Launch of “Processing Service for Stock Order Data” for Provision of Processed FLEX Full Data
Mitsubishi UFJ Trust Investment Technology Institute Co., Ltd. (MTEC) and JPX Market Innovation & Research, Inc. (JPXI) will launch the “Processing Service for Stock Order Data,” which provides FLEX Full data which is historical information of stock trading orders in the markets of Tokyo Stock Exchange, Inc. (TSE) and is provided by JPXI in a format that facilitates data analysis.
FLEX Full data is a data set provided as historical information by JPXI after storing real time stock market data from TSE on a daily basis. As the most in-depth available analysis of stock order/execution history, FLEX Full data is widely used by institutional investors and others to analyze price formation and liquidity during trading hours (market microstructure) and to evaluate trading costs.
However, this analysis requires preprocessing such as extracting and processing essential information after reproducing order book information, and a large amount of computing resources are needed to conduct large-scale analysis. The Processing Service for Stock Order Data provides FLEX Full data processed by MTEC into information commonly used in market microstructure research, such as a bid-ask spread (the difference between the lowest sell order price and the highest buy order price) in a CSV format. This is expected to ease the burdens of and remove hurdles for users to analyze and utilize the data.
For further details of this service, please refer to the following website.