nasdaqomx

Genium INET MiFID II 5.0.0201

Genium INET MiFID II 5.0.0201Q-Port

Genium INET upgrade November 18th

Genium INET will be upgraded to version 5.0.0201 on November 18th, 2017.  First day of Trading and Clearing on the new release will be November 20th, 2017. Please note that there are mandatory changes to FIX, OMnet and front-ends. The release will also include changes to ITCH. See the technical specifications to assess the impact. The changes to Nasdaq API´s and protocols are subject to mandatory conformance tests in September. Please see our conformance test website for more information.

Please note that the earlier planned conversion of the 5.0.0201 release, currently available in External test 4, to version 5.0.0210 has been void. Going forward the release going live November 20th, 2017 will be labelled 5.0.0201. This is purely a change of numeric sequence and has no technical impact. 

This webpage will be updated continuously when new information on the Genium INET 5.0.0201 release is available. In addition to monitoring this webpage, it´s strongly recommend to subscribe for IT-Notices for relevant markets. 

Subscribe here

 

MiFID II Functionality Activation Guide for INET and Genium INET

Updated November 20

The objective of this document is to inform members and market participants on the timelines associated with the activation of the new functionality for each of Nasdaq Nordic’s markets, as well as the updates to the market models. The scope of this document includes functional changes and configurations introduced by Nasdaq Nordic and Nasdaq Baltic during the period of November 20 until January 3. 

 

All Asset Classes OMnet

Genium INET OMnet

 

The below table is based on the Summary Member Impact document that can be found under tab "Genium INET OMnet" The table summarizes the changes to OMnet.

Column "Final" shows if the change is final in the "OMnet Message Reference". Changes will only be done due to regulatory or other pressing demands.

Column "Available in Tech Specs" shows if the change is currently available in the "OMnet message Reference".

Column "Mandatory" refers to if the change is to be seen as technically mandatory. The impact of all changes should however be evaluated.

To ensure that the full impact of the 5.0.0201 release is considered, the “Summary of Changes” section in the OMnet Message  Reference Manual should be used.

Important to note that the configuration in External Test System 4 reflects the configuration to be in production on January 3rd, 2018. Information on configuration as of November 20th, 2017, will be available in due course.

 

KNOWN LIMITATIONS in External Test System 4 as of September 28th
 

  • Q-Port is available for early testing.

  • Instrument configuration is partly outstanding for Fixed Income (FI) and Commodities (COM) products, affecting pre-trade transparency, MMT flags and trade reporting. See details below in the API impact table.
  • TrayPort (COM) is not available.
   
Section Member Impact Description Available in test system Mandatory Final Available in Tech Specs
2 Reference Data        
2.1 Trade Report Type Available Yes Yes Yes
2.2 Minimum Block Trade Size and Liquidity flag Available   Yes Yes
2.3 Minimum Deferral Size EQD ready, COM/FI TBA Yes Yes Yes
2.4 Extra Reference Data for Commodities Available   Yes Yes
2.5 Default Trader ID Available Yes Yes Yes
2.6 Coupon Interest Rate Available Yes Yes Yes
2.7 Override of Liquidity Flag, Minimum Block Trade Size, Minimum Deferral Size Available   Yes Yes
2.8 Market Maker Obligations - Stressed Market Available on request   Yes Yes
2.9 Allow sub-LIS Trade Reporting TBA   Yes Yes
3 Order Management        
3.1 OM-EXCHANGE_INFO structure Available Yes Yes/Changed Yes
3.2 Circuit Breaker Triggering info Available   Yes Yes
3.3 Trade Report Originator Available   Yes Yes
3.4 Quotes Available Yes Yes Yes
3.5 Indicative Quotes Available Yes Yes Yes
3.6 Post Trade Transparency flags Available Yes Yes Yes
3.7 Multi Leg Trade Report Available Yes Yes Yes
3.8 Market Maker Messages Available   Yes Yes
3.9 Trade Report Notification Available   Yes Yes
3.10 Extended Order Record Keeping fields in Indicative Quotes Available   Yes Yes
4 Exceptional Market State        
4.1 Exceptional Market State Available   No Yes
5 Trading and Market Information        
5.1 Public Trade Ticker Available Yes Yes Yes
5.2 Order Book Levels Available Yes Yes Yes
6 Trade and Position Management        
6.1 Trade Information Available Yes Yes Yes
6.2 Rectify Deals/Trades Available Yes Yes Yes
6.3 Give-ups Available Yes Yes Yes
6.4 OTC Trade Reports Available Yes Yes Yes
6.5 Query Holding Rectify Trade/Deal Available Yes Yes Yes
7 EMIR Reporting        
7.1 Unique Trade Identifier in API Available Yes Yes Yes
8 Deal Source Changes Available     Yes
9 Impact on Reports        
9.1 OTC Trades Available     N/A
10 Market Status        
10.1 Instrument Status Information Available   Yes Yes
11 Collateral Management        
11.1 Collateral Evaluations Available   Yes Yes

 

Changes to OMNet Error Messages
Following the upgrade to release 5.0.0201, a number of error messages will be updated. Affected messages: MC4 - LQ1, LQ2, LQ3, LQ4, LR5, LR6 - UC19, UC20 - UQ15, UQ19
An updated System Error Messages Reference is available under tab Genium INET OMnet.

Trader ID
For members, Trader ID´s have been set up in External test 4 according to existing registered traders
For ISV´s a set of pre-configured generic Trader ID´s has been set up to be used for testing. Personal Trader ID´s can be set-up on request by Member Services. 

For Sponsored Access, the Client ID code must be pre-registered with the exchange, since each client is subject to the exchange’s authorization and pre-approval on a client-by-client basis. Please contact Member Services at ms.gi@nasdaq.com to pre-register.

Pre-configured generic Trader ID´s for ISV´s
Trader ID Trader ID Type
AAA111 Personal
ALGO12 Algo
AOR001 Routing
BBB222 Personal
CCC333 Personal
DDD444 Personal
DMA123 DMA
EEE555 Personal
FFF666 Personal
GGG777 Personal
HHH888 Personal
III999 Personal
SA1234 Sponsored access
TECH12 Technical

All Asset Classes FIX

Genium INET FIX

The below table is based on the Summary Member Impact document that can be found under tab "Genium INET FIX" The table summarizes the changes to FIX.

Column "Final" shows if the change is final in the Summary Member Impact document. Changes will only be done due to regulatory or other pressing demands.

Column "Mandatory" refers to if the change is to be seen as technically mandatory. The impact of all changes should however be evaluated.

To ensure that the full impact of the 5.0.0201 release is considered, the “Revision History” section in the FIX Specification should be used.

Important to note that the configuration in External Test System 4 reflects the configuration to be in production on January 3rd, 2018. Information on configuration as of November 20th, 2017, will be available in due course.

 

KNOWN LIMITATIONS as of October 20

  • Q-Port available for early testing.
  • Instrument configuration is partly outstanding for Fixed Income (FI) and Commodities (COM) products, affecting pre-trade transparency, MMT flags and trade reporting. See details below in API impact table.
  • TrayPort (COM) is not available.
 
Section Member Impact Description Available in test system Mandatory Final
3 Business Level Party Identifiers      
3.2 Party Roles Available Yes Yes
3.3 On Behalf Identifiers Available Yes Yes
3.4 Implicit Parties Available   Yes
3.5 Drop Copy Identifiers Available Yes Yes
4 Time Datatypes Enhancements      
4.1 Support for High Resolution Time Data Available   Yes
4.2 Change of Time Data Resolution Available Yes Yes
5 Order Management      
5.1 Commodity Derivatives Risk Reducing Flag/Liquidity Provision Available   Yes
5.2 DEA Order Flag Available   Yes
5.3 Trading Capacity Available Yes Yes
5.4 Trading Venue Transaction Identifier Available   Yes
5.5 Circuit Breaker Information Available   Yes
6 Contingent (Linked) Orders      
6.1 Commodity Risk Reducing Flag/Liquidity Provision Available   Yes
6.2 Trading Capacity Available Yes Yes
7 General Quote Handling      
7.1 Party Roles Available Yes Yes
7.2 Trade Capacity and Liquidity Provision Available   Yes
7.3 Pass-through Field Available   Yes
7.4 Quote Request Available   Yes
8 Trade Capture Reports      
8.1 Trade Handling Instructions Available   Yes
8.2 Commodity Derivatives Risk Reducing Flag/Liquidity Provision Available   Yes
8.3 Trading Capacity Available   Yes
8.4 DEA Order Flag Available   Yes
8.5 Venue of Execution Available   Yes
8.6 Market Mechanism Available   Yes
8.7 Trading Mode Available   Yes
8.8 Trade Types/MMT Transaction Types Available Yes Yes
8.9 Post-trade Deferrals EQD ready, COM/FI TBA   Yes
8.10 Amend/Cancel Flags in Confirmations Available   Yes
8.11 Complex Trade Component ID Available   Yes
8.12 Trading Venue Transaction Identifier Available   Yes
8.13 Trade UTI Available   Yes
8.14 Stressed Market Flag Available   Yes
8.15 Multi Leg Trade Reports Available   Yes
8.16 Trade Cancels Available   Yes
8.17 Trade Changes Available   Yes
9 FIX 5.0 SP2      
9.1 Standard Header Available Yes Yes

 

 

Trader ID
For members, Trader ID´s have been set up in External test 4 according to existing registered traders
For ISV´s a set of pre-configured generic Trader ID´s has been set up to be used for testing. Personal Trader ID´s can be set-up on request by Member Services.

For Sponsored Access, the Client ID code must be pre-registered with the exchange, since each client is subject to the exchange’s authorization and pre-approval on a client-by-client basis. Please contact Member Services at ms.gi@nasdaq.com to pre-register.

Pre-configured generic Trader ID´s for ISV´s
Trader ID Trader ID Type
AAA111 Personal
ALGO12 ALGO
AOR001 Routing
BBB222 Personal
CCC333 Personal
DDD444 Personal
DMA123 DMA
EEE555 Personal
FFF666 Personal
GGG777 Personal
HHH888 Personal
III999 Personal
SA1234 Sponsored access
TECH12 Technical

Equity Derivatives

 

Updates to Market Model & Functionalities (MiFID II)

Equity Derivatives Trading

 

The Genium INET Market Model document version 2.0 will have an effective date of 20 Nov 2017, the first trading day of the Genium INET MiFID II release. A final draft version is now available on the rules site

The document includes relevant functional changes made in preparation for MiFID II which are activated either in connection to the new release on 20 Nov, in connection with the new market maker agreement applying on 1 Dec, or on 2 Jan 2018.

Key updates reflect:

  • Updated trader access policy (introduction of “Trader ID”)
  • New mandatory information fields on order and trade entry
  • Updates to block trade policy and procedures
  • Introduction of cross trade procedures
  • Updates to market safeguards & control mechanisms
  • Updates to market maker functionality
  • New stressed market & exceptional market conditions policy
  • Order-to-trade ratio policy

An updated version 2.1 of the document will have an effective date of 2 Jan 2018 and will include updates to relevant appendices with methodologies, configuration and business parameters for the functionalities activated on this date. Version 2.1 will be made available mid-December.

Please note that some areas of the document might be subject to discussions with and/or approval from regulators. Please also note that additional minor and editorial changes might occur in the final version.

Timeline for the implementation of changes including references to relevant sections and appendices in the market model document:

Functional Change

Market Model Ref

Activation Date

Updated trader access policy

v2.0 Section 2.3.1

20 Nov 2017

Circuit breaker triggering info

v2.0 Section 4.1.6

20 Nov 2017

New mandatory information fields on order entry

v2.0 Section 4.2.5

20 Nov 2017

Cross request message

v2.0 Section 4.4

20 Nov 2017

Updates to market maker messages

v2.0 Section 4.5

20 Nov 2017

Updates to block trade policy

v2.0 Section 5

20 Nov 2017

Number of orders added to market-by-level data

v2.0 Section 6.1

20 Nov 2017

Stressed & exceptional market conditions policy

v2.0 Sections 4.1.7, 4.1.8

1 Dec 2017

Tick size updates – SEK options

v2.0 Appendix C

1 Dec 2017

Updates to order price limits

v2.0 Appendix H

1 Dec 2017

Cross trade conditions (rules)

N/A

2 Jan 2018

Circuit breaker mechanism active on all index derivatives

v2.1 Appendix B

2 Jan 2018

Minimum reserve order value

v2.1 Appendix D

2 Jan 2018

Updates to order volume limits

v2.1 Appendix I

2 Jan 2018

New order value limits

v2.1 Appendix I

2 Jan 2018

Theoretical reference prices (price limits)

v2.1 Appendix H

2 Jan 2018

Minimum block trade size validation

v2.1 Appendix K

2 Jan 2018

Revised deferral conditions & thresholds

v2.1 Appendix L

2 Jan 2018

Order-to-trade ratio policy

v2.1 Appendix P

2 Jan 2018

ORK short code reconciliation process

N/A

3 Jan 2018

 

For the full technical impact see tab "Genium INET OMnet" respectivley "Genium INET FIX".

 

Updates

  • Time of Agreement (August 28)
    • As of November 20th, 2017, Time of Agreement will be available in OMnet BD6 messages and FIX Trade Capture Reports for Equity Derivatives.
    • OMnet BD6 struct: CL_TRADE_TRADE_REPORT_API
    • FIX Trade Capture Reports: Tag 483
    • This is now available for testing in External Test 4.

Clearing of OTC Trades in Listed Equity Derivatives  

  • Nasdaq is extending the current OTC clearing of equity derivatives offering with the possibility to clear off-exchange (OTC) transactions (sometimes called look-alikes) on standardized contracts that are economically equivalent to the equity derivatives contracts listed at Nasdaq Stockholm.
  • Such OTC transaction on standardized contracts will after having been accepted for clearing and having been registered (novated) be fully fungible with the listed contracts.
  • The registration of such OTC transaction shall be conducted by using the existing interfaces available in the trading and clearing infrastructure for registering on-exchange. The OTC transaction shall be registered with dedicated new OTC trade types: OTC, OFF and SI.

More information is available in the Service Description.

 

Commodities

The document below describes the functional changes for the Commodities Markets for Genium INET release 5.0.0201, available in External test 4. For the full technical impact see tab "Genium INET OMnet" respectivley "Genium INET FIX".

Nasdaq Commodities Europe - Genium INET 5.0.0201 – Upcoming Functional Changes Version 1.2           Updated October 18

 

The documents below describes Position Reporting for the Commodities Market.

Nasdaq Commodities Position Reporting  Updated November 16

Investment firm position reporting to trading venue - FCA schema with proposed extensions

Nasdaq will use the standard FCA schema for reporting positions to regulators.

Venue Product Codes and Definition of Spot Month

Venue Product Codes list  Updated November 20

Fixed Income

Fixed Income Derivatives

The document below describes the functional changes for Fixed Income Derivatives, for Genium INET release 5.0.0201, available in External test 4. For the full technical impact see tab "Genium INET OMnet" respectivley "Genium INET FIX".

Fixed Income Derivatives - Functional Changes November 2017  Updated November 7

Updates

  • Time of Agreement (September 20)
    • As of November 20th, 2017, Time of Agreement will be available in OMnet BD6 messages and FIX Trade Capture Reports for Fixed Income Derivatives.
    • OMnet BD6 struct: CL_TRADE_TRADE_REPORT_API
    • FIX Trade Capture Reports: Tag 483
    • This is now available for testing in External Test 4.

 

Generic Rates Instruments  Updated Octobe

The document below describes the functional changes for Generic Rate Instruments, for Genium INET release 5.0.0201, available in External test 4.

Generic Rates Instruments - Functional Changes November 2017  Updated October 6

 

Fixed Income Cash

The document below describes the functional changes for Fixed Income Cash, for Genium INET release 5.0.0201, available in External test 4.

Fixed Income Cash - Functional Changes November 2017  Updated October 24

 

Transaction Reporting

Transaction Reporting Information
TR references Updated

October 4

Genium INET 5.0.0201 Technical Information

Below is the impact that Genium INET 5.0.0201 has on OMnet, FIX, Clearing Reports and Nasdaq Front-ends.

Genium INET 5.0.0201 Project Timeline

Genium INET 5.0.0201 project timeline
Planned dates Comment
30 April Draft technical specifications OMnet available
15 May External Test 4 availability (Trading only)
19 May Draft technical specifications FIX available
4 July Updated technical specifications OMnet available
17 July Drop 2 of new functionalities
17 July Release of initial Nasdaq front-ends
16 August External Test 4 Full clearing cycle
17 August Final technical specifications available
16 August Drop 3 of new functionalities
22 September Go-Live candidate of Nasdaq Front-end Clearing Workstation 1
3 November External Test 3 availability on Nov 20 configuratio
6 October Go-Live candidate of Nasdaq Front-end Trading Workstation
6 November External Test 1 availability on Nov 20 configuration
18 November Technical go-live of Genium INET 5.0.0201
20 November First trading and clearing day for Equity Derivatives, Fixed Income and Commodities

External Test System

Important to note that the configuration in External Test System 4 reflects the configuration to be in production on January 3rd, 2018. External test system 1 and 3 will be available on configuration reflecting November 20 th on the dates given below, the technical changes will be the same for all systems on release 5.0.0201. Information on configuration is available in the Functionality Activation Guide.

Planned upgrades of External Test Systems to release 5.0.0201:

External Test systems availablitity
External Test System Planned Ugrade Planned 1st day of member testing
EXT 4 Upgraded to 5.0.0201 on Jan 2018 configuration 15 May (Trading only)
EXT 4 Upgrade based on release 4.0.0225 16 June
EXT 4 Functionallity drop 2 17 July
EXT 4 Initial Front Ends available 17 July
EXT 4 Full clearing cycle 16 August
EXT 4 Functionallity drop 3 16 August
EXT 4 Q-Port available Available
EXT 3 Upgraded to 5.0.0201 on Nov 20 configuration 3 November
EXT 1 Upgraded to 5.0.0201 on Nov 20 configuration 6 November

 

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 OMnet

OMnet Information
OMnet references Updated
Summary Member Impact OMnet 5.0.0201

2017-07-06

2017-10-12

2017-08-16

OMnet Header File Updated

2017-10-12

Genium INET FIX

FIX Information
FIX Specification Updated
Summary Member Impact FIX 5.0.0201 2017-06-15
FIX Spec 2.08 (Final) 2017-11-02
FIX Repository 2017-09-14

Genium INET ITCH/AMD/Glimpse

ITCH Information
ITCH Specification Updated
Summary Member Impact ITCH-AMD 5.0.0201 2017-06-15
Genium INET ITCH Protocol Specifications (Final)      2017-08-16
AMD Information
AMD Specification Updated
Genium INET AMD Protocol Specifications (Final)      2017-11-02
Glimpse Information
Glimpse Specification Updated
Genium INET Glimpse Protocol Specifications (Final) 2017-08-16

Genium INET Clearing Reports

Clearing Report Changes

 

Modified reports

  • OTC Trade Details:
    • New Columns: will be added in the end of the CSV report. "Time of ageement" and "Time of Clearing" will be in local time.
    • Time of Agreement
    • Time of Clearing

OTC Trade Details  Example report

 

  • Interest Rate Trades:
    • New Columns: will be added in the end of the CSV and XLS report. "Time of ageement" will be in local time and "Time of Clearing" in UTC.
    • Time of Agreement
    • Time of Clearing

Interest Rate Trades  Example report

 

 

  • EMIR Trades:
  • EMIR Instrument Reference Data

 

Genium INET Front-ends

Nasdaq Front-ends
Trading Workstation Updated
  • Trading Workstation - Mandatory upgrade, to be used in production from Nov 20.
    (Final version)

3 November

25 October
 
16 November
 
Clearing Workstation 1 Updated

3 November

22 September

 

 
Q-Port Updated
  • Q-Port - Mandatory upgrade
    (Initial version)

28 August

  • Q-Port User Guide                                                                   

17 November

 
   
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