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IT – INET Nordic – Nasdaq Nordic and Nasdaq Baltic measures related to the double volume cap mechanism as of January 3, 2018 (99/17)

MiFID II double volume cap (DVC¹) mechanism imposes a cap on Nordic@Mid² trading on Instrument, and in case Instrument is liquid share or ETF, reporting of certain Manual Trades³. This notice details the measures Nasdaq Nordic and Nasdaq Baltic will take in relation to DVC mechanism. The measures described here are not applicable to Nasdaq Iceland. This notice also contains a list of shares where Nasdaq Nordic and Nasdaq Baltic estimate the trading venue specific 4% cap to be close.

Regulatory DVC suspension

In case the DVC is exceeded and thereby the use of the pre-trade transparency waivers for particular Instrument are suspended, entering Nordic@Mid Orders below large in scale thresholds and in case Instrument is liquid share or ETFs, reporting of Manual Trades below large in scale thresholds using Trade Types Standard Trade and Non-Standard Settlement Trade is not allowed. As a consequence,      

• Nordic@Mid Orders below LIS will be rejected (default behaviour) or converted to Auction on Demand Order if that is preferred by Member (preference for conversion to AoD to be requested via Member Portal using port request/change form or Nordic Workstation change form);

• all routing strategies where routed order below LIS threshold either pings or is being posted to Nordic@Mid will skip Nordic@Mid in the routing logic; and

• any Manual Trade report described above will be rejected.

DVC suspension does not have impact on non-displayed LIS Orders and reporting of LIS Trades i.e. Manual Trades that are at or greater than large in scale thresholds. Also reporting of Manual Trades using other Trade Types than Standard Trade and Non-Standard Settlement Trade continues to be available.

Regulatory DVC suspension will be effective six months after it has been enforced.

Nasdaq Nordic and Nasdaq Baltic suspension relating to DVC

Nasdaq Nordic or Nasdaq Baltic may also by their own decision cease to offer Nordic@Mid trading and reporting of Trade Types Standard Trade and Non-Standard Settlement Trade in Instrument subject to DVC in order not to breach the DVC. Suspension is lifted once Nasdaq Nordic or Nasdaq Baltic decides it is reasonable to do so.

Information about DVC suspensions 

Both Regulatory DVC suspension and Nasdaq Nordic suspensions relating to DVC, as well as lifting of such suspensions related to DVC, are expected to happen from one day to another, or in the morning before market opens. Hence, members should be able to handle intraday changes as well.

After each trading day, Nasdaq Nordic and Nasdaq Baltic will estimate whether the trading venue specific 4% cap is getting close for Instrument. In case the estimate is 3,75% or more, Nasdaq Nordic and Nasdaq Baltic inform Members via a note code in market data feed as described above.

Nasdaq Nordic and Nasdaq Baltic distribute a note code to indicate both regulatory and Nasdaq Nordic or Nasdaq Baltic own-initiative suspensions related to DVC in market data feed as well as via Exchange Notice. Indication on cap being close is informed only as note code. 

For January 3, 2018, this IT notice contains a list of shares where a note code ‘CC’ Cap Close will be applied. Please note that Nasdaq Nordic and Nasdaq Baltic will not send IT Notices for applying or removing Cap Close note codes in the future.

Note codes used in connection with DVC related measures

List of shares where Nasdaq Nordic and Nasdaq Baltic estimate the percentage for the trading venue specific cap to be 3,75% or more on January 3, 2018

Protocol specifications

INET protocol specifications are available at Nasdaq Nordic Technical Information web site.

Note Codes are distributed via INET TotalView-ITCH, GLIMPSE and NLS in the Note Codes Bit Fields of the Order Book Directory message:
In Note Codes Bit Field 4:

• 2 = CN, Capped By Nasdaq;
• 4 = CR, Capped By Regulator
• 8 = CE, Capped By ESMA
• 16 = CC, Cap Close

In GCF/TIP, note codes are relayed through the Basic Data Tradable message BDt, or intraday in Notification message NOt.

Legal and Market Model

The INET Nordic Market Model has been updated, effective as of January 3, 2018.

Questions and feedback

For further information and feedback concerning this information, please contact operator@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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¹In accordance with MiFIR Article 5 and further specified in Commission Delegated Regulation (EU) 2017/57

²In accordance with MiFIR Article 4(1)(a)

³In accordance with MiFIR Article 4(1)(b)(i)