Tokyo Financial Exchange (TFX)
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3 month Euroyen futures
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| Note1 : | Serial months are the months other than March, June, September and December. For example, as of April 1 , the serial months to be listed are Aplil and May, as of May 1, May and July, as of June 1, July and August. |
| Note1 : | The final settlement price is calculated to the third decimal place. To calculate, round up the figure on the fourth decimal place if it is five or over and round off if it is less than five. For example, if TIBOR is 0.12786%, the final settlement price is 99.872(100 minus 0.128). |
3 month Options on Euroyen Futures
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Yen Swapnote
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Exchange Forex Margin Contracts
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The Tokyo Financial Exchange was established in April 1989 under the Financial Futures Trading Law of Japan. The purposes of TFX are to provide a financial futures market and conduct clearing services for its members and their customers.
TFX has been constantly characterized as the youngest and most innovative exchange in Japan and has been making every effort to strengthen its status and role as a mother market for Euroyen futures and Yen-related interest-rate derivatives and to introduce cutting-edge technologies and systems.
Pre-Open Period
The pre-open period is a period exclusively for order submissions. The types of orders accepted during this period are Limit Orders and Market on Open Orders only. Orders received in this period are matched simultaneously at a single price at the time of market opening.
The matching sequence is : (a) Limit Orders vs. Limit Orders (b) Market on Open vs. Market on Open at the base price (c) Limit Orders vs. Market on Open at the base price.
Tokyo Financial Exchange Order Types
TFX system supports a wide range of order types catering to various trading needs.
An order matched at the price specified or better.
An order submitted without a specified price, and sequentially matched at the best available price in the market. Any unmatched volume will be automatically pulled.
An order submitted during the pre-open period without a specified price, and matched against MOOs at the base price at the start of the day session. The portion not executed is converted into a limit order at the relevant base price. "Base price" means the open price, or if there is no open price, the mid price between the best offer and bid.
Available Conditions (Modifiers) to be Added to Orders
A modifier to cancel the order in its entirety, immediately and automatically, if no portion of the order has been matched, or to cancel the unmatched portion immediately and automatically, if the order has been matched in part.
Complete Volume ("CV")
A modifier to cancel the order in its entirety, immediately and automatically, unless the whole volume of the order is immediately matched.
A modifier to cancel the order in its entirety, immediately and automatically, unless the specified minimum volume or more is immediately matched.
A modifier to make the order valid until the end of the day session of a specified business day.
A modifier to make the order valid until the end of the day session, if the order is submitted during the pre-open period or such day session, or until the end of the evening session, if the order is submitted during such evening session.
A modifier to be added to an order containing two or more components, to cancel the order in its entirety, immediately and automatically, unless all of the components designated in the order are immediately matched.
Utilizing Various Order Methods
A Limit Order, Market Order or MOO can be made combined with modifiers. The effective combinations of orders, with or without modifiers, are as follows:
The order remains in effect throughout the trading day (day and evening sessions) on which it is submitted. It can be traded partially, and the unmatched portion remains in the market as a standard Limit Order.
The order can be traded partially, and any unmatched portion is cancelled immediately.
Order submitted without a specific price, and matched with a corresponding MOO at the base price when the market opens for the day; the portion not executed is converted into a limit order at the base price. "Base Price" means the open price, or if there is no open price, the mid price of best offer and bid.
A type of Limit Order requiring all or part of the order be executed as soon as the order is submitted. The portion not executed is automatically canceled.
A type of Limit Order with the condition to cancel the entire order if not traded entirely at the time of submission.
A type of Limit Order with the condition to cancel the entire order if it is not traded up to the minimum designated volume. The portion not executed remains in the market as a standard Limit Order.
A type of Limit Order that remains effective until the end of the trading period on the designated business day. It is automatically carried over to the next day up until the designated day. If no date is specified, the order will remain effective until the last trading day of the relevant month or series.
The Limit Order with GIS designation only remains in effect for the designated session (day or evening) in which it is submitted. If the order is submitted in the day session, it is canceled when the market switches over to the evening session i.e. at 15:30.
Two to eight Limit Orders submitted with the condition to be traded when all of those component orders are traded entirely, canceled otherwise.
A type of Limit Order that only trades when the specified minimum volume can be executed at the time of order submission. The portion not executed is automatically canceled.
At type of Limit Order with the condition to cancel the entire order unless the specified minimum volume can be traded at the time of order submission. The portion not executed remains in effect as a standard Limit Order until the end of the trading period on the designated business day of the relevant GTC.
Limit Order requiring minimum designated volume or more be executed as soon as the order is submitted to the market; canceled otherwise. The portion not executed remains in effect until the end of the session in which relevant GIS order is submitted.
Market Order requiring complete volume be executed as soon as the order is submitted to the market; canceled otherwise.
Market Order requiring the minimum designated volume or more be executed; canceled otherwise. The portion not executed is automatically canceled.
Two to eight Market Orders submitted with the condition to trade only when all of the component orders are traded entirely or otherwise canceled.
Tokyo Financial Exchange Matching Algorithm During Trading Session
TFX uses price/time priority algorithm for order matching (same as at present). In price/time priority, higher bid (lower offer) takes priority, and where the price is identical, earlier order takes priority.
Matching Algorithm at the Market Open
The order types accepted at the Market Open are Limit Orders and Market on Open Orders. Accepted orders are matched simultaneously at a single price at Market Open. The orders submitted are matched in the following priority; 1) Between Limit Orders, 2) Between Market on Open orders at the base price*, 3) between Limit Orders and Market on Open Orders at the base price.
Calculation of Options Settlement Price
TFX will calculate and publish the settlement prices of options on all listed contracts for the day irrespective of whether the contract is traded or has open interest or not. Also, the settlement price is calculated as the theoretical value based on the expected volatility for each series set by the Exchange.
What is "Official Closing Price" ?
The Official Closing Price is the price which TFX publishes after the end of the evening session for all future months. The Official Closing Price is calculated using the same method employed for settlement price calculations. The Official Closing Price is used in ; (a) calculating the mid price (criterion price) to set options strike price on the next business day, (b) calculating the base price used in price control during pre-open period on the next business day.
Options Strike Price
The strike price interval of options on Three-month Euroyen futures was reduced from 0.25 tick to 0.125 tick, and the number of strike prices increased to thirteen from the previous nine(the mid price A} 6). This change was intended to reflect current market levels in order to respond to the trading needs of Members and other investors.
What is "Cabinet Trading" ?
This is a system introduced exclusively for the options for Three-month Euroyen futures; orders are submitted with the price of zero, and where they are matched at the price of zero, they are assumed as matched at the price designated by TFX (0.001 or 250 yen). This system is to facilitate the offset trading or new trading of the deep-out-of-the-money options with no intrinsic value, or out-of-the-money options that is close to its expiry.
What is "Price Control" ?
Price Control is the system in which TFX rejects orders submitted by Members with prices exceeding a certain price range (higher bid/lower offer, a.k.a. price control range).
• Example
Where the reference price is 99.900, and the Price Control Range is 0.050 above and below, Members are not allowed to submit orders to buy at a price higher than 99.950 and orders to sell at the price lower than 99.850.
Calculation of reference price for Futures/Options and others is as follows:
Futures
The reference price for reference months are, for the pre-open period, the official closing price of the previous business day; after the market open, the prevailing market price taking account market activities. For other months, the reference price is calculated as a certain spread from the reference price of the reference months.
Options
In principle, the theoretical value calculated by TFX.
Strategy Trading
In principle, the value is calculated from the reference price of the component futures contract month or options series.
Price Control Range
The Price Control Range is set by TFX for each contract month based on the market situation. The Price Control Range will be informed to Members via market message.
Remarks
The price control is only applied at the time of order submission. There may be cases in which, at the pre-open period or during the trading session, TFX modifies the width of the Price Control Range or suspends the Price Control without prior notice.
What is "Block Trade" ?
Block trade is a trade, executed outside of the competitive auction, in which the corresponding sales and purchase contracts are made simultaneously for a specific contract month or series in the volume larger than the amount designated by TFX. A block trade can be made by one Member covering the corresponding sales and purchase contracts, or by two bilateral Members. A prerequisite of block trades is to gain approval from TFX prior to execution.
What is "Request for Quote" ?
Request for Quote (RFQ) is a facility where Members can request for quotes for the purpose of trading to other Members. This will enhance the matching opportunity for products or contract months with lesser liquidity. Members can directly send RFQ from their trading terminals to other market participants in a single transmission.
