chi-x japan monthly report...5 statistics - chi-alpha & chi-select 0.0% 1.0% 2.0% 3.0% 4.0% 5.0%...
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1
Chi-X Japan Monthly Report
September, 2020
2
Markets operated by Chi-X Japan
PTS Trading ToSTNeTReporting
Continuous Matching Periodic Matching
Chi-Alpha
Main PTS8:20-16:00
Chi-Select
Retail & DMM8:20-16:00
Chi-Match
TSE VWAP CrossingPre-Market Open
Kai-X
Broker NeutralDarkpool
9:00-15:00
Chi-Alpha & Select
4
Overview - Chi-Alpha & Chi-Select
Chi-Alpha is a venue run by Chi-X Japan operating since the start of the business
Chi-Select is catered to retail focused brokers with features allowing them to provide their clients with better execution
Key Features Continuous matching between 8:20am to 4:00pm for stocks listed on TSE Various order types – Pegged, Post-only, Iceberg, IOC/FOK Robust, resilient, stable, low latency platform
Values Price Improvement opportunities, esp. Mid/Small Caps Market making / Order posting opportunities Faster / higher execution opportunities
5
Statistics - Chi-Alpha & Chi-Select
0.0%
1.0%
2.0%
3.0%
4.0%
5.0%
0
20
40
60
80
100
120
Jul-
18
Aug-1
8
Sep-1
8
Oct-
18
Nov-1
8
Dec-1
8
Jan-1
9
Feb-1
9
Mar-
19
Apr-
19
May-1
9
Jun-1
9
Jul-
19
Aug-1
9
Sep-1
9
Oct-
19
Nov-1
9
Dec-1
9
Jan-2
0
Feb-2
0
Mar-
20
Apr-
20
May-2
0
Jun-2
0
Jul-
20
Aug-2
0
Sep-2
0
JPY b
illion
Average Daily Execution Market Share - All Large Mid Small
Average PI (bps)
MarketShare (%)
Large 0.6 1.5
Mid 2.8 3.7
Small 3.6 4.2
T2/J/M 9.5 2.3
ETF/REIT 11.4 2.1
Overall 4.2 2.6
Large
24%
Mid
37%
Small
22%
T2/J/M
10%
ETF/REIT
7%
Execution Value Breakdown
Market share: Chi-X’s 2 markets among lit markets (TSE, Chi-Alpha, Chi-Select, JNX-J, JNX-X)PI (Price Improvement): it compares the trade price vs. TSE's best bid for sell or best offer for buy at each point of trade and is calculated from the perspective of the Taker of the trade. The average calculation includes trades at TSE price.
6
Statistics - Chi-Alpha & Chi-Select
Top Symbols by Execution
JPY Share %
9984 SOFTBNKG 71,687,161,830 2.5
1570 NFNKLV 37,642,929,302 1.4
7974 NINTEND 36,978,296,900 2.2
3962 CHANGE 20,302,282,700 3.3
9434 SOFTBANK 16,609,459,850 1.3
6920 LASRTEC 16,327,831,900 4.7
2413 M3 16,052,138,200 3.5
4755 RAKUTEN 12,896,313,740 4.2
4689 ZHD 12,632,362,740 3.7
6758 SONY 12,602,917,460 1.4
Chi-Alpha & Chi-Select combinedMarket share of Chi-X’s 2 markets among lit markets (TSE, Chi-Alpha, Chi-Select, JNX-J, JNX-X)
Top Symbols by Market Share
JPY Share %
4041 NP-SODA 808,246,190 11.7
3528 PROSPECT 177,590,930 10.7
6737 EIZO 507,587,190 10.2
2659 SAN-A 487,481,520 9.3
1580 225 BEAR 190,507,422 9
6622 DAIHEN 696,286,330 8.9
7238 AKEBONO 273,929,690 8.8
5967 TONE 9,134,660 8.7
9037 HAMAKYO 234,425,360 8.6
7846 PILOT 529,195,570 8.6
Average Daily Execution JPY 80,336,646,998
Monthly Total Value JPY 1,606,732,939,964
Monthly Total Volume Shares 1,021,452,209
Chi-Match
8
Overview – Chi-Match
Chi-Match allows participants to find counterparties to trade at TSE’s VWAP before the market open, hence offload the trading risk in the continuous matching hours.
How does it work?
Order acceptance (from 8:20 to each pre-matching time)
• Order Type: Full-day VWAP / PM VWAP / AM VWAP
Pre-matching time / Sessions
• Full-day VWAP : 8:33, 8:45, 8:52, 8:56
• PM VWAP : 12:15, 12:25
• AM VWAP : 8:45, 8:52
Trade execution (after market close)
9
Chi-Match - Execution Value Trend
Spikes on major index rebalance days (MSCI, TOPIX, N225) and SQ days
0.0
5.0
10.0
15.0
20.0
25.0
Jun-19 Jul-19 Aug-19 Sep-19 Oct-19 Nov-19 Dec-19 Jan-20 Feb-20 Mar-20 Apr-20 May-20 Jun-20 Jul-20 Aug-20 Sep-20
JPY b
illion
Record High(9 July 2019)
22.2 billion yen
Execution value is double-sided
September 2020
Average Daily Execution JPY 630,911,419
Max Daily Execution (Sept 18) JPY 1,613,441,098
10
Chi-Match Statistics
By Session
8:33 0.9%
8:45 1.1%
8:52 0.8%
8:56 0.0%
12:15 1.8%
12:25 0.8%
Execution Ratio (Trade Lot/Order Lot)
By Market Cap
Large 1.9%
Mid 0.7%
Small 0.9%
TSE2/J/M 0.2%
ETF/REIT 1.0%
0
200
400
600
800
1,000
Large Mid Small TSE2/J/M ETF/REIT
Lot
Average Order Size & Trade Size
Order Trade
0
10
20
30
40
50
60
70
Large Mid Small TSE2/J/M ETF/REIT
JPY m
illion
Order Trade
0
20,000
40,000
60,000
80,000
8:33 8:45 8:52 8:56 12:15 12:25
Order Lot by Session (Daily Average)
Kai-X
12
Overview - Kai-X
Kai-X is a broker neutral ToSTNet cross system where participating brokers bring together non-displayed orders and anonymously cross.
It enables brokers to source additional liquidity from others without disclosing their order flows. It also serves as “outsourcing” of dark pool for brokers who wish to reduce system development and maintenance cost.
The same trading hours as that of TSE.
Crossing at a better than TSE price (especially Mid-point of TSE spread) is pursued.
It is designed to equalize the latency gap among participants.
MEQ (Minimum Execution Quantity; single counter party) and Self-Cross Prevention (among the same brokers; among the same institutional investors) available.
13
Kai-X Execution Snapshot
0.0
1.0
2.0
3.0
4.0
5.0
Dec-18 Mar-19 Jun-19 Sep-19 Dec-19 Mar-20 Jun-20 Sep-20
JPY b
illio
n
Average Daily Execution Value
Avg PI (bps)
Avg PI (spread)
Avg Order Resting Time (s)
Large 1.6 43.0% 402
Mid 6.6 48.9% 102
Small 9.1 49.4% 165
TSE 2/J/M 11.9 46.8% 185
ETF/REIT 5.3 49.8% 59
Overall 6.9 48.7% 129
Large
8%
Mid
65%
Small
17%
TSE2/J/M
3%
ETF/REIT
7%
Execution Value Breakdown
PI compares the trade price vs. TSE's best bid for sell or best offer for buy at each point of trade and is calculated from the perspective of the Taker of the trade. The average calculation includes trades at TSE price.
Average Daily Execution JPY 2,587,101,708
Average Trade Size 1.3 Lots
% of Mid-point Trade 94.4%
* Execution value is double-sided
14
Kai-X Order Snapshot
* Order size is weighted by resting time
0
20
40
60
80
Average Order Size (Lot)
0
200
400
600
800
1000
1200
1400
Average Daily Active Symbol Count
Large
Mid
Small
TSE2/J/M
ETF/REIT
0
50
100
150
200
250
May-19 Jul-19 Sep-19 Nov-19 Jan-20 Mar-20 May-20 Jul-20 Sep-20
JPY b
illion
Average Daily Order Value
(Marketable Mid-Pegged)
Top Symbols by Avg Order Lot Size (Large)
7202 ISUZU 287
2914 JT 222
7733 OLYMPUS 120
9202 ANA 109
8591 ORIX 87
4543 TERUMO 64
9201 JAL 61
6752 PANASNIC 55
4502 TAKEDAP 51
7267 HONDA 34
Top Symbols by Avg Order Lot Size (Mid)
8586 HIT-CAP 886925 USHIO 70
7459 MEDIPAL 65
4689 ZHD 62
8028 FAMILYMA 55
4091 TAIYSANS 51
7984 KOKUYO 49
2768 SOJITZ 45
8697 JPX 40
4732 USS 35
15
Disclaimer
© 2020, Chi-X Japan Limited. All rights reserved. Chi-X is a registered trademark.
Chi-X Japan operates PTSs (proprietary trading systems) to match equity orders from participants who are registered broker-dealers in Japan. Chi-X Japan does not provide its services for persons other than Professional Investors. The information provided here (the “Information”) is intended for Professional Investors only. Under no circumstances may the Information be used or relied upon, or otherwise considered as an offer to purchase or sell any security, or as a solicitation or recommendation of the purchase, sale, or offer to purchase or sell any security.
Redistribution or reproduction of this information is prohibited. The copyright of the Information shall be retained by Chi-X Japan, in principle, and redistribution or reproduction of the Information without Chi-X Japan’s permission is prohibited by the Copyright Act.
Chi-X Japan has taken care to ensure that the Information is correct at the time of its preparation, but shall not be liable for any loss or damage arising out of reliance on the contents thereof.
Chi-X Japan Limited.A Financial Instruments Firm registered with the Director of the Kanto Local Finance Bureau of the Ministry of Finance (Kin-sho) No. 2426
Association Memberships: Japan Securities Dealers Association
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