How on earth this happened?

sahan8896 · 1 How on earth this happened? Thu Mar 21, 2013 6:11 pm

sahan8896

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NEST trades today.

1,695.00 1 (+58.80)
1,626.00 800 (-10.20)
1,622.50 5 (-13.70)

closing price is 1695( +58. Cool

. How could this be value weighted averaging.Single share was traded at 1695 while 800 traded 1626.Last time this happened it was adjusted and it was discussed here.
http://forum.srilankaequity.com/t26705-how-the-market-went-up-to-49-points-up-all-of-a-sudden-at-the-last-minute

Now NEST can individually pull market down tomorrow.Something fishy here. Evil or Very Mad

sriranga · 2 Re: How on earth this happened? Thu Mar 21, 2013 6:38 pm

sriranga

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NEST TRADING AS AT 21/03/2013

Please see the instruction, how to calculate the closing price (from CSE website- http://www.cse.lk/pdf/ATS-RULES.pdf)

Now you can understand how they got the closing price.

8.1 Closing Price for Equity Securities

Closing price will be defined as the Volume Weighted Average Price (VWAP) of trades executed during the last one hour of trading of the specific security (please refer Example 1).

If the security does not trade for one hour the closing price will be the VWAP calculated for the period of time it has traded (please refer Example 2).

After close of trading, no activity can occur until the pre‐opening begins on the next business day.

The option of having a closing auction is available but will not be enabled.

VWAP = total value traded in period / total volume traded in period

How on earth this happened? Ex110

In the above example the first trade for security X for the day took place at 10.55 a.m.

The last trade for the day was executed at 12.01 p.m.

The VWAP for security X for day DD/MM/YYYY:

VWAP = TOTAL VALUE TRADED FROM 11.01 A.M.TO 12.01 P.M. = 1,222,200 / TOTAL VOLUME TRADED FROM 11.01 A.M. TO 12.01 P.M. 12,100

= RS.101.00

How on earth this happened? Ex210

In the above example, Security Y has traded for less than one hour.

The first trade for security Y for the day took place at 9.34 a.m.

The last trade in security Y took place at 10.15 a.m.

VWAP = TOTAL VALUE TRADED FROM 9.34 A.M. TO 10.15 A.M. = 53,000 / TOTAL VOLUME TRADED FROM 9.34 A.M. TO 10.15 A.M. 2,400

= Rs. 22.00

Redbulls · 3 Re: How on earth this happened? Thu Mar 21, 2013 8:27 pm

Redbulls

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Why the fuss with the index, I couldn't understand?

UKboy · 4 Re: How on earth this happened? Thu Mar 21, 2013 9:14 pm

UKboy

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I just wonder where we would be by now if CTC & NEST had not moved considerably from 350s & 750s scratch

The Alchemist · 5 Re: How on earth this happened? Thu Mar 21, 2013 9:30 pm

The Alchemist

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@ sriranga - Thanks for the above clarrification with example.
further re-inforces my view that they should calculate VWAP as per your example number 2 and it should not be time sensitive and restricted to any particular hour of trading (especially if odd lots are to be traded on main board). Furthermore, VWAP should impact the indices in real time as it happens and not be adjusted after trading hours, as it happens now.

sahan8896 · 6 Re: How on earth this happened? Thu Mar 21, 2013 9:34 pm

sahan8896

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Thanks.Understood.Im dissapoined of that 1 share trade because it could fall easily and with this UN thing great chance for the players to collect some more in Red.Anyway i would like it too if I'm on cash.All loaded.

Redbulls · 7 Re: How on earth this happened? Fri Mar 22, 2013 2:50 pm

Redbulls

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The Alchemist wrote:@ sriranga - Thanks for the above clarrification with example.
further re-inforces my view that they should calculate VWAP as per your example number 2 and it should not be time sensitive and restricted to any particular hour of trading (especially if odd lots are to be traded on main board). Furthermore, VWAP should impact the indices in real time as it happens and not be adjusted after trading hours, as it happens now.

VWAP always related to time span.
CSE already stated in their website their calculation basis.
We need to adapt to the system and do the trading / investing no?
Any way from the start I'm not a fan on ASPI (up or down).
We need to track our counters with the respective sector is the bestway.
Plus ASPI cover all the shares in the CSE.
Other countries when they are talking about the index, only talk about the selected one. ( For example DOW30,CAC40,FTSE100, NIKKEI225 and so on)

rainmaker · 8 Re: How on earth this happened? Fri Mar 22, 2013 4:44 pm

rainmaker

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Redbulls wrote:

The Alchemist wrote:@ sriranga - Thanks for the above clarrification with example.
further re-inforces my view that they should calculate VWAP as per your example number 2 and it should not be time sensitive and restricted to any particular hour of trading (especially if odd lots are to be traded on main board). Furthermore, VWAP should impact the indices in real time as it happens and not be adjusted after trading hours, as it happens now.

VWAP always related to time span.
CSE already stated in their website their calculation basis.
We need to adapt to the system and do the trading / investing no?
Any way from the start I'm not a fan on ASPI (up or down).
We need to track our counters with the respective sector is the bestway.
Plus ASPI cover all the shares in the CSE.
Other countries when they are talking about the index, only talk about the selected one. ( For example DOW30,CAC40,FTSE100, NIKKEI225 and so on)

I'll add something to the point above. The FTSE calculation is not simple. It is very complex with various factors changing in real time.

Instead of using market cap another figure called adjusted market cap is used (market cap of top shareholders and government shareholders is removed aka restricted market cap). The index is also adjusted to accommodate all possibilities like dividends/ex dividends, rights, share splits and scrip issue.

If a extraodinary corporate action occurs (special announcement) the end of day price is used. If ordinary corporate action occurs (dividends, rights) then a divisor factor is used based on a ratio Adjusted market cap after announcement/ Adjusted market cap before