Nasdaq OMX Exchange and Clearing Services AB have offered a set of Execution Algorithms since January 9, 2014.
Based on client request Nasdaq OMX Exchange and Clearing Services AB has decided to enhance the Execution Algorithms offering by providing one additional Pairs Algo Trading Strategy called Setup Pair, or “SUPR”.
The new strategy will be available on INET Nordic FIX and Nordic Workstation.
Details
The core foundation of the new strategy is that the Algorithm is buying one stock and selling one another stock to capture a certain defined spread.
The pair strategy typically determines the price at which it is willing to execute each leg of the pair trade, by looking at the price of the opposite leg and factoring in the parameters entered by the trader.
The new pair strategy typically allows for initializing both legs simultaneously and is based on the existing Performance Neutral Pair strategy – “PNPR” with the following new FIX values and tags:
INET Field | Value | |
ExecBroker [76] | Existing tag | New value “SUPR” |
Ratio [20031] | New tag |
Conditionally required for the SUPR strategy. Ratio aspect of the deal involved. Valid values: > 0 |
Protocol specifications
Updated INET Nordic FIX Order Entry and FIX Drop protocol specifications are available at Nasdaq Nordic Technical Information web site under Future INET Nordic Protocol Specifications.
Implementation schedule
Time Schedule
- INET Test (OTF) – December 7, 2015
- INET Production – February 22, 2016
User documentation
NASDAQ OMX Exchange and Clearing Services AB Execution Algorithms User Guide will be updated latest December 31, 2015.
Support
For technical questions, please contact Nasdaq Cash Equity Operations:
Tel: +46 8 405 6410,
E-mail: operator@nasdaq.com
Questions and feedback
For further information and feedback concerning this information, please contact Ronny Thellman, +46 8 405 6313, ronny.thellman@nasdaq.com.
Best regards,
Nasdaq Nordic
“Nasdaq Nordic” is not a legal entity but describes the common offering for the members of Nasdaq exchanges in Helsinki, Copenhagen and Stockholm.