Description of the variable "code of the market" published by the PSE

Code = 1 ... perfect balance
Number of securities supplied and number of securities demanded at the new price are equal. The new price is within the allowed spread margin.

Code = 2 ... local excess on supply side
Number of securities supplied at the new price is higher than the number of securities demanded at that price. The new price is within the allowed spread margin. All buy orders with limit price higher or equal to the new price will be satisfied. Sell orders with limit price lower or equal to the new price will be rationed.

Code = 3 ... local excess on demand side
Number of securities demanded for purchase at the new price is higher than the number of securities supplied at that price. The new price is within the allowed spread margin. All sell orders with limit price lower or equal to the new price will be satisfied. Buy orders with limit price higher or equal to the new price will be rationed.1

Code = 4 ... global excess on supply side
Number of securities supplied at the new price is higher than the number of securities demanded at that price. The new price equals the lower limit of the allowed price spread margin. All buy orders with limit price higher or equal to the new price will be satisfied. Sell orders with limit price lower or equal to the new price will be rationed according to the allocation ratio, which is the ratio of shares actually sold to the number of shares supplied.

Code = 5 ... global excess on demand side
Number of securities demanded at the new price is higher than the number of securities supplied at that price. The new price equals the upper limit of the allowed price spread margin. All sell orders with limit price lower or equal to the new price will be satisfied. Buy orders with limit price higher or equal to the new price will be rationed according to the allocation ratio, which is the ratio of shares actually sold to the number of shares demanded.

Code = 6 ... total excess on supply side
Number of securities supplied at the new price is higher than the number of securities demanded at that price. The new price equals the lower limit of the allowed price spread margin. The allocation ratio is lower than 20%, and therefore no trade will take place.

Code = 7 ... total excess on demand side
Number of securities demanded at the new price is higher than the number of securities supplied at that price. The new price equals the upper limit of the allowed price spread margin. The allocation ratio is lower than 20%, and therefore no trade will take place.

Code = 8 ... not quoted
No sell or buy orders were placed, or such orders were placed, but the limit prices of sell orders do not overlap with the limit prices on the demand side. The previous price remains valid. No trade takes place.


1 This could happen due to the discrete nature of the distribution of orders actually submitted. In the model, the stepwise non-increasing (non-decreasing) functions describing cumulative numbers of shares demanded (supplied) at a given price were modeled via the smooth logistic functions so that rationing occurs only at the boundaries of the admissible price interval.