Genium Consolidated Feed upgrade to version 3.2.1 on September 19, 2016


Dear Customer,
  

On September 19, 2016, Genium Consolidated Feed (GCF) will be upgraded to TIP version 3.2.1.

An updated version of the TIP specification for GCF release 3.2.1 is now available on the GCF web page. Please note that there are updates to the 3.2.1.1 specification compared to the first preliminary TIP specification that was published on June 20, 2016.

http://www.nasdaqomx.com/transactions/technicalinformation/gcf

The version package includes HTML and XML versions of the specification and a document describing the content differences between TIP versions 3.2.0.4 and 3.2.1.1

GCF version 3.2.1 (TIP 3.2.1.1) will be available in GCF TST 2 And GCF TST4 test environments from July 20, 2016.

New in GCF 3.2.1 release:
 

Auction On Demand (AOD)

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.

New auction information covering indicative price and quantity will be available over a new “MOII” message sent over ITCH. In GCF-TIP the MOII message is mapped to the existing TIP message: NetOrderImbalanceIndicator.

Executed trades update Turnover, but do not update the Last price, High/low, Average price, VWAP or have any effect on BBO in the Lit Order Book (following the same standard of Nordic@Mid).

There is no order data for AOD.

A new Trade Type will be added to BasicDataTableEntry.

  • Value = “A”
  • Description = “Auction On Demand (AOD)”

A new CrossType is introduced and will be mapped to the TIP enum field CrossType: 5=AuctionOnDemand.

 

Auction On Demand Time Schedule

Please note that the functionality and protocol support for Auction On Demand will be implemented for GCF on September 19, 2016, but the business go-live with the Auction on Demand in trading system INET will be on November 21, 2016.

  • INET Test (NTF)/GCF TST4  – August 22, 2016
  • INET Production – November 21, 2016  (pending regulatory approval)

 

More details on Auction on Demand in Notification Published: May 23, 2016

 

Nordic Fixed Income Content

There are a number of new TIP- messages- and fields related to Nordic Fixed Income products. These messages will be included on accounts subscribing to Nordic Fixed Income Level 2 or Nordic Fixed Income TotalView. See further details in TIP specification.

 

  • BasicDataCPIValue
  • BasicDataIndexFactors
  • BasicDataBondOpeningInfo
  • BasicDataTaxRate

 

 

For further information please contact: DataProducts@nasdaq.com