Limit Order

An order matched at the price specified or better.

Market Order

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.

Market on Open ("MOO")

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.

Immediate and Cancel ("IC")

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.

Minimum Volume ("MV")

A modifier to cancel the order in its entirety, immediately and automatically, unless the specified minimum volume or more is immediately matched.

Good Till Cancelled ("GTC")

A modifier to make the order valid until the end of the day session of a specified business day.

Good In Session ("GIS")

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.

Contingent Multiple Order ("CMO")

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.

Limit Order (No designation)

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.

Market Order (No designation)

The order can be traded partially, and any unmatched portion is cancelled immediately.

Market on Open (With designations/No designation)

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.

Limit Order + IC

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.

Limit Order + CV

A type of Limit Order with the condition to cancel the entire order if not traded entirely at the time of submission.

Limit Order + MV

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.

Limit Order + GTC

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.

Limit Order + GIS

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.

Limit Order + CMO

Two to eight Limit Orders submitted with the condition to be traded when all of those component orders are traded entirely, canceled otherwise.

Limit Order + IC + MV

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.

Limit Order + MV + GTC

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 + MV + GIS

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 + CV

Market Order requiring complete volume be executed as soon as the order is submitted to the market; canceled otherwise.

Market Order + MV

Market Order requiring the minimum designated volume or more be executed; canceled otherwise. The portion not executed is automatically canceled.

Market Order + CMO

Two to eight Market Orders submitted with the condition to trade only when all of the component orders are traded entirely or otherwise canceled.

Market on Open + GTC

If orders did not match the base price at the start of the day session, then the orders would turn into limit orders + GTC.

Click here (PDF Document -8KB-) to see the matching algorithm at the Market Open.

TFX uses price/time priority algorithm for order matching. In price/time priority, higher bid (lower offer) takes priority, and where the price is identical, earlier order takes priority.

The Strategy Trading allows you to submit a combination of multiple orders as a single Strategy order. This facility reduces the administrative burden of submitting each order separately as well as the risk of partial order executions known as legging risk. TFX will introduce six Futures and thirty Options Strategies. Some of these have the implied function that increases the liquidity and matching opportunity by linking outright markets and strategy markets.

This is a function that links the outright markets and the strategy markets to make the most of their liquidity and enhance the matching opportunity of both Strategy and outright orders. There are two types of implied functions: Implied-in and Implied-out.

* Implied-out

The function to derive outright orders from the explicit strategy orders; applied to

 (a) Calendar Spread, (b) Call Spread, (c) Put Spread, (d) Call Calendar Spread, (e) Put Calendar Spread, (f) Call Diagonal Calendar Spread, (g) Put Diagonal Calendar Spread, (h) Strangle, and (i) Straddle.

* Implied-in

The function to derive strategy orders from the explicit outright orders; applied to

 (a) Calendar Spread, (b) Butterfly, (c) Condor, (d) Strip, (e) Pack, (f) Bundle, (g) Call Spread, (h) Put Spread, (i) Call Calendar Spread, (j) Put Calendar Spread, (k) Call Diagonal Calendar Spread, (l) Put Diagonal Calendar Spread, (m) Strangle, and (n) Straddle.

Three-month Euroyen futures: 22 months (2 serial months + 20 quarterly months (5 years).
Options on Three-month Euroyen futures: 5 quarterly months (1 1/4 years).
"Over-Night Call Rate Futures: first 6 calendar months.
Spot-Next Repo Rate Futures: first 6 calendar months.

The months listed for three-month euroyen futures are typically quarterly months, i.e., March, June, September, and December. Serial months mean the months other than these quarterly months. TFX has introduced the listing of the two nearest serial months for Three-month Euroyen futures contract.

* Serial months as of April 1, 200X

: April, May, 200X (June is listed as a regular quarterly month)

* Serial months as of May 1, 200X

: May, July 200X (June is listed as a regular quarterly month)

* Serial months as of June 1, 200X

: July, August, 200X (June is listed as a regular quarterly month)

TFX will calculate and publish the settlement prices of all listed months for the day irrespective of whether or not the month is traded or has open interest. This is expected to enhance the role of the settlement prices as an interest rate benchmark.

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.

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 (only three-month euroyen futures), (b) calculating the base price used in price control during pre-open period on the next

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.

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.

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.

In the event that TFX implements price movement restrictions, it will be impossible for orders to be submitted whose prices fall outside a certain range.

*At present, price movement restrictions are not implemented at TFX.

Block trade is a trade, executed outside of the competitive auction, in which the "corresponding sales and purchase contracts" and "strategy sales and purchases 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.

To see details on Block Trades, click here (PDF Document -124KB-).

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.