ASX, a preferred destination for Direct Market Access and Algorithmic Trading

The Australian Securities Exchange (ASX) is a high performance, FIX compliant, electronic trading destination. ASX offers institutional investors competitive spreads, low latency and anonymity.

Many brokers operating in the Australian market offer both Direct Market Access (DMA) and algorithmic execution of Australian equities. Compared with other Asian exchanges, ASX offers lower latency and more competitive spreads. ASX was an early adopter of the FIX Protocol for both trading and market data. ASX hosts anonymous equities trading in a range of highly liquid world class companies.

Why ASX?

Competitive Spreads

ASX consistently has some of the lowest spreads amongst Asian exchanges, whether measured on an index (capitalisation) weighted basis or median basis. These competitive spreads make ASX an attractive destination for algorithmic trading strategies.

Index   Exchange Number of
constituents		 Spread
(bps)
ASX 200   ASX 200 13
HSCEI   HKEX 37 18
HSI      HKEX 36 15
KOSDAQ 50   KOSDAQ        50 23
KOSPI 200   KSE 200 20
MSCI Japan   Japan 382 20
MSCI Singapore Free   SGX 39 57
MSCI Taiwan   TSEC 103 20

Effective Spreads in Asian Markets

Source: Citigroup Asia Pacific Liquidity Monitor May 2007

Low Latency

ASX introduced the Integrated Trading System (ITS) in late 2006, enabling all equity products to be traded on this single platform. Entering an order and receiving an acknowledgement typically takes around 30 milliseconds (including network latency) but can be as low as 15 milliseconds. This is one of the lowest latencies amongst Asian exchanges.

Average of ASXs ITS trading system response time (msecs)

Average of ASX's ITS trading system response time (msecs)

FIX for Trading and Market Data

ASX is a FIX compliant exchange, utilising the CameronFIX Universal Server which connects to ITS and supports FIX versions 4.0 – 4.2. ASX also uses the FIX market data service provided by Cameron Systems to provide real-time market information, with full market depth in FIX format. This use of the leading international standard by ASX, reduces the time and cost of connecting to our market.

Anonymity & Price/Time Priority

All equity trading on ASX is anonymous, i.e. broker identifiers are not displayed. Therefore, other traders in the market are not aware of the daily trading activities of institutions using DMA or algorithmic execution. However , please note that a Course of Sales report with broker identifiers is released on a T+3 basis.

ASX operates a Central Limit Order Book adhering to conventional price/time priority rules.

ITS Market Hours

Australia is ideally positioned in a time zone between the major US and European markets.

Normal Trading in the equities market takes place from 10:00 am to 4:00 pm, AEST. The vast majority of trades take place during this trading period.

The Closing Single Price Auction takes place between 4:10 pm and 4:11 pm

Tick Sizes

Small tick sizes improve the execution of algorithms when trading on ASX markets

Stock price
(A$)		 Tick size
(cents)
< 0.10 0.1
0.10 - 2.00 0.5
> 2.00 1.0

ASX Tick Sizes

Liquidity and Trade Size

ASX is a highly liquid market which facilitates the use of algorithmic trading.

This chart compares the average monthly trade size with the monthly trade count on ASX.

 Liquidity vs Average Trade Size

Liquidity vs Average Trade Size: July 2005 to March 2008

This table provides trading statistics for the top 10 stocks on ASX by market capitalisation (March 2008).

Stock ASX
code		   S&P/ ASX 200
  Index weight*		 Market
cap		  Average
 daily volume**		 Average #
trades / day**		 Average
trade size**
BHP Billiton BHP   11.68% $120.2 bn  17,013,988 11,713 $56,580
Rio Tinto Limited RIO   3.34% $56.0 bn  2,244,407 5,614 $51,534
Commonwealth Bank    CBA   5.40% $55.0 bn  6,681,377 7,991 $40,242
National Australia Bank   NAB   4.58% $49.4 bn  8,405,171 7,734 $36,225
Telstra Corporation TLS   2.53% $45.4 bn  46,984,797 3,203 $69,490
Westpac Banking Group WBC   4.25% $44.6 bn  8,358,809 6,649 $32,345
ANZ Banking Group ANZ   4.07% $43.3 bn  9,436,829 7,367 $32,131
Woodside Petroleum WPL   2.30% $37.5 bn  2,436,845 4,494 $29,229
Woolworths Limited WOW   3.36% $35.2 bn  4,304,939 4,940 $26,947
Westfield Group WDC   2.86% $34.6 bn  10,161,490 4,357 $44,360

ASX - Top 10 Stocks by Market Capitalisation
* at 31 March 2008      ** January - March 2008

The Central Limit Order Book (CLOB) is where Market Participants submit orders via ITS to trade cash market products, Exchange Traded Options, Tailor Made Combinations and Standard Combinations.

Average Daily Value Total

Average Daily Value Total

Value of ASX trades matched in CLOB by Trade time

Value of ASX trades matched in CLOB by Trade time: Jan to Dec '07

More information

Download the Australian Cash Equity Markets Brochure (PDF 900KB)

Contact your broker for more information about their DMA & Algorithmic execution offerings on Australian Equities.

Institutional Investors requiring further information from ASX concerning DMA & Algorithmic execution should contact:

David Stocken
Ph: (02) 9227 0934
Email: David.Stocken@asx.com.au