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INET Nordic - Functional Enhancements

The information in this area is related to functional enhancements of INET Nordic trading platform.

The information is available to provide detailed information on planned and currently under planning enhancements. Enhancements that are already implemented in Production are available here for reference to more detailed technical information about respective enhancement, listed in chronological order. Functional information is available in the Market Model for INET Nordic.

Confirmed Schedule

The enhancements in the list below are confirmed and have a confirmed date for INET Nordic Test and Production. ‚Äč

Summary of upcoming INET enhancements, details below:

Order Record Keeping (ORK)

Information about Nasdaq Order Record Keeping (management of short code, long code mapping, file upload etc) is to be found in the Nasdaq Order Record Keeping Guideline below. The latest version now includes information on validations on order entry (short codes, order capacity and DEA).

Nasdaq Implementation Guide - Order Record Keeping 1.6            (Updated 2017-11-16)

The latest versions of Nasdaq Member Portal Short Code Management API Manual and Nasdaq Member Portal Short Code Management CSV File Format Specification are available at Future INET Nordic Protocol Specifications.

Initial testing of upload of short codes using the REST API, manual upload of CSV files and registering identifiers directly in the GUI into Member Portal ORK Test is available since July 12. More information in IT-Notice 46/17.

As of October 20, testing of SFTP is also available for Members and ISVs in Member Portal ORK Test. With an SFTP account, customers will now be able to register or edit identifiers by file upload. See IT-Notice 71/17.

As of October 5, end-to-end testing is available for Members and ISVs in Member Portal ORK Test, a test environment of the Member Portal, dedicated specifically for Order Record Keeping (ORK), see IT-Notice 59/17.

Nasdaq Member Portal Test is connected to the INET MiFID II (M2) Test environment.

Management of Production ORK short codes in Production Member Portal will be available from November 20, 2017. Members can upload their real short-long codes, or dummy short codes with a valid thru date of January 2, 2108 (dummy codes used during the period November 20, 2017 - January 2, 2018).

Nasdaq MiFID II Functionality Activation Guide 

In order to comply with the regulatory changes introduced by MiFID II and MiFIR, Nasdaq Nordic and Nasdaq Baltic will continue to adapt their Rules, trading systems and exchange services until January 3, 2018.

Nasdaq has published the ‘Nasdaq MiFID II Functionality Activation Guide for INET and Genium INET’. 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.

Please note that Nasdaq Iceland will be included in the technical implementation on November 20, 2017, but MiFID II is not expected to take effect in Iceland until 2019.

 

Mandatory Order Entry changes on November 20, 2017, in preparation for MiFID II

Nasdaq will introduce new mandatory fields on order entry in INET Nordic Production, as of 20th of November 2017. These fields are currently optional but will become mandatory from November 20, and need to be populated according to the FIX and OUCH Order Entry protocol specifications. Usage of the fields, including validation rules, is described in the Nasdaq Implementation Guide - Order Record Keeping'. During the period November 20, 2017 to January 2, 2018, dummy short code values can be used, if so, the dummy values should be uploaded to Nasdaq Member Portal with a valid thru date of January 2, 2018. MMT Trade flags will be activated, although MMT values can't be guaranteed during the period November 20 - January 2, 2018 since not all MiFID II functionality is activated until MiFID II comes into effect on January 3, 2018. 

Mandatory Short Code related fields:

  • Client identification (ClientID) – Mandatory if Order Capacity is AOTC or MTCH
  • Investment decision within firm (IDM) – Mandatory if Order Capacity is DEAL
  • Execution decision within firm (EDM) – Mandatory
  • Associated Party Role Qualifier to the respective short code fields above, identifying if the ClientID, IDM and EDM is a LEI, Natural ID or an Algo ID.

Validations of short codes is also based on the Order Capacity used, see the Nasdaq Implementation Guide - Order Record Keeping.

TraderID and DMA (Direct Market Access)

TraderIDs used for DMA order flow shall be flagged as DMA accounts via Member Portal in order for Nasdaq to set the DEA flag on outbound message. It's possible to override the default configured DEA flag, by setting value 1-4 in the DEA Indicator (OUCH) and OrderOrigination - |1724] (FIX) on inbound message, for example when a DMA order is considered non-DEA when dealing on own account (Order Capacity = DEAL).

See IT-Notice 77/17 for more details about all order related changes on November 20, 2017.

Time schedule

  • INET Test NTF - Available
  • INET Production - November 20, 2017 (Flush of GTC orders after market close on November 17)

Removal of opening auction for Warrants, Certificates and ETNs

Nasdaq Nordic has decided to remove the current opening auction from Warrant, Certificate and Exchange Traded Notes (ETN) market segments on Nasdaq Helsinki, Nasdaq Copenhagen and Nasdaq Stockholm.

This change is done in parallel with enhancements to the Market Maker Order (MMO) functionality (see IT-Notice 54/17 and below) which will act as MiFID II Mechanism to Manage Volatility for Warrant instrument type. MiFID II introduces the requirement for the Mechanism to Manage Volatility to be active at all times during trading hours. As MMO functionality is not active during auctions, Nasdaq Nordic has decided to remove the opening auction to ensure compliance with MiFID II requirements.

An impact of the removal of the opening auction is that Market by Order (MBO) will be available as of 08:00 CET compared to the previous 09:00:25/09:00 CET. A new trading schedule will be created for market segments without opening auction. For more details about effected Market Segments and changes to Trading Schedules, see IT-Notice 56/17.

Based on supplementary Member feedback, Nasdaq Nordic has decided to implement further improvements to the MMO service, hence there is a need to move the production go live date for both the MMO enhancement and the removal of the opening auctions to December 1, 2017. See IT-Notice 70/17 and 64/17.

Legal and Market Model

The INET Nordic Market Model will be updated, effective as of December 1, 2017 and changes will be available before the effective date.

In line with other MiFID II related changes, this change is subject to regulatory discussions and pending regulatory approval.

Time Schedule

  • INET Test NTF, GCF TST4 - Available
  • INET Test M2, GCF TST3 - Available
  • INET Production and GCF Production - December 1, 2017

Enhancement to Market Maker Order (MMO)

Nasdaq Nordic has decided to implement a set of enhancements to the current Market Maker Order (MMO).

The MMO functionality is specifically designed to protect Market Makers (MM) in Warrants and Certificates. Whenever a match is about to take place with a MMO, matching is paused for 600 milliseconds (0.6 seconds), giving the MMs a possibility to update the MMO before matching continues.

The MMO functionality will be further enhanced in a way that the order book will also be paused if the MM is not present on both sides of the order book (two-sided spread), or in the case the spread is too wide as defined in the INET Nordic Market Model. If the pause lasts for more than 10 minutes the order book will move into an automatic trading halt, and later flushed and released manually by Trading Surveillance.  

During the pause, full order management applies, however matching will not take place.   

The aim of the enhancements is to further improve the possibilities for effective and safe Issuer Market Making, while ensuring that retail clients are not executing at erroneous prices when the MM is not present in the order book.

See IT-Notice 47/17, 54/17 and 57/17.

Based on supplementary Member feedback, Nasdaq Nordic has decided to implement further improvements to the MMO service, hence there is a need to move the production go live date for both the MMO enhancement and the removal of the opening auctions. See IT-Notice 64/1767/17 and 70/17.

The additional improvements made to the service comprises of a set of supplementary functions to the already pre-announced MMO market model available below:

  • No opening auction
  • Continuous trading starts 09:00:05 (Warrants), 09:00:30 (Certificates and ETN)
  • GTC orders carried over from previous to the next trading day
  • Order Management during Pre-Open will be allowed
  • GTCs and New Orders submitted during Pre-Open will be passed on to the MMO queue, and released at continuous trading when the Market Maker has established a Valid spread. Market Makers and retail clients will then fully benefit from the MMO functionality. 

Legal and Market Model

The INET Nordic Market Model will be updated, effective as of December 1, 2017. A draft document of the upcoming Market Model changes is available here.

The implementation of the changes is subject to discussions with regulators.

Protocol specifications

There are no changes the protocol specifications. ITCH and GCF-TIP include information on MMOs in the order book. If an order book configured for MMOs is in continuous trading, without MMOs on both sides, the order book will be paused, hence there is no explicit flag indicating a pause in matching.

Testing

In order to facilitate for the additional improvements described above, the previously announced MMO enhancement will be temporary removed in INET Nordic test systems (NTF/M2) from October 17, 2017 to October 25, 2017.

From October 26, 2017 testing of the MMO enhancements and additional improvements will be available. From this date the MMO matching pause will be set to 600 milliseconds as in production.   

Given the relatively short testing period, we would like to encourage you to engage in testing as soon as convenient. In order to accommodate customer testing of the Enhanced MMO functionality, the provided list of order books below are populated with market maker orders (MMO) from 9:00 to 17:30 CET daily in INET NTF and M2 test environments.

Time schedule

  • INET Test NTF and INET Test M2 - Available
  • INET Production - December 1, 2017

Introduction of new market segments for instruments classified as securitized derivatives and transfers these to First North

Nasdaq Nordic is planning to transfer the existing market segments for warrants and certificates on the Copenhagen, Helsinki and Stockholm regulated markets to respective First North Multilateral Trading Facilities (MTFs) operated by Nasdaq. The transfer is planned to be completed in a three step process where the new market segments under respective First North MTFs will be available in production on mid November 2017. A migration period for moving a limited set of existing instruments for verification will follow and as of December 1, 2017, trading will continue on the new market segments under First North in Copenhagen, Helsinki and Stockholm. This effectively means that the last day of trading in warrants and certificates on the existing market segments on the regulated market will be November 30, 2017.

Background

Regulation (EU) no. 600/2014 on Markets in Financial Instruments [MIFIR] has introduced, under Article 29, the clearing obligation for derivatives traded on the markets by requiring the regulated market operator to ensure that all derivative transactions concluded on the regulated market are centrally cleared by a Central Counterparty (CCP). MTFs do not fall within the scope of Article 29 and allow the current regulatory framework applicable to these financial instruments and their issuers to remain unchanged as well as the same operating characteristics in place today and similar protection for investors.

Due to the above reasons Nasdaq Nordic will close the regulated market for Securitized Derivatives (Warrants and Certificates) and at the same time launch a substitute market under the respective First North MTFs (First North Denmark, First North Finland, First North Sweden).

The new market will have the same characteristics in terms of issuers’ obligations, in terms of rules for member participation and trading functionalities.

Please find the detailed time schedule in IT-Notice 60/17 and 55/17

Market Model

The Nasdaq Nordic Market Model will be updated and the new versions will be effective as of November 15 and December 1, 2017.

Protocol specifications

There are no changes the protocol specifications.

Market access

Members trading in Securitized Derivatives today that do not have access to First North are required to be activated in order to trade the instruments in scope after the transfer to First North. For more information regarding the activation procedure, please contact Nasdaq Cash Equity Operations at operator@nasdaq.com.  

Testing

There will be test instruments configured on each new Market Segment as of October 9, 2017. 

Time schedule

  • INET Test (NTF) and GCF TST4 – Available
  • INET Test (M2) and GCF TST3 – Available
  • INET and GCF Production - Tentative dates, November 15 - December 1, 2017 - For migration details see IT-Notice 60/17

Introduction of new market segments for Exchange Traded Notes (ETN) instruments classified as securitized derivatives and transfers these to First North

Nasdaq Nordic is planning to transfer the existing market segments for warrants and certificates on the Copenhagen, Helsinki and Stockholm regulated markets to respective First North exchanges. Additionally, market segments for ETN products will be split in to two new market segments; Leverage Certificates and Tracker Certificates and will be moved to respective First North exchanges. As with warrants and certificates move, this transfer is planned to be completed in a three step process where the new market segments under respective First North MTFs will be available in production on mid November 2017. A migration period for moving a limited set of existing instruments for verification will follow and as of December 1, 2017, trading will continue on the new market segments under First North in Copenhagen, Helsinki and Stockholm.

The new market will have the same characteristics in terms of issuers’ obligations, in terms of rules for member participation and trading functionalities.

Please find the detailed time schedule in IT-Notice 62/1758/17 and 55/17

Market Model

The Nasdaq Nordic Market Model will be updated and will be effective as of November 15, 2017.

The transfer of these products to First North is pending regulatory approval. 

Protocol specifications

There are no changes the protocol specifications.

Market access

All members trading in these products that do not have access to First North are required to be activated in order to trade the products in the scope after the transfer to First North. For more information regarding the activation procedure, please contact Nasdaq Cash Equity Operations at operator@nasdaq.com.   

Time schedule

  • INET Test (NTF) and GCF TST4 – Available
  • INET Test (M2) and GCF TST3 – Available
  • INET and GCF Production - Tentative dates, November 15 - December 1, 2017 - For migration details see IT-Notice 58/17

Nasdaq Nordic Last Sale feed (NLS) to replace ITCH for Reported Trades

The data feed ITCH for Reported Trades will become obsolete from November 6, 2017.

Customers who want to receive on- and off-exchange trade data from Nasdaq Nordic and Nasdaq Baltic have to use the new NLS feed to receive trade data from November 6, 2017. Since ITCH for Reported Trades does not include Off-Exchange Trade data reported via the new FIX 5.0 Off-Exchange protocol, migration to NLS has to be done prior to FIX 5.0 OTC Trade Reporting is launched in INET Production on November 6, 2017. NLS includes new MiFID II required fields, utilizing Market Model Typology (MMT) standard trade flags, for the purpose of post-trade transparency.

NLS currently includes all on-exchange trades executed in INET Nordic trading system: auto-matched trades executed during all trading phases (including auction trades) as well as manual on-exchange trades (including away market mirror trades). NLS also includes off-exchange trades from current OTC Trade Publication Service and future Nasdaq Nordic Approved Publication Arrangement (APA).

For more information, see IT-Notice 45/17.

Migration plan

Current ITCH for Reported Trades ports and the new NLS will be available in parallel between September 18, 2017 and November 3, 2017. Current protocol ITCH for Reported Trades will be obsolete from November 6, 2017.

To request for NLS ports (tcp), please contact Nasdaq Cash Equity Operation or request for ports via Nasdaq Member Portal.
To request for NLS Multicast service (udp), please contact Global Data Products.

 

Off-exchange (OTC/APA) trade messages added to the NLS Trade Ticker feed

Nasdaq Nordic and Nasdaq Baltic have introduced a new trade ticker protocol called Nordic Equity Last Sale (NLS) in preparation for MiFID II post-trade publication. NLS is an optional direct data feed that will include new MiFID II required fields for Post-Trade Publication, utilizing Market Model Typology (MMT) standard trade flags. The MiFID II required display field format will not be supported, instead NLS will use an efficient and binary format and cannot be displayed in a compliant way without formatting. 

NLS currently includes all on-exchange trades executed in INET Nordic trading system: Auto-matched trades executed during all trading phases (including auction trades) as well as manual on-exchange trades (including away market mirror trades).

Trades from current OTC Trade Publication Service and from the future Nasdaq Nordic Approved Publication Arrangement (APA) are currently not included in the NLS feed. Off-Exchange (OTC/APA) trades will be available in NLS from September 18, 2017.

The current ITCH for Reported Trades protocol and After Auctions Reports will be decommissioned on November 6, 2017 (extended two weeks migration period from previously announced October 23, 2017).

For more information, see IT-Notice 45/17.

Connectivity Guidelines have been updated and a new NLS Multicast presentation is now available under INET Nordic Connectivity & Access. See IT-Notice 51/16 for further information on connectivity and access to NLS. 

Protocol specifications

NLS is available with two underlying protocol options, SoupBinTCP and MoldUDP64. NLS, SoupBinTCP and MoldUDP64 protocol specifications are available under INET Nordic Protocol Specifications.

Time schedule

  • INET Test (NTF) - Available
  • INET MiFID II (M2) Test environment - Available
  • INET Production - Available
     

Mandatory migration from FIX 4.2 to FIX 5.0 Trade Reporting protocol for On-and Off-Exchange trade reporting no later than November 20, 2017

Nasdaq Nordic and Nasdaq Baltic will replace the current FIX 4.2 Trade Reporting protocols with FIX 5.0 Trade Reporting protocols (On- and Off-Exchange). This is done in order to prepare for MiFID II post trade transparency requirements for trading venues. MiFID II requires post trade publication to include fields currently not included in current the Trade Entry protocol. The protocol revision is done in order to align it with the FIX standard and Market Model Typology (MMT) standard.

The new FIX 5.0 On-Exchange Trade Reporting protocol, available today, supports manual on-exchange trade reporting in all instruments in INET Nordic pre- and post MiFID II. 

From November 20, 2017, the new FIX 5.0 Off-Exchange Trade Reporting protocol will support current OTC Trade Reporting pre-MiFID II and from January 3, 2018, Nasdaq Nordic and Baltic Approved Publication Arrangement (APA) trade publication under MiFID II, i.e. otc trades that members execute outside the exchange rules and outside the order book. The new APA Publication service will cover all EU securities subject to the OTC publication requirement. 

Migration from FIX 4.2 Trade Reporting to FIX 5.0 will have to be completed by November 20, 2017. Only FIX 5.0 will be supported as of November 20, 2017, FIX 4.2 will be retired. See migration information below.

Use of the new FIX 5.0 On- and Off-Exchange Trade Reporting protocols becomes mandatory from November 20, 2017. Nasdaq will reconfigure existing FIX 4.2 Trade Reporting ports and drops to FIX 5.0 during the launch weekend November 18-19, 2017.

Market Model

Migration information

Customers using On-Exchange Trade Reporting only have the choice to use either the current FIX 4.2 or the new FIX 5.0 Trade Reporting protocol. Current FIX 4.2 Trade Reporting ports/drops can be reconfigured to FIX 5.0 prior to November 17 by contacting operator@nasdaq.com (connectivity details remain). New ports/drops can be ordered via Nasdaq Member Portal.

Customers using Off-Exchange (OTC) Trade Reporting will have to remain on FIX 4.2 until the launch weekend November 18-19, 2017. See IT-Notice 74/17.

During the weekend Nov 18-19, remaining FIX 4.2 Trade Report entry and drop ports will be reconfigured to FIX 5.0 by Nasdaq. 

Prior to production use, trading applications need to be conformance tested (no later than Nov 10).

Protocol Specifications

The new protocol utilizes FIX 5.0 SP2 and FIXT1.1 transport layer standards. The FIX 5.0 On- and Off-Exchange Trade Reporting protocols are also applicable for drop ports (outbound messages only). 

INET protocol specifications are available under Future INET Nordic Protocol Specifications.

The protocols is subject to further changes throughout the MiFID II implementation project.

Time schedule

  • INET Test (NTF) – Available   (FIX 5.0 On-Exchange and OTC trade reporting Pre-MiFID II)
  • INET MiFID II (M2) Test – Available   (FIX 5.0 On-Exchange and APA trade reporting under MiFID II)
  • INET Production – November 20, 2017 - FIX 5.0 On- and Off-Exchange Trade Reporting mandatory 

Transaction Reporting for non-investment firms

Nasdaq has obligation to Transaction Report to its Trading Venues’ Competent Authorities on behalf of members that are not subject to MiFIR. Article 26 (5) in MiFIR mandates that operators of a trading venue shall report details of transactions in financial instruments traded on its platform which are executed through its systems by a firm which is not subject to MiFIR themselves. 

In order for Nasdaq to meet its obligations, required information to complete the transaction reports must be collected and obtained from the affected members. More information is to be found in the Nasdaq Implementation Guideline for Transaction Reporting. See also IT-Notice 61/17.

 

Currently Under Planning

The enhancements in the list below shall be viewed as for information only. The purpose of the list is to give the member and ISV community some pre-information on coming initiatives that currently are being planned. These activities might not lead to an implementation project.

 

 

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