Nasdaq Nordic is planning to introduce an Indicative Close Price (ICP) calculation for Alternative Investment Funds on Nasdaq Copenhagen A/S and Nasdaq Stockholm AB.
Nasdaq Nordic will keep the closing price process for these instruments unchanged but will complement this process by taking into use the IndicativeClosePrice (ICP) TIP-field in Genium Consolidated Feed (GCF). This field will contain a calculated Indicative close price.
Indicative Close Price will be launched in GCF production on June 12, 2017 and has been available for testing in GCF- TST2 as of May 24, 2017.
Details
INET identifiers:
Market segments impacted:
| Exchange / MIC | Segment name | Segment symbol | Seq. no | GCF ID |
| XSTO | OMX STO Alternative Investment Funds | SEEQ AIF | 204 | 774 |
| XCSE | OMX CPH Alternative Investment Funds | DKEQ OCIS | 104 | 138 |
Genium Consolidated Feed (GCF) – TIP:
In Genium Consolidated Feed, the TIP message OrderbookSummary will hold the calculated Indicative Close Price in the IndicativeClosePrice field.
As is the case currently for Investment Funds on XCSE, the indicative close price for Alternative Investment Funds will be provided where no trades eligible for closing price have been registered during the trading day. The indicative close price will be calculated as the average best bid and best offer in the order book at close, provided that an order coverage of 85% has been met and that orders are valid at closing. If a trade has occurred and there is a Last price, the old indicative price is removed. If no trade has occurred and the calculation of an indicative close price is not viable, the old Last and/or indicative price remains.
Protocol specifications
No protocol changes.
Current versions of INET protocol specifications are available at the Nasdaq Nordic Technical Information website, under INET Nordic Protocol Specifications.
Implementation schedule
Time schedule
The Indicative Close Price is planned for launch:
· GCF- TST2 – as of May 24, 2017
· GCF Production – June 12, 2017
Documentation
INET Nordic Market Model:
Market Model effective as of June 19, 2017 will reflect this addition. The current version of the Market Model can be viewed at www.nasdaqomx.com/nordicrules.
Support
For technical questions, please contact Nasdaq Cash Equity Operations:
Tel: +46 8 405 6410,
E-mail: operator@nasdaq.com
Best regards,
Nasdaq Nordic
“Nasdaq Nordic” is not a legal entity but represents the common offering by Nasdaq Copenhagen A/S, Nasdaq Helsinki Ltd, Nasdaq Iceland hf. and Nasdaq Stockholm AB
