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Technical Information

INET Nordic Functional Enhancement

Confirmed enhancement that have a confirmed date for INET Nordic Test and Production. ​

This webpage is continuously updated in accordance with information regarding upcoming INET Nordic enhancements. We strongly recommend you to subscribe to IT-Notices in order to stay updated.

The latest INET Nordic protocol specifications are available on INET Nordic Protocol Specifications.

Optional inclusion of OUCH Reject messages in FIX DROP for OUCH

Based on member request Nasdaq Nordic has decided to enhance the current messaging for the FIX DROP for OUCH protocol, to include OUCH reject messages to the FIX DROP for OUCH protocol.

By default OUCH rejects will not be sent over the FIX DROP for OUCH according to current behaviour. Members can request to include Rejects to their FIX DROP for OUCH drop ports via Nasdaq Member Portal

Find more information in IT-Notice 60/18.

Protocol specifications

Nasdaq has included OUCH rejects to the future FIX DROP for OUCH protocol specification.

FIX 5.0 Off-Exchange (APA) Trade Reporting Protocol Specification update

Nasdaq FIX Off-Exchange (APA) Trade Reporting protocol specification has been updated with a new flag "Trade not Contributing to the Price Discovery Process" (TNCP) for the purpose of Article 23 of Regulation (EU) No 600/2014 (MiFIR) and as set out in Article 2 of Commission Delegated Regulation (EU) 2017/587 ("MiFID II RTS 1").

Find more information in IT-Notice 62/18.

Protocol specification

A new value (16) - TNCP - "Trade not Contributing to the Price Discovery Process" (TNCP), is added to the existing FIX Tag [1839] - TradePriceCondition, in the FIX 5.0 Off-Exchange Trade Reporting protocol specification. No updates to the Nasdaq Nordic Equity Last Sale (NLS) protocol specification due to this change, the value is already present in the MMT Trade Flags, MMT Level 3.8.

Expansion if CCP clearing scope to cover Danish Small Cap shares

Nasdaq Copenhagen is planning to expand the scope of instruments that are cleared by Central Counter Party (CCP) on Nasdaq Copenhagen regulated market to include shares in the Small Cap segment. After the expansion, all shares traded on the regulated market of Copenhagen (XCSE) will be cleared and interoperable through all three CCP's supported on Nasdaq Copenhagen.

Furthermore, this expansion allows Nasdaq Copenhagen to simplify the current Market Segment structure for Small Cap shares by combining market segments 'CPH Equities intraday cross' and 'CPH Equities intraday cross CCP'. After this change, both Danish Small Cap shares and Mid Cap shares will be traded on the same market segment, the 'CPH Equities intraday cross CCP'.

Find more information in IT-Notice 56/18.

Auction On Demand (AOD) to support additional Time In Forces

Auction On Demand (AOD), the Nasdaq Nordic Periodic Auction trading service will be further enhanced with two additional Time In Forces (TIF) values valid for AOD orders, GFA and IOC:

  • GFA - Good For Auction
    • A GFA order is added in the AOD Order Book until cancelled by the submitter, or automatically after the next auction in the AOD Order Book.
  • IOC - Immediate Or Cancel
    • An IOC order is eligible for execution in the AOD auction if the auction is ongoing or of the order initiates an auction. The order will be cancelled after the completion of the auction if it's not fully executed.
    • If the IOC order is not participating in the auction, the order is cancelled immediately.
Find more information in IT-Notice 52/18.
Protocol specification
Nasdaq Nordic has included a new Time In Force value GFA (=B) in the future Nasdaq Nordic OUCH and FIX Order Entry protocol specifications. The new values are also applicable for FIX DROP and FIX DROP for OUCH protocols.
With the introduction of the new TIFs, all AOD orders will have Cross Type = A (AOD) in the Order Accepted and Order Replaced OUCH messages (also reflected in FIX DROP for OUCH protocol).

Auction On Demand (AOD) in Smart Order Routing strategies

The Smart Order Routing (SOR) service, provided by Nasdaq Nordic, will be further enhanced with three additional strategies, routing the order also to Auction On Demand (AOD) before the order is being routed to the Nasdaq Nordic Lit Order Book, and possibly to Away Markets:

  • NAOD - Sweep Nordic@Mid, then AOD and post in Nasdaq Lit Order Book
  • DAAN - Sweep Nordic@Mid, then AOD, Nasdaq Lit Order Book, Away markets and post in Nasdaq Lit Order Book
  • DANY - As DAAN, but may re-route after being posted in Nasdaq Lit Order Book
To support the new SOR strategies including AOD, an additional Time In Force condition Immediate Or Cancel (IOC) will be in this conjunction be introduced for AOD, allowing the order to address AOD liquidity more efficient.
Find more information in IT-Notice 51/18.
Protocol specification
Nasdaq Nordic has added the new routing strategies in FIX Tag [76] - ExecBroker, in the future Nasdaq Nordic FIX Order Entry protocol specification (new values also applicable in the FIX DROP protocol).

Allowing Top Of Book Orders on non-CCP stocks

Based on member request Nasdaq Nordic has decided to enhance the Top Of Book Order.

Currently TOP Orders are not allowed on non-CCP stocks. This validation will be removed for all TOP Orders. This means that TOP orders may be sent in on all stocks. Note that other validations on TOP Orders will not change, e.g. a TOP Order may not cross the spread.

Find more information in IT-Notice 61/18.

New Liquidity Flags Representation in FIX and OUCH protocols

Based on member request Nasdaq Nordic has decided to enhance the current messaging for both FIX and OUCH when it comes to the Liquidity Flags representation.

The changes will be MANDATORY for members using the Liquidity Flags in the FIX "Execution Report" and OUCH "Executed Order Message".

Currently the Liquidity Flag includes a number of values to represent how the trade was executed. E.g. if the trade was a Passive execution (Added Liquidity) or an Aggressive execution(Removed Liquidity). The current Liquidity Flag representation has not been complete, there are trading scenarios that have not been covered in an optimal way. E.g. Internalized trades have never been separated into Added/Removed Liquidity.

Summary:

FIX: The New Liquidity Flags representation is based on a reduction of the current Liquidity values, combined with new fields and values in order to cover all trading scenarios.

OUCH: Current Liquidity Flag field will be changed from an Alpha-Numeric field to a Bit map field (same field length), to cover all Liquidity information in a single field.

The new Liquidity Flags representation will be available in INET Test (NTF) from December 1, 2018. 

Find more information in IT-Notice 63/18.

Protocol specification

OUCH and FIX protocol specifications will be updated at a later time. Until updated protocol specifications are available, the "Liquidity Flag Enhancement Protocol Changes" document describes all changes in more detail. 

Change of trading system for Icelandic Fixed Income products

Nasdaq Iceland has decided to migrate all Icelandic Fixed Income products currently traded in the INET trading system to Genium INET, in preparation for the implementation of MiFID II in Iceland.

The last day of trading for the Icelandic Fixed Income products in INET will be on May 17, 2019, and the first day of trading in Genium INET will be on May 20, 2019. Long orders (GTC - Good-Till-Cancel orders) in INET will not be migrated to Genium INET (will be cancelled/flushed EOB May 17, 2019).

INET Market Segments affected are OMX ICE CP Fixed Income, OMX ICE DP Fixed Income and FN ICE Fixed Income. Find more information in IT-Notice 57/18.

For more information on the change of Trading system for Icelandic Fixed Income products, visit the Icelandic Fixed Income migration from INET to Genium INET web page.

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