IT - INET Nordic Volatility Guards in GCF - Update regarding content of OrderBookReferencePrice message (127/10)

As of Sept 27, NASDAQOMX will start a phased launch of volatility guards on its
Nordic equity markets. 

As previously announced in IT Notice 97/10, reference data specifying the
thresholds for the individual stock will be disseminated via the real time
message OrderbookReferencePrice in GCF. 

Based on customer feedback additional reference data regarding the reference
price for Static Volatility Guard will be disseminated as well - this to ensure
that receiving applications get correct start of day values for illiquid shares
where no reference price for Static Volatility Guards is established in the
opening auction. 

For clarification - the following fields of the OrderBookReferencePrice message
in GCF will be populated: 

Reference price information at startup:
ReferencePrice - containing the reference price for Static Volatility Guard
ReferencePriceDate - the date of the Reference Price for Static Volatility Guard
ReferencePriceUpperLimit - the upper price range limit
ReferencePriceLowerLimit - the lower price range limit
PriceUpdateMethode - indicates if the parameters are for Static or Dynamic VGs
	
Note!
•	ReferencePrice and ReferencePriceDate are only disseminated for Static
Volatility Guard 
•	Reference Price in the morning transmission is not adjusted for corporate
actions.In the case there is a corporate action that has impact on a reference
price based on last sale of a previous date, this has to be adjusted by the
receiving applications based on the date of the reference price. 
•	The UpdateCode field is not used and will therefore not be disseminated.

Reference price information intra day
Intraday after an auction i.e. Opening / Closing call, Trade Halt or a
triggered VG, the OrderbookReferencePrice message will be disseminated
immediately after the cross to confirm the new Static Volatility Guard
reference price. 

Note!
•	The OrderbookReferencePrice message will only be sent once after an auction,
and will never be sent following an auto matched trade. 
Test availability and supporting documentation
The added reference price information of the OrderBookReferencePrice message
will be available in INET Nordic OTF GCF4 test environment from September 17th. 

The full configuration for volatility guards has been available for testing in
INET Nordic OTF since September 6. 


If you have any questions regarding this IT Exchange Notice please do not
hesitate to contact Tech Support at: +46 8 405 64 10, operator@nasdaqomx.com 



Best regards, 

NASDAQ OMX Nordic


Please read about ongoing changes for NASDAQ OMX Nordic, on member extranet
INET Nordic Enhancements