Immediately Executable Price Range Rule

Immediately Executable Price Range Rule (Dynamic Circuit Breaker (DCB))

From the viewpoint of preventing sudden price fluctuations, such as caused by erroneous orders, a rule is established to temporarily halt trading, when an order placed will trade beyond a set price range
(hereinafter referred to as the "DCB Price Range") from the immediate reference price (hereinafter referred to as the "DCB Reference Price"). This is called the Immediately Executable Price Range Rule.
After a set duration of time has passed from the start of the temporary trade halt, if the matching price is still outside of the DCB Price Range, trading will not be resumed and the trade halt will continue.
The DCB Reference Price is updated to price of the DCB Price Range that is closest to the matching price.
The trade halt and the update of the DCB Reference Price will continue until the matching price is inside the DCB Price Range and will trade by call auction.
The DCB Reference Price shall be the last traded price of the auction (excluding strategy trades) or the mid price of the immediate best offer and best bid (BBO mid price) depending on product category.
The DCB Price Range shall be the range as in the table below depending on product category.
If there is no last traded price or BBO mid price during the trading day, the standard price of bids and offers on the trading day shall be the reference price for the DCB Price Range.

 

Products DCB Reference Price DCB Price Range
Index Futures Nikkei 225 Futures, Nikkei 225 mini Last Price or Last BBO mid-price ± 0.8 %
TOPIX Futures, mini-TOPIX Futures
RNP Index Futures
JPX-Nikkei Index 400 Futures
TSE Mothers Index Futures
TSE REIT Index Futures
TOPIX Core30 Futures
TOPIX Banks Futures
DJIA Futures ± 1.0 %
India Nifty50 Futures
TAIEX Futures
FTSE China Index 50 Futures
Nikkei 225 VI Futures ± 10 ticks
Nikkei 225 Dividend Index Futures ± JPY 10
TOPIX Dividend Index Futures ± 1 pt
TOPIX Core30 Dividend Index Futures
JGB Futures 5-year JGB Futures ± JPY 0.1
10-year JGB Futures
20-year JGB Futures ± JPY 0.3
mini 10-year JGB Futures ± JPY 0.1
Options on JGB Futures Options on JGB Futures
Index Options Nikkei 225 Options Last Price or Last BBO mid-price
(Last Price since April 3rd, 2017)
± 10 ticks
TOPIX Options Last Price or Last BBO mid-price
JPX-Nikkei Index 400 Options

 

The DCB Price Range for Securities Options is as follows depending on the underlying security price

Category DCB Reference Price Reference Price of Underlying Securities DCB Price Range
Securities Options Last Price or Last BBO mid-price Less than JPY 500 JPY 10
JPY 500 or more, but less than JPY 1,000 JPY 20
JPY 1,000 or more, but less than JPY 3,000 JPY 50
JPY 3,000 or more, but less than JPY 5,000 JPY 100
JPY 5,000 or more, but less than JPY 10,000 JPY 200
JPY 10,000 or more, but less than JPY 30,000 JPY 500
JPY 30,000 or more, but less than JPY 50,000 JPY 1,000
JPY 50,000 or more, but less than JPY 100,000 JPY 2,000
JPY 100,000 or more, but less than JPY 300,000 JPY 5,000
JPY 300,000 or more, but less than JPY 500,000 JPY 10,000
JPY 500,000 or more JPY 20,000

(note)
  • ・The BBO mid price may not be used as the DCB Reference Price in market conditions such as when the spread between the last best bid and the last best offer exceeds MAX SPREAD.
  • ・Duration of the temporary trading halt is at least 30 seconds (Index Options is 15 seconds ). The trade halt will continue until the matching price falls within the DCB Price Range.
  • ・In principle, this rule does not apply to call auctions. However, for call auctions at market closing, if the closing auction price is outside the DCB Price Range from the DCB Reference Price, the trade will not be executed.
Example of Temporary Trading Halts based on Immediately Executable Price Range Rule
List of MAX SPREAD