IT – INET Nordic – REMINDER: INET Nordic Production protocol updates on September 18, 2017 (53/17)
Nasdaq Nordic and Nasdaq Baltic will update INET Nordic ITCH based market data protocols in INET Nordic Production on Monday September 18, 2017, in preparation for MiFID II. See IT-Notice 44/17.
Order Book Directory message updates to TotalView-ITCH, NLS and GLIMPSE
Nasdaq Nordic and Nasdaq Baltic will perform further updates to the TotalView-ITCH protocol specification, Order Book Directory message, in preparation for MiFID II. The Order Book Directory message described in the TotalView-ITCH protocol specification is available in all ITCH based INET Nordic market data feeds, TotalView-ITCH, GLIMPSE and NLS.
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Added Note Codes in preparation for MiFID II
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Added five fields at the end of the Order Book Directory message to support Securitized Derivatives (SDRV) under MiFID II
The Order Book Directory message will be extended in length due to the additional fields mentioned above.
NLS feed will include OTC Trade messages and Order Book Trading Action messages from September 18
Nasdaq will extend the NLS protocol by adding a new OTC Trade Message including trades from current OTC Trade Publication Service and future Nasdaq Nordic Approved Publication Arrangement (APA). Order Book Trading Action state message will be added as well, described in the TotalView-ITCH protocol specification. See IT-Notice 45/17.
Nasdaq Nordic Equity Last Sale (NLS) Trade Ticker feed protocol updates
The Nordic Equity Last Sale protocol specification updates:
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Added OTC Trade message (OTC/APA)
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Added a new field, ‘Transaction to be cleared’, to the On-Exchange Trade message (Only relevant for Securitized Derivatives (SDRV)).
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Removed Order Book Directory message and System Event message, referring to the TotalView-ITCH protocol specification instead. Order Book Directory message is updated, see above.
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Added Order Book Trading Action message to the NLS feed, with reference to the TotalView-ITCH protocol specification.
Trading- and Market Data applications shall use decoders that ignore unknown outbound (from Nasdaq) message types and messages that expand with new fields added to the end of the message.
Additional changes for September 18, available in separate IT-Notices:
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Enhancement to Top Of Book Order, IT-Notice 52/17.
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Enhancement to the Pre Trade Risk Management services - Restricted symbol list, IT-Notice 50/17.
Protocol specifications
Nasdaq Nordic and Nasdaq Baltic have updated the TotalView-ITCH and NLS protocol specifications. Latest INET protocol specifications are available at the Nasdaq Nordic Technical Information website, under INET Nordic Protocol Specifications.
Legal and Market Model
The INET Nordic Market Model has been updated, effective as of September 18, 2017.
Migration plan from ITCH for Reported Trades to NLS
Current ITCH for Reported Trades ports and the new NLS will be available in parallel between September 18, 2017 and October 20, 2017. Current protocol ITCH for Reported Trades will be obsolete from October 23, 2017.
NLS includes all On-Exchange and Off-Exchange Trade Reports, regardless if entered via FIX 4.2 or 5.0 Trade Reporting, where ITCH for Reported Trades only includes OTC trades entered via FIX 4.2 Trade Reporting. Therefore, ITCH for Reported Trades will be obsolete when FIX 5.0 Off-Exchange Trade Reporting becomes available in INET Production on October 23, 2017.
Time schedule
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INET Test (NTF) – Currently in NTF
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INET MiFID II Test – Currently in MiFID II Test
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INET Production – September 18, 2017
Questions and feedback
For further information and feedback concerning this information, please contact Riitta Pesiö +46 8 405 6437, riitta.pesio@nasdaq.com, or Ronny Thellman +46 8 405 6313, ronny.thellman@nasdaq.com.
Support
For technical questions, please contact Nasdaq Cash Equity Operations:
Tel: +46 8 405 6410
E-mail: operator@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.
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