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Directed Request for Quote

Fixed Income is introducing a new Directed Request for Quote functionality. The Directed Quote Request (DQR) function makes it possible for a trader to send a private Quote Request in a specific instrument series directed to responsible market makers, to a specified list of market makers or one single market maker.

The Market Makers respond to a DQR by sending directed orders to the Initiator. These orders will not be public to all market participants.

The Initiator then have the ability to select which Market maker responses to execute against. Once that is done there is a match and the trade is executed according to applicable exchange rules.

  • The initiator can place a Directed Quote Request (DQR) in a specific instrument to one or several traders or market makers. The lifetime of the DQR is configurable or can even be specified when sending the DQR transaction depending on configuration.
  • Initiator are able to delete an active Directed Quote Request
  • Initiator are able to specify “time to respond” (DQR Lifetime) when sending the DQR transaction
  • Target Participant(s) shall respond explicitly within DQR Lifetime
  • The response to a DQR shall be valid for a certain configurable period of time. I.e. until end of Total DQR lifetime (DQR Lifetime+ DQR Accept time).
  • The sender of the DQR Response shall be allowed to cancel the order and send a new response if within the time limit.
  • The Private response shall be validated against Pre-Trade SSTI threshold. Transaction shall be rejected below threshold.
  • The initiator may accept (match) all or partial quantity for one or several of the DQR responses.
  • When a trade is matched it will be published (or deferred if applicable).

This new functionality will be configured for the Danish Electrobroker market to start with.

Nasdaq applications: Mandatory if used ​

Trading Workstation

  • New Window - "Send Direct Quote Request" ​

Nasdaq API/Protocols: Mandatory if functionality is to be used 

OMnet (Please see OMnet message reference for more information)

  • New OMnet messages - Directed Quote Request
    • MO51 - Quote Request Transaction
    • MO57 - Directed Quote Request Deletion
    • MO61 - Directed Order Transaction
    • MO62 - Directed Order Accept Transaction
    • BO51 - Ouote Request sent to Market Makers
    • BO52 - Directed Quote Request Ack
    • BO53 - Quote Request Response Sent to Requestor
    • BO62 - Directed Order sent to involved participants
    • DQ89 - Price Quotation Responsibility

FIX

  • Please see FIX specification for more information.
    • Addition to revision history (date January 31, 2018).
    • Section 10 for Directed Quote Request.
    • Added tag 2751 to QuoteStatusReport (Updated Feb 26)

Matching Logic

With the Genium INET 5.0.0205 release the matching functionality in combination with internal priority and reserve orders has been changed so that the displayed part of reserve orders is always matched prior to the hidden part. This has been the case when the reserve order and the incoming order belong to different participants but not when the participants are the same.

Please note that the above change shall not affect matching priority in any other way, including the internal priority rule. That is, orders shall continue to be matched according to the following rule:

  1. Price
  2. Internal
  3. Time 

This implies that after an internal match of the displayed part of a reserve order, the participant’s incoming order matches the non-displayed part of the reserve order before matching against orders of other members at the same price level.

The reserve order functionality was disabled from January 2, but will be enabled again on applicable markets with the go live of the release. Below are a couple of examples illustrating the new reserve order functionality.

Example 1

Initial status of the bid side of the orderbook:
Time stamp Order ID Member Displayed volume Volume held in reserve Price
1 1 A 100,000 100
2 2 B 500,000 100
3 3 C 10,000 120,000 100
4 4 D 50,000 100

Member C enters an ask order of 35,000@100. This results in the following two trades:

Buying member
Selling member
Quantity
C
C
10,000
C
C
25,000

Following the matching the status of the bid side of teh orderbook is therefore as follows
Time stamp Order ID Member Displayed volume Volume held in reserve Price
1 1 A 100,000 100
2 2 B 500,000 100
4 4 D 50,000 100
5 3 C 10,000 85,000 100

Example 2

Initial status of the bid side of the orderbook:
Time stamp Order ID Member Displayed volume Volume held in reserve Price
1 1 A 100,000 100
2 2 B 500,000 100
3 3 C 10,000 120,000 100
4 4 D 50,000 100

Member E enters an ask order of 670,000@100. The order is fully matched in teh following sequence:

Buying member
Selling member
Quantity
A
E
100,000
B
E
500,000
C
E
10,000
D
E
50,000
C
E
10,00

The status of the bid side of the orderbook:
Time stamp Order ID Member Displayed volume Volume held in reserve Price
6 3 C 10,000 100,000 100
No technical impact.

Extended Deferals (Updated Feb 26. Added OMnet changes)

From June 11, Nasdaq will for Swedish instruments introduce the T+4 weeks deferral approved by Finansinspektionen. The new deferral model for Swedish bonds means there will be no publication on the trading day. On day T+2 the trades are published with volume omission. The full trade information will be published on T+ 4 weeks. In addition to this there will be a T+1 aggregated trade information if a minimum 5 transactions has been reported. This will apply to Government and Mortgage bonds on markets with manual trade reports.

For Finnish instruments there will be a similar T+4 weeks deferral with a T+2 days volume omission applicable to all instrument types for manual trade reports. There will not be any T+1 aggregated information on Finnish bonds. 

All the above changes will be added to the updated Market Model, which is planned for end of March. 

Nasdaq API/Protocols: Mandatory if functionality is to be used (Updated Feb 26)

OMnet (Please see OMnet message reference for more information)

  • Changes to OMnet messages - changes in struct cl_trade_regdata
    • BD6 - Dedicated Trade Information
    • CQ10 - Query missing trade
    • CQ11 - Query missing trade, historical

Contact Us

Member Services
Production and Test login credentials (user id & passwords)
Participant and User configuration
FIX Configuration 

+46 8 405 6660
ms.gi@nasdaq.com


Technical Support
Technical integration issues for members and ISV´s: Trading and clearing on OMnet API and FIX. General disturbances and issues. 

+46 8 405 6750
technicalsupport@nasdaq.com


Risk Management
Margin Methodology for Equity and Index derivatives, cleared Fixed Income products and Commodities

clearing.risk@nasdaq.com
+46 8 405 7088 



Clearing Operations
Support for Genium INET clearing operation related queries 

+46 8 405 6880
clearing@nasdaq.com

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For test related queries
clearing.test@nasdaq.com


Trading Operations
Support for Genium INET trading related queries for Equity Derivatives and Fixed Income

+46 8 405 7360
tradingoperations@nasdaq.com

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Support for Genium INET trading related queries for Commodities
+47 6752 8037
desken@nasdaq.com


Technical Relations
Market Readiness upcoming enhancements, ISV and other third party technical and sales support. 

+46 8 405 7364
anders.bergstrom@nasdaq.com 

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+46 8 405 6944
charlie.holmgren@nasdaq.com

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