Service Overview
Mitsubishi UFJ Trust Investment Technology Institute Co., Ltd. (MTEC) and JPXI provide data processed from FLEX Full data which is historical information of Tick data provided by JPXI, into data often used for analysis of price formation and liquidity during trading hours (market microstructure).
This service facilitates data processing and analysis by extracting the data necessary for analysis and converting it to CSV format.
| Service Overview |
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Processing Menu
Processing Service for Stock Order Data provides the following 12 types of processing menus.
The data is offered on a monthly basis. The service period is from January 2010 to the previous month.
The service will not provide the missing electronic messages in FLEX Full data itself.
| Item |
Overview |
| A:Limit order book |
A list of order prices and ordered shares in the range user designates by the parameter. |
| B:Bid ask spread |
Time weighted average of difference from best bid price and best ask price. |
| C:Micro price |
Adjusted stock price by ordered shares in designated range from best ask/bid prices. |
| D:Volume curve |
Traded volume in period and the ratio of traded volume from open to traded volume on the day. |
| E:Contracted volumes by price |
Contracted volume by contracted price. |
| F:VWAP |
Volume Weighted Average Price |
| G:Price volatility |
Population standard deviations of traded price changes in the period. |
| H:Micro price volatility |
Population standard deviations of micro price changes in the period. |
| I:Order count, contract count and cancellation count |
Order count, contract count and cancellation count in the period. |
| J:Special quote |
Seconds during which special quote /sequential trade quote appears. |
| K:Effective spread, adverse selection cost and realized spread |
Cost to contract an order and its decompositions. |
| L:Order imbalance |
Evaluate the bias of buy and sell. |
Fee
Please contact us at the following email address for the fees for each menu. Depending on the processing menu, three months' worth of data would cost approximately JPY 450,000.
Terms and Conditions for Processing Service for Stock Order Data
Users can apply to use this Service by agreeing to the “Terms of Conditions for Processing Service for Stock Order Data and entering into a contract with JPXI.
| Terms and Conditions for Processing Service for Stock Order Data |
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Analysis Using Processing Services for Stock Order Data
MTEC has released an analysis report using data provided by Processing Service for Stock Order Data. It was prepared and published only for the purpose of providing information to investors and not for the purpose of disclosing documents based on the Financial Instruments and Exchange Act, soliciting investment, or recommending trading with specific financial instruments business operators.
We analyzed the occurrence and duration of special quotes.
Contract and Application
Applications for this Service should be made using the below web-based form. After submitting the application using the form below, we will provide users with a quotation.
Enquiry：
JPX Market Innovation & Research, Inc., Frontier Development
TEL:+81-3-3666-1361 (Switchboard)
E-mail:inf_dev@jpx.co.jp
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