nasdaqomx

Genium INET 4.1.0225

Genium INET Successfully Upgraded to Version 4.1.0225 on May 6th

Genium INET was upgraded to version 4.1.0225 on May 6th, 2017.  First day of Trading and Clearing on the new release will be May 8th, 2017. 

This webpage will be updated continuously when new information for the Genium INET 4.1.0225 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 are changes to ITCH and OMnet that may have impact depending on integration. Please always see summary of changes in the specifications to ensure potential impact. 

All Asset Classes

Increase of Instruments for margin data information (Updated 2017-03-23)

For financial instruments, the Margin Data Report currently contains one row per combination of instrument and margin class where open interest exists.

For commodity instruments, the Margin Data Report currently contains one row per combination of instrument and margin class. For instruments without open interest, only limited data is displayed (i.e. some columns always equal zero).

From May 8th, the Margin Data Report will instead contain the following:
For commodity instruments, the Margin Data Report will only contain rows for margin class 001. In addition, instruments without open interest will display the same amount of information as instruments with open interest.

For financial instruments, the Margin Data Report will only contain rows for margin class 001. In addition, rows may appear for equity spot series where delivery margin is used.

Interface files and OMnet messages

From May 8th, Interface file “.map” and the reply to OMnet messages RQ3 and RQ35 may contain equity spot series where delivery margin is used.  Please note that this change will only impact the content in the above mentioned interfaces, the definition of the interfaces has not changed.

 

Partial Settlements

Changes are implemented in the following OMnet messages in order to support partial settlement, mandated by Central Securities Depositories Regulations (CSDR).
 

Technical impact:

  • OMnet messages impacted
    • CQ128 
    • SB1
    • SQ5
    • SQ6

Please see the summary of changes in OMnet API specification  for more information (OMnet Specification draft will be released Feb 20)

 

ITCH Protocol changes

To support the introduction of market maker obligations for Tailor-Made Combinations for Equity derivatives, a quote message will be introduced to ITCH market data feed. This message is directed to Market Makers but may impact all members using ITCH. Therefore it is important that all ITCH users read the ITCH specification to analyze potential impact.

Technical Impact

  • ITCH
    • ITCH market data protocol quote request message added.

Please see ITCH specification under the Genium INET ITCH section on this webpage

 

Nasdaqs new clearing application "Q-Port" preparations 

In order to improve the service to our members and participants, and to make the necessary preparations for the upcoming MiFID II requirements, Nasdaq Clearing will soon be launching ‘Q-Port’ a new user interface that will replace Clearing Workstation 2 . More information regarding the launch of Q-Port will be communicated in upcoming IT-notices.

 

Technical impact:

  • OMnet
    • Changes to the OMnet API . Please see the summary of changes in OMnet API specification for more information (OMnet Specification draft will be released Feb 20)

 

 

Equity Derivatives

Tailor-Made Combinations Market Making (Updated 2017-03-23)

In preparation for the MiFID II transparency regime, market maker obligations for Swedish equity and index derivatives will be extended to cover also quote requests (RFQ) in tailor-made combination (TMC) series.

A soft launch is set to 1 June 2017 with a final launch on 1 December 2017. MMs will be set up for supervision during the soft launch period with the intention to give stakeholders time to adapt and calibrate towards new obligations and for the exchange to collect feedback from market participants, analyse the behaviour and use of the service in order to set the final requirements ahead of the final launch when firm obligations are being introduced.

Under the updated conditions MMs shall provide two-way prices in the central order book in response to an RFQ. The prices provided by an MM will be executable by all market participants.

Quote Requests in Tailor-Made Combinations

From 8 May 2017, an RFQ will automatically be sent to the market whenever a new TMC series is created. Participants will be able to re-request quotes using the inbound RFQ message on OMnet or FIX.

When re-requesting quotes a participant may specify if a one- or two-sided quote is requested, and a quantity can be indicated. However, these indicators are for information purposes only and the MM will always be required to respond with two-way prices for the volume required under the MM agreement.

A user-initiated RFQ will be accepted unless:

  • An RFQ for the TMC series is already in progress; or
  • An MM is already providing qualifying quotes (max spread for min size).

To prevent excessive use, the exchange will during 2017 implement an RFQ-to-order ratio.

 

Responding to Quote Requests (Market Makers)

MM conditions in short:

  • MM to respond to at least 50% of the total number of valid RFQs per month and underlying instrument by providing bid and ask prices with a maximum spread for a minimum volume. A floor of 10 RFQs and a cap of 50 (100 for OMXS30 index options) is applied per underlying instrument.
  • An RFQ in a TMC series is valid if all of the legs are covered by the MM’s continuous quoting obligations (strike price and maturity matrix).
  • MM to respond to RFQs with a response time of 20 seconds.
  • MM to hold quotes in response of RFQs for 20 seconds. MM may update the prices during this holding period.
  • If the same TMC is re-requested after a 20 seconds holding period, MM shall enter a new quote and hold it for another 20 seconds.
  • If one side of a qualifying quote (max spread for min volume) is traded partially or in full, the holding period is deemed fulfilled. This applies to fills on passive quotes or if one side of a qualifying quote trades aggressively immediately at entry. IOC/FOK orders cannot be used to fulfil the obligation to respond to RFQs.

Click here for the latest market notice outlining the new conditions including the max spread tables and required volumes.

MM receives RFQs on the public market data feeds. With the 4.1.0225 release the RFQ message is added to the ITCH feed. See below for further details.

Until the mandatory Genium INET November upgrade (MiFID II compliance), MMs will be able to fulfil the obligation to respond to an RFQ using:

  • Mass quote message (OMnet MO96, FIX Msg Type = i)
  • Two-way price quotation message (OMnet MO37); or
  • Single order message (OMnet MO31, FIX MsgType = D)

As of 20 Nov 2017 MM will only be able to use the mass quote message to fulfil the MM obligations.

Only prices in TMC series provided with quote messages (OMnet or FIX) are subject to the exchange’s MM protection mechanism.

Prices in TMC series provided with the mass quote message will not generate implied-out orders and implied-in matching against such prices will not be supported.

Market Maker Message Reference:

 

Function

OMnet

FIX

ITCH

New series notification (out

Series update,

‘BU2’ or ‘BU124’

N/A

Combination order book

directory,

Message Type=M

TMC definition (out)

Combo series update,

‘BU5’ or ‘BU126’

N/A

Combination order book

directory,

Message Type=M

 

Quote request (out)

Quote Request with Volume Information, ‘MI4’

N/A

 

Quote Request Message,

Message Type=q

(from 8 May)

Mass quote (in)

Mass Quote Transaction,

‘MO96’

Mass Quote (in),

MsgType=i

N/A

Execution info

(TMC & legs)

Firm order book,

‘BO5’

Execution report (out),

MsgType=8

N/A

Trade copies (legs only)

Dedicated trade information, ‘BD6’

Trade capture report (out),

MsgType=AE

N/A

 

Quote Requests on ITCH (Updated 2017-03-23)

To support the introduction of MM obligations for TMCs, the quote request message will be introduced to ITCH market data feed. The quote message "q" is currently available in the Auxiliary Market Data Feed (AMD) but will with the 4.1.0225 now also be available on ITCH. This message is primarily targeting MMs but may impact all members using ITCH. Therefore it is important that all ITCH users read the ITCH specification to analyse potential impact.

 Technical Impact:

  •  Quote request message “q” added to ITCH protocol.

Please see the ITCH specification under the Genium INET ITCH section on this webpage for further details.

 

 

Recognised Strategies for TMC

In connection with the 4.1.0225 release the TMCs that can be created will be limited to a list of recognised strategies. The complete list will be an appendix to the Genium INET Market Model document for Equity Derivatives and announced in a market notice closer to go-live. The tentative list is found below.

List of recognised strategies (tentative):

  • Vertical, Horizontal and Diagonal Spreads
  • Futures and Forwards Calendar Spreads
  • Straddle, Strangle and Guts
  • Risk Reversal and Synthetic
  • 1:2 Ratio Spread
  • Butterfly
  • Ladder
  • Roll Call to Vertical Call Spread
  • Roll Put to Vertical Put Spread
  • Iron Butterfly
  • Call/Put Condor
  • Condor
  • Box
  • Jelly Roll

 

Automatic Cancellation of Quotes at Trading Halts (Updated 2017-03-23)

In response to customer feedback, the exchange will from 8 May 2017 automatically cancel all market maker quotes in connection to a circuit breaker or a technical halt state. Market makers will be informed about the cancellations on OMnet and FIX using existing response codes:

  • OMnet BO5 – Change reason = 9
  • FIX ExecRpt – Unsolicited cancel

The deletion will be made in transition to any of the below order book states and applies only to prices submitted using quote messages:

  • VAUCT (volatility auction, index futures)
  • PAUSE_VHD (dynamic volatility halt, single-stocks)
  • PAUSE_VHS (static volatility halt, single-stocks)
  • PREOP (pre-open period following technical halt sate “HALT”)

 

 

Commodities

Please see all asset class section for information

Fixed Income

New Settlement Products for Nordic Fixed Income Products (Updated 2017-03-23)

Nasdaq Clearing will introduce new settlement products for Nordic Fixed Income Derivatives contracts, hence replacing some of the existing ones. Settlement products are used to group Instrument Types to book keeping accounts in Genium INET. Please note that even though the proposed changes are technically part of the May release the actual effective date will be June 1st.

The clearing reports “Cash Settlement” and “Cash Settlement Propagation” will thus display new values for existing column “Settlement product”.

The new values for Settlement Product will also be found in OMnet field  ”settlement_product_s”. This field is included in the following answers:

  • SA14 (struct paynote_info_detail_item)
  • DA123 (struct ns_underlying_basic)
  • DA131 (struct ns_inst_type_secur)

Genium INET 4.1.0225 Technical Information

Below is the impact that Genium INET 4.1.0225 has on OMnet, ITCH, clearing reports and Nasdaq front-ends.

Genium INET 4.1.0225 Project Timeline

Feb 7 Draft of ITCH specification available
Feb 20 Draft of OMnet specification available
March 31 Final technical specifications available
April 5 External test 3  availability
April 7 External test 1  availability
May 6 Technical go-live of Genium INET 4.1.0225
May 8 First trading and clearing day for Equity Derivatives, Fixed Income and Commodities

External Test System

Planned upgrades of External Test Systems to release 4.1.0225: (Updated 2017-03-23)

External Test systems availability
External Test System Planned Upgrade Planned 1st day of member testing
EXT3 April 4 April 5
EXT1 April 6 April 7

 

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 ITCH

  • Mandatory changes to ITCH protocol. Please see ITCH specification for further information.

 

Genium INET OMnet

OMnet Changes

 

OMnet Information
OMnet references Updated

2017-04-04

 

 

OMnet Header File Updated

2017-04-04

   

Genium INET Clearing Reports

There will be changes of data in the following clearing reports (Updated 2017-03-23)

Margin Data Report

For commodity instruments, the Margin Data Report currently contains one row per combination of instrument and margin class. For instruments without open interest, only limited data is displayed (i.e. some columns always equal zero).

For financial instruments, the Margin Data Report currently contains one row per combination of instrument and margin class where open interest exists.

From May 8th, the Margin Data Report will instead contain the following:
For commodity instruments, the Margin Data Report will only contain rows for margin class 001. In addition, instruments without open interest will display the same amount of information as instruments with open interest.

For financial instruments, the Margin Data Report will only contain rows for margin class 001. In addition, rows may appear for equity spot series where delivery margin is used.

 

Cash Settlement & Cash Settlement Propagation reports

Nasdaq Clearing will introduce new settlement products for Nordic Fixed Income Derivatives contracts, hence replacing some of the existing ones. Settlement products are used to group Instrument Types to book keeping accounts in Genium INET. Please note that even though the proposed changes are technically part of the May release the actual effective date will be June 1st.

 

Margin Requirement and Margin & Collateral Evaluation Clearing Reports

The “Margin Requirement” and the “Margin and Collateral Evaluation” clearing reports will be modified to show the Margin Calculation time and Margin run per account instead of in the clearing report header. This means that there will be two new columns to the far right in the .xls and .csv versions of these reports:

New columns to the far right in the “Margin Requirement” and “Margin and Collateral Evaluation clearing reports

  • Margin Calculation Time
  • Margin Run

The .csv versions of these reports will also have two corrections to them:

  • Today it shows the member MPID before the company name. This will be replaced with “Member:”
  • The “/” will be replaced to “;” between “Valuation Time: <Date> <Time>”  and  ”Request Number: X” to align the format of other clearing reports.

 

 

Genium INET Front-ends

Nasdaq Front-ends
Clearing Workstation 1 Updated
  • No planned changes to Clearing Workstation 1
     

2017-02-07

 

 

 
Trading Workstation Updated
  • No planned changes to Trading Workstation

2017-02-07

 

 

 
   
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