TAS介绍丨TAS Trading Mechanism

01｜什么是TAS？

TAS指的是结算价交易机制（Trade at Settlement, TAS）,交易者可以通过特定的交易指令（TAS指令），在规定交易时段内，按照期货合约当日结算价或当日结算价增减若干个最小变动价位申报买卖期货合约。

01｜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.

02｜为什么要推出TAS？

TAS作为一种交易机制，其本质是为市场提供一种便捷高效的风险管理工具，可有效降低交易者风险管理成本，从而对促进市场功能发挥、改善市场投资者结构、提升价格影响力等起到积极作用。

对于实体企业，在进行现货贸易点价时，多采用期货合约结算价作为定价基准。在利用期货市场进行风险对冲时，一般要通过盘中多次下单来模拟当日结算价，因此在交易执行方面存在较高的难度，且套保效率较低。TAS可以在规定的交易时段内以结算价或结算价附近的价格进行交易，大大降低了企业围绕结算价交易的不确定性，帮助企业更便利、更精准地做好风险管理。

从国际市场情况看，除了实体企业，ETF和长期策略基金等机构投资者也运用TAS来进行换月移仓等操作，以降低套保和移仓成本，并减少对短期价格的冲击。

总体而言，TAS的推出有助于提升市场主体套保交易的执行效率，促进市场风险管理功能发挥；吸引更为多元化的市场主体参与，改善市场投资者结构；促进交易者更为便利和广泛地参考中国期货价格，提升价格影响力。

02｜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.

03｜哪些交易者可以使用原油期货TAS指令进行交易？

所有原油期货的交易者都可以使用TAS指令进行原油期货交易。

03｜Who can place TAS orders for crude oil futures?

Any trader of crude oil futures can place TAS orders.

04｜原油期货TAS指令适用于哪些合约？

原油期货TAS指令目前只能用于最近月份合约和最近月份后第一月合约（以下简称适用合约）。适用合约自其最后交易日前第八个交易日收市后， TAS指令将无法在该合约使用。

04｜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.

05｜原油期货TAS指令的申报价格是什么？

目前，原油期货TAS指令的申报价格仅可为适用合约的当日结算价，暂不接受以当日结算价增减若干个最小变动价位进行申报。

05｜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.

06｜原油期货TAS指令的申报时段是什么？

原油期货TAS指令可在开市集合竞价阶段和第一节交易时间（含连续交易时段，目前第一节交易结束时间为上午10:15）使用，第一节交易时间结束后，所有未成交的TAS指令将由系统自动撤销。

06｜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.

07｜原油期货TAS指令的撮合原则是什么？

TAS指令仅可与同一合约的TAS指令撮合成交。在集合竞价采用最大成交量原则进行撮合，在连续竞价交易时段采用价格优先、时间优先原则进行撮合。

07｜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.

08｜原油期货TAS指令的报单类型有哪些？

TAS指令报单和其他指令报单一样，对适用合约区分开仓、平今、平昨，以及一般、套保属性。

08｜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.”

09｜原油期货TAS指令可以附加其他指令吗？

TAS指令暂不支持立即全部成交否则自动撤销（FOK）属性或立即成交剩余指令自动撤销（FAK）属性。

09｜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｜原油期货TAS指令交易的保证金如何收取？

交易所在交易时段，对以TAS指令进行交易的，以该合约上一日结算价计算应冻结或应释放保证金，并纳入单向大边保证金计算。

交易所在日终结算时，对以TAS指令交易形成的持仓，以该合约当日结算价计算应收保证金，并纳入单向大边保证金计算。

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｜原油期货TAS指令的手续费如何收取？

与TAS指令适用的原油期货合约规定保持一致。

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｜如何查看原油期货TAS指令交易的成交情况？

交易者可通过上海期货交易所网站、上海国际能源交易中心网站和会员服务系统、相关行情商软件查看原油期货TAS指令成交情况。盘中的统计数据中，TAS指令成交量不计入适用合约的成交量，且无成交额统计。收市结算后的统计数据中，TAS指令的成交额（量）计入适用合约的成交额（量）。

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｜适用合约只有TAS指令成交时，适用合约结算价如何确定？

适用合约只有TAS指令成交时，该合约视为当日无成交，其当日结算价按照结算细则中当日无成交价格的期货合约的当日结算价确定方法确定。

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.