INET Nordic Order Entry (OUCH, FIX) and respective FIX DROP protocol updates, in preparation for MiFID II
Nasdaq Nordic and Nasdaq Baltic have introduced changes to the order entry protocols to the INET Nordic trading system INET in preparation for MiFID II order record keeping requirements. MiFID II requires venues to store data on the parties involved in the order and, upon request, report those to relevant supervisory authorities.
Changes include additional fields to OUCH and FIX order entry and drop protocols related to identifying the Parties of the Order, Liquidity Provision and Algo identification. The protocols include new MiFID II required fields in outbound messages for the purpose of post-trade transparency, utilizing Market Model Typology (MMT) standard trade flags.
In Production and INET Test NTF, the MiFID II fields are optional on inbound messages until November 20, 2017, from when the fields related to short codes will be mandatory (according to the specification). MiFID II fields are activated in the new INET Test M2 environment for proper testing of MiFID II functionality and conformance testing.
- Introduction of Party Role Qualifier to identify if the entered short code is a LEI, National ID or an Algo ID, adding support of six short code series for Order Record Keeping.
- Introduce a DEA field on inbound messages, making it possible for DEA customers to override the default configured DEA setting on DEAL orders (own account).
- Replacing existing FIX Tag  - AlgoIndicator on inbound messages with a new value to existing FIX Tag  - OrderAttributeType. FIX Tag  remains on outbound messages indicating if a trade (fills) was a result of a firm engaged in algorithmic trading.
- Added mapping information to the Order Capacity fields values to the MiFID II Trading Capacity values AOTC, MTCH, and DEAL.
- Added reject codes (FIX, repeating group related).
Added displaycode “P” (Top-of-Book) to DisplayInst  in FIX DROP for OUCH..
Updated PartyRoleQualifier  with value 0 (NONE) to be used together with Reserved Short Codes (0-3).
Added FIX Tags NoTrdRegPublications , TrdRegPublicationType  and TrdRegPublReason  to the FIX DROP for OUCH specification.
Added a LIS indicator to TrdRegPublReason , value 9.
Updated PartyID  value 3 = CLIENT to NORE and expanded the description of the field according to latest ESMA Guidelines for ORK and Transaction Reporting
The below listed protocol changes are available in INET Test NTF, INET Test M2 and INET Production:
Mandatory certification of the updated order entry protocols will be arranged during September-October, 2017.
Order Record Keeping under MiFID II (ORK)
Further 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. In addition to manual management of short codes via Nasdaq Member Portal GUI an API and a file upload service are available.
End-to-end testing is now 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.
Updated ORK documents:
Transaction Reporting for non-investment firms
Nasdaq Implementation Guideline - Transaction Reporting 1.0 (New 2017-10-03)
See also the Nasdaq Member Portal SFTP Access Guide above.
TotalView-ITCH protocol updates, affecting ITCH, GLIMPSE and NLS data feeds, in preparation for MIFID II
Nasdaq Nordic and Nasdaq Baltic will perform further updates to the TotalView-ITCH protocol specification, Order Book Directory message, in preparation for MiFID II. The Order Book Directory message described in the TotalView-ITCH protocol specification is available in all ITCH based INET Nordic market data feeds, TotalView-ITCH, GLIMPSE and NLS.
The Order Book Directory message updates are available in INET Test NTF, INET Test M2 and INET Production. See "INET Nordic Protocol Specifications in Production" for current TotalView-ITCH, GLIMPSE and NLS protocol specifications.
Nordic Equity Last Sale (NLS) - New MiFID II compliant Trade Ticker protocol now with Off-Exchange trade messages in addition to On-Exchange messages
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, but in an efficient and binary format.
The NLS feed includes On-Exchange Automatched and Reported Trades, individual Auction Trades and mirrored Away Market trades as well as current OTC trades and future APA trades. The feed is available with two underlying protocol options; SoupBinTCP and MuldUDP64 (NLS Multicast). The current NLS version 1.2.3 is available in INET Test NTF, INET Test M2 and INET Production, see INET Nordic Protocol Specifications in Production.
NLS will replace the current ITCH for Reported Trades feed, which will be decommisioned from November 6, 2017, when FIX 5.0 Off-Exchange Trade Reporting will be launched in INET Production. NLS is already available in INET Production. Until MiFID II comes into force, MMT values in NLS should be ignored.
ITCH for Reported Trades and After Auction Report will be retired as a consequence of the new feed, from November 6, 2017.
NLS is available in INET Test NTF, INET Test M2 and INET Production. See "INET Nordic Protocol Specification in Production" for the latest NLS protocol specification.
Latest protocol changes published October 24, 2017:
- Added value Basis points to Price Notation in OTC Trade Message
- Updated the Price field in OTC Trade Message to indicate that price fraction will be 0 when Price is not available
New FIX 5.0 On-Exchange and Off-Exchange Trade Reporting protocols to replace current FIX Trade Entry (FIX 4.2)
Nasdaq Nordic and Nasdaq Baltic will replace the current FIX 4.2 Trade Reporting protocols with two new FIX 5.0 Trade Reporting protocols, On-Exchange Trade Reporting and Off-Exchange Trade Reporting (OTC/APA). Current FIX 4.2 Trade Entry protocols will be retired as a consequence of migration to the new MiFID II compliant FIX Trade Reporting protocol, from November 20, 2017.
FIX 5.0 On-Exchange Trade Reporting is currently available in INET Production.
FIX 5.0 Off-Exchange Trade Reporting protocol will be available in INET Production from November 20, 2017.
Migration from FIX 4.2 to FIX 5.0 Trade Reporting needs to be completed by trade report users prior to November 20, 2017. Nasdaq will reconfigure remaining FIX 4.2 Trade Reporting ports to FIX 5.0 during the launch weekend November 18-19.
Trade Reporting applications needs to be certified, conformance tested, prior to production use, for more information regarding conformance testing, see INET Nordic Certifications.
Latest protocol specifications listed below are available in INET Test NTF and INET Test M2. INET Test NTF supports FIX 5.0 OTC Trade Reporting and INET Test M2 supports FIX 5.0 APA Trade Publication, INET Production will support OTC Trade Reporting until January 2, 2018, and APA Trade Reporting from January 3, 2018. All environments supports FIX 5.0 On-Exchange Trade Reporting.
The same ports can be used for both On-Exchange and Off-Exchange Trade Reporting. Drop ports use the same protocol as Trade Report ports, but only the outbound messages.
The new protocols utilizes FIX 5.0 SP2 and FIXT1.1 transport layer standards.
Latest Trade Reporting protocol changes:
- Updated LastPX  to contain information for PNDG
- Set SecurityID  as mandatory
* Please read the Revision History section in protocol specifications for a complete history of changes made.
Nasdaq reserves the rights to update the protocols throughout the MiFID II project.
Further information regarding coming initiatives can be found under INET Nordic Enhancements.
Production protocol specifications are available under INET Nordic Production Specifications in Production.