As previously communicated (58/16, 48/16, 45/16 and 29/16) Nasdaq Nordic is planning to introduce Auction On Demand (AOD), a new trading model for all shares and other instruments traded on Nasdaq Stockholm, Nasdaq Copenhagen, Nasdaq Helsinki and Nasdaq Iceland.
AOD is a periodic auction trading system. It complements continuous lit and dark order book trading, and can take place whenever during continuous trading. An AOD auction is triggered on demand by crossing pegged orders (mid, bid or ask) or limit orders and it lasts for less than 100 milliseconds. Multiple anti-gaming protection mechanisms are included to safeguard the integrity of trading.
AOD orders can be submitted via FIX or OUCH and the Nordic Workstation. New auction information covering indicative price and quantity will be available over a new “MOII” message sent over ITCH. In GCF-TIP, the new “MOII” message is mapped to existing TIP message NetOrderImbalanceIndicator.
Latest AOD information is available at Nasdaq Nordic Technical Information web site.
Nasdaq offers a complimentary webinar to learn about how AOD can help address the challenges of new MiFID II regulations. More information can be found here:
http://business.nasdaq.com/auction-on-demand
Protocol specifications
Nasdaq Nordic has now included AOD in the future INET FIX, OUCH and ITCH protocol versions. INET protocol specifications are available at Nasdaq Nordic Technical Information web site.
Summary of protocol changes:
- New “Cancel Pending” and “Replace Pending” messages added to OUCH
- New field “Peg Type” added to the Enter Order message in OUCH
- Additional enum values added to the “Display Instruction” and “Liquidity Flag” fields in OUCH and FIX
- Additional enum values added to the “OrdStatus”, ExecType”, “VenueType” and “CxlRejReason” fields in FIX
- In the AOD book, “MinQty” is interpreted as the minimum executable size (MES)
- New venue MIC Code fields added to the TotalView-ITCH and GLIMPSE Order Book Directory message (Nordic@Mid and AOD MIC Codes). Already implemented in NLS.
- New enum value added to the Cross Trade message “Cross Type” field in TotalView-ITCH
- New “Auction On Demand Order Imbalance Indicator (MOII)” message added to Total-View ITCH
Changes on GCF-TIP was introduced with the GCF 3.2.1 release on September 19, 2016. See IT-Notice GCF 3.2.1 published July 15, 2016.
Legal and Market Model
The Nasdaq Nordic Member Rules and Market Model will be updated, effective as of June 7, 2017. A draft version of the Market Model will be available latest March 20, 2017.
Time Schedule
- INET Test (NTF), GCF TST4 – March 20, 2017*
- INET MiFID II Test – April 24, 2017
- INET Production – June 7, 2017
*Nasdaq reserves the right to internal testing on-beforehand which means new ITCH “MOII” messages will be sent prior to this date. Member applications should be able to handle new messages.
Testing access
Members can test out the new functionality in the INET Test (NTF)/GCF TST4 and INET MiFID II Test environments.
Questions and feedback
For further information and feedback concerning this information, please contact Ronny Thellman, +46 8 405 6313, ronny.thellman@nasdaq.com.
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Nasdaq Nordic
Nasdaq Nordic represents the common offering by Nasdaq Copenhagen, Nasdaq Helsinki, Nasdaq Iceland and Nasdaq Stockholm. Nasdaq Copenhagen, Nasdaq Helsinki, Nasdaq Iceland and Nasdaq Stockholm are respectively brand names for Nasdaq Copenhagen A/S, Nasdaq Helsinki Ltd, Nasdaq Iceland hf. and Nasdaq Stockholm AB.
