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1
Chi-X Japan Monthly Report
October, 2019
2
Markets operated by Chi-X Japan
PTS Trading ToSTNeTReporting
Continuous Matching Periodic Matching
Chi-Alpha
Main PTS8:00-16:00
Chi-Select
Retail & DMM8:00-16:00
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 the largest and longest operating among venues run by Chi-X Japan
Chi-Select is catered to retail focused brokers with features allowing them to provide their clients with better best execution
Key Features Continuous matching between 8am to 4pm 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%
0.5%
1.0%
1.5%
2.0%
2.5%
3.0%
3.5%
4.0%
0
20
40
60
80
Feb-1
8
Mar-
18
Apr-
18
May-1
8
Jun-1
8
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
JPY b
illion
Average Daily Execution Market Share - All Large Mid Small
Average PI (bps)
MarketShare
Large 0.7 0.9%
Mid 2.6 3.2%
Small 4.3 3.8%
T2/J/M 10.2 1.9%
ETF/REIT 4.4 1.7%
Overall 3.8 2.1%
Large
16%
Mid
49%
Small
23%
T2/J/M
5%
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 Market Share
4689 ZHD 12,786,652,370 5.6%
1570 NIKKEILV 11,950,430,460 0.5%
7974 NINTEND 10,545,891,700 1.0%
6857 ADVNTST 10,373,676,620 2.6%
9983 FASTRET 9,831,625,900 1.0%
3436 SUMCO 9,805,403,990 1.7%
9984 SOFTBNKG 9,612,317,970 0.7%
9684 SQENIXHD 7,680,793,500 4.1%
6861 KEYENCE 7,406,961,600 1.5%
1357 NKDOUBLE 7,206,410,008 1.2%
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 Market Share
1699 NMR OIL 355,857,819 12.3%
6325 TAKAKTA 16,517,900 12.1%
2769 VILAGEV 36,333,770 9.1%
8524 NORTHPBK 528,480,230 9.0%
7908 KIMOTO 37,394,550 8.9%
2353 NP-PARK 334,876,310 8.7%
3593 HOGYMED 836,318,990 8.5%
3282 COMFORIA 1,255,166,130 8.5%
8955 JPN-PRI 1,896,085,550 8.3%
3097 MONOGATA 445,565,400 8.3%
Average Daily Execution JPY 55,751,440,382
Monthly Total Value JPY 1,170,780,248,022
Monthly Total Volume 775,116,836 Shares
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 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
Sep-18 Oct-18 Nov-18 Nov-18 Jan-19 Feb-19 Mar-19 Apr-19 May-19 Jun-19 Jul-19 Aug-19 Sep-19 Oct-19
JPY b
illion
Record High(9 July 2019)
22.2 billion yen
Execution value is double-sided
October, 2019
Average Daily Execution JPY 2,142,034,035
Max Daily Execution (Oct 4) JPY 7,984,446,926
10
Chi-Match Statistics
By Session
8:33 2.1%
8:45 2.1%
8:52 1.5%
8:56 0.2%
12:15 14.3%
12:25 8.4%
Execution Ratio (Trade Lot/Order Lot)
By Market Cap
Large 10.4%
Mid 4.5%
Small 1.5%
TSE2/J/M 0.1%
ETF/REIT 8.0%
0
100
200
300
Large Mid Small TSE2/J/M ETF/REIT
Lot
Average Order Size & Trade Size
Order Trade
0
10
20
30
40
50
Large Mid Small TSE2/J/M ETF/REIT
JP
Y m
illion
Order Trade
0
20,000
40,000
60,000
80,000
100,000
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
May-18 Sep-18 Jan-19 May-19 Sep-19
JPY b
illion
Average Daily Execution Value
Avg PI (bps)
Avg PI (spread)
Avg Order Resting Time (s)
Large 2.0 44.6% 104
Mid 5.1 49.7% 76
Small 9.8 48.4% 136
TSE 2/J/M 16.0 46.8% 229
ETF/REIT 3.8 49.4% 80
Overall 5.6 49.1% 100
Large
10%
Mid
53%
Small
8%
TSE2/J/M
5%
ETF/REIT
24%
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 2,722,955,216
Average Trade Size 1.6 Lot
% of Mid-point Trade 93.4%
* Execution value is double-sided
14
Kai-X Order Snapshot
* Order size is weighted by resting time
0
10
20
30
40
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
20
40
60
80
100
120
140
160
180
200
Aug-18 Oct-18 Dec-18 Feb-19 Apr-19 Jun-19 Aug-19 Oct-19
JPY b
illion
Average Daily Order Value
(Marketable Mid-Pegged orders)
Top Symbols by Avg Order Lot Size (Large)
1605 INPEX 336
2502 ASAHIGHD 286
6326 KUBOTA 259
8411 MIZUHO 244
7201 NISSAN 179
4901 FUJIFILM 153
8309 SMTRUST 137
3407 ASA-KSI 112
4503 ASTELLAS 83
8591 ORIX 82
Top Symbols by Avg Order Lot Size (Mid)
2181 PERSOLHD 5923291 IIDAGHD 234
4912 LION 148
2371 KAKAKU 148
6845 AZBIL 136
8729 SONY FH 134
7732 TOPCON 133
5463 MARUITI 103
5105 TOYOTIRE 103
4732 USS 97
15
Disclaimer
© 2019, 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