vn-trading-rules

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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. category: analysis

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.