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TSE to launch high-speed index service

22 February 2011  |  2290 views  |  0 Source: Tokyo Stock Exchange

Tokyo Stock Exchange, Inc. (TSE), in collaboration with Hitachi, Ltd. (Hitachi), will launch a new "High-Speed Index Service" on Monday February 28, 2011.

In addition to the current service in which the TOPIX and other price indexes are disseminated every second, the indexes in the new service will be calculated with each change in the price of a constituent stock and disseminated on the millisecond level. The new service is one of the world's most advanced, and will feature new "best quote indexes" which are calculated based on the best quotes* for each individual index constituent.
*Best quote is defined as the lowest offer price and the highest bid price.
- Service Features

- Indexes are calculated and disseminated with each change in a component stock's last sale price, etc. and/or best quote. Changes in market price that previously took as long as one second to be reflected in the index will now take within 10 milliseconds (1 to 10 milliseconds**; one millisecond is 1/1000th of one second) - 1/100th of the time previously required. This enables investors to quickly get a hold of and trade on detailed market movements.
**Latency measured during pre-introduction tests

- As they reflect immediately actionable best quotes, investors can trade using "best quote indexes" as indicators with less tracking error (i.e. the value that expresses the possibility of an issue deviating from the benchmark index). They can also get a clear picture on market movements before opening, during which indexes were previously unavailable (during the pre-opening period, indexes are calculated based on the price at which the cumulative volume of sell orders crosses the cumulative volume of buy orders).
- Background of Service Introduction

- Developments in algorithmic and other trading brought about by recent advances in financial technology have amplified investor needs for faster trading systems and market information distribution. In response, the TSE launched the next-generation trading system "arrowhead" and introduced the TSE Co-Location service.
Meanwhile, investors needed to adapt to the sharp increase in data volumevolumee in data volumes after the launch of arrowhead in order to effectively conduct arbitrage trades such as those between TOPIX futures and the spot basket of TOPIX component stocks.
In response to this demand, the TSE is providing TOPIX and other indexes calculated every time the price of a component stock changes with low latency through its existing FLEX service.
- Service Outline
1.Indexes

TOPIX, TOPIX Core 30, TOPIX 500
2.Type of index calculated and dissemination times

* High-speed indexes: calculated based on last price, etc.
(9:00 to 11:00 a.m., 12:30 to 3:00 p.m.)
* TSE best quote indexes
- Best offer index: calculated based on best offer
- Best bid index: calculated based on best bid
(8:00 to 11:00 a.m., 12:05 to 3:00 p.m.; distribution begins when orders are first accepted)

3.Calculation and distribution latency

- Each time a constituent's last price, etc. and/or quote changes, indexes will be calculated and distributed within 10 milliseconds (1 to 10 milliseconds; one millisecond is 1/1000th of one second)
4.Distribution method

- Disseminated through the Market Information System (FLEX Standard service)
5.Status of index values

- Values are considered reference information and are not used as official statistical data (e.g. open, close, high, low).
-Application of Advanced Technology

To achieve high speed index delivery for large-volume data, this service applies the following Hitachi advanced technology.
Therefore this service got to be available in a short time.
"uCosminexus Stream Data Platform":
The stream data processing platform product for high speed mass data processing with stream data processing technology.
"uCosminexus TP1/Server Base Enterprise Edition":
The Distributed transaction product for high speed message processing.

These technologies enabled the service to speed up such as processing stock price information, generated 8,000 data per second, in milliseconds order latency(*3). And the fusion of these advanced and traditional technologies for index calculation also enabled high productivity and short time system development, which made the service available in a short time.
(*3) latency: the amount of time from request to response in data transfer.

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