nasdaqomx

Genium INET 4.1.0220

Genium INET Successfully upgraded on February 18th

Genium INET was upgraded to version 4.1.0220 on February 18th, 2017.  First day of Trading and Clearing on the new release will be February 20th,  2017. 

This webpage will be updated continuously when new information for the Genium INET 4.1.0220 project is available. In addition to monitoring this webpage, we strongly recommend you to subscribe to IT-Notices for the markets you are active on. 

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Please note that there may be changes in OMnet, FIX that can be mandatory that is not described in the business section so please always see summary of changes in the specifications  to ensure potential impact. 

All Asset Classes

Indirect Clearing

In preparation for the MiFIR requirement on CCPs to be able to differentiate between direct and indirect clients of a clearing member, the account information in the OMnet API has been extended to include information on clearing arrangement. Possible values will be:

  • Blank (Default)
  • Indirect
  • Indirect segregated

 

Technical Impact

  • OMnet
    ‚ÄčTo minimize external impact we have used available fillers so the  struct size of  the messages will remain the same.
    • CC22, CQ38.
      • Added field clearing_arrangement_c to account_data and account_data_external.
    • CA63 and CA128.
      • Added field clearing_arrangement_c to cl_account_base_api

 

Series Information Clearing report

A new column called "Cascaded From" will be added to the Series Information Clearing report.
This new column is Nasdaq Commodities releated but can impact members on other asset classes parsing this report. Please see Clearing report changes section on this website for additonal information.

Equity Derivatives

Mass quotes in tailor-made combinations (Updated 2017-01-25)

With Genium INET 4.1.0220 the OMnet MO96 message is improved to also support quoting of several TMC and outright series together in one message. Please see OMnet message reference for further details.

 

Auction Extension (Updated 2017-01-25)

With this release an auction extension mechanism is introduced for OMXS30 Index Futures. As of 6 Mar 2017 the mechanism will be active during opening and closing auctions. In case an extension is triggered, all OMXS30 derivatives series will move into an extension instrument state (similar to how the circuit breaker mechanism is applied in continuous matching), see section on circuit breakers for information on how to determine the active state.

This means that in case the futures opening auction is extended, the opening of related options order books is delayed accordingly. An extension will be triggered if the equilibrium price at the scheduled uncross time deviates too much from the relevant reference price.

The following new session states will be introduced: 

  • OAUCT_E (Opening Auction Extension) | OMnet state number 141
  • CAUCT_E (Closing Auction Extension)   | OMnet state number 142

The following session state is reintroduced

  • UNCR (Uncross) | OMnet state number 23

Trading hours are updated to allow room for a closing auction extension. See the draft market model for further details. 

To accommodate testing of auction extensions, the exchange will from January 30 to March 3 trigger the mechanism every Monday, Wednesday and Friday in External Test 3.

 

No technical impact
 

Circuit Breakers (Updated 2017-01-25)

On 28 Nov 2016 in connection to the Genium INET 4.1.0215 release, the circuit breaker mechanism during continuous matching was activated for OMXS30 index derivatives but inactivated two days later due to technical reasons. The mechanism will be re-activated on 20 Feb 2017, the first day of trading on the Genium INET 4.1.0220 version.

Circuit breakers during continuous matching for single stock derivatives, originally scheduled to be activated between 12 Dec 2016 and 30 Jan 2017, will now be activated on 27 Feb 2017 for all segments.
 

Please find detailed information on circuit breakers below as communicated with the Genium INET 4.1.0215 release:

All instruments on a market or sub-market segment has the same regular trading hours and on OMnet scheduled trading state changes are communicated on market, instrument type or instrument class level. As a result of the new functionality it will now also be possible to receive updates of un-scheduled and temporary instrument states on underlying level.

Existing messages and fields will be used for communicating instrument state updates and the API will not change.

As a result of the new functionality, new return codes are introduced for the OMnet order entry message.

On the ITCH protocol, un-scheduled circuit breaker states will be communicated with the order book state message in the same way as for regular trading state updates.

The following states are used for circuit breakers in continuous matching:

“VAUCT” Volatility Auction. Temporary instrument state to be used for index derivatives in case a circuit breaker is triggered in the front-month futures contract.
“PAUSE_VHS” Trading Pause. Temporary instrument state to be used for single-stock derivatives in case a static volatility halt is triggered for the underlying shares.
“PAUSE_VHD” Trading Pause. Temporary instrument state to be used for single-stock derivatives in case a dynamic volatility halt is triggered for the underlying shares.
“PRETR2” Pre-Trade. When 240 seconds remain of the Pre-Trade Session, order books enter into a second trading state where the circuit breaker mechanism is inactivated.
“OPEN2” Continuous Trading. When 240 seconds remain of the Continuous Trading phase, order books enter into a second trading state where the circuit breaker mechanism is inactivated.
“POSTR2” Post-Trade. When 240 seconds remain of the Post-Trade Session, order books enter into a second trading state where the circuit breaker mechanism is inactivated.

 

 

Technical Impact OMnet:

The exchange will define a fixed priority for relevant order book states. Every order book will at all times when the system is open have a current trading state as set on market, instrument type or instrument class level (as today). In addition in case a circuit breaker has been triggered then relevant order books will have a temporary instrument state set on underlying level. Although technically an un-scheduled instrument state can be set also on linked underlying and instrument series level, for the purpose of circuit breakers and halt states, the instrument state will always be set on the underlying.

The active state, at any point in time and for any instrument, is the one of the trading state and the instrument state that has the highest priority.

The following algorithm is used to determine the active state:

Determine the current trading state and its priority using instrument status and reference data messages UQ15/BI41 and DQ29 respectively
Determine the current instrument state , if any, and its priority (UQ15/BI41, DQ29)
Compare the priorities:
If the priority of the instrument state is higher than or equal to the priority of the trading state, then the active state is the instrument state.
If the priority of the instrument state is lower than the priority of the trading state, then the active state is the trading state.

This algorithm can be illustrated by pseudo-code accordingly:

Trading State: (strictly hierarchical)

Current_TradingState:= Market_TradingState(Series);

If InstrumentType_TradingState(Series) != nil

  • Current_TradingState:= InstrumentType_TradingState(Series);

If InstrumentClass_TradingState(Series) != nil

  • Current_TradingState := InstrumentClass_TradingState(Series);

Instrument State: (priority based)

Current_InstrumentState := Series_InstrumentState(Series);

If Underlying_InstrumentState(Series) > Current_InstrumentState

  • Current_InstrumentState := Underlying_InstrumentState(Series);

If LinkedUnderlying_InstrumentState(Series) > Current_InstrumentState

  • Current_InstrumentState := LinkedUnderlying_InstrumentState(Series);

Active State: (priority based)

If CurrentInstrumentState >= CurrentTradingState

  • ActiveState := Current_InstrumentState;

Else

ActiveState := Current_TradingState;

 

Relevant OMnet messages

  • DQ29: Returns priority of trading states (“state_priority_c”)
  • UQ15: “State_level_e” will be populated with value 5 (underlying) if a circuit breaker has been triggered and an un-scheduled instrument state is in progress at the time of the query.
  • BI41: “State_level_e” will be populated with value 5 (underlying) at the event of a circuit breaker. “State_number_n” will be set to 0 when un-scheduled instrument state ends.
  • MO31: If an order triggers a circuit breaker on entry then the return code for the message will indicate this and contain info on whether the order was placed in the book in full or in part. The new return codes are applicable for both single and combination orders.

Circuit Breaker Event Flow Example PDF

 

Fixed Income

Modified API and user interface for Netting on Account Level for OTC Rates
(Mandatory if used)

A new column, named SERIES, will be added in the OTC Netting Request and OTC Nettings windows in Clearing Workstation 1 (CW1). The new SERIES field will be filled out with the instrument for the netted trade report.A SERIES field is also implemented in the OMnet API.

This change will impact members and clearing brokers that currently use the manual netting functionality for swaps.  
 

Technical Impact:
 

  • Clearing Workstation 1 (Mandatory upgrade if used)
    • The new SERIES column will be added to the following CW1 windows :
      • OTC Netting Request
      • OTC Nettings
  • OMnet (Mandatory upgrade if used)
    • New SERIES field will be added to the OTC_TRADE_REPORT_NETTING. The following transactions, queries and broadcast is impacted:
      • KC17 - Net OTC Trade Report
      • KQ15 - Query Simulated Net OTC Trade Report
      • KQ16 - Query OTC Trade Report Netting
      • KB16 - Directed OTC Trade Report Netting

Please see OMnet message reference and Clearing Workstation 1 user guide for more information. 

 

Commodities

Italian Futures (Updated 2017-01-18)

The Launch af Italian Power Futures has been postponed and will not be launched on February 18th as part of the Genium INET version 4.1.0220 upgrade. The production live date for Italian Power will be communicated in due course.

Subject to successful testing and regulatory approval, Nasdaq Commodities will introduce Italian Power products. The contracts to be listed will be Italian Power Futures with maturities for years, quarters, months, weeks and day contracts.

The SPAN file will be updated to reflect the launch of these products in due course also including new riskgroup.

  • New Risk Groups
    • EITFBL (Base load - Month, Quarter, Year)
    • EITFBS (Base load - Day, Week)
    • EITFPL (Peak Load - Month, Quarter, Year)
    • EITFPS (Peak Load - Week)

 

Series Information Clearing Report

In preparation of the discontinuation of Nasdaq Commodities Product Calendar the column "Cascaded From" is added to the Series Information clearing report. Please see the Genium INET Clearing Reports section for more information.

 

Accumulated Market Value Clearing Report (Updated 2017-01-18)

The report has been enhanced to accommodate Power Futures and Options, the new columns "Todays Settlement" and "MtD Settlement" are added. Please see the Genium INET Clearing Reports section for more information.

Update 2017-01-18: It has been decided to add the new columns to the Accumulated Market value report in the middle of the report to have a more logical structure in the report. Examples of the report can be found in the Genium INET Clearing reports section.

Genium INET 4.1.0220 Technical Information

Below is the impact that Genium INET 4.1.0220 has on OMnet, ITCH, Clearing Reports and Nasdaq Front-ends.

Genium INET 4.1.0220 Project Timeline

Nov 23 Draft technical specifications available
Jan 16 Final technical specifications available
Jan 24 Go-Live candidates of Nasdaq CW1
Jan 25 External test 3  availability
Jan 27 External test 1  availability
Feb 18 Technical go-live of Genium INET 4.0.0220
Feb 20 First trading and clearing day for Equity Derivatives, Fixed Income and Commodities

External Test System

Planned upgrades of External Test Systems to release 4.1.0220:

External Test systems availablitity
External Test System Planned Ugrade Planned 1st day of member testing
EXT3 January 24 January 25
EXT1 January 26 January 27

 

Please see http://www.nasdaqomx.com/transactions/technicalinformation/geniuminet/testing  for additional information about the External Test Systems.

Please contact Member Services at ms.gi@nasdaq.com if you experience any login issues to the external test systems

Genium INET Clearing Reports

Clearing Report Changes (Updated 2017-01-18)

 

Modified reports

  • Series Information - New column added in to XLS and CSV to the far right.
    • Cascaded from
  • Accumulated Market Value  - New columns added in to XLS and CSV to the far right. (Updated 2017-01-18) 
    It has been decided to add the new columns to the Accumulated Market value report in the middle of the report to have a more logical structure in the report.
    • Todays Settlements
    • MtD Settlements

NACCMVX Example file 

NACCMVC Example file

Genium INET Front-ends

Nasdaq Front-ends
Clearing Workstation 1 Updated

2017-01-23

2017-01-23

 
Trading Workstation Updated
  • Trading Workstation (No Trading Workstation to be released)

 

 

 

 
   

Genium INET OMnet

OMnet Changes

 

OMnet Information
OMnet references Updated

2017-01-16

 

 

OMnet Header File Updated

2017-01-16

   
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