Nasdaq Nordic and Baltic are planning to introduce a new optional trading model called “Auction On Demand” (AOD) for all shares in Stockholm, Copenhagen, Helsinki and Iceland. The market and instrument coverage could later be expanded.
AOD is designed to complement the current lit and dark order book trading. AOD should be seen as a volume discovery service based on the Periodic auction trading model. The auctions will run in parallel with continuous trading in the corresponding Lit order book.
An AOD auction lasts for less than 100 milliseconds and is triggered on demand by crossing mid-point pegged orders. Multiple anti-gaming protection mechanisms are included in the AOD solution, to safeguard the integrity of the orders.
AOD orders can be submitted via FIX or OUCH and the Nordic Workstation. New auction information covering indicative price and quantity will be available over a new “MOII” message sent over ITCH and GCF-TIP.
Protocol specifications
There will be updates to INET FIX, OUCH, ITCH and GCF-TIP protocols due to this change. An INET delta protocol specification document has therefore been issued.
The “AOD – Protocol Changes” and current INET protocol specifications are available at Nasdaq Nordic Technical Information web site. Changes on GCF-TIP will be communicated separately.
Legal and Market Model
The Nasdaq Nordic Member Rules and Market Model will be updated, effective as of November 21, 2016. A draft version of the Market Model will be available during Q3, 2016. AOD is designed to fulfill both MiFID I and II transparency rules.
Time Schedule
-
INET Test (NTF) – August 22, 2016
- Publication of Draft protocol specifications including AOD
- INET Production – November 21, 2016.
The launch of the service is subject for discussions with regulators.
Testing access and support
Members can test out the new functionality in the INET NTF test environment.
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.
