Japanese equity market feeds are quite challenging to process for a ticker plant. The complexity comes from the number of feeds to support and the very specific way of offering auction periods (Itayose) during the trading day.
The NovaTick Feed Handler on TSE comes with the following characteristics:
Two input Ethernet cables for A/B arbitration
Support for the four TSE feeds
- FLEX full (book, trades, status, …)
- FLEX Standard (book, price information)
- FLEX Basic information (base price and price limits)
- FLEX high-speed Indexes (price information)
Support for regional exchanges NSE, SSE and FSE feeds
Support for Itayose (aka “Equilibrium Price/Volume”)
- Price estimation during Itayose are computed in real-time by the feed handler and inserted/published in the normalized feed during auctions period (at opening, closing and intraday)
- Support for special and sequential trade quotes during intraday auction
Publication Features
- Up to 10-level deep publication
- Top-of-book can be published on separate messages, channels and ethernet ports
- Market orders w/o price published in books or in a separate messages during auction periods
Standard Reliability Features
- A/B arb, Recovery, Periodic summary, …
New TSE feed format (Arrowhead 4.0) support 2 months before introduction
- Will generate much more message traffic (order based), especially at the end of each auction period
- Limited impact (10% maximum) on latency profile on FPGA
