IT - CLICK XTTM - Regarding BO5 during Call Interaction (26/10)


Below is a description on how to handle the Firm Order Book broadcast BO5,
including how to ensure that correct information is used when distinguishing
between public and local order books, when an order is altered in the Call
Interaction (CLIN) session state prior to the implementation of Genium INET.
This information does not override the information in the OMex System
Programmer's Manual and should be handled as additional information. For
specific information on how to handle the BO5 together with the Total Order
query MQ8 you should apply the OMex System Programmer's Manual. According to
the description below, the reader is assumed to belong to member A. 

During CLIN, an ask order is entered for member A and a BO5 receipt is received
with order number (order_number_u = 5229 D661:111C 083C) and price (premium_i)
(for all fields please check the OMex System Programmer's Manual). This
specific order entry should be remembered by the application if a local user
order book should be kept. If it is the first order during CLIN, a BO10 will be
received to inform that no Equilibrium Price (EP) (equilibrium_price_i =
-2147483648) has been established. 

Member B enters an order that establishes an EP. Member A receives a BO10 with
the corresponding EP. This is the first BO10 with an actual EP. 

Member A alters the order with order_number_u 5229 D661:111C 083C without
changing the price (i.e. some other aspect of the order is changed). The BO5
receipt is received with the EP instead of the limit price. Based on the first
BO10 with an updated EP this BO5 should be saved with the limit price and not
the EP if a local user orderbook should reflect the actual limit order. If an
MQ8 is sent you also receive the limit price in premium_i. A BO5 that stems
from an alter order after a BO10 with an EP will give the EP in premium_i. 

For further information concerning this exchange notice please contact 1st Line
Technical Support, telephone +46 8 405 6750, or technicalsupport@nasdaqomx.com. 

NASDAQ OMX Nordic

Attachments

it_exchange_notice_2610.pdf