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Whenever auto-ex is disabled, AEMI will publish a "manual", non-firm quote and further dissemination of the Amex published quote is suspended until auto-ex resumes. Any incoming immediate-or-cancel orders expire; all other orders enter the AEMI book. At all times, orders may be entered, amended and cancelled.
Once auto-ex is disabled, the Specialist has 10 seconds to take action. If there is:
- No imbalance, the Specialist re-enables auto-ex immediately. This may be done either automatically through a quote being streamed in from the Specialist's system, or by the Specialist engaging auto-ex manually. This situation may occur if the order that triggered the disablement was an IOC or was filled, for example.
- An imbalance, the Specialist conducts an auction. The auction trade automatically includes valid orders on the AEMI book and/or at away markets and the action causes the re-enablement of auto-ex.
- A very large imbalance, the Specialist may determine it is in the market's interest to gap the quote in order to solicit offsetting interest electronically.
If the Specialist has not acted after 10 seconds, AEMI will attempt to re-enable auto-ex, providing the AEMI book is not locked or crossed. This action is repeated every subsequent 5 seconds.
Example 1: No imbalance
An incoming IOC limit order walks the book and triggers the breach of spread tolerance. Auto-ex is disabled and the balance expires. AEMI automatically publishes a manual quote reflecting the current best bid and offer price and size on the order book. The Specialist re-enables auto-ex either manually or automatically.
Example 2: Manageable imbalance
An incoming limit buy order walks the book and triggers the breach of a spread tolerance. The order is partially filled and there is still 5,000 to buy. Auto-ex is disabled and AEMI publishes a manual quote. The manual bid is the imbalance at the last sale, and the offer is the current contra side on the AEMI book. The Specialist immediately conducts an auction for the imbalance and prints the trade. This action re-enables auto-ex.
Can the Specialist interact with the order book while auto-ex is disabled?
No. The Specialist will conduct an auction if an imbalance exists, otherwise he will re-enable auto-ex. The Specialist cannot interact with the order book while auto-ex is disabled.
Can trades take place in the crowd while auto-ex is disabled?
No. An auction trade is only valid when entered into AEMI, at which point valid orders on the AEMI book are naturally included in the process and take priority over verbal bids and offers in the crowd.
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