As previously communicated in IT-Notice 69/15 and 4/16, Nasdaq Nordic and Nasdaq Baltic have decided to further enhance the possibilities to trade Pegged Non-displayed Orders in the Lit Order books. With this enhancement “stubs” falling below the LIS threshold will be allowed to be re-priced due to change of BBO without being rejected by the system under the condition the Order is submitted with a Limit price.
Note that a Non-displayed Order has to be large in scale (LIS) at the time of entry. If the volume is reduced due to a partial execution, the Order remains non-displayed even when smaller than large in scale (LIS).
Large in scale (LIS) is defined as specified in the table below:
| Class in terms of average daily turnover (ADT) |
ADT < €500,000 |
€500,000 ≤ ADT < €1,000,000 |
€1,000,000 ≤ ADT < €25,000,000 |
€25,000,000 ≤ ADT < €50,000,000 |
ADT ≥ €50,000,000 |
| Minimum size of Order qualifying as large in scale compared with normal market size | € 50 000 | € 100 000 | € 250 000 | € 400 000 | € 500 000 |
Example:
A Pegged Non-displayed Order with a value of € 55 000 is partially traded below the LIS threshold of € 50 000. The leaves value or “stub” is after the trade € 45 000 and the Order remains Non-displayed. In event the Order gets re-priced due to a change of BBO, the Order is replaced at the new price level, still as a Non-Displayed Order after the introduction of this enhancement. Note that the Order needs to have a Limit price, otherwise the Order will be cancelled when re-priced by the trading system.
Protocol specifications
There will be no updates to the FIX protocol due to this change. Nasdaq Nordic protocol specifications are always available at Nasdaq Nordic Technical Information web site.
Market Model
The Nasdaq Nordic Market Model will be updated and will be effective as of February 22, 2016.
Time Schedule
- INET Test (OTF) – December 14, 2015
- INET Production – February 22, 2016 (postponed from January 18, 2016)
Testing access and support
Members can test out the new functionality in the INET OTF test environment.
Tel: +46 8 405 6410
E-mail: operator@nasdaq.com
Questions and feedback
For further information and feedback concerning this information, please contact Ronny Thellman, +46 8 405 6313, ronny.thellman@nasdaq.com.
Best regards,
Nasdaq Nordic and Nasdaq Baltic
Nasdaq Copenhagen, Nasdaq Helsinki, Nasdaq Iceland, Nasdaq Riga, Nasdaq Stockholm, Nasdaq Tallinn and Nasdaq Vilnius are respectively brand names for Nasdaq Copenhagen A/S, Nasdaq Helsinki Ltd, Nasdaq Iceland hf., Nasdaq Riga AS, Nasdaq Stockholm AB, Nasdaq Tallinn AS and AB Nasdaq Vilnius. Nasdaq Nordic represents the common offering by Nasdaq Copenhagen, Nasdaq Helsinki, Nasdaq Iceland and Nasdaq Stockholm. Nasdaq Baltic represents the common offering by Nasdaq Tallinn, Nasdaq Riga and Nasdaq Vilnius.
