Published: 2014-06-19 14:43:55 CEST
Listing and Trading Operations
IT information

IT - INET –Introduction of trading safeguards to opening and closing auctions - (72/14)

NASDAQ OMX Nordic is planning to introduce a functionality to limit unexpected impact to opening or closing prices due to erroneous or excessive order entries during opening or closing auctions.

The safeguards will trigger an extension period to the opening and closing auction in a single order book, if the auction price of that order book deviates by more than a predefined percentage from a reference price at the time of the uncross. The safeguards in auctions will add time to the auction and provide a validation layer for the price determination, which will ultimately take place at the end of the extension period.

Based on discussions and feedback from members, the new functionality is currently planned to be implemented to shares and ETFs at NASDAQ OMX Copenhagen, Helsinki and Stockholm for the opening auction, and at NASDAQ OMX Stockholm also for the closing auction. More information on the details of the new functionality will be provided separately via an IT-Notice in August 2014.

Preparations for implementation

The new functionality requires a new field in existing outbound message in Nordic Equity TotalView-ITCH specifications used for NASDAQ OMX Nordic and NASDAQ OMX Baltic.

Information about auction extension will be disseminated in a new field “Extension” at the end of the Net Order Imbalance Indicator (NOII) message, where a value “E” will be included in NOII messages sent during an extension.

Member applications not yet supporting this new field at the time it’s introduced by NASDAQ OMX should be able to ignore the new field and that the message has expanded in length, see IT-Notice 63/14.

TotalView ITCH

The next version 2.01 of TotalView-ITCH protocol specification is available at NASDAQ OMX INET Nordic Technical Information website under Future INET Nordic Protocol Specifications.

 

Time schedule

  • INET Test (OTF) – Sep 1, 2014
  • INET Production – Dec 1, 2014

 

Support

If you have any questions regarding this Exchange Notice, please contact NASDAQ OMX Tech Support at: +46 8 405 6410, operator@nasdaqomx.com
 

Best regards,

 

NASDAQ OMX Nordic

NASDAQ OMX Baltic

 

“NASDAQ OMX Nordic” is not a legal entity but describes the common offering from the NASDAQ OMX exchanges in Helsinki, Copenhagen, Stockholm, and Iceland.

“NASDAQ OMX Baltic” respectively refers to the common offering from the NASDAQ OMX

exchanges in Riga, Tallinn and Vilnius.


IT Notice trading safeguards in opening and closing auction.pdf