NASDAQ OMX Derivatives Markets has discovered an unexpected matching behavior during special circumstances. The circumstances required for this unwanted behavior includes a derived order book order from a standardized combination order calculated against an outright order at BBO with the reserve condition Hidden volume. This exception can occur during regeneration of derived order book orders during aggressive matching. The consequence of the behavior is that when a derived order book order is executed and it is recalculated with the same price and quantity as before, the new refreshed volume keeps the same priority. A correction of this unwanted behavior is scheduled to be implemented on May 30, 2011. This exception to the main ranking rule will be applicable until the correction. After the implemented correction, a derived order book order will always lose its time priority when regenerated during aggressive matching.
For further information please see the attached file, or contact Mikael Siewertz +46 8 405 66 34 or Joakim Fernlund +46 8 405 73 28
