vn-trading-rules

name	vn-trading-rules
description	VN-specific equity market rules: T+2 settlement, HOSE ±7% price limits, lot sizes, trading sessions, and order types. Required for any VN market analysis or backtest.

VN Trading Rules

Market Structure

Trading Sessions (HOSE)

Session	Time (VN)	Notes
ATO (Opening)	09:00–09:15	Matching only, no cancels after 09:10
Continuous 1	09:15–11:30	Regular order matching
Break	11:30–13:00	Lunch
Continuous 2	13:00–14:30	Regular order matching
ATC (Closing)	14:30–14:45	Matching only, no cancels after 14:35
Put-through	14:45–15:00	Block trades

Settlement

• T+2 settlement: Trade settles 2 business days after execution.
• T+1 availability for short-term trading via margin/thỏa thuận.
• Forward return calculation must account for T+2: entry at T+1 close (earliest tradable exit).

Price Limits (HOSE)

• Daily ±7% from reference price (previous close).
• Calculated to nearest price step tick.
• Reference price is the close price of the previous trading day.

Price Steps (HOSE)

Price Range	Step Size
< 10,000 VND	10 VND
10,000 – 49,950 VND	50 VND
50,000 – 99,500 VND	100 VND
100,000 – 499,500 VND	500 VND
>= 500,000 VND	1,000 VND

Lot Sizes

Market	Standard Lot	Odd Lot
HOSE	100 shares	1–99 shares
HNX	100 shares	1–99 shares
UPCOM	100 shares	1–99 shares

Order Types

• LO (Limit Order): Good-till-cancelled within session.
• MP (Market Price): Matches at best available price.
• ATO (At The Opening): Matching only in ATO session.
• ATC (At The Closing): Matching only in ATC session.
• PLO (Put-through Limit Order): Block trade (1,000–500,000 lots).

VN-Specific Index Rules

VNINDEX

• Market-cap weighted, all HOSE stocks.
• Base date: 2000-07-28, base value: 100.
• Review: semi-annual (June, December).

VN30

• Top 30 market cap + liquidity on HOSE.
• Free-float adjusted.
• Review: quarterly (March, June, September, December).
• Key for factor research: VN30 stocks have better liquidity, lower price impact, more foreign room.

Factor Computation Constraints

Look-ahead Bias Prevention

• Financial statement data: use release_date if available; otherwise apply heuristics:
  • Quarterly reports: available ~20 days after period end.
  • Annual reports: available ~30 days after period end.
• Price data: T+1 forward return entry.

Liquidity Filter

• Minimum 5 billion VND average daily value over 20 trading days.
• This excludes ~60% of HOSE stocks; only the most liquid 150–180 remain.

Foreign Ownership Limits

• Most VN stocks have a 30% (unregulated) or 49% (regulated) foreign ownership cap.
• Banks: 30% cap.
• When foreign room = 0, foreign investors can only sell.

Sector Skip Rules

• BANKS and FINANCIAL_SERVICES sectors must skip:
  • EVEBITDA_INV (not meaningful for banks).
  • GM (gross margin not defined for banks).
  • ACCRUAL / CFO_TO_NI (financial accruals differ).

Price Limit Impact

• Daily ±7% limits cause price discovery delays.
• Momentum factors need longer lookback (20d+ vs 5d) to avoid limit-induced noise.
• Gap days (limit up/down with no trades) must be handled in return calculation.

Data Sources for VN Market

Data	Source	Table
OHLCV	DNSE REST API	ohlcv
Corporate actions	corporate_actions table	corporate_actions
Financial statements	AlphaStock API	financial_statements
Foreign flow	CafeF API	foreign_flow
Insider trades	CafeF API	insider_trades
Risk flags	Computed (risk_flags_v2)	risk_flags
Factor scores	Computed (daily ETL)	factor_scores
Macro indicators	SBV / vi.money / yfinance	macro_indicators

Key Constants

SETTLEMENT_LAG = 2       # T+2
ENTRY_OFFSET = 1         # T+1: first tradable close
PRICE_LIMIT = 0.07       # HOSE ±7%
MIN_VALUE_BN = 5.0       # Liquidity filter threshold (billion VND)
MIN_STOCKS = 30          # Minimum stocks for IC computation
MIN_DATES = 20           # Minimum evaluation dates

Related Skills

• vn-sector-analysis: VN industry classification and sector-specific factors.
• vn-macro-calendar: VN macro events and economic calendar.