1. What is TAS?
TAS, short for Trade at Settlement, is an order type that allows a trader to buy or sell an eligible futures contract during specified trading hours at the current day’s settlement price or a certain number of ticks of the outright above or below that price.
2. Why does INE launch TAS orders?
TAS order aims to provide an efficient and effective risk management tool in the market which can lower traders’ risk management costs, so as to enhance the proportion of brick-and-mortar enterprise investors and the crude oil price influence.
For brick-and-mortar enterprises, the futures settlement price is often used as the benchmark price in spot trading. These enterprises used to place orders frequently to simulate the settlement price, which is difficult to execute as well as inefficient for hedging. TAS orders enable investors to trade at or near the settlement price during specified trading hours, which will greatly reduce the uncertainty they used to face when hedging. As a result, they can exercise better risk management easily with TAS.
In western financial markets, in addition to brick-and-mortar enterprises, institutional investors including ETFs and long-term capital management funds also use TAS for position transfers which require lower fees for hedging purposes. Moreover, it will also reduce the short-term adverse effect of position transfers to the market.
To sum up, TAS trading will enhance the hedging efficiency for entities as an efficient risk management tool, attract more diversified market participants and enhance the proportion of brick-and-mortar investors. As it is more convenient for global investors to refer to China’s futures prices, the price influence will surely be improved.
3. Who can place TAS orders for crude oil futures?
Any trader of crude oil futures can place TAS orders.
4. Which crude oil futures contracts are eligible for TAS orders?
TAS order is only available to the first and the second nearby crude oil futures contracts (hereinafter referred to as the eligible contracts), and will no longer be available after the market close on the eighth trading day preceding the last trading day of the eligible contract.
5. What is the price quote of TAS orders for crude oil futures?
TAS orders are only for the current day’s settlement price of the eligible contract, and any other prices of a certain number of ticks above or below that price will not be accepted for the time being.
6. What are the trading hours of TAS orders for crude oil futures?
TAS orders for crude oil futures are available during the opening auction and the first trading session (including the continuous trading hours. Currently the first trading session runs through 10:15 a.m.). At the end of the first trading session, all unmatched TAS orders are automatically cancelled by the system.
7. What are the matching rules of crude oil TAS orders?
TAS orders may only be matched with other TAS orders for the same contract. During central auction (i.e., call action), TAS orders will be matched by the principle of “maximum trading volume”; during continuous trading, TAS orders will be matched by the principle of price priority and time priority.
8. What are the attributes of TAS orders for crude oil futures?
Same as other orders, TAS orders may be indicated as “open,” “close today,” or “close previous”; and “general” or “hedging.”
9. Can other properties be attached with a TAS order for crude oil futures?
TAS orders cannot be attached with the properties of fill-or-kill (FOK) or fill-and-kill (FAK) for the time being.
10. How will INE collect the margin of a TAS trade for crude oil futures?
During the trading hours, INE will calculate the margin to be frozen or released for a TAS trade based on the previous settlement price of the underlying contract, and will include the margin into the larger-side margining.
At the end of a trading day, INE will collect the margin for a TAS trade based on that day’s settlement price of the underlying contract, and will include the margin into the larger-side margining.
11. How will INE collect the transaction fees of a TAS trade for crude oil futures?
Please refer to the provisions on TAS-eligible crude oil futures contracts.
12. How to access the market data of TAS trades for crude oil futures?
Traders can find relevant market data on the official websites and member service systems of SHFE and INE, or through the apps of other data providers. Market data of TAS-eligible contracts published during trading hours does not include turnover and trading volume from TAS transactions. Statistics following market close and settlement do reflect TAS transactions in the turnover and trading volume of the corresponding contracts.
13. If the eligible contract is traded only by TAS order, how would the daily settlement price be determined?
If the eligible contract is traded only by TAS order, it will be considered as no trade on that day, and its daily settlement price will be determined in accordance with the method of determining the settlement price for futures contracts with no trade price stated in the Clearing Rules of the Shanghai International Energy Exchange.
For more info of INE crude oil futures, please check http://www.ine.cn/en/products/oil/
For China derivatives market access and more market information please contact sherry_ustc@163.com
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