Must be executed at the price specified by the investor’s order or better, so that in the case of a limit bid, execution must not occur at a price higher than the limit set, and in the case of a limit ask, execution must not occur at a price lower than the limit set.
Bids and asks are acts whereby authorized participants manifest their intent to buy or sell assets or derivatives via full trading participants or trading participants under the responsibility of one or more trading participants, registering the terms and conditions with the trading systems.
The following bid and ask types are authorized for registration with the trading system:
- Limit bid or ask
- Market bid or ask
Must be executed at the best price available on the opposite side of the central order book when registered. If not completed filled, the balance is registered at the price of the executed trade.
- Stop bid or ask:
Registered in the central order book when the specified trigger price is reached. If executed, the resulting trade must be at a price between the trigger price and the limit price specified in the bid or ask:
The following rules apply:
- Stop limit bid:
- The trigger price must be higher than the price of the last trade;
- The limit price must be equal to or higher than the trigger price;
- The bid is registered in the central order book at the limit price.
- Stop limit ask:
- The trigger price must be lower than the price of the last trade;
- The limit price must be equal to or lower than the trigger price;
- The ask is registered in the central order book at the limit price.
- When a stop bid or ask is registered in the central order book, it is converted into a limit bid or limit ask;
- Stop bids and asks may not be registered during an auction.
- Market bid or ask with protection
The limit price for execution is the best available price based on the first price level on the opposite side of the central order book at the time of registration plus the protection value for a bid, or minus the protection value for an ask.
- Stop bid or ask with protection
Activated when a trade is matched at a price equal to or higher than the trigger price, with the limit price for execution being the trigger price plus the protection value for a bid, or minus the protection value for an ask. Bid and ask types are available from B3’s portal. In the event of changes to bid and ask types, B3 will inform participants in an external communication.
- Cross orders
Registration of a cross order for assets and/or derivatives is accepted:
Cross orders for assets and options referenced to equities, Ibovespa, IBrX-50 and ETFs are registered only if their price is equal to or higher than the best bid and equal to or lower than the best ask registered in the central order book.
Cross orders for other derivatives are registered only if their price lies between the best bid and the best ask. If the difference between the best bid and the best ask corresponds to tick size, registration of the cross order at a price equal to the best bid or to the best ask is accepted.
B3 may cancel cross orders if their quantity is less than the minimum established by B3 and posted on its portal.
B3 may authorize the registration of cross orders in accordance with the provisions of this trading procedures manual in order to enable closeout of the positions of investors who are declared to be in default or experience difficulties in honoring their obligations.
B3 may deny registration of cross orders for assets and/or derivatives with low liquidity.
Rules on cross order registration in PUMA Trading System described below will enter into force on August 5, 2019 for the following contracts: (i) U.S. Dollar Futures (DOL); (ii) Míni U.S. Dollar Futures (WDO), (iii) Ibovespa Futures (IND), and (iv) Mini Ibovespa Futures (WIN):
- Registration of cross orders is allowed if they are priced above the best bid and below the best ask, i.e. between the best bid and best ask, respecting the tick size for each security or derivative;
- Cross orders may be registered at the best bid or at the best ask only in the following cases:
- Orders of a size disproportional to the liquidity of the security or derivative, according to parameters to be issued by B3 from time to time;
- Orders of a size disproportional to the liquidity of the security or derivative for execution at the average price for the day, generated by TWAP (time-weighted average price) or VWAP (volume-weighted average price) algorithms, according to parameters to be issued by B3 from time to time;
- Orders relating to structured transactions that involve several contracts and/or securities and coordinated execution, to assure the quantities and prices agreed by the parties;
- Orders designed to correct operational errors by a participant.
- Registration of cross orders will not be allowed in any other circumstances.
The following are examples of orders relating to structured transactions (item b, iii above): transactions involving spot market instruments in conjunction with futures market instruments, transactions involving options strategies, spreads in the futures market, trades by the same fund manager, and operations involving investor/companies of the same economic group.
Parameters for derivatives traded in BM&F segment - DOL, WDO, IND e WIN, in effect from August 5, 2019:
Instrument Minimum lot size U.S. Dollar Futures (DOL) 100 Mini U.S. Dollar Futures (WDO) 500 Ibovespa Futures (IND) 100 Mini Ibovespa Futures (WIN) 500
- Retail Liquidity Provider (RLP)
- They can be aggressed only by orders from customers of the same intermediary who are flagged with a retail ID;
- The price of an RLP order is automatically and continually adjusted by the trading platform, so that when the bid-ask spread (the difference between the best bid and the best ask) is one tick, the RLP buy order is registered at the best bid and the RLP sell order is registered at the best ask. When the bid-ask spread is two ticks or more, the price of the RLP order is improved by at least one tick, at the discretion of the intermediary or its authorized investor;
- RLP orders can be registered only with same-day validity;
- RLP orders flagged with a retail ID can only be limit orders, stop or market orders with sameday validity;
- Considering (i) the top price level of the central order book at a given time, (ii) the presence in the book of an RLP order from an intermediary, and (iii) the arrival of an aggressing order from a retail customer of the same intermediary:
- RLP orders have priority over all orders from other intermediaries;
- RLP orders do not have priority over orders from customers of the same intermediary that can be matched with the aggressing order. Thus if there is an order in the central order book from another customer of the same intermediary that can be matched with the aggressing order, the aggressing order is sent to the central order book and matched with all orders from all intermediaries down to the last matchable order from a customer of the same intermediary. If any orders are left over, the aggressing order is sent to the RLP book;
- If there are orders left over after execution via the RLP book, they are redirected to the central order book
- B3 may refrain from applying provision e ii if an institutional customer (i) expressly instructs the brokerage house concerned to this effect, and (ii) appropriately marks orders sent to the trading platform;
- The number of contracts traded via RLP must not exceed fifteen per cent (15%) of total volume. Calculation of “total volume” and “number of contracts traded via RLP” excludes contracts traded by participants on their own account via RLP and includes contracts traded by customers of participants via RLP. Given the above rule and considering that RLP orders are for retail customers only, each participant may submit at most 15/X of its retail volume as RLP orders, where X is the market share of retail customers in the instrument considering the market as a whole
- The fifteen per cent (15%) cap may be changed by B3 depending on market conditions, in which case participants will be notified in advance;
- Percentage X will be updated every month and calculated as the daily average market share of retail customers in the previous month;
- Thus, the average computed for month t will be the parameter to be observed as the cap for month t+1.
- RLP orders are not displayed in the market data feed for the central order book, but are disclosed via the market data feed immediately after the close of trading;
- In RLP orders, participants may allow another participant to act as counterparty to consolidate the respective flows of aggressing retail orders, provided they comply with all other conditions for RLP orders;
- The complete list of assets and derivatives authorized to trade via RLP is available from B3’s portal.