Self-Match Prevention is an optional functionality, soon to be available on NASDAQ OMX Nordic. The aim of the functionality is to prevent two orders within the same MPID and User Account (UserID) to execute against each other.
The functionality is especially designed for those firms engaged in market making activities on NASDAQ OMX Nordic.
Description of the optional functionality
A new configuration on UserID specifies whether Self-Match Prevention is applicable or not. When an aggressive order hits the book, any opposite side orders from the same UserID (specific trader) are canceled if they would match (and left in the book if they would not). A new cancel reason informs the client about this fact.
Example
| Aggressive sell order: | ||||
| Price | Qty | MPID | User | |
| 100 | 250 | AAA | LPS001 | |
| Bids* | ||||
| Price | Qty | MPID | User | Comment |
| 100 | 50 | AAA | LPS002 | Match |
| 100 | 50 | AAA | LPS001 | Self-cross prevention applies, order is cancelled |
| 100 | 50 | AAA | ABCDEF | Match |
| 100 | 50 | BBB | B00001 | Match |
| 100 | 50 | CCC | C00001 | Match |
| 100 | 50 | DDD | D00001 | Match |
| 100 | 50 | EEE | E00001 | Left in book |
| 99 | 50 | AAA | BCDEFG | Left in book |
*Book ranked in Price, Internal, Time order.
Limitations
Self-Match Prevention applies to the individual MPID + UserID (trader) pair only, not across User Accounts (i.e. it does not cover all users for an MPID).
Protocol changes
Update to cancel order reason:
“Q” - Self Match Prevention. The order was cancelled because it would have executed with an aggressive order entered by the same user. In FIX, the Text [58] field will provide an explanation (there is no change of the FIX specification as such).
Next version of OUCH is available on NASDAQ OMX’s member pages:
http://nordic.nasdaqomxtrader.com/memberextranet/inetnordic/Connectivity_and_Protocols/
Time schedule
Release into INET OTF March 19, 2012.
Production targeted to April 2, 2012.
Support
For ordering and assistance regarding port configuration, please contact NASDAQ OMX Member Services at: +46 8 405 6660, memberservices@nasdaqomx.com.
For questions and assistance regarding this Exchange Notice, as well as any technical queries, please contact NASDAQ OMX Tech Support at: +46 8 405 6410, operator@nasdaqomx.com.
Best regards,
NASDAQ OMX Nordic
