The enhancements in the list below are confirmed and have a confirmed date for INET Nordic Test and Production.
Summary of upcoming INET enhancements, details below:
Implementation of Auction Only Segments for certain less liguid shares
Following requests from market participants, Nasdaq Nordic has decided to implement Auction Only Market Segments for certain less liquid shares on Nasdaq Stockholm and First North Sweden. The model may be expanded to other Nasdaq Nordic markets at a later stage.
The background for the implementation is that it is common for Issuers in Sweden to have multiple classes of shares listed at Nasdaq Nordic, with differing free float, turnover and other liquidity measures between the classes.
Ideally, the share price should not differ significantly between the different classes of shares since they represent the same proportion of the company equity and the same right to dividends. If the price differs, due to e.g. differentiated voting rights, the relative difference is typically stable over time.
However, Nasdaq Nordic has observed extreme trading in certain shares at prices not reflecting a fair market value, compared to the other share classes of the same company. In extreme situations prices of one class have been several times higher than the other. Current Volatility Halt mechanisms, effective in preventing other forms of disorderly trading patterns, do not effectively restrict trading where the price of one of the share class does not reflect a fair value.
In order to reduce the risk for disorderly trading, Nasdaq Nordic plans to introduce a modified market model for shares fulfilling the pre-set criteria. The modified market model is comprised of an Auction Only trading model were continuous trading has been replaced by three auctions during the trading day.
Auction Only Market Segments
The following new Market Segments will be activated from January 22 in production:
Market Segment Name
STO Equities Auction only
SEEQ SHR AO
First North STO Auction only
SEMM SHR AO
These two Market Segments will have three auctions per day:
- Opening auction, following the normal opening schedules as per today.
- After randomization plus 1 second of continuous trading, the order book will CET 09:00:06 move into a Scheduled intra-day auction that uncrosses at the same time as other scheduled intra-day auctions uncrosses at approximately CET 13:35.
- After yet another randomization and continuous trading phase of 1 second the order book CET 13:35:06 moves into the Closing auction with an uncross at about CET 17:30.
More details about the criterias for shares to be traded on the new Auction Only Market Segments and instruments fulfilling the above criteria is to be found in IT-Notice 89/17.
Legal and Market Model
Next version of the INET Nordic Market Model will be updated accordingly and will be available at Nasdaq European Rules and Regulations, effective as of launch of the service in production.
- INET Test NTF, GCF TST4 - December 15, 2017
- INET and GCF Production - January 22, 2018*
* The launch of the Auction Only trading model is pending regulatory approval.
INET MiFID II Test environment (M2) to be decommissioned on January 26, 2018
Nasdaq Nordic and Nasdaq Baltic have decided to decommission the INET MiFID II Test Environment (INET Test M2), a temporary test environment facilitating MiFID II functionality testing during the MiFID II implementation project.
The last day for INET Test M2 will be Friday January 26, 2018. After this date, the system will be decommissioned.
All test ports in INET Test M2 environment will be cancelled automatically after January 26, 2018; no separate cancel request is required.
See IT-Notice 4/18
Nasdaq MiFID II Member Reports
Nasdaq will make available various reports for its exchange members on a recurring basis in order to meet MiFID II requirements and/or regulations. The following reports will be available via Nasdaq Member Portal, FDS or via Nasdaq public website, see Nasdaq MiFID II Member Reports document below. More information will be communicated at a later time.
- Order to Trade Ratio (OTR) - Nasdaq Member Portal
- HFT Categorization - Nasdaq Member Portal
- Market Maker Supervision - Nasdaq Member Portal
- Best Execution - Nasdaq public website (URL tbd, first publication in June 2018)
- Deferred Publication Aggregation - Nasdaq File Delivery Service (FDS)
Nasdaq MiFID II Member Reports