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Benefits

About 20% of the total electronic Order book turnover is traded at Nasdaq Nordic in auctions. The average trade size is roughly four times higher than for Lit Order book continuous trading (Jan 2018).

Benefits of the Nasdaq Nordic Auction model include:

  • Reduced Equilibrium price volatility
  • Robust price formation process in the opening auction 
  • A more optimal trading model for the scheduled intra-day auction 
  • Possibilities to trade larger blocks more efficiently, especially in the liquid closing auction 
  • Short randomization at the end of all auctions strengthens auctions' credibility and mitigates gaming possibilities

Highlights

Nasdaq Nordic operates a single auction model for all auctions, including opening, scheduled intra-day (for select instruments) and closing auctions. Individual orders are not displayed in the public data feed. 

Pre-trade transparency via real time Net Order Imbalance Information (NOII) includes: 

  • Equilibrium price (EP) or Best Bid and Ask for uncrossed books 
  • Paired quantity 
  • Imbalance 
  • Imbalance direction

INET Auction details

All auctions are divided into two phases: order management and uncross. 

  • During the order management, orders will enter the auction Order book. Orders can be sent as Limit Orders or Market Orders with Time In Force (TIF) conditions. There are also possibilities to tie an Order to a specific auction by submitting special auction Order types utilizing the Cross trade flags. Limit On Close (LOC) is an example of an order that will be activated automatically in the closing auction. 
  • The time of the uncross is randomized with a short period at the end of the order management stage.
Nasdaq Nordic INET Market Model gives the complete view on the auction functionality. Visit the Member Rules page for details. 
For further details on the auction mechanism, please download the fact sheet.

Download

For further details on the auction mechanism, please download the fact sheet.

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