(As of Sep 2015)
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, 2015.
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
When the connection between a
trading participant and the TSE
Order Cancellation on
Triggered by abnormal
trading system is abnormally lost,
Abnormal Disconnection
disconnection from the
the TSE trading system
(Cancel on Disconnect)
TSE trading system
automatically cancels orde rs that
were placed by the trading
participant.
In accordance with an instruction
Order
Suspension/Cancellation
(Kill Switch)
Used in situations such
from a trading participant, order
as irregular order
placements from a specified server
placement due to faulty
are suspended, and orders that
algorithm
were placed via the server are
automatically canceled.
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(As of Sep 2015)
A limiter function with which a
trading participant can set
Used to suspend order
User-designated Hard
placement when
Limit
pre-determined limits
threshold values (order value per
single order, cumulative
order/execution value per unit
are reached
time) for each server to suspend
further order placement.
After modifying the system, such
as changing setting values, a
Used in confirmation
trading participant can place
Issues for Testing
tests after a trading
orders for issues for testing
(Dummy Symbol)
participant modifies its
(dummy symbols) in the
order placement system
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
TOPIX100 Constituents
Price
Phase III
Phase II
（ 2015/09/24
Other
Constituents
Up to ）
Up to 1 thous. yen
0.1 yen
0.1 yen
1 yen
More than 1 thous. yen U p to 3 thous. yen
0.5 yen
0.5 yen
1 yen
More than 3 thous. yen U p to 5 thous. yen
0.5 yen
1 yen
5 yen
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(As of Sep 2015)
More than 5 thous. yen U p to 10 thous. ye n
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. y en
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.
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(As of Sep 2015)
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, followe d 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->… ).
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(As of Sep 2015)
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.
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(As of Sep 2015)
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 placeme nts concentrate. Reduce response times by more than half.
Processing Capabilities
Order Response Time
Information
Dissemination Time
Before Renewal
After Renewal
1 millisecond (on average)
Less than 0.5 millisecond
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.
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