. The theoretical opening price (TOP) is the price that maximizes the number of shares traded. If there are more than 1 prices based on Rule 1*, the TOP will be based on the one with minimize the number of unfilled shares.

Proposed New Model

X X X

2.

3(i) If there are still more than 1 prices based on Rule 2* and the imbalance of unfilled shares is on the buy side, the TOP will be the highest price therein. 3(ii) If there are still more than1 prices based on Rule 2* and the imbalance of unfilled shares is on the sell side, the TOP will be the lowest price therein. 4. Otherwise the TOP used is the price closest to the reference price
* Rule 1 – 3 : Refer to Appendix 13
Bursa Trade Securities Presentation

Best Buy/Sell Screen during Pre-Opening Best Buy/Sell Screen during Pre-Opening
Best Buy/Sell (XYZ)
B/Qty 34,600 49,700 8,000 16,400 5,400 Buy 3.04 3.00 2.99 2.98 2.97 Sell 3.04 3.06 3.08 3.10 3.12 S/Qty 32,700 1,900 16,900 8,500 21,650

TOP = RM3.04
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Bursa Trade Securities Presentation

WinScore Screen

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Bursa Trade Securities Presentation

Opening Phase
BENEFITS • Matching is based on price and time priority. • Time priority instead of randomised algorithm. • Time priority is a fairer method. Derivatives also uses time priority. • Streamline Securities and Derivatives matching methods.

• Opening price is last TOP calculated before matching. • Opening price & quantity of contract matched are broadcast. • At end of Opening Auction period, system will automatically move to Continuous Trading. • If no matching can be done at opening, price of first trade occurring in main trading session is designated as the opening price.

Pre - Opening Continuous Pre - Closing Opening Trading Closing

Trading Lunch Pre - Opening Continuous Pre - Closing At Last Opening Trading Closing

Trading At Last

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Bursa Trade Securities Presentation

Opening Phase
Current Securities Model Proposed New Model

Timing 0900 1430

Opening Price

No Indicator

Indicator-Theoretical Opening Price (TOP)

Pre - Opening Continuous Pre - Closing Opening Trading Closing

Trading Lunch Pre - Opening Continuous Pre - Closing At Last Opening Trading Closing

Trading At Last

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Bursa Trade Securities Presentation

Continuous Trading Phase
• • • • • • Orders can be entered, modified and deleted. Trading takes place on a continuous basis. Each incoming order are checked immediately for possible execution. Unexecuted portion of such order is added to the order book. Matched trades can be viewed on Broker Front End. Matching will be based on Price and Time Priority. BENEFITS • Continuous Matching • Increase liquidity • Align with the practices of other major markets. • Streamline Securities and Derivatives trading mechanisms.

Pre - OpeningContinuous Pre - Closing Opening Trading Closing

Trading Lunch Pre - Opening Continuous Pre - Closing At Last Opening Trading Closing

Trading At Last

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Bursa Trade Securities Presentation

Continuous Trading Phase

Timing 0900-1215 1430-1645

Current Securities Model Order Entry & Maintenance Order Matching
10-second continuous auction

Proposed New Model

Continuous

Pre - OpeningContinuous Pre - Closing Opening Trading Closing

Trading Lunch Pre - Opening Continuous Pre - Closing At Last Opening Trading Closing

Trading At Last

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Bursa Trade Securities Presentation

Price Determination – Continuous Trading Current SCORE (Sell Side)
Price Determination Rules in Current Market:
current Last Done

Current
BUY SELL

Price 3.00

Market Order 500 lots
OR

Limit Order 2.90 100 lots Limit Order 3.00 100 lots Limit Order 3.10 100 lots

EARLIER ENTRY

Limit Order 3.10 500 lots

300 lots done at Price 3.10

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Bursa Trade Securities Presentation

Price Determination – Continuous Trading Bursa Trade (Sell Side)
Price Determination Rules in Continuous Trading (in addition to the price/time priority rules): current Last Done Bursa Trade
BUY SELL
Price 3.00

Market Order 500 lots
OR

Limit Order 2.90 100 lots Limit Order 3.00 100 lots Limit Order 3.10 100 lots

100 lots done at
EARLIER ENTRY

RM 2.90 100 lots done at RM 3.00 100 lots done at RM 3.10

Limit Order 3.10 500 lots

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Bursa Trade Securities Presentation

Price Determination – Continuous Trading Current SCORE (Buy Side)
Price Determination Rules in Current Market:
current Last Done

Current
BUY SELL

Price 2.97

Limit Order 3.00 100 lots Limit Order 2.98 100 lots Limit Order 2.97 100 lots

Market Order 500 lots
OR

EARLIER ENTRY

300 lots done at Price 2.97

Limit Order 2.97 500 lots

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Bursa Trade Securities Presentation

Price Determination – Continuous Trading Bursa Trade (Buy Side)
Price Determination Rules in Continuous Trading (in addition to the price/time priority rules):
current Last Done

Bursa Trade
BUY
100 lots done at RM 3.00
EARLIER ENTRY

Price 2.97

SELL

Limit Order 3.00 100 lots Limit Order 2.98 100 lots Limit Order 2.97 100 lots

Market Order 500 lots
OR

100 lots done at RM 2.98 100 lots done at RM 2.97

Limit Order 2.97 500 lots

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Bursa Trade Securities Presentation

Pre-Closing Phase
BENEFITS • Allows market to find natural closing price at end of day when trading activities tend to surge. • When combined with closing price auction (ie the next phase), this will mitigate price manipulation of last done price.

• Starts immediately after end of continuous trading phase. • Order entry performed by members-automatically updated in order book without giving rise to trades. • Theoretical closing price (TCP) is calculated each time a new order is entered into the order book. • TCP is published.

Pre - Opening Continuous Pre - Closing Opening Trading Closing

Trading Lunch Pre - Opening At Last Opening

Continuous Pre - Closing Trading Closing

Trading At Last

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Bursa Trade Securities Presentation

Pre Closing Phase
Current Securities Model Order Entry & Maintenance Order Matching Theoretical Closing Price Proposed New Model

Timing 1215-1220 1645-1650

X X X X

Pre - Opening Continuous Pre - Closing Opening Trading Closing

Trading Lunch Pre - Opening At Last Opening

Continuous Pre - Closing Trading Closing

Trading At Last

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Bursa Trade Securities Presentation

Closing Phase
BENEFIT • • Same as Opening Auction. Closing price for securities traded for day is defined in this phase. If no price is issued in this phase, closing price shall be last traded price during main trading session. In event of no trading quotation during Trading Day, closing price is last known traded price. Closing price will not be easily manipulated.

Pre - Opening Continuous Pre - Closing Opening Trading Closing

Trading Lunch Pre - Opening At Last Opening

Continuous Pre - Closing Trading At Last Trading Closing

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Bursa Trade Securities Presentation

Closing Phase
Current Securities Model Proposed New Model
Last Theoretical Closing Price (TCP)

Timing 1220 1650

Closing Price

Last done price

Pre - Opening Continuous Pre - Closing Opening Trading Closing

Trading Lunch Pre - Opening At Last Opening

Continuous Pre - Closing Trading Trading Closing At Last

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Bursa Trade Securities Presentation

Trading At Last Phase

• Only applicable to Securities Market. • Orders can be entered & matched at closing price only.

BENEFITS • Increase liquidity. • Provides a last call opportunity for traders to close positions. • Gives credibility to last done price (as opposed to current practice where last done price could be based on one or two trades.) • Positive step towards after-hour trading.

Pre - Opening Continuous Pre - Closing Opening Trading Closing

Trading Lunch Pre - Opening At Last Opening

Continuous Pre - Closing Trading At Last Trading Closing

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Bursa Trade Securities Presentation

Trading At Last Phase
Current Securities Model Order Entry & Maintenance Order Matching Proposed New Model

Timing 1220-1230 1650-1700

X X

Pre - Opening Continuous Pre - Closing Opening Trading Closing

Trading Lunch Pre - Opening At Last Opening

Continuous Pre - Closing Trading Trading Trading Closing At Last At Last

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Bursa Trade Securities Presentation

Order Type
Order Type Pre-Opening / Pre-Closing Continuous Trading Trading At Last

Limit Order Market Order

X

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Bursa Trade Securities Presentation

BT Securities: Other Features

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Bursa Trade Securities Presentation

Trading Status of a Securities
Current Securities Model
Trading status of a securities • Open • Suspended

Proposed New Model
Trading status of a securities • Open • Suspended • Reserved • Frozen

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Bursa Trade Securities Presentation

Reserve State
• •
Order entry, modification and cancellation are permitted for the securities The current trading status for the securities is automatically changed to ‘Reserved’ when the following occurs Market order cannot be fully executed Potential match price is outside static threshold during pre-opening Market-on-Opening has no counterpart

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Bursa Trade Securities Presentation

Odd Lot Market
Current Securities Model Proposed New Model

Order Type Order Validity Matching Mechanism Price Limit Control

All or None

Allow Partial Matching

Good for Day

Good for Session

Time Priority

Price/Time Priority

None

Yes

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Bursa Trade Securities Presentation

Direct Business Transaction (DBT)
Current System • Not able to provide realtime VWAP (Previous VWAP Price
- Pvwap)

BT Securities •
Capable of generating realtime VWAP

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Bursa Trade Securities Presentation

Market Timing - Securities
Trading Cycles Pre Opening *Opening Auction Continuous Trading Pre Closing *Closing Auction Trading At Last Lunch Pre Opening *Opening Auction Continuous Trading Pre Closing *Closing Auction Trading At Last Normal Market 8:30am 9:00am 9:00am 12:15pm 12:20pm 12:20pm to 12:30pm Lunch 2:00pm 2:30pm 2:30pm 4:45pm 4:50pm 4:50pm - 5:00pm Odd Lot 8:30am 9:00am 9:00am 12:15pm 12:20pm 12:20pm to 12:30pm Lunch 2:00pm 2:30pm 2:30pm 4:45pm 4:50pm 4:50pm - 5:00pm Lunch 1:30pm 2:00pm 2:00pm - 5:00pm Buying In 7:30am 8:30am 8:30am - 12:30pm

*Switch over to next phase is instantaneous upon completion of this phase Not applicable to Direct Business Trades as these are off market transaction.
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Bursa Trade Securities Presentation

BT Securities: WinScore Screens

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Bursa Trade Securities Presentation

Current Market Segment

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Bursa Trade Securities Presentation

Enhanced WinScore (Normal Market)

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Bursa Trade Securities Presentation

Enhanced WinScore (Odd Lot)

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Bursa Trade Securities Presentation

Enhanced WinScore (Buying-in Market)

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Bursa Trade Securities Presentation

Enhanced WinScore (DBT Market)

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Bursa Trade Securities Presentation

BT Securities: Other Features in Subsequent Releases

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Bursa Trade Securities Presentation

New Market Order Types & Trading Conditions
BT Securities
New Order Types • Market On Opening (MOO) • Market On Closing (MOC) • Stop Order Execution Condition • Fill And Kill • Fill or Kill • Market to Limit • Iceberg order Validity Condition • Good For Session • Good For Day • Good Till Cancelled • Good Till Date
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Bursa Trade Securities Presentation

Trading Safeguards
Current Securities Model
• ‘Fixed Static Threshold’ - Fixed at 30% or 30 cents
for price lower than RM1.00.

Proposed New Model
• Static Threshold - Designed to detect any major price movement
compared to the Static Reference Price (SRP). - At a defined range above/below the SRP. SRP = Previous day closing price.

• Dynamic Threshold
- Designed to detect and manage large price movements compared to last-done price (Dynamic Reference Price-DRP) - Defined range above/below DRP DRP = Last done price.

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Bursa Trade Securities Presentation

Bursa Trade – Roll-Out & Future Plans
BT Derivatives - 2006 Derivatives Market Trading Model New Trading Phases • Pre-Opening • Opening Auction • Continuous Trading • Pre-Closing • Closing Auction Matching Mechanism: • TOP algorithm • Price/time priority New order types: • Market on Opening • Market To Limit & Minimum Order. Automated Price Limit Mechanism for FCPO, FPKO & FKLI User Defined Strategies New Trading Phases • Pre-Opening • Opening Auction • Continuous Trading • Pre-Closing • Closing Auction • Trading At Last Matching Mechanism • TOP algorithm • Price/time priority Enhanced Information Dissemination 5 best limits. BT Securities - 2007 BT Securities - Subsequent Release(s) Securities Market Trading Model New Order and Execution Type for Equities Market Classification of securities into Liquid and Illiquid / Auction Trading Liquidity Provider Trading Safeguards: Dynamic Range Limits and Static Range Limits

TRADING TRADING

Odd Lot trading allowed partial matching

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Bursa Trade Securities Presentation

THANK YOU

Bursa Central Contact
bursatrade@bursamalaysia.com

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Bursa Trade Securities Presentation

Appendix

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Bursa Trade Securities Presentation

BT Securities: Examples on Trade Matching • TOP/TCP Matching algorithm
• Matching under continuous trading

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Bursa Trade Securities Presentation

Matching Mechanism: TOP/TCP Algorithm Matching Mechanism: TOP/TCP Algorithm
Current Securities Model

Theoretical Pricing Algorithm for Pre Opening and Pre Closing:
1. The theoretical opening price (TOP) is the price that maximizes the number of shares traded. If there are more than 1 prices based on Rule 1, the TOP will be based on the one with minimize the number of unfilled shares.

Proposed New Model

X X X

2.

3(i) If there are still more than 1 prices based on Rule 2 and the imbalance of unfilled shares is on the buy side, the TOP will be the highest price therein. 3(ii) If there are still more than1 prices based on Rule 2 and the imbalance of unfilled shares is on the sell side, the TOP will be the lowest price therein. 4. Otherwise the TOP used is the price closest to the reference price
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Example 1 on TOP Algorithm under Rule 1
The market for ABC immediately before the market opens is:

BUY Order A B C D Qty 45 250 32 19 Price 1.00 1.00 1.02 1.03 Price 1.00 1.00 1.01 1.05

SELL Qty 66 175 36 50 Order E F G H

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Bursa Trade Securities Presentation

Example 1 on TOP Algorithm under Rule 1 (cont’d)
R1 : Determining the Maximum Executable Volume
The principle establishes the price(s) at which maximum volume will be executed
Buy The Cumulative Buy Quantity at any price is the buy quantity at that price plus the sum of the buy quantities at all highest Price. Cumulative Buy Quantity Buy Quantity at Price Price Sell Quantity at Price 50 0 0 36 241 Sell Cumulative Sell Quantity The Cumulative Sell Quantity at any price is the sell quantity at that price plus the sum of the sell quantities at all lowers Price.

0 19 51 51 346

0 19 32 0 295

1.05 1.03 1.02 1.01 1.00

327 277 277 277 241

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Bursa Trade Securities Presentation

Example 1 on TOP Algorithm under Rule 1 (cont’d)
Cumulative Buy Quantity 0 19 51 51 346 Price Cumulative Sell Quantity 327 277 277 277 241 Maximum Executable Volume 0 19 51 51 241 The Executable Volume at each price is the maximum quantity which may be traded at that price .The Maximum Executable Volume overall is highest number in this column. In this example 241 is the Maximum Executable Volume.

1.05 1.03 1.02 1.01 1.00

TOP = RM1.00

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Bursa Trade Securities Presentation

Example 2 on TOP Algorithm Rule 2

The market for XYZ immediately before the market opens is:

BUY Order A B C D Qty 45 60 32 19 5.15 5.15 5.10 5.15 Price Price

SELL Qty 66 50 42 35 Order E F G H

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Bursa Trade Securities Presentation

Example 2 on TOP Algorithm under Rule 2 (cont’d)
R1 : Determining the Maximum Executable Volume
The principle establishes the price(s) at which maximum volume will be executed
Buy The Cumulative Buy Quantity at any price is the buy quantity at that price plus the sum of the buy quantities at all highest Price. Cumulative Buy Quantity Buy Quantity at Price Price Sell Quantity at Price 0 35 42 116 Sell Cumulative Sell Quantity The Cumulative Sell Quantity at any price is the sell quantity at that price plus the sum of the sell quantities at all lowers Price.

105 156 156 156

105 51 0 0

MO 5.15 5.10 MO

193 193 158 116

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Bursa Trade Securities Presentation

Example 2 on TOP Algorithm under Rule 2 (cont’d)

Cumulative Buy Quantity 105 156 156 156

Price

Cumulative Sell Quantity 193 193 158 116

Maximum Executable Volume 105 156 156 116

MO 5.15 5.10 MO

The Maximum Executable Volume at each price is the maximum quantity which may be traded at that Price .The Maximum Executable Volume Overall is highest number in this column. In this example 156 is the Maximum Executable Volume.

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Bursa Trade Securities Presentation

Example 2 on TOP Algorithm under Rule 2 (cont’d)
R2 : Establishing the Minimum Surplus
The second principle ascertains the eligible price levels at which the unfilled or unmatched quantity is a minimum. The quantity of shares left in the market at the auction price should always be the lowest possible.
Cumulative Buy Quantity 105 156 156 156 Price Cumulative Sell Quantity 193 193 158 116 Maximum Executable Volume 105 156 156 116 (-) 37 (-) 2 Minimum Surplus (CBQ-CSQ)

MO 5.15 5.10 MO

Ignoring the positive and negative signs, the lowest amount displayed in this column is 2. The minimum surplus is 2.

TOP = RM 5.10

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Example 3 on TOP Algorithm under Rule 3
Example 3: The market for CZY immediately before the market opens is:

BUY Order A B C D E F G Qty 45 250 32 18 497 80 164 Price 3.10 3.08 3.08 3.04 3.00 2.99 2.98 Price 2.98 2.98 2.99 3.00 3.06 3.08 3.10

SELL Qty 66 50 36 175 20 169 84 Order H I J K L M N

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Bursa Trade Securities Presentation

Example 3 on TOP Algorithm under Rule 3 (cont’d)
R1 : Determining the Maximum Executable Volume
The principle establishes the price(s) at which maximum volume will be executed
Buy The Cumulative buy quantity at any price is the buy quantity at that price plus the sum of the buy quantities at all highest Price. 345 345 842 922 1,086 18 0 497 80 164 3.04 3.02 3.00 2.99 2.98 0 0 175 36 116 327 327 327 152 116 45 327 327 45 282 0 3.10 3.08 3.06 Cumulative Buy Quantity Buy Quantity at Price Price Sell Quantity at Price 84 169 20 Sell Cumulative Sell Quantity The Cumulative sell quantity at any price is the 600 516 347 sell quantity at that price plus the sum of the sell quantities at all lowers Price.

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Bursa Trade Securities Presentation

Example 3 on TOP Algorithm under Rule 3 (cont’d)
Cumulative Buy Quantity 45 327 327 345 345 842 922 1,086 Price Cumulative Sell Quantity 600 516 347 327 327 327 152 116 Maximum Executable Volume 45 327 327 327 327 327 152 116

The Executable volume at each price Is the maximum Quantity which may Be traded at that Price .The Maximum Executable volume Overall is highest Number in this Column. In this example 327 is The Maximum Executable Volume

3.10 3.08 3.06 3.04 3.02 3.00 2.99 2.98

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Bursa Trade Securities Presentation

Example 3 on TOP Algorithm under Rule 3 (cont’d)
R2 : Establishing the Minimum Surplus
The second principle ascertains the eligible price levels at which the unfilled or unmatched quantity is a minimum. The quantity of shares left in the market at the auction price should always be the lowest possible.
Cumulative Buy Quantity 45 327 327 345 345 842 922 1,086 Price Cumulative Sell Quantity 600 516 347 327 327 327 152 116 Maximum Executable Volume 45 327 327 327 327 327 152 116 (-)189 (-)20 (+)18 (+)18 (+)515 Minimum Surplus (CBQ-CSQ) Ignoring the Positive and Negative signs The lowest Amount Displayed in this Column is 18, There are the 3.00 2.99 2.98 Minimum Surplus is 18.

3.10 3.08 3.06 3.04 3.02

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Bursa Trade Securities Presentation

Example 3 on TOP Algorithm under Rule 3 (cont’d)
R3 : Ascertaining where the Market Pressure exists
The third principle involves ascertaining where the market pressure of the potential auction prices exists: on the buy or the sell side. A positive sign (+) indicates a surplus will be left on the buy side, demonstrating buy side pressure at the conclusion of the auction. A negative sign (-) indicates a surplus will remain on the sell side, demonstrating sell side pressure at the conclusion of the auction.
Cumulative Buy Quantity 45 327 327 345 345 842 922 1,086 Price Cumulative Sell Quantity 600 516 347 327 327 327 152 116 Maximum Executable Volume 45 327 327 327 327 327 152 116 (-)188 (-)20 (+)18 (+)18 (+)517 Minimum Surplus (BQ-SQ)

A negative sign (-) indicates the Surplus will Exit on the sell Side A positive sign (+) indicates the Surplus will Exit on the buy side

3.10 3.08 3.06 3.04 3.02 3.00 2.99 2.98

TOP = RM 3.04
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Bursa Trade Securities Presentation

Example 4 on TOP Algorithm under Rule 4
The market for XYZ immediately before the market opens is:

BUY Order A B C D E F G H I J Qty 45 250 32 19 497 80 10 54 9 50 Price 3.10 3.08 3.08 3.04 3.00 2.99 2.98 2.97 2.96 2.95 Price 2.98 2.98 2.99 3.00 3.06 3.08 3.10 3.12 3.14 3.16

SELL Qty 66 50 36 175 19 169 85 216 114 30 Order K L M N O P Q R S T

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Bursa Trade Securities Presentation

Example 4 on TOP Algorithm under Rule 4 (cont’d)
R1 : Determining the Maximum Executable Volume
The principle establishes the price(s) at which maximum volume will be executed
Buy
The Cumulative buy quantity at any price is the buy quantity at that price plus the sum of the buy quantities at all highest Price.

Sell Price Sell Quantity at Price 85 169 19 0 0 175 36 116 Cumulative Sell Quantity
The Cumulative sell quantity at any price is the

Cumulative Buy Quantity

Buy Quantity at Price

45 327 327 346 346 843 923 933

45 282 0 19 0 497 80 10

3.10 3.08 3.06 3.04 3.02 3.00 2.99 2.98

600 515 346 327 327 327 152 116

sell quantity at that price plus the sum of the sell quantities at all lowers Price.

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Bursa Trade Securities Presentation

Example 4 on TOP Algorithm under Rule 4 (cont’d)
Cumulative Buy Quantity 45 327 327 346 346 843 923 933 Price Cumulative Sell Quantity 600 515 346 327 327 327 152 116 Maximum Executable Volume 45 327 327 327 327 327 152 116

3.10 3.08 3.06 3.04 3.02 3.00 2.99 2.98

The Executable volume at each price Is the maximum Quantity which may Be traded at that Price .The Maximum Executable volume Overall is highest Number in this Column. In this example 327 is The Maximum Executable Volume

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Bursa Trade Securities Presentation

Example 4 on TOP Algorithm under Rule 4 (cont’d)
R2 : Establishing the Minimum Surplus
The second principle ascertains the eligible price levels at which the unfilled or unmatched quantity is a minimum. The quantity of shares left in the market at the auction price should always be the lowest possible.
Cumulative Buy Quantity 45 327 327 346 346 843 923 933 Price Cumulative Sell Quantity 600 515 346 327 327 327 152 116 Maximum Executable Volume 45 327 327 327 327 327 152 116 (-)188 (-)19 (+)19 (+)19 (+)516 Minimum Surplus (CBQ-CSQ) Ignoring the Positive and Negative signs The lowest Amount Displayed in this Column is 19, 3.00 2.99 2.98 There are the Minimum Surplus is 19.

3.10 3.08 3.06 3.04 3.02

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Bursa Trade Securities Presentation

Example 4 on TOP Algorithm under Rule 4 (cont’d)
R3 : Ascertaining where the Market Pressure exists
The third principle involves ascertaining where the market pressure of the potential auction prices exists: on the buy or the sell side. A positive sign (+) indicates a surplus will be left on the buy side, demonstrating buy side pressure at the conclusion of the auction. A negative sign (-) indicates a surplus will remain on the sell side, demonstrating sell side pressure at the conclusion of the auction.
Cumulative Buy Quantity 45 327 327 346 346 843 923 933 Price Cumulative Sell Quantity 600 515 346 327 327 327 152 116 Maximum Executable Volume 45 327 327 327 327 327 152 116 (-)188 (-)19 (+)19 (+)19 (+)516 Minimum Surplus (BQ-SQ)

A negative sign (-) indicates the Surplus will Exit on the sell Side A positive sign (+) indicates the Surplus will Exit on the buy side

3.10 3.08 3.06 3.04 3.02 3.00 2.99 2.98

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Bursa Trade Securities Presentation

Example 4 on TOP Algorithm under Rule 4 (cont’d)
R4: Consulting the Reference Price
The fourth and final principle determines an auction price from the range of prices established in Principle 3 on the basis of their proximity to a reference price

In our example, if the algorithm was being used to determine the morning auction price for XYZ, and the previous trading day's closing price was RM3.04 or lower, then the official auction price for XYZ would be established at RM3.04. If the previous trading day's closing price was RM3.06 or higher, then the official auction price for XYZ would be RM3.06. For this example, we will assume the previous trading day's closing price was RM3.04, therefore, the official auction price is RM3.04.

TOP = RM3.04

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BT Securities: Price Determination under
Continuous Trading

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Bursa Trade Securities Presentation

Price Determination - Continuous Trading
Price Determination Rules in Continuous Trading (in addition to the price/time priority rules): Rule 1: If an incoming Market Order or Limit Order meets an order book in which there are only Limit Orders on the other side, then the incoming Order is executed : With respect to non-executed sell orders - at the lowest sell limit. With respect to non-executed buy orders - at the highest buy limit.

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Bursa Trade Securities Presentation

Price Determination - Continuous Trading
Price Determination Rules in Continuous Trading (in addition to the price/time priority rules):
current Last Done SCORE RM 3.30

Example 1 Rule 1:
BUY SELL

Price 3.30

Limit Order 3.00 Market Order OR Limit Order 4.00 Limit Order 3.02 Limit Order 3.30 Limit Order 4.00
New Last Done Price 3.00
EARLIER ENTRY

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Bursa Trade Securities Presentation

Price Determination - Continuous Trading
Price Determination Rules in Continuous Trading (in addition to the price/time priority rules):
current Last Done SCORE

Example 2 Rule 1:
BUY
New Last Done Price 3.00
EARLIER ENTRY

Price 2.80

RM 2.80

SELL

Limit Order 3.00 Limit Order 2.99 Limit Order 2.80 Limit Order 2.70 Market Order OR Limit Order 2.10

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Bursa Trade Securities Presentation

Price Determination - Continuous Trading
Price Determination Rules in Continuous Trading (in addition to the price/time priority rules): Rule 2: If an incoming Market Order meets an order book in which there are only Market Orders on the other side, then the incoming Market Order is executed : at the reference price = as general rule, reference price is the last automated trade. If this is not available (e.g. due to a long period of suspension), Bursa Malaysia will determine it.

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Bursa Trade Securities Presentation

Price Determination - Continuous Trading
Price Determination Rules in Continuous Trading (in addition to the price/time priority rules): Example 1 Rule 2:
SCORE
Last Done Price

BUY

SELL

Market Order

Market Orders

Last Done Price

If no trade, Last Done Price = Last Adjusted Closing Price
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Bursa Trade Securities Presentation

Price Determination - Continuous Trading
Price Determination Rules in Continuous Trading (in addition to the price/time priority rules): Example 2 Rule 2: BUY SELL
SCORE
Last Done Price

Market Orders

Market Order

Last Done Price

If no trade, Last Done Price = Last Adjusted Closing Price
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Bursa Trade Securities Presentation

Price Determination - Continuous Trading
Price Determination Rules in Continuous Trading (in addition to the price/time priority rules): Rule 3(i): If an incoming Market Order meets an order book in which there are Market Orders and Limit Orders on the other side, then the incoming Market Order is executed against the Markets Orders in accordance with the Price/Time Priority: With respect to non-executed sell orders - at the Reference Price or lower (at the lowest limit of the executable orders). With respect to non-executed buy orders - at the Reference Price or higher (at the highest limit of the executable orders).

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Bursa Trade Securities Presentation

Price Determination - Continuous Trading
Price Determination Rules in Continuous Trading (in addition to the price/time priority rules): Example 1 Rule 3 (i): Market Order Market Order 2 Limit Order 3.30 Limit Order 3.40
BUY
current Last Done Price 3.40 SCORE RM 3.40

SELL

Market Order 1
EARLIER ENTRY

New Last Done Price price 3.30
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Bursa Trade Securities Presentation

Price Determination - Continuous Trading
Price Determination Rules in Continuous Trading (in addition to the price/time priority rules): Example 2 Rule 3 (i):
EARLIER ENTRY

current Last Done Price 3.14

SCORE RM 3.14

BUY

SELL

Market Order 1 Market Order 2 Limit Order 3.24 Limit Order 3.20 Market Order
Last Done Price price 3.24
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Bursa Trade Securities Presentation

Price Determination - Continuous Trading
Price Determination Rules in Continuous Trading (in addition to the price/time priority rules): current Last Done Example 3 Rule 3 (i): Market Order
Price 3.40 SCORE RM 3.40

BUY

SELL

Market Order 1
EARLIER ENTRY

Market Order 2 Limit Order 3.44 Limit Order 3.50

New Last Done Price price 3.40
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Bursa Trade Securities Presentation

Price Determination - Continuous Trading
Price Determination Rules in Continuous Trading (in addition to the price/time priority rules): Example 4 Rule 3 (i):
EARLIER ENTRY

current Last Done Price 3.14

SCORE RM 3.14

BUY

SELL

Market Order 1 Market Order 2 Limit Order 3.10 Limit Order 3.04 Market Order
New Last Done Price price 3.14
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Bursa Trade Securities Presentation

Price Determination - Continuous Trading
Price Determination Rules in Continuous Trading (in addition to the price/time priority rules): Rule 3(ii): If an incoming Limit Order meets an order book in which there are Market Orders on the other side, then the incoming Limit Order is executed against the Markets Orders in accordance with the Price/Time Priority: With respect to non-executed sell orders - at the Reference Price or lower (at the lowest limit of the executable orders). With respect to non-executed buy orders - at the Reference Price or higher (at the highest limit of the executable orders).

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Bursa Trade Securities Presentation

Price Determination - Continuous Trading
Price Determination Rules in Continuous Trading (in addition to the price/time priority rules): current Last Done
Price 3.40

Example 1 Rule 3 (ii):

SCORE

BUY

SELL

RM 3.34

Market Order 1 Limit Order 3.34 Market Order 2

new Last Done Price 3.34
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Bursa Trade Securities Presentation

EARLIER ENTRY

Price Determination - Continuous Trading
Price Determination Rules in Continuous Trading (in addition to the price/time priority rules):
current Last Done Price 3.30 SCORE RM 3.24

Example 2 Rule 3 (ii):

BUY

SELL

Market Order 1
EARLIER ENTRY

Market Order 2 Limit Order 3.24
New Last Done price 3.30
Bursa Trade Securities Presentation

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Price Determination - Continuous Trading
Price Determination Rules in Continuous Trading (in addition to the price/time priority rules): Rule 3(iii):

If an incoming Limit Order meets an order book in which there are Market Orders and Limit Order on the other side, then the incoming Limit Order is executed against the Markets Orders in accordance with the Price/Time Priority: With respect to non-executed sell orders - at the Reference Price or lower (at the lowest limit of the executable orders). With respect to non-executed buy orders - at the Reference Price or higher (at the highest limit of the executable orders).

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Bursa Trade Securities Presentation

Price Determination - Continuous Trading
Price Determination Rules in Continuous Trading (in addition to the price/time priority rules): Example 1 Rule 3 (iii): Limit Order 3.36 Market Order 2 Limit Order 3.30 Limit Order 3.40
BUY
current Last Done Price 3.40 SCORE RM 3.36

SELL

Market Order 1
EARLIER ENTRY

New Last Done Price price 3.30
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Bursa Trade Securities Presentation

Price Determination - Continuous Trading
Price Determination Rules in Continuous Trading (in addition to the price/time priority rules): Example 2 Rule 3 (iii):
EARLIER ENTRY

current Last Done Price 3.14

SCORE RM 3.20

BUY

SELL

Market Order 1 Market Order 2 Limit Order 3.24 Limit Order 3.20 Limit Order 3.20
Last Done Price price 3.24
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Bursa Trade Securities Presentation

Price Determination - Continuous Trading
Price Determination Rules in Continuous Trading (in addition to the price/time priority rules): current Last Done Example 3 Rule 3 (iii): Limit Order 3.44
Price 3.40 SCORE RM 3.40

BUY

SELL

Market Order 1
EARLIER ENTRY

Market Order 2 Limit Order 3.44 Limit Order 3.50

New Last Done Price price 3.40
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Bursa Trade Securities Presentation

Price Determination - Continuous Trading
Price Determination Rules in Continuous Trading (in addition to the price/time priority rules): Example 4 Rule 3 (iii):
EARLIER ENTRY

current Last Done Price 3.14

SCORE RM 3.14

BUY

SELL

Market Order 1 Market Order 2 Limit Order 3.10 Limit Order 3.04 Limit Order 3.10
New Last Done Price price 3.14
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Bursa Trade Securities Presentation