NASDAQ OMX Nordic's Pre-trade Risk Management (PRM) provides member firms with the ability to facilitate pre-trade protection on both FIX/OUCH on INET.
As of June 20, NASDAQ OMX Nordic will introduce additional enhancements to its Pre-trade Risk Management (PRM) service:
- “Fat Finger” price check for passive orders
- “Blow-through” protection for PRM Accounts
“Fat Finger” price deviation check for passive orders
With this enhancement the PRM system will apply the “Fat Finger” price deviation check also to passive orders, defined as:
- A buy order whose price is lower than the last paid or a sell order whose price is higher than the last paid.
The PRM system will apply wider thresholds to the passive orders than the one applied to the aggressive orders. Thresholds are published on our member web at: http://nordic.nasdaqomxtrader.com/memberextranet/inetnordic/inet_nordic_prm/
“Blow-through” protection
By enabling this protection, PRM customers would indicate whether orders originated from a given PRM Account (e.g. a client) need to be protected from the risk of unintentionally triggering Nordic Volatility Guards in the INET Nordic systems.
When the matching engine executes an aggressive order originated by the specified PRM Account, it would stop executing the order 1 (one) price level before the level that would trigger the Nordic Volatility Guard.
Any remaining unfilled volume of the original order would be cancelled with a specific reason code.
For more information on Nordic Volatility Guards, please refer to:
http://nordic.nasdaqomxtrader.com/memberextranet/inetnordic/Market_Model/
Time table for the PRM enhancements:
| To OTF | 2011-06-01 |
| To production | 2011-06-20 |
Documentation
The PRM Service Guide and related documentation will be updated no later than 2011-06-01 and will be available at:
http://nordic.nasdaqomxtrader.com/trading/equities/pre_trade_risk_management/
Questions and feedback
For further information and feedback concerning this information please contact Tech Support at: +46 8 405 64 10, operator@nasdaqomx.com
Best Regards,
NASDAQ OMX Nordic
