As of Sept 27, NASDAQOMX will start a phased launch of volatility guards on its Nordic equity markets. As previously announced in IT Notice 97/10, reference data specifying the thresholds for the individual stock will be disseminated via the real time message OrderbookReferencePrice in GCF. Based on customer feedback additional reference data regarding the reference price for Static Volatility Guard will be disseminated as well - this to ensure that receiving applications get correct start of day values for illiquid shares where no reference price for Static Volatility Guards is established in the opening auction. For clarification - the following fields of the OrderBookReferencePrice message in GCF will be populated: Reference price information at startup: ReferencePrice - containing the reference price for Static Volatility Guard ReferencePriceDate - the date of the Reference Price for Static Volatility Guard ReferencePriceUpperLimit - the upper price range limit ReferencePriceLowerLimit - the lower price range limit PriceUpdateMethode - indicates if the parameters are for Static or Dynamic VGs Note! • ReferencePrice and ReferencePriceDate are only disseminated for Static Volatility Guard • Reference Price in the morning transmission is not adjusted for corporate actions.In the case there is a corporate action that has impact on a reference price based on last sale of a previous date, this has to be adjusted by the receiving applications based on the date of the reference price. • The UpdateCode field is not used and will therefore not be disseminated. Reference price information intra day Intraday after an auction i.e. Opening / Closing call, Trade Halt or a triggered VG, the OrderbookReferencePrice message will be disseminated immediately after the cross to confirm the new Static Volatility Guard reference price. Note! • The OrderbookReferencePrice message will only be sent once after an auction, and will never be sent following an auto matched trade. Test availability and supporting documentation The added reference price information of the OrderBookReferencePrice message will be available in INET Nordic OTF GCF4 test environment from September 17th. The full configuration for volatility guards has been available for testing in INET Nordic OTF since September 6. If you have any questions regarding this IT Exchange Notice please do not hesitate to contact Tech Support at: +46 8 405 64 10, operator@nasdaqomx.com Best regards, NASDAQ OMX Nordic Please read about ongoing changes for NASDAQ OMX Nordic, on member extranet INET Nordic Enhancements
IT - INET Nordic Volatility Guards in GCF - Update regarding content of OrderBookReferencePrice message (127/10)
| Source: Global Data Products