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| tse [2017/02/02 11:15] – [Tokyo Stock Exchange (TSE)] maya | tse [2017/07/26 09:39] (current) – removed maya | ||
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| - | ====== Tokyo Stock Exchange (TSE) ====== | ||
| - | The Tokyo Stock Exchange, part of the Japan Exchange Group, is the primary capital market in Japan and has three listing groups: | ||
| - | * First Section: large companies | ||
| - | * Second Section: mid-sized companies | ||
| - | * Mothers: market of the high-growth and emerging stocks | ||
| - | [[http:// | ||
| - | Currency: Japanese Yen (JPY) | ||
| - | |||
| - | |||
| - | ===== Trading Summary ===== | ||
| - | The Tokyo Stock Exchange uses a next-generation trading system called ' | ||
| - | |||
| - | The Tokyo Stock Exchange consists of three separate listing markets, each with its own distinct listing criteria: | ||
| - | * Main Markets | ||
| - | * Mothers | ||
| - | * JASDAQ | ||
| - | More information on the differences in listing requirements can be found on the [[http:// | ||
| - | |||
| - | ==== Lit Order Types ==== | ||
| - | * TSE Limit Buy/ | ||
| - | * TSE Market Buy/ | ||
| - | * TSE Limit on Open (LOO) Buy/ | ||
| - | * TSE Market on Open (MOO) Buy/ | ||
| - | * TSE Limit on Close (LOC) Buy/ | ||
| - | * TSE Market on Close (MOC) Buy/ | ||
| - | * CHIJ Limit Buy/ | ||
| - | * SBIJ Limit Buy/ | ||
| - | |||
| - | |||
| - | ==== Available ATS ==== | ||
| - | * [[chixjapan|Chi-X Japan]] | ||
| - | * [[sbijapannext|SBI Japannext]] | ||
| - | |||
| - | ==== Basic Market Rules ==== | ||
| - | * Lot Size is set by the listed company and as a result there is no cohesive definition. However, individual trade units are defined in the exchange' | ||
| - | * Tick Size can be found in official Tick Size tables in their respective venues: | ||
| - | * Short Sale Rules - Short Sell orders must be marked; naked short selling is prohibited; short sales are subject to an uptick rule where the price of the security must be 1 tick higher than the last sale price. | ||
| - | * Circuit Breakers - The TSE has [[http:// | ||
| - | | daily price limits]] to stocks, which once reached cannot be exceeded. | ||
| - | ==== Auction Mechanisms ==== | ||
| - | TSE opening and closing prices, as well as the initial price after a trading halt and following a special quote are determined using the ' | ||
| - | === Open === | ||
| - | The opening auction occurs at 09:00:00 JT (morning session) and 12:30:00 JT (afternoon session) with the matching of all orders entered prior to the auction being matched using the Itayose method. Orders can be entered only after 08:00:00 JT. | ||
| - | |||
| - | === Close === | ||
| - | |||
| - | Normally the closing auction execution follows the Itayose method where all orders reaching the order book are treated as simultaneous orders, in other words there is no time priority. | ||
| - | Bids and offers are matched at a single price according to the principle of price priority. | ||
| - | Orders are executed as follows: | ||
| - | * All market orders | ||
| - | * All limit orders to sell/buy at prices lower/ | ||
| - | * The entire amount of either all sell or all buy orders at the execution price | ||
| - | |||
| - | Occasionally there is a large volume of orders on either side of the order book which prevents the condition for Itayose method where all market orders and bids and offers at better prices must be executed. In this case, TSE uses a special mechanism with relaxed conditions for closing auctions at the limit price to determine the closing price of the afternoon session. | ||
| - | * All market orders are treated as limit orders at the daily limit price. | ||
| - | * In the case of a closing auction at the upper daily limit price, if there is a sell order of at least one trading unit, the allocation by the " | ||
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| - | **Order Allocation** | ||
| - | |||
| - | Since all market orders and orders at the daily limit price are treated as orders at the same price with no time priority, in other words there is no clear order priority. Orders are allocated 1 unit (in this case, 100 shares) each in turn to securities companies in descending order of total number of shares placed per securities company. | ||
| - | |||
| - | Eg. Closing at the limit price | ||
| - | |||
| - | ^ Aggregate Sell Orders ^ Individual Sell Orders ^ Price ^ Individual Buy Orders ^ Aggregate Buy Orders ^ | ||
| - | | | 1000 | Market | 100 | | | ||
| - | | 6400 | 300 | 502 | 700 | 800 | | ||
| - | | 6100 | 700 | 501 | 100 | 900 | | ||
| - | | 5400 | 800 | 500 | 800 | 1700 | | ||
| - | | 4600 | 600 | 499 | 500 | 2200 | | ||
| - | | 4000 | 3000 | 498 | 500 | 3000 | | ||
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| - | Above is an example of the book before the closing auction. Suppose the daily lower limit price is 498. Due to large sell sentiment in the market, there are excessive sell order on the book. In other words, there’s no price where the aggregate of sell and buy order amount inverse. Itayose method does not apply as we cannot find a price level where all limit order priced better than the selected price will be executed. We use Closing at the Limit Price mechanism, and treat the 1000 share market sell order and 100 share market buy order as limit order priced at the daily lower limit 498. The closing price is set at the daily lower limit 498. The executed amount is 3000 shares (aggregate of total buy order). The executed shares will be allocated to all security companies 1 unit at a time in the order of aggregate order size per company until all shares are allocated. | ||
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| - | **Auction Periods** | ||
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| - | The morning closing auction is scheduled at the end of morning session **(11: | ||
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| - | The afternoon closing auction is scheduled at the end of the afternoon session **(15: | ||
| - | |||
| - | **Order Types** | ||
| - | |||
| - | Limit Order with TIF set to DAY | ||
| - | |||
| - | Market Order with TIF set to DAY | ||
| - | |||
| - | Market On Close Order - JAPN Gateway | ||
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| - | Limit on Close order: Such order will only be executed during either the morning closing auction or the afternoon closing auction. If the order was sent with instruction to be executed during the morning closing auction and wasn’t executed , the order will not be brought over the afternoon session. TSE order’s valid period is 1 Day, so if an order is not executed in the afternoon closing auction, it will become void. | ||
| - | Limit to Market for Close order (funari order) : Limit orders that are effective up till the end of the the auction sessions and in case they are not executed during the continuous trading , they become market orders during the closing auction of the morning or afternoon sessions | ||
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| - | For more information on the auction mechanisms on the Tokyo Stock Exchange, see the [[ http:// | ||
| - | ===== Additional Info ===== | ||
| - | |||
| - | ===== See Also ===== | ||
| - | * [[market_guides|Market Guides]] | ||
| - | ===== References ===== | ||
tse.1486052120.txt.gz · Last modified: 2017/02/02 11:15 by maya