The launch of TAIFEX’s real-time data feed will coincide with the TWSE’s introduction of a continuous trading mechanism for equities in March.
TAIFEX (Taiwan Futures Exchange) has announced it will start providing a real-time market data feed when the TWSE (Taiwan Stock Exchange) introduces its new continuous trading mechanism on 23 March 2020.
Currently, the TWSE uses a call auction mechanism in its equity markets, whereby buy and sell orders are collected over five seconds and then matched at the end of the period. Under the new continuous trading mechanism, buy and sell orders will be immediately executed by traders without any time lag.
TAIFEX adopted continuous trading since 2002 in its futures markets, but its data feeds still currently disseminate a snapshot of prices and volumes of the best five bids and asks every 125 milliseconds (8 times a second).
Starting from 23 March 2020, market participants and information vendors will be able to connect to a new real-time data feed, or the existing
feed, depending on their needs.
“With real-time data reflecting the continuous matching of trades on TAIFEX, market participants will be able to gain latest intelligence to market movements and discover trading opportunities,” the exchange said in a statement.
“The robust new data feed will also greatly strengthen investors’ capabilities of deploying various trading strategies between the cash and futures
Access to real-time market data is expected to provide more trading opportunities and enhance stability, transparency and price discovery of Taiwan’s futures market, TAIFEX added.