IT – INET – Launching Execution Algorithms in FIX (56/13)
NASDAQ OMX Nordic will implement a set of Execution algorithms available via INET Nordic FIX and Nordic Workstation.
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VWAP (Volume Weighted Average Price) - Pre-trade schedule based on historical volumes.
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TWAP (Time Weighted Average Price) - Executes desired quantity at a constant rate.
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POV (Percentage Of Volume) - Targets a user-defined participation rate.
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IS (Implementation Shortfall) - Minimizes risk-adjusted trading costs relative to the arrival price.
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CLOSE - Minimizes risk-adjusted trading costs relative to the closing price.
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PNPAIR - Targets relative performance of execution at or better than a specified basis point spread between a pair of stocks.
The algorithms will be offered as a separate technical service, and requires an agreement with NASDAQ OMX Exchange and Clearing Services AB.
Preliminary time schedule
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INET Test - September 23, 2013
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INET Prod - October 28, 2013
Protocol changes
“Delta FIX” specification outlying the set of new parameters to control the algorithms “FIX ORDER ENTRY & EXECUTION ALGORITHMS” is available on NASDAQ OMX member web.
http://nordic.nasdaqomxtrader.com/memberextranet/inetnordic/Connectivity_and_Protocols/
Support
For questions and assistance regarding this Exchange Notice, as well as any technical queries, please contact NASDAQ OMX Tech Support at: +46 8 405 64 10, operator@nasdaqomx.com
Best regards,
NASDAQ OMX Nordic
NASDAQ OMX Nordic is not a legal entity but describes the common offering from NASDAQ OMX exchanges in Helsinki, Copenhagen, Stockholm and Iceland.
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