Genium Consolidated Feed, Release 3.5.0
Launch date in production: November 20, 2017
Availability in test systems:
- GCF TST3 (MiFID test sources)
- GCF TST2 (INET production, Genium INET TEST 1)
Please note that availability of the new data will be limited in the beginning.
GCF release 3.5 will provide all the remaining mandatory (or otherwise useful) MiFID II information. It will also introduce support for APA reporting and other source side changes published in GCF feed. TIP 3.5 protocol is available on Nasdaq’s GCF page and this Future release page.
Changes related to GCF 3.5 are mainly MiFID II related.
1) New messages
Additional basic data message containing MiFID II specific data. This message will also be added to basic data files distributed via File Delivery Service (FDS).
This message will provide indicative close price information published at the end of the trading day. Same information will be included in the Orderbook summary message disseminated at the start of the following trading day.
This message contains the average price on Danish cash bond markets including trades from the Nasdaq APA (Approved Publication Arrangement), "loan transactions" and primary market transactions.
A subset of the regular Trade message to be used in coming Post-trade-only products.
This message contains on-exchange trade reports. With the introduction of this message the current Trade message will only contain Auto-matched trades including Nordic@Mid (N@M) and Auction On Demand (AOD) trades.
2) Changed messages
Changes on basic data messages and order book summary will have impact on TIP files.
Please see the TIP 3.5.0 specification, the tipspecdiff-document (included in specification file package) and Future release page for further details.
3) Removed messages
4) Orderbook summary functionality
From November 20, 2017, GCF will always contain only one consolidated OrderbookSummary-message per instrument at the end of day. The OrderbookSummary message at start of day will continue to be disseminated as is. GCF will stop to provide additional summaries which are sent out today on Helsinki markets (when those enter the continuous trading) and Copenhagen markets (at 15:30 CET). Also the extra summaries related to settlement price updates will no longer be available.
The OrderbookSummary messages will be generated when all three orderbook conditions below are fulfilled:
Official price flag on Orderbook has been set
Official price flag on TradeStatistics has been set.
Official turnover flag on TradeStatistics has been set
The official close settlement price will be disseminated in the SettlementPrice message and no longer in the OrderbookSummary at end of day but the SettlementPrice information from previous trading day will still be available in the OrderbookSummary that is disseminated at start up.
The Indicative Closing Price, ICP, will be calculated as is currently but shall be disseminated in the new IndicativeClosingPrice message and no longer in the OrderbookSummary at end of day but the latest ICP value and date shall be available in the OrderbookSummary that is disseminated at start up.
Required flag information for indicating the official close values has been added to Orderbook-, TradeStatistics- and SettlementPrice- messages.
- TradeStatistics (“w”)
This flag is set to “Y” when TradeStatistics message provides official closing price, otherwise flag will be missing.
This flag is set to “Y” when TradeStatistics message provides official closing turnover, otherwise flag will be missing.
- Orderbook (“o”)
This flag is set to “Y” when Orderbook message provides official closing price, otherwise flag will be missing.
- SettlementPrice (“p”)
This flag is set to “Y” when SettlementPrices message provides official settlement price, otherwise flag will be missing.
5) MarketState message removed
Market state message will be removed and all the state information will be available on orderbook level only.
6) Session ID
Please note that the Session ID is a 10 byte arbitrary alphanumeric value as specified in the SoupBin specification. Therefore, please review the sections on Session Protocol in the TIP specification as well as the Protocol Flow and End of Session Marker chapters in the SoupBinTCP specification.
More specifically, client applications should be designed in such a way that they are able to handle end of session or intraday restarts from sequence 1 correctly.
7) Calculated average reference price on Danish mortgage bonds
In order to keep up the high transparency in the Danish mortgage bond market, Nasdaq has agreed with market participants to calculate a consolidated reference price on Danish mortgage bonds listed at Nasdaq. The calculated average reference price will take consolidated prices from other trading venues sent as “duplicates” to the Nasdaq APA service as well as “loan payments” from the issuers and later also include primary market transactions. The reference price will be a weighted average. A new message, InstrumentStatisticsExtended, contains the average price on Danish cash bond markets including trades from the Nasdaq APA (Approved Publication Arrangement), "loan transactions" and primary market transactions.