From 50b71e2e8c4fb6b50e8316fbd55b1b12ace402b8 Mon Sep 17 00:00:00 2001 From: Sebastian Lerner Date: Thu, 27 Aug 2026 22:57:38 +0100 Subject: [PATCH 1/3] docs: note TWSE tick-size granularity for APAC equities streams TWSE applies a price-tiered minimum tick size, so TWD-denominated streams can appear to move in discrete increments rather than continuously. Documents this as expected exchange behavior so integrators don't mistake it for reduced feed precision. --- src/content/data-streams/rwa-streams/apac-equities.mdx | 6 ++++++ 1 file changed, 6 insertions(+) diff --git a/src/content/data-streams/rwa-streams/apac-equities.mdx b/src/content/data-streams/rwa-streams/apac-equities.mdx index 99110d2d377..9ab82093c12 100644 --- a/src/content/data-streams/rwa-streams/apac-equities.mdx +++ b/src/content/data-streams/rwa-streams/apac-equities.mdx @@ -80,6 +80,12 @@ Recommended approach: check `marketStatus` before evaluating freshness. If `mark KRX-listed and TWSE-listed equities have no intraday break; KRX runs continuously from 09:00–15:20 KST (00:00–06:20 UTC), and TWSE runs continuously from 09:00–13:25 CST (01:00–05:25 UTC). +### TWSE price granularity (tick size) + +TWSE applies an exchange-mandated, price-tiered minimum tick size to listed equities: the minimum price increment widens in steps as the share price rises, reaching NT$0.5 or more for mid- and higher-priced instruments. As a result, TWD-denominated streams can appear to move in discrete increments rather than continuously, particularly for higher-priced names where the applicable tick is larger relative to the share price. + +This quantization is a property of the underlying exchange's price formation and is expected behavior, not an indication of reduced feed precision or a data quality issue. Protocols that derive metrics such as percentage price changes or volatility bands from TWSE streams should account for this tick-size granularity when calibrating deviation thresholds, to avoid false positives triggered by normal tick-to-tick movement. + ### Opening and closing auction prices At the open of each session, prices may reflect the exchange's opening auction mechanism rather than continuous traded prices. Opening auctions concentrate deferred orders from the closed period into a single price discovery event, which can produce an opening price that deviates materially from the prior session's close. This is normal exchange behavior, not a data quality issue. From 5d08b03e6d6a67bd54cb81ac622462f73712c972 Mon Sep 17 00:00:00 2001 From: Sebastian Lerner Date: Thu, 27 Aug 2026 23:04:14 +0100 Subject: [PATCH 2/3] docs: refine TWSE tick-size note per review feedback Generalize framing to match how tick-size tiers work across several APAC exchanges, and call out that aggregated mid/bid-ask data may not cleanly respect the underlying instrument's tick size. --- src/content/data-streams/rwa-streams/apac-equities.mdx | 6 +++--- 1 file changed, 3 insertions(+), 3 deletions(-) diff --git a/src/content/data-streams/rwa-streams/apac-equities.mdx b/src/content/data-streams/rwa-streams/apac-equities.mdx index 9ab82093c12..012854f1e05 100644 --- a/src/content/data-streams/rwa-streams/apac-equities.mdx +++ b/src/content/data-streams/rwa-streams/apac-equities.mdx @@ -80,11 +80,11 @@ Recommended approach: check `marketStatus` before evaluating freshness. If `mark KRX-listed and TWSE-listed equities have no intraday break; KRX runs continuously from 09:00–15:20 KST (00:00–06:20 UTC), and TWSE runs continuously from 09:00–13:25 CST (01:00–05:25 UTC). -### TWSE price granularity (tick size) +### Minimum tick size (TWSE) -TWSE applies an exchange-mandated, price-tiered minimum tick size to listed equities: the minimum price increment widens in steps as the share price rises, reaching NT$0.5 or more for mid- and higher-priced instruments. As a result, TWD-denominated streams can appear to move in discrete increments rather than continuously, particularly for higher-priced names where the applicable tick is larger relative to the share price. +TWSE, like certain other exchanges in the region, applies a minimum tick size that increases with an instrument's price. Higher-priced instruments can therefore exhibit more staggered, or seemingly exaggerated, tick-by-tick price movement in the base currency than lower-priced ones. -This quantization is a property of the underlying exchange's price formation and is expected behavior, not an indication of reduced feed precision or a data quality issue. Protocols that derive metrics such as percentage price changes or volatility bands from TWSE streams should account for this tick-size granularity when calibrating deviation thresholds, to avoid false positives triggered by normal tick-to-tick movement. +Aggregated data from underlying providers may or may not respect the instrument's tick size at the mid-price or bid-ask spread level. Protocols should use caution when setting risk parameters such as deviation thresholds, accounting for the rounding this can introduce on feeds with a non-trivial minimum tick size. ### Opening and closing auction prices From 883b3d58727d3ecd38cf36d84bcc4297995951a1 Mon Sep 17 00:00:00 2001 From: Sebastian Lerner Date: Thu, 27 Aug 2026 23:40:32 +0100 Subject: [PATCH 3/3] docs: generalize tick-size note, add new-listing pre-open print note Avoid naming TWSE directly in the tick-size heading/intro per review feedback; frame it as an Asian-exchange behavior with TWD called out as the affected base currency instead. Also document that new listings can show pre-open reference prints at the issue price ahead of the opening call auction, so integrators don't mistake these for executions. --- src/content/data-streams/rwa-streams/apac-equities.mdx | 10 ++++++++-- 1 file changed, 8 insertions(+), 2 deletions(-) diff --git a/src/content/data-streams/rwa-streams/apac-equities.mdx b/src/content/data-streams/rwa-streams/apac-equities.mdx index 012854f1e05..bbb2996222e 100644 --- a/src/content/data-streams/rwa-streams/apac-equities.mdx +++ b/src/content/data-streams/rwa-streams/apac-equities.mdx @@ -80,9 +80,9 @@ Recommended approach: check `marketStatus` before evaluating freshness. If `mark KRX-listed and TWSE-listed equities have no intraday break; KRX runs continuously from 09:00–15:20 KST (00:00–06:20 UTC), and TWSE runs continuously from 09:00–13:25 CST (01:00–05:25 UTC). -### Minimum tick size (TWSE) +### Minimum tick size (Asian exchanges) -TWSE, like certain other exchanges in the region, applies a minimum tick size that increases with an instrument's price. Higher-priced instruments can therefore exhibit more staggered, or seemingly exaggerated, tick-by-tick price movement in the base currency than lower-priced ones. +Certain Asian exchanges apply a minimum tick size that increases with an instrument's price. For TWD-denominated streams in particular, higher-priced instruments can exhibit more staggered, or seemingly exaggerated, tick-by-tick price movement in the base currency than lower-priced ones. Aggregated data from underlying providers may or may not respect the instrument's tick size at the mid-price or bid-ask spread level. Protocols should use caution when setting risk parameters such as deviation thresholds, accounting for the rounding this can introduce on feeds with a non-trivial minimum tick size. @@ -98,6 +98,12 @@ Protocols should account for session-open volatility by: - Widening deviation thresholds or reducing position exposure during the first minutes of each session - Avoiding liquidation triggers driven purely by price movement relative to the prior session's close +### Pre-open prints on new listings + +On the morning a new instrument first lists, the stream may carry one or more prints at the issue price shortly before the exchange's opening call auction begins. These are pre-open reference prints disseminated by the exchange to establish a reference level ahead of price discovery — they are not executions, and `marketStatus` remains `5` (Closed) while they are published. + +Do not treat these reference prints as tradable prices. Real price discovery begins with the opening call auction; wait for `marketStatus` to transition to `2` (Open) before acting on the resulting price. + ### Exchange halts Underlying markets may halt trading due to regulatory actions, news events, volatility controls, or operational issues. **These events are not explicitly reflected in the `marketStatus` field.**