Exact time
The transition fires at a configured time. The plain case, and the right one for the open and close of most markets.
Market model
Sessions are configuration, not code.
A market model in Mehrex is a set of session types, a schedule that moves between them, and the rules each session applies to incoming orders. All of it is configured at market level with per-instrument overrides, so an IPO, a low-liquidity line and a mature blue chip can each follow their own day without a software change.
- Session types
- 7
- Order types
- 4
- Validity options
- 5
- Transition triggers
- 3
Seven sessions, each with its own rules of engagement.
Most markets run an opening auction, continuous trading, a closing auction and a trade-at-last session. What each session admits — whether orders can be placed, whether anything executes, and which price is calculated — is what distinguishes them.
SessionRegular trading
Order placementPermitted
ExecutionContinuous
Calculated priceLTP, VWAP
Price–time priority. Price monitoring suspends automatic execution rather than print outside the configured tolerance.
| Session | Time | Order placement | Execution | Calculated price |
|---|---|---|---|---|
| Pre-Open | 08:30 | Permitted | None | IEP |
| Opening auction | 09:00 | Halted | Uncrossing | LTP, VWAP |
| Regular trading | 09:00–16:20 | Permitted | Continuous | LTP, VWAP |
| Pre-Close | 16:20 | Permitted | None | IEP |
| Closing auction | 16:30 | Halted | Uncrossing | Closing price |
| LPX | 16:30–16:40 | Permitted | Fixed price | LTP |
| Post-Trade | 16:40 | Locked out | None | — |
Three ways a session transition can fire.
Randomized window
The transition fires at an undisclosed moment inside a published window — for example 09:30 plus up to 120 seconds. An established anti-gaming measure for auction uncrossings: nobody can time the last order into the book.
Chained
The transition fires when the preceding session completes, whenever that happens to be.
An order is its type and its validity.
| Type | Behaviour |
|---|---|
| Market | An unpriced order that executes against the best available prices. Market orders have priority over all priced orders. |
| Limit | An anonymous priced order, fully displayed in the order book, that may execute at prices equal to or better than its limit price. |
| Auction | A priced order with price priority over all other priced orders during an auction. Any unexecuted remainder is deleted automatically when the auction completes. |
| Iceberg | Publicly displays only a portion — the peak — of its total volume. Hidden size never leaks into public market data, but participates fully in auction price discovery. |
| Code | Behaviour |
|---|---|
| DAY | Day. Expires at the end of the day on which it was entered. Assumed when no validity is stated. |
| GTD | Good Till Date. Expires at the end of trading on the specified day. Maximum expiry is the date of entry plus 89 calendar days. |
| GTC | Good Till Cancelled. Rests across days until filled or cancelled. |
| IOC | Immediate or Cancel. Executes on entry; any unexecuted volume expires immediately. |
| FOK | Fill or Kill. Executes in full on entry, or is immediately expired in full. |
Not every combination makes sense in every session.
| Session | Order type | DAY | IOC | FOK | GTD |
|---|---|---|---|---|---|
| Auction calls | Market | Allowed | Rejected | Rejected | Allowed |
| Limit | Allowed | Rejected | Rejected | Allowed | |
| Iceberg | Allowed | Rejected | Rejected | Allowed | |
| Auction | Allowed | Rejected | Rejected | Rejected | |
| Regular trading | Market / Limit / Iceberg / Auction | Allowed | Allowed | Allowed | Allowed |
| LPX trading | Market / Limit / Iceberg | Allowed | Allowed | Allowed | Allowed |
| Auction | Rejected | Rejected | Rejected | Rejected |
Additional rules
- A GTD order with an expiry date beyond entry plus 89 calendar days is rejected. If the specified day is a non-business day, the order expires before the start of the next business day.
- During auction call sessions, orders with IOC or FOK validity are rejected — there is nothing to execute against yet.
- During auction call sessions, Auction orders are treated as Limit orders.
The equilibrium price is the one that trades the most volume.
During an auction call the engine examines every price at which bids and offers overlap, accumulates demand downward from the highest price and supply upward from the lowest, and selects the price at which the greatest volume can be matched. Ties break on minimum surplus, then proximity to the reference price. Iceberg orders contribute their entire volume, not just the displayed peak.
Cumulative demandCumulative supplyExecutable volume at that price
| Price | Bid qty | Ask qty | Cumulative demand | Cumulative supply | Executable |
|---|---|---|---|---|---|
| 148.45 | 400 | 700 | 400 | 11,700 | 400 |
| 148.40 | 900 | 1,000 | 1,300 | 11,000 | 1,300 |
| 148.35 | 1,200 | 1,500 | 2,500 | 10,000 | 2,500 |
| 148.30 | 2,100 | 2,200 | 4,600 | 8,500 | 4,600 |
| 148.25 IEP | 2,600 | 2,800 | 7,200 | 6,300 | 6,300 |
| 148.20 | 3,000 | 1,900 | 10,200 | 3,500 | 3,500 |
| 148.15 | 2,400 | 1,100 | 12,600 | 1,600 | 1,600 |
| 148.10 | 1,800 | 500 | 14,400 | 500 | 500 |
What a valid price is, and what it is measured against.
Tick size
The minimum valid increment in which prices can be entered and displayed, expressed as a multiple of the instrument’s listing currency, and able to vary by price band. An order whose price is not a multiple of the applicable tick is rejected on entry, before it can affect the market. Tick tables are configured per instrument from the Control Panel.
Dynamic reference price
The volume-weighted price of the last order-book execution, or the previous closing price if that is more recent, taken before the incoming order is submitted.
Static reference price
The most recent closing price from the previous business day. The operator can also set reference prices manually — for a newly listed instrument, or after a corporate action.
| Code | Meaning |
|---|---|
| AT | Trade in a regular (continuous) trading session. |
| UT | Trade at the end of an auction (uncrossing). |
| PT | Trade in a fixed-price session, such as trade-at-last after the closing auction. |
The fields on an order.
| Field | Required | Description | Values |
|---|---|---|---|
| Instrument | Yes | Unique identifier of the security: symbol or ISIN. | — |
| Side | Yes | Whether the order is to buy or sell. | Buy, Sell |
| Order Type | Yes | The type of the order, in conjunction with display type. | Market, Limit, Auction, Iceberg |
| Time in Force | No | The duration the order is valid for; defaults to DAY. | DAY, IOC, FOK, GTD, GTC |
| Clearing Account | Yes | Identifies the clearing account for the order. | Client, House |
| Order Quantity | Yes | The quantity to be bought or sold; a whole number greater than zero. | — |
| Disclosed Quantity | No | Maximum quantity that may be displayed. For Iceberg orders, greater than zero and less than the order quantity. | — |
| Price | Conditional | The limit price; must be greater than zero and a multiple of the instrument’s tick. Required for Limit and Auction orders. | — |
| Expiry Date | If TIF = GTD | The date on which a GTD order expires. | — |
| Trading Party | Yes | The trading member entering the order, derived from the authenticated session — it can never be forged. | — |
| Client Reference | Yes | The member’s own reference for the order, echoed on every report. | — |
Next step
Tell us about your market. We will show you the engine matching.
A live demonstration runs about an hour: the order book, the Control Panel, an auction uncrossing, and a replay of the journal that produced it.