IT – INET Nordic – Indicative Close Price for ETP instruments (76/15)
Nasdaq Nordic is planning to introduce an Indicative Close Price (ICP) calculation for Warrants, Certificates and Exchange Traded Notes on Nasdaq Copenhagen A/S, Nasdaq Helsinki Ltd and Nasdaq Stockholm AB.
Nasdaq Nordic will keep the closing price process for these instruments unchanged but will complement this process by taking into use the IndicativeClosePrice (ICP) TIP-field in Genium Consolidated Feed (GCF). This field will contain a calculated Indicative close price.
Indicative Close Price is planned for GCF production from January 18, 2016 and will be available for testing in GCF- EXT3 as of January 5, 2016.
Details
INET identifiers:
Market segments impacted:
|
Exchange / MIC |
Segment name |
Segment symbol |
Currency |
Seq. no |
GCF ID |
|
XSTO |
OMX STO Warrants |
SEEQ WAR |
SEK |
4 |
21 |
|
XSTO |
OMX STO Certificates |
SEEQ CERT |
SEK |
160 |
256 |
|
XSTO |
OMX STO Exchange Traded Notes |
SEEQ COM |
SEK |
158 |
264 |
|
XHEL |
OMX HEL Covered Warrants |
FIEQ WAR |
EUR |
64 |
93 |
|
XHEL |
OMX HEL Certificates |
FIEQ CERT |
EUR |
159 |
258 |
|
XHEL |
OMX HEL Exchange Traded Notes |
FIEQ COM |
EUR |
157 |
456 |
|
XCSE |
OMX CPH Warrants |
DKWA WAR |
DKK |
167 |
308 |
|
XCSE |
OMX CPH Certificates |
DKWA CERT |
DKK |
168 |
310 |
|
XCSE |
OMX CPH Exchange Traded Notes |
DKEQ COM |
DKK |
357 |
458 |
Genium Consolidated Feed (GCF) – TIP:
In Genium Consolidated Feed, the TIP message OrderbookSummary will hold the calculated Indicative Close Price in the IndicativeClosePrice field.
The Indicative close price will be calculated as the Average Best Bid and Ask from the last (1) minute of Continuous Trading at end of the day. Order coverage criteria of 90% will be applied. This means that a spread needs to be present at least 90% of time during the last minute in order for the Indicative Close Price to be calculated. If no Indicative Close Price can be calculated, the field will carry the previous Indicative Close Price. The corresponding timestamp showing the date the Indicative Close Price was calculated on will also be disseminated.
Protocol specifications
No protocol changes.
Current versions of INET protocol specifications are available at the Nasdaq Nordic Technical Information website, under INET Nordic Protocol Specifications.
Implementation schedule
Time schedule
The Indicative Close Price is planned for launch:
-
GCF- EXT3 – January 5, 2016
-
GCF Production – January 18, 2016
Documentation
INET Nordic Market Model:
Market Model effective as of January 18, 2016 will reflect this addition. The current and future version of the Market Model can be viewed at www.nasdaqomx.com/nordicrules.
Support
For technical questions, please contact Nasdaq Cash Equity Operations:
Tel: +46 8 405 6410,
E-mail: operator@nasdaq.com
Best regards,
Nasdaq Nordic
“Nasdaq Nordic” is not a legal entity but represents the common offering by Nasdaq Copenhagen A/S, Nasdaq Helsinki Ltd, Nasdaq Iceland hf. and Nasdaq Stockholm AB.
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