IT – INET Nordic –Allowing true Mid-point matching for Pegged Large In Scale (LIS) Orders (19/16)
Nasdaq Nordic and Nasdaq Baltic have decided to further enhance the possibilities to trade Mid-point Pegged Non-display LIS Orders in the Lit Order books.
Currently Mid-point Pegged Non-display LIS Orders are allowed in the Lit Order books, but if the Mid-point price falls in-between price ticks, the pegged order is rounded down to the less aggressive valid tick.
Based on Members’ request the pegging functionality will be enhanced, allowing matching at the true Mid-point, up to four decimals.
Example:
The Member sends in a Buy Mid-point Pegged Non-display LIS Order.
BBO=100,10---100,20 (0,10 is valid tick)
The Buy Mid-point Pegged Order is placed in the book as a Non-display order at 100,15 (off-tick and two decimals). The Order may match towards any Sell Order that is priced at 100,10 or lower (or a Sell Mid-point Pegged Non-display LIS Order).
Note that a Non-displayed Order has to be large in scale (LIS) at the time of entry. If the volume is reduced due to a partial execution, the Order with limit price remains non-displayed even when smaller than large in scale (LIS).
Large in scale (LIS) is defined as specified in the table below:
|
Class in terms of average daily turnover (ADT) |
ADT <
€500,000 |
€500,000
≤ ADT <
€1,000,000 |
€1,000,000
≤ ADT <
€25,000,000 |
€25,000,000
≤ ADT <
€50,000,000 |
ADT ≥
€50,000,000 |
|
Minimum size of Order qualifying as large in scale compared with normal market size |
€ 50 000 |
€ 100 000 |
€ 250 000 |
€ 400 000 |
€ 500 000 |
Protocol specifications
There will be no updates to any protocols due to this change. Nasdaq Nordic protocol specifications are always available at Nasdaq Nordic Technical Information web site.
Please be aware that regular Display Orders matching against Mid-point Pegged Non-display LIS Orders could lead to executions at off-tick prices up to four decimals.
Market Model
The Nasdaq Nordic Market Model will be updated and will be effective as of April 25, 2016.
Time Schedule
-
INET Test (OTF) – March 21, 2016
-
INET Production – April 25, 2016
Testing access and support
Members can test out the new functionality in the INET OTF test environment.
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 and Nasdaq Baltic
Nasdaq Copenhagen, Nasdaq Helsinki, Nasdaq Iceland, Nasdaq Riga, Nasdaq Stockholm, Nasdaq Tallinn and Nasdaq Vilnius are respectively brand names for Nasdaq Copenhagen A/S, Nasdaq Helsinki Ltd, Nasdaq Iceland hf., Nasdaq Riga AS, Nasdaq Stockholm AB, Nasdaq Tallinn AS and AB Nasdaq Vilnius. Nasdaq Nordic represents the common offering by Nasdaq Copenhagen, Nasdaq Helsinki, Nasdaq Iceland and Nasdaq Stockholm. Nasdaq Baltic represents the common offering by Nasdaq Tallinn, Nasdaq Riga and Nasdaq Vilnius.
|