Report on market halts in Genium INET on Nov 28th 2012, affecting financial derivatives on the Swedish Index Derivatives Market
Description of issue
All times are in CET.
At 9:54 on Wednesday morning NASDAQ OMX Stockholm AB´s orderbook for the OMXS30 December future was showing negative quantity after an orderbook update. The market data sent out was in some applications incorrectly converted to a positive integer and displayed for example 2.294.967.290 as volume.
NASDAQ OMX Stockholm Exchange decided to halt the Swedish Derivatives Index market just before 10.00 due to incorrect orderbook information that made it impossible to maintain a proper functioning exchange operation.
Investigation was immediately started and it was discovered that there was an issues related to software changes done in both the central system and the surrounding interfaces during the weekend, when the new release was taken in production. The issue was related to the “cancel replace” functionality.
The functionality incorrectly updated the information regarding outstanding quantity on an order, which is also distributed in the market data output. The order book will look wrong in terms of the quantity displayed (in this case a negative quantity), and sometimes also showing crossing price information.
This happens only in cases with certain combinations of parameters.
Investigation for a correction started and at 12:20 the correction was completed and the NASDAQ OMX Stockholm Exchange informed the market the following message:
NASDAQ OMX Swedish Index Derivatives will open again and order management is valid from CET 13:50. Call interaction will start at CET 14:00 and trading will begin at CET 14:05.
Members using ITCH feed need to flush and reload market data for all NASDAQ OMX Derivatives markets. This cannot be performed before CET 13:30. For a short period the ITCH feed will be unavailable.
Trading commenced successfully during the rest of the day.
During the incident members and information vendors were frequently updated with information via disturbance messages.
Due to the issue above the NASDAQ OMX Stockholm also canceled all long orders on Thursday morning. This was informed to the market well in advance before trading started on Thursday morning.
Root cause of the incident
The incident was related to a software changes done in both the central system and the surrounding interfaces related to supporting the “cancel replace” functionality. The changes above were introduced in the new release, implemented during the weekend.
Plan for future prevention of the problem
Implementation of the immediate correction was done during the day. During Wednesday and Thursday evening we have implemented system corrections to cater for prevention of all issues related to the discovered problems during the cause of the incident.
Finally we deeply apologize for the inconvenience the incident on October 28th has caused you.
Stockholm, 30th October 2012
Gunilla Hellqvist
Vice President Nordic Operations
