Dear Customer,
The upcoming auction functionality (IT Notice 2015-06-26) and binary ITCH format (IT Notices 2015-04-29 and 2015-06-04) related changes in INET trading system will have an impact on GCF. The changes are related to orderbook state handling, note codes, order replace message and orderbook flush functionality.
These changes have no impact on GCF 3.0.1 implementation in September. Instead, a new release of GCF 3.1 will be launched at latest November 16, 2015. Confirmed schedule will be published later.
TIP 3.1 protocol specification will be available in August, 2015. Test environments for GCF 3.1 release will be available from September. Details will be provided in future IT Notice.
GCF/TIP 3.1 changes:
Orderbook state handling
A new TIP message OrderbookState, is introduced for orderbook state dissemination. The new message will replace the TradingAction message. The “Halt”, “Resume” and “Auction Period” states used in the TradingAction message will be included in the StateCode field.
The Auction Extension indicator from INET is also added to the OrderbookState message. The Stop Codes; Opening Auction Extension and Closing Auction Extension currently used in GCF will be removed.
Note Code
The format of Note Code will change. The eight character field is replaced by eight one character bit map fields. TIP-field NoteCodes is found in TIP-message BasicDataTradeable.
Order replace message
New OrderReplace message contains cancel- replace information, the reference number of the original order to be cancelled and the reference number of the new order. The priority of the original order will be reset unless it is reduction of volume on the same price.
Orderbook flush
Upon receiving the ITCH Order Book Flush message all orders in the shadow orderbook in GCF will be removed and the TIP Orderbook message with the OrderbookFlush field set will be disseminated.
If you have any questions please contact: dataproducts@nasdaq.com
GCF-release web site: http://www.nasdaqomx.com/transactions/technicalinformation/gcf/gcf-3.0