Published On: Tue, Jun 22nd, 2010

TSE Announces High-Speed Index Dissemination Service Slated for February 2011

Tokyo Stock Exchange (TSE) will increase the frequency of distribution for the indices which it calculates, such as TOPIX, to 1 sec., and, additionally, launch a new High-Speed Index Dissemination Service provided at the millisecond level.

With the advancement of financial technology and the spread of new trading methods, such as algorithmic trading, the market environment is evolving. In order to respond to these developments, TSE introduced a “co-location service” in May 2009 and launched the next-generation trading system “arrowhead” on January 4th of this year. Continuing this trend, the high-speed service will also be introduced as a further improvement to TSE’s services.

Furthermore, the High-Speed Index Dissemination Service is aimed at calculating and distributing the target indices at the millisecond-level (1 millisecond is 1/1000th of a second), whenever a price to be used in such indices occurs. In addition to the indices calculated from contract prices, etc. of their component issues, new indices will be calculated and disseminated utilizing best bid quotes and best offer quotes. The use of quotes in calculation and the high-speed of dissemination serve to put this service on the leading-edge.
1. Higher Frequency Distribution of TOPIX, etc.

Distribution times and frequency will be revised for TOPIX and other indices calculated and disseminated by TSE as below.

(1) Indices: TOPIX, TOPIX Core30, TOPIX 500, TOPIX 1000*
(2) Frequency: (Current) 15 sec. -> (After the change) 1 sec.
(3) Hours of Dissemination:
(Current) 9:00:15-about 11:00, 12:30:15-about 15:00
(After the change) 9:00:05-about 11:00, 12:30:05-about 15:00
(4) Date of Change: September 13, 2010 (Monday)
(5) Dissemination Method: Market Information System FLEX Standard and FLEX Light
(6) Handling of Index Values: The high, low, open, and close prices will be calculated using the 1 second-interval TOPIX, etc. after the change.

* After this change, TSE indices other than the indices in (1) will be disseminated on the same 15 second interval as currently employed. The lineup of TSE indices are described below URL.
* The lineup of Indices

2. Introduction of High-Speed Index Dissemination Service

TSE is launching a new high-speed index dissemination service with the aim of calculating and disseminating TOPIX and other target indices each time a price to be used for the index calculation occurs, at the millisecond-level, as below. This service will also include calculation and dissemination of new best bid quote and best offer quote indices.

(1) Index Outline of High-Speed Index Dissemination Service
a. High-speed Indices
TOPIX, TOPIX Core30, and TOPIX 500 will be calculated and disseminated, using contract prices, etc. for the component issues in the same manner as before.
b. High-speed Indices (Best Offer Quote)
TOPIX, TOPIX Core30, TOPIX 500 will be calculated and disseminated, using “Best Offer Quotes” for the component issues.
c. High-speed Indices (Best Bid Quote)
TOPIX, TOPIX Core30, and TOPIX 500 will be calculated and disseminated, using “Best Bid Quotes” for the component issues.

(2) Calculation/Dissemination Interval
Index values will be calculated and disseminated each time prices subject to index calculation
(Calculation and dissemination of target indices is aimed to continue on the millisecond level)

(3) Hours of Dissemination
a. about 9:00-about 11:00, about 12:30-about 15:00
b., c. about 8:00-about 11:00, about 12:05-about 15:00
(Calculation/Dissemination begins at the start of Order Acceptance)

(4) Launch of Service
February 2011 (Tentative)

(5) Dissemination Method
Market Information System FLEX Standard (Multicast)

(6) Handling of Index Values
Used as reference values, not in official statistics (high, low, open, close, etc.)

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