Data News Nordic #2016 – 4 Update: TIP 3.3.0 Protocol Specification


Markets Impacted:      Nasdaq Nordic and Nasdaq Baltic

Products Impacted:     Genium Consolidated Feed

What you need to know:  

We have made some additions to the TIP protocol 3.3.0 specification originally published on September 16, 2016. Full name of the updated package is gmi-3.3.0201-r6837.tipspec.tip.

Additions are:

  • New state codes in the StateCode enumeration table
  • A new field, CircuitBreaker, in the OrderbookState message

Updated version is available on GCF web page (“Future TIP version” section)

The version package includes HTML and XML versions of the specification and a document describing the content differences between TIP versions 3.2.1.2 and 3.3.0.0.
 

Further details of the release changes on Circuit Breakers and stressed market for Derivatives

As previously announced, Circuit breakers for equity- and index- derivatives will technically be implemented in GCF from November 21, 2016. As described in previous IT notice, Volatility Auction, Opening Auction Extension and Closing Auction Extension will be used for index derivatives market, and Trading Pause Static and Trading Pause Dynamic will be for single stock derivatives. The different circuit breakers will be distributed in existing orderbookstate-messages as well as a new value: “TradingPause”. Mapping of the new session states to the StateCode table will be as follow:

Session state Name Value Additional settings in OrderbookState message
VAUCT 19 AuctionPeriod -
OAUCT_E 10 OpeningAuction AuctionExtension field set to True
CAUCT_E 11 ClosingAuction AuctionExtension field set to True
PAUSE_VHS 21 TradingPause CircuitBreaker field set to 1
PAUSE_VHD 21 TradingPause CircuitBreaker field set to 2

The Auction Extension will not be used before beginning of next year and therefore it will not be possible to test the opening call and closing using auction extension for index derivatives as part of the November Release. Information will be sent out later on when the auction extension will go into production and when it will be available for testing.

The rest of the circuit breaker functionality will be activated gradually for sub-sets of products at different dates, but they will be available for testing as part of the November release. Details and the dates for activation will be communicated in an exchange notice. Detailed functional information will be included in the upcoming version of the Market Model document for which we intend to publish beginning of October, 2016.

Full implementation of Stressed market in production will not happen before next year, but the technical implementation will be done as part of the November GCF-release as communicated earlier.

 

Where can I find additional information? 

For any questions concerning the protocol specification:
E-mail:
dataproducts@nasdaq.com