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IT information

IT – INET Nordic – UPDATE – Mandatory migration of FIX 4.2 to FIX 5.0 Trade Reporting protocols for On-Exchange and Off-Exchange (OTC/APA) Trade Reporting as of November 20, 2017 (74/17)

This change impacts Nasdaq Nordic and Nasdaq Baltic members who wish to report manual on- and off-exchange trades from November 20, 2017.

Nasdaq Nordic and Nasdaq Baltic informed about the time schedule for introducing FIX 5.0 Off-Exchange (OTC/APA) Trade Reporting in INET Nordic Production last week in IT-Notice 72/17. Based on customer feedback, and due to interoperability limitations with concurrent FIX 4.2 and FIX 5.0 OTC Trade Reporting sessions, Nasdaq Nordic and Nasdaq Baltic have decided to withdraw the previous announced migration plan and introduce FIX 5.0 OTC Trade Reporting on November 20, 2017.

Migration from FIX 4.2 to 5.0 On-Exchange Trade Reporting has been available since April 2017 and has to be completed by November 20, 2017.

NB: FIX 4.2 Trade Reporting will be discontinued from November 20, 2017.

Existing FIX 4.2 Trade Reporting ports, for On-Exchange and Off-Exchange (OTC) trade reporting, will be reconfigured by Nasdaq to FIX 5.0 the weekend November 18-19, 2017. From Monday November 20, all trade reporting will commence over FIX 5.0.

NB: ITCH for Reported Trades will be discontinued from November 3, 2017.

On- and Off-exchange trades are published both in Nordic Last Sale (NLS) and GCF/TIP feeds. Current ITCH for Reported Trades do not support OTC trades via FIX 5.0

Background

Currently, Nasdaq Nordic and Nasdaq Baltic offer members a possibility to report manual on- and off-exchange (OTC) trades via the current FIX 4.2 Trade Reporting protocol.

As previously communicated in the IT notices 57/16, 20/17, 33/17, 43/17 and 65/17, Nasdaq Nordic and Nasdaq Baltic will introduce new FIX 5.0 Trade Reporting protocols in preparation for MiFID II, to replace the current FIX 4.2 Trade Reporting protocol. This is done in order to prepare for MiFID II post trade transparency requirements for trading venues. MiFID II requires post trade publication to include fields not included in the current Trade Entry protocol. The protocol revision is done in order to align it with the FIX standard and Market Model Typology (MMT) standard.

The new FIX 5.0 On- and Off-Exchange protocols will support trade reporting both pre- and post MiFID II, please see the Usage notes section in respective protocol for a list of fields that are not relevant to populate prior to MiFID II go-live. Protocol specifications are  available at Technical Information, INET Nordic, Protocol Specifications.

Nordic Workstation will support both On-Exchange and Off-Exchange (OTC/APA) trade reporting.

INET Production Migration plan

• FIX 5.0 On-Exchange Trade Reporting is already available.
• FIX 5.0 Off-Exchange (OTC) Trade Reporting will become available from November 20, 2017.
• FIX 5.0 On- and Off-Exchange Trade Reporting becomes mandatory on November 20, 2017 (Pre-MiFID II functionality).
• FIX 4.2 Trade Reporting will be retired as of November 20, 2017. Existing FIX 4.2 Trade Reporting ports and drops will be reconfigured by Nasdaq to FIX 5.0 during the weekend November 18-19, 2017. All port details remain (session/port name, IP and port number etc).
• MMT flags will be populated on outbound messages from November 20, 2017 (MMT values can’t be guaranteed Pre-MiFID II since not all MiFID II functionality is activated).
• MiFID II functionality will be activated on FIX 5.0 On- and Off-Exchange Trade Reporting protocols on January 3, 2018.

INET Test (NTF) Migration plan

INET Test (NTF) will be updated to reflect the November 20 Production configuration from November 3, 2017.

• Existing FIX 4.2 Trade Reporting ports and drops will be reconfigured to FIX 5.0 by Nasdaq and becomes available on November 3, 2017, in INET Test NTF to reflect the INET Production November 20 release configuration. All port details remain (session/port name, IP and port number etc).
• MMT flags will be activated on November 3, these may be ignored since MiFID II functionality is not activated Pre-MiFID II, i.e. proper MMT values can’t be guaranteed on outbound messages (MiFID II testing should be done in INET Test M2).
• INET Test NTF may be used for FIX 5.0 On- and Off-Exchange (OTC) Pre-MiFID II specific conformance test cases.
• In preparation for the November 20 Production release, Nasdaq recommend customers to verify their upcoming application release in INET Test (NTF) between November 3 and November 17, 2017.

INET MiFID II Test (M2) Migration plan

• INET MiFID II Test (M2) contains the January 3, 2018, INET Production MiFID II release configuration.
• FIX 5.0 Trade Reporting with all MiFID II functionality activated, including MMT flags, as in INET Production from January 3, 2018.
• FIX 4.2 Trade Reporting not available
• All On-Exchange and OTC trades are available via Nordic Equity Last Sale (NLS) public feed.
• ITCH for Reported Trades not available.
• INET Test M2 is to be used for MiFID II FIX 5.0 On- and Off-Exchange (APA) conformance testing.

Summary of availability for On-Exchange, OTC and APA trade reporting in INET Production:

* Besides reported FIX 5.0 On-Exchange trades, FIX 5.0 Trade Reporting Drop will also contain reported FIX 4.2 On-Exchange trades until 2017-11-17. 
 

Key differences between current FIX 4.2 and FIX 5.0 Off–Exchange (OTC) Trade Reporting

• Only two sided trade reports will be allowed.
• No contra drop/confirmation available.
• Only ISIN (or Other, post MiFID II) code applicable.
• Pre-MiFID II, deferred publication is allowed in Nasdaq listed instruments if the OTC trade is large enough to be deferred, the indicative dissemination time is set by Nasdaq in RptTime [7570].

Protocol Specifications

The new protocols utilizes FIX 5.0 SP2 and FIXT1.1 transport layer standards. The FIX 5.0 On-Exchange and Off-Exchange Trade Reporting protocols will be used on both Trade Reporting ports and on Trade Reporting drop ports.

INET protocol specifications are available at the Nasdaq Nordic Technical Information website, under INET Nordic Protocol Specifications. Pay special attention to the Usage Notes section, for FIX tags not relevant to use prior to MiFID II go-live. If used, they will be validated according to MiFID II rules.

Certification/Conformance testing

Trade reporting applications will need to be conformance tested prior to the use of the FIX 5.0 protocol in INET Production. Certification test cases have been updated and are published at Nasdaq Technical Information, INET Nordic, Certification. Testing is to be commenced in the INET Test (M2) Test environment (MiFID II functionality) and in INET Test NTF for Pre-MiFID II specific functionality.

To book a conformance test time slot, please contact Nasdaq Cash Equity Operations, operator@nasdaq.com

Market Model and Rules and Regulation

On-Exchange Manual Trade Reporting

A draft version of ‘Market Model: Appendix – Manual Trade Reporting’ post MiFID II’ (applicable from January 3, 2018) is available under INET Nordic Enhancements. Until January 3, 2018 there is no need to update the on-exchange Manual Trade reporting guidance given in the Trade Reporting Guideline.

Off-Exchange OTC Trade Reporting Pre-MiFID II

Current Trade Reporting Guideline is applicable Pre-MiFID II, with the exception of key differences for OTC trade reporting mentioned above together with technical protocol changes with the FIX 5.0 migration in preparation for MiFID II support. The Trade Reporting Guideline will be aligned to mirror the key differences in Pre–MiFID II OTC trade reporting in FIX 4.2 and FIX 5.0, valid as of November 20, 2017. The accordingly updated Trade Reporting Guideline will be published at the Nasdaq Technical Information, INET Nordic, Enhancement web page before the effective date.

Off-Exchange APA Trade Publication Post-MiFID II

Nasdaq Nordic has applied to become an authorized APA in Sweden. Due to the ongoing process this change is pending regulatory approval. Detailed information on the scope of the Approved Publication Agreement (APA) services will be published in a separate APA Service Description document during Q4, 2017. Changes will be reflected in the respective rules of Nasdaq Nordic and Nasdaq Baltic and the rule related documentation, which will be published on Rules and Regulations for the Nordic Markets and Rules and Regulations for the Baltic Markets. Due to the ongoing process this change is pending regulatory approval.

Time schedule

• INET MiFID II (M2) Test – FIX 5.0 Trade Reporting available (MiFID II)
• INET Test (NTF) – November 3, 2017 – Remaining FIX 4.2 Trade Reporting ports and drops reconfigured to FIX 5.0 (Pre-MiFID II functionality)
• INET Production – November 20, 2017 – FIX 5.0 On- and Off-Exchange (OTC) Trade Reporting mandatory (remaining FIX 4.2 ports and drops reconfigured to FIX 5.0 (Pre-MiFID II functionality))
                          – January 3, 2018 – MiFID II On-Exchange Trade Reporting and APA Trade Publication come into effect  

Questions and feedback

For further information and feedback concerning this information, please contact:

Ronny Thellman
Tel: +46 8 405 6313
E-mail: 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.