Published: 2014-11-26 13:50:05 CET
Global Data Products
IT information

INET Auction Extensions in Market Data Feeds

Dear Customer,

This is a kind reminder of the changes related to trading safeguards to opening and closing auctions, “Auction Extensions”, which are to be implemented in INET Production on Monday December 1, 2014. This change will have an impact on both ITCH (for INET) and TIP (GCF) market data feeds. 


1) Changes in ITCH for INET

A new field (Extension) will be added to the end of the “Net Order Imbalance Indicator” (NOII) message to indicate if an auction in a certain order book has been extended.

For details, please see the chapter 4.8 in ITCH protocol specification:  http://www.nasdaqomx.com/transactions/technicalinformation/inet/protocol-specifications#Future_Specifications


2) Changes in Genium Consolidated Feed (CGF)

2.1) Changes in basic data

New basic data table entries:

BDTe;n22;i1201;Si7;s8;u4;TEt1;SYmOAE;NAmOpening Auction Extension;
BDTe;n23;i1202;Si8;s8;u4;TEt1;SYmCAE;NAmClosing Auction Extension;

Please note that all the TIP sample messages in this notice are from our test system and the actual id codes (tag i, values 1201 and 1202 above) may differ in production. We will inform the production id codes when available tomorrow.

2.2) Changes in real time feed

a) Opening auction

Beginning

NOIi;n337372;i123456;s8;t090000;Ps969331;IMs797107;IMd1;APl44.9;BPr44.9;AVl969331;BVl1766438;EQp44.9;CRt1;     TRh;n337373;i123456;s8;t090000;SRe3;STc1201; 

,where
"CRt1" = opening cross
"SRe3" = auction period
"STc1201" refers to id code of opening auction extension in BDTe message

Finishing

OBRf;n360721;i123456;s8;RPr45.3;CRt1;
TRh;n360722;i123456;s8;t090300;SRe2;

,where
"CRt1" = opening cross
"SRe2" = resumed


b) Closing auction

Beginning

NOIi;n7773498;i123456;s8;t212934;Ps752785;IMs603151;IMd2;APl34.9;BPr34.9;AVl1355936;BVl752785;EQp34.9;CRt2;
TRh;n7773499;i123456;s8;t212934;SRe3;STc1202;

,where
"CRt2" = closing cross
"SRe3" = auction period
"STc1202" refers to id code of opening auction extension in BDTe message

Finishing

OBRf;n7776614;i123456;s8;RPr35.3;CRt2;
TRh;n7776615;i123456;s8;t213222;SRe2;

,where
"CRt2" = closing cross
"SRe2" = resumed

For more details, TIP protocol specification: http://www.nasdaqomx.com/digitalAssets/91/91184_tip-gcf-2.4.8.zip


For further information please contact: DataProducts@nasdaqomx.com