Launch of TSE TOPIX High-Speed Index Service
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.
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).
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)
Disseminated through the Market Information System (FLEX Standard service)