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:
||Volatility Auction. Temporary instrument state to be used for index derivatives in case a circuit breaker is triggered in the front-month futures contract.
||Trading Pause. Temporary instrument state to be used for single-stock derivatives in case a static volatility halt is triggered for the underlying shares.
||Trading Pause. Temporary instrument state to be used for single-stock derivatives in case a dynamic volatility halt is triggered for the underlying shares.
||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.
||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.
||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)
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;
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