This is a reminder of the Nasdaq Nordic and Nasdaq Baltic technical MiFID II release for INET Nordic Cash Equity trading platform on Monday November 20, 2017.
Changes taking effect on November 20 include:
- Mandatory short code fields related to Order Record Keeping (ORK) on OUCH and FIX Order Entry protocols
- Migration from FIX 4.2 to FIX 5.0 On- and Off-Exchange Trade Reporting
- Decommission of the ITCH for Reported Trades data feed and After Auction Reports in favor of the new Nordic Equity Last Sale (NLS) feed
- Activation of MMT flags on all Order- and Trade Reporting protocols, as well as the NLS protocol.
Flush or GTC orders after market close today November 17
As previously communicated in IT-Notice 73/17, Nasdaq Nordic and Nasdaq Baltic will remove (flush) all GTC (Good –Till-Cancelled) orders in INET Nordic today November 17, 2017, after market close. This is due to the introduction of mandatory Order Record Keeping fields on order entries from November 20, 2017.
Order Entry and Order Entry Drops
As previously communicated in IT-Notices 77/17, 49/17, 42/17, 38/17, 30/17, 22/17 and 52/16, Nasdaq Nordic and Nasdaq Baltic will introduce new mandatory fields on order entry messages in INET Nordic Production.
Mandatory Order Record Keeping (ORK) related fields:
- Client identification (ClientID) short code – Mandatory if Order Capacity is AOTC or MTCH
- Investment decision within firm (IDM) short code – Mandatory if Order Capacity is DEAL
- Execution decision within firm (EDM) short code – Mandatory
- Associated Party Role Qualifier to the respective short code field above, identifying if the ClientID, IDM and EDM is a LEI, Natural ID or an Algo ID.
The usage of the fields Client ID and Investment Decision Maker is mandatory in applicable cases, depending on the value selected in the Order Capacity field. Execution Decision Maker is always mandatory. Orders are validated in regards to the combined usage of Order Capacity and ORK fields.
For more information on ORK fields and order entry validations, please consult the ‘Nasdaq Order Record Keeping Implementation Guide’ available on the Nasdaq Technical Information, INET Nordic, Enhancements web page.
Transition period
For more information regarding usage and management of short codes during the transition period November 20, 2017 – January 3, 2018, see IT-Notice 80/17.
Trader ID
When MiFID II comes into force on January 3, 2018, Direct Electronic Access (DEA= SA and DMA) activity needs to be identified on all orders. Nasdaq Nordic and Nasdaq Baltic will introduce the technical change in INET Nordic already from November 20, 2017. DEA activity will be auto-populated on outbound messages in FIX Tag [1724] – OrderOrigination or ‘DEA Indicator’ in OUCH, in case the TraderID used on the order is configured as SA or DMA.
DEA clients may need to override the default DEA indicator on orders, which can be accomplished by overriding the default DEA flag setting using value 1-4 in OrderOrigination [1724] on FIX and ‘DEA Indicator’ on OUCH upon order entry.
DEA activity is only allowed if the TraderID is configured as SA or DMA. If the DEA Indicator is set to value 5 (Order received from a direct market access or sponsored access customer) on inbound by a non-DEA TraderID, the order will be rejected.
FIX 4.2 to 5.0 Trade Reporting migration
Currently, Nasdaq Nordic and Nasdaq Baltic offers members a possibility to report manual on- and off-exchange (OTC) trades via the current FIX 4.2 Trade Reporting protocol.
As previously communicated in IT-Notice 74/17, Nasdaq Nordic and Nasdaq Baltic will replace the current FIX 4.2 Trade Reporting protocol with FIX 5.0 On-Exchange and Off-Exchange protocols. The new FIX 5.0 On- and Off-Exchange protocols will support trade reporting both pre- and post MiFID II.
Existing FIX 4.2 Trade Entry ports and FIX 4.2 Trade Drop ports will be reconfigured by Nasdaq to corresponding FIX 5.0 ports after market close today November 17, 2017. Customers shall use applications supporting the new trade reporting protocols from Monday November 20, 2017.
On-Exchange and OTC trade reporting during the period November 20, 2017 - January 2, 2018 shall be done according to the updated Trade Reporting Guideline v2.1, available under Nasdaq Rules and Regulations, Member Rules web page. In addition, please pay special attention to the Usage Notes Pre-MiFID II section, for FIX tags not relevant to use prior to MiFID II go-live. If used, they will be validated according to MiFID II rules. Protocol specifications are available at Nasdaq Technical Information, INET Nordic, Protocol Specifications web page.
Decommission of ITCH for Reported Trades
As previously communicated, the current ITCH for Reported Trades feed do not include FIX 5.0 reported trades and will therefore be decommissioned as of November 20, 2017.
Customers who want to continue receive public trade data related to on- and off-exchange trade reports will need to use NLS or the GCF/TIP feeds. For further information regarding Nordic Equity Last Sale (NLS) feed, please see IT-Notices 53/17, 45/17, 5/17, 49/16 and 51/16.
NLS is an optional direct data feed product offered by Nasdaq Nordic and Nasdaq Baltic. The NLS feed will include new MiFID II required fields, utilizing Market Model Typology (MMT) standard trade flags, for the purpose of post-trade transparency.
NLS includes all on-exchange trades executed in INET Nordic trading system: auto-matched trades executed during all trading phases (including auction trades) as well as manual on-exchange trades (including away market mirror trades) and all off-exchange trades [OTC trades Pre-MiFID II and Nasdaq Nordic Approved Publication Arrangement (APA) from January 3, 2018].
Activation of MMT flags
Although MiFID II comes into effect on January 3, 2018, Nasdaq Nordic and Nasdaq Baltic will include new MiFID II required fields in outbound messages for the purpose of post-trade transparency, utilizing Market Model Typology (MMT) standard trade flags, already from November 20, 2017. These fields may be ignored pre-MiFID II since the values can’t be guaranteed until all MiFID II functionality is activated on January 3, 2018.
MMT standard trade flags are available in all Order Entry, Trade Reporting, Drop and NLS protocols.
Market Model
The INET Nordic Market Model 2017:07 has been updated due to the introduction of the mandatory Order Record Keeping related fields.
Launch information
Nasdaq has decided to proceed with the November 20 INET Production release as planned.
An IT-Notice will be sent when the upgrade is completed, aprrox. at noon tomorrow November 18.
INET Nordic will be available for customer login testing from early Monday morning, from approx. 3:30 CET. Technical support will be available from 07:00 CET.
Questions and feedback
For further information and feedback concerning this information, please contact:
Ronny Thellman
Tel: +46 8 405 6313
E-mail: ronny.thellman@nasdaq.com
Riitta Pesiö
Tel: +46 8 405 6437
E-mail: riitta.pesio@nasdaq.com
Support
For technical questions and support, please contact:
Nasdaq Cash Equity Operations:
Tel: +46 8 405 6410
E-mail: operator@nasdaq.com
Best regards,
Nasdaq Nordic and Nasdaq Baltic
Nasdaq Copenhagen, Nasdaq Helsinki, Nasdaq Iceland, Nasdaq Riga, Nasdaq Stockholm, Nasdaq Tallinn and Nasdaq Vilnius are respectively brand names for Nasdaq Copenhagen A/S, Nasdaq Helsinki Ltd, Nasdaq Iceland hf., Nasdaq Riga AS, Nasdaq Stockholm AB, Nasdaq Tallinn AS and AB Nasdaq Vilnius. Nasdaq Nordic represents the common offering by Nasdaq Copenhagen, Nasdaq Helsinki, Nasdaq Iceland and Nasdaq Stockholm. Nasdaq Baltic represents the common offering by Nasdaq Tallinn, Nasdaq Riga and Nasdaq Vilnius.
