I use the word mostly to moan
but I wouldn't be surprised if there are lots of insider stuff happening in Japan esp with smaller caps
Algorithmic Trading - Japanese stocks
- Thread starter Japan_trader
- Start date
but I wouldn't be surprised if there are lots of insider stuff happening in Japan esp with smaller caps
I'm fully systematic. They also have the variable tick sizes, something you don't see in US/EU. Also for position sizes if I recall correctly.
I gave up on it as it wasn't worth the effort. I still have the need to monitor positions and following two different markets cuts into sleeping hours quite badly.
Small caps typically look like some participants have more information that is publicly available. Short availability is also only present for low-probably setups. I've no objective proof though. And yes, I also found it difficult to make money.
I started using IB when I was living in Japan. At that time I was given two account numbers: one was specifically for trading Japanese stocks. The other account had global access but was not allowed to trade Japanese stocks. The reason for getting two accounts was that inhabitants in Japan are not allowed to short-sell stocks on the Japanese market. Thus my Japanese account was for long Japanese equity positions only, whereas the other account was for both long and short positions on other markets.
There were several domestic stockbrokers in Japan at the time, and all of them only allowed long positions.
Nowadays I don't live in Japan anymore and I don't know whether the rule that short-selling is not allowed for inhabitants still applies.
There were several domestic stockbrokers in Japan at the time, and all of them only allowed long positions.
Nowadays I don't live in Japan anymore and I don't know whether the rule that short-selling is not allowed for inhabitants still applies.
Yup they have a 'tick size table', and to make things even more complicated the top100 stocks use a different table (smaller ticksize)! Generally the tick sizes are 'fatter' than US/EU which makes crossing the spread more expensive.
And regarding smalls caps, i would expect the situation to be somewhat similar, as long as they are small enough such that the big players/market makers 'don't care' about them.
Out of interest, what's your typical holding period for your fully systematic strategy?
Thanks for your message! To be honest I didn't know domestic brokers do not allow short-selling, but I imagine even if it was allowed, the vast majority of locals will still have long positions only?
May I ask how much commission do the local brokers charge? And is there any cheaper alternative to IB?
I left Japan more than five years ago so I'm not aware of the current situation. At the time I was trading was IB the cheapest.
From my manual trading activities I quickly learned that I was not suited for that style of trading. Since then have I started to study programming and the use of IB's Java API. Nowadays I only trade fully automated. And I don't use Japanese stocks in my trading.
Minutes to hours in the Japanese market. I started it as a way to diversify as I rarely had positions overnight in the US.
Odd thing is that their microcaps often have huge volume. The volume "explosion" is something else. In US you rarely see 10-50mm mkt cap names doing huge volume.
I noticed that too but that was many years ago, can't speak to whether dynamics changed. Someone told me that even the yakuza runs boiler rooms where they have cohorts of young washouts sit and bump and dump some micro and midcaps all day. Never got confirmation of that but imagining it was fun. Japanese equities, not for me. As you said, way too many weird quirks that make maintaining an algorithmic system a chore that is not worth it. I find 5bps commission with IB a lot for intraday algorithmic trading, though I would not be surprised if they are still cheapest among other brokers. And their shortable inventory was abysmal. I wonder how it looks nowadays.
I remember very clearly the last time I traded a Japanese stock. It was on the day after the tsunami hit Fukushima. Japan was still shaken by all the after quakes and I bought a maker of potassium iodide. I felt guilty (and perhaps because I am a little superstitious) and actually ended up donating the proceeds of that specific trade to an organization that places kids who lost parents with host families. Also took several days off months later to help with cleanups in a particular village in Tohoku. Fond memories
I remember very clearly the last time I traded a Japanese stock. It was on the day after the tsunami hit Fukushima. Japan was still shaken by all the after quakes and I bought a maker of potassium iodide. I felt guilty (and perhaps because I am a little superstitious) and actually ended up donating the proceeds of that specific trade to an organization that places kids who lost parents with host families. Also took several days off months later to help with cleanups in a particular village in Tohoku. Fond memories
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I see. I don't touch microcaps at all (generally only trade >1bmm market cap), and I don't think my system will work when a microcap suddenly has huge volume.
I am actually thinking of looking to diversify with US stocks (maybe my system also works in US stocks?). As a start I would like opening and closing prices for stocks for last couple years at least. I have looked at a few places, and it seems that the opening prices differ/are inaccurate, presumably due to pre-market/ different definitions of 'open px'? I imagine there are free resources out there for this? (i'm not expecting free tick data, just opening and close pxs)
Yup 5bps on tier 1 is a lot, I have to pass on a lot of 'small opportunities' due to the high commissions.
That was a nice trade, deservedly rewarded for your knowledge, and always good to give some back and contribute to society imo!