New Function Expected Scenario Outline. Triggered by abnormal disconnection from the TSE trading system

Transcription

1 Fundamental Principles for arrowhead Renewal Developed based on the fundamental principles of Improve Reliability, Improve Convenience and Improve Capabilities, the new, enhanced arrowhead cash equities trading system was launched on September 24, Improve Reliability By providing four new risk management functions, new arrowhead enhance d market reliability, dealing with risks posed on markets by the growing use of electronic trading and high-speed trading. New Function Expected Scenario Outline Order Cancellation on Abnormal Disconnection (Cancel on Disconnect) Triggered by abnormal disconnection from the TSE trading system When the connection between a trading participant and the TSE trading system is abnormally lost, the TSE trading system automatically cancels orders that were placed by the trading participant. Order Suspension/Cancellation (Kill Switch) Used in situations such as irregular order placement due to faulty algorithm In accordance with an instruction from a trading participant, order placements from a specified server are suspended, and orders that were placed via the server are automatically canceled. 1

2 User-designated Hard Limit Used to suspend order placement when pre-determined limits are reached A limiter function with which a trading participant can set threshold values (order value per single order, cumulative order/execution value per unit time) for each server to suspend further order placement. Issues for Testing (Dummy Symbol) Used in confirmation tests after a trading participant modifies its order placement system After modifying the system, such as changing setting values, a trading participant can place orders for issues for testing (dummy symbols) in the production environment of the trading system before placing actual orders. Improve Convenience Further convenience for market users was achieved through system adjustments in connection with trading rule revisions related to Phase III of the tick size optimization program and the expansion of the market information service. Revisions of trading rules Trading rules revised for arrowhead renewal enhanced the convenience of market. Phase III of Optimization of Tick Sizes The optimization of tick sizes was conducted in stages to offer price improvement and shorter waiting times till order execution (Phase I: January 2013, Phase II: July 2014). In tandem with the renewal of arrowhead, TSE implemented Phase III, which considers factors such as the trading conditions after the first two phases and feedback from trading participants and investors. Though the narrower tick sizes will continue to be applied only to TOPIX100 constituents, partial revisions were made to the tick sizes for several price bands. Tick Size Price TOPIX100 Constituents Phase III Phase II ( 2015/09/24 Up to ) Other Constituents Up to 1 thous. yen 0.1 yen 0.1 yen 1 yen More than 1 thous. yen Up to 3 thous. yen 0.5 yen 0.5 yen 1 yen More than 3 thous. yen Up to 5 thous. yen 0.5 yen 1 yen 5 yen 2

3 More than 5 thous. yen Up to 10 thous. yen 1 yen 1 yen 10 yen More than 10 thous. yen Up to 30 thous. yen 5 yen 5 yen 10 yen More than 30 thous. yen Up to 50 thous. yen 5 yen 10 yen 50 yen More than 50 thous. yen Up to 100 thous. yen 10 yen 10 yen 100 yen More than 100 thous. yen Up to 300 thous. yen 50 yen 50 yen 100 yen More than 300 thous. yen Up to 500 thous. yen 50 yen 100 yen 500 yen More than 500 thous. yen Up to 1 mil. yen 100 yen 100 yen 1 thous. yen More than 1 mil. yen Up to 3 mil. yen 500 yen 500 yen 1 thous. yen More than 3 mil. yen Up to 5 mil. yen 500 yen 1 thous. yen 5 thous. yen 5 mil. yen Up to 10 mil. yen 1 thous. yen 1 thous. yen 10 thous. yen More than 10 mil. yen Up to 30 mil. yen 5 thous. yen 5 thous. yen 10 thous. yen More than 30 mil. yen Up to 50 mil. yen 5 thous. yen 10 thous. yen 50 thous. yen Up to 50 mil. yen 10 thous. yen 10 thous. yen 100 thous. yen Additional Condition for Sequential Trade Quotes Before the trading rule revision, a sequential trade quote (STQ) was not displayed when many small orders arrived in the order book instantaneously and resulted in a series of executions. Under the revised rules, if the price is expected to move beyond the range for displaying a sequential trade quote, an STQ is displayed even if the expected price move is caused by more than one order. The current condition for display of sequential trade quotes will continue to apply. 3

4 a. Existing Display Pattern If there are a string of executions at \100, \99, \96, and \93 resulting from a large order and the price is likely to go below \90, an STQ will be displayed at \90. b. Additional Display Pattern An order is executed at \100 at reference execution time, followed by a string of executions at \99, \96, and \93 resulting from multiple orders, and if there are further orders that may be executed under \90 within a given time interval from reference execution time, an STQ will be displayed at \90. Details of Additional STQ Display Conditions The given time interval is 60 seconds. The starting point of the time interval will be set at the first execution during the continuous trading session, and will be reset at the first execution every time such time interval elapses and at the first execution during continuous auction after execution by Itayose method. STQ display does not consider whether the orders originate from a single or multiple trading participants. STQ display is based on the range of price movemen t and does not depend on the string of executions trending in a single direction (for example \100-> \96-> \97-> \93-> ). 4

5 As indicated above, when a series of executions occur to move the price beyond twice the special quote renewal price interval within 60 seconds from the reference execution price (in the above case, JPY 100), the orders will not be executed immediately, and an STQ will be displayed for 60 seconds at the price that is twice the special quote renewal price interval. (In the above case, a n STQ will be displayed at JPY 110, twice the special quote renewal price interval of JPY 5.) Expansion of FLEX service Expansion of the market information service enhance d the convenience. The number of Additional Quotes The number of Additional Quote in FLEX Standard was changed into 10 from 8. 5

6 Improve Processing Capabilities By enhancing processing capabilities, new arrowhead provides customers with a platform for a reliable and stable trading environment that can accommodate changes in market conditions to properly process orders. Secure Stable Processing Capabilities Secure processing capabilities to realize stable response time that will not be stretched even when order placements concentrate. Reduce response times by more than half. Processing Capabilities Before Renewal After Renewal Order Response Time 1 millisecond (on average) Less than 0.5 millisecond Information Dissemination Time 2 to 2.5 milliseconds Less than 1 millisecond Secure Sufficient Capacity System capacity is flexibly and swiftly scalable to accommodate an increase in the number of orders. 6