Post on 17-Mar-2018
IT FORUM ’ MARCH 2017
AGENDA IT FORUM MARCH 2017
2
Cash Equity (INET)
Genium INET Impact
• Equity Derivatives
• Commodities
• API Impact
• Clearing
• Q-Port
Market Data (GCF/ITCH)
MiFID II status
Operational Member Readiness for MiFID II
• APA
• Member portal
• Order record Keeping
• Certification (incl Algos)
Nasdaq Nordic IT Forum 15-17 MAR 2016
INET NORDIC MIFID II – MEMBER MIGRATION STRATEGY
March 22, 2017
MIGRATION STRATEGY OVERVIEW (1)
Nasdaq Nordic to launch all major MiFID II protocol changes in production in stages
• Nasdaq Nordic INET FIX and OUCH Order Entry, FIX On-Exchange Trade Reporting and NLS On-Exchange trades
– New ITCH Trade ticker protocol “Nordic Equity Last Sale” (NLS) including basic MMT support launched February 20, 2017
– New FIX 5.0 Trade reporting protocol to be launched April 24, 2017 in production.
– Updated ITCH, OUCH and FIX order entry protocols including new MiFID II fields and Auction On Demand service to be launched
June 7, 2017 in production. The protocols are backward compatible since members and ISVs should be able to handle new
optional fields and messages according to Nasdaq technical standards. MiFID II validations will not be activated (e.g. Client ID)
– Latest protocols are currently available in INET NTF test environment, except Auction On Demand that will come March 20,
2017 to NTF.
• OUCH and FIX Order Entry future changes
– There are ongoing discussions within various MiFID II working groups and new FIX extension packs released from FIX Technical
Committee, which could lead to further updates to Nasdaq Order Entry protocols in a near future.
MIGRATION STRATEGY OVERVIEW (2)
Nasdaq Nordic to launch all major MiFID II protocol changes in production in stages
• Nasdaq Nordic INET optional APA
– New FIX 5.0 APA Trade publication protocol is planned to have a technical launch November 20, 2017 in production.
– APA Trade Reporting will be launched January 3, 2018 in production, available in NTF and INET M2 environment on August 21,
2017 (preliminary date)
– APA trades will be added to Nordic Equity Last Sale protocol in production preliminary from November 20, 2017, available in
NTF and INET M2 environment from August 21, 2017 (preliminary)
• On-Exchange and APA Trade Reporting will utilize the same set of FIX 5.0 ports, no need for separate ports. Current FIX 4.2
Trade Entry ports can be reconfigured to FIX 5.0 upon request
• Current FIX 4.2 Trade Reporting and ITCH for Reported Trades protocols will be decommissioned as a consequence of the
migration to the new FIX Trade Reporting protocols supporting MiFID II fields. Nasdaq is currently working on the
migration plan, will be communicated in April the latest.
MIGRATION STRATEGY OVERVIEW (3)
Nasdaq Nordic will activate MiFID II functionality in production in stages
• November 20, 2017:
– OUCH and FIX order entry new Short code fields shall be populated (Client Identification, Investment decision within Firm,
Execution within firm) and Nasdaq will validate that fields are populated according the specification, else orders will be
rejected. However, Short Code – Long Code mapping reconciliation processes will not be activated until January 3, 2018.
– FIX trade reporting migration to 5.0 completed. FIX 4.2 Trade Entry and ITCH for Reported Trades discontinued
• January 3, 2018:
– Multiple MiFID II functionalities are activated that can not be activated before (e.g. new LIS thresholds, Iceberg Orders, Tick
Size tables, Waivers etc).
– Short code – Long Code mapping and reconciliation process activated
– New FIX 5.0 APA Trade Publication launched, and APA trades will appear in NLS
TESTING OVERVIEW
Nasdaq will launch a second test environment “INET M2 Test”
• Nasdaq will stage a new MiFID II test environment “INET M2 Test” available from April 24, 2017.
– In INET M2 Test members and ISVs shall be able to test all MiFID II functionality. The functionality will be gradually built out,
starting April 24, 2017. Separate announcements on available functionality will follow.
– INET M2 Test is a single-site designed for functional and failover testing, not performance.
– The idea is that clients shall have the possibility to look at the specific MiFID II functionality being made available in a separate
test system. Features like e.g. the new LIS thresholds, Iceberg Orders, Tick Size tables etc will be made available. The Short code
Long Code mapping and Member portal services shall also be available to test (See ORK testing schedule)
– APA Trade publication will be available from August 21, 2017 (preliminary)
– By latest September 18, 2017 the M2 INET Test environment will include all MiFID II enhancements, supporting full MiFID II
testing and mandatory application certification activities during September-October 2017.
• Existing INET NTF will run in parallel
– NTF will not have the MiFID II functionality activated. Separate announcements on available functionality will follow.
ORDER ENTRY MIGRATION (OUCH/FIX/ITCH)
MiFID II EQD Project Status 8
March May July September November January
Nov 20 Order entry validation of
new fields
MiFID II Apply Wed Jan 3, 2018
Activation of
multiple
functionality
Current OUCH/FIX
New OUCH /FIX
Jun 7 release Order entry (FIX, OUCH)
Auction on Demand (AOD)
ITCH supporting AOD and MiFID II
Certification
Oct 30 Certification of OE
and ORK completed
NTF
INET M2
Apr 24, M2 test
environment
March May July September November January
MiFID II Apply Wed Jan 3, 2018
Activation of
multiple
functionality
TRADE REPORTING MIGRATION (FIX)
MiFID II EQD Project Status 9
Current FIX Trade Reporting (On-Exchange/OTC)
New FIX Trade Reporting (On-Exchange)
Certification Sep-Oct
Certification of TR
and APA
NTF
INET M2
Apr 24, M2 test and
Production launch
FIX APA
Prel. August 21, APA in NTF/INET M2
Test
Jan 3, 2018 APA launched
OTC
discontinued
Nov 20 FIX 5.0 migration
completed. Old FIX €.2
Trade Reporting
discontinued
FIX OTC
Oct 23 FIX 5.0 OTC/APA
Trade Reporting
migration period
started (tbd)
March May July September November January
Oct 23 ITCH for Reported Trades
terminated
MiFID II Apply Wed Jan 3, 2018
Activation of
multiple
functionality
Sep 18 OTC/APA trades
added to NLS (tbd)
NORDIC EQUITY LAST SALE (NLS)
MiFID II EQD Project Status 10
NLS On-Exchange Trades (Auto-Matched and Reported)
NTF
INET M2
Apr 24, M2 test
environment
Prel. August 21,
OTC/APA in INET
NTF/M2 Test
APA NLS OTC/APA Trades
Jan 3, 2018 APA trades activated
and available on NLS.
ITCH for Reported Trades
INET NORDIC AOD – AUCTION ON DEMAND
March 22, 2017
AUCTION ON DEMAND OVERVIEW
Nasdaq Nordic will launch a new market
feature, Auction On Demand (AOD), for
shares and other financial instruments in
order to complement current lit and dark
order book trading
AOD is an innovative volume discovery service
for participants who have a broad range of
execution challenges for their larger or
more sensitive orders, today done OTC or in
dark pools. AOD is based on a Periodic
auction trading model and can take place
whenever during continuous trading.
Matching is triggered on demand by
crossing pegged or limit orders
Nasdaq Nordic will launch AOD on June 7
FIX/OUCH
ITCH “MOII”-message
Available in test from March 20
http://business.nasdaq.com/auction-on-demand
12
AUCTION ON DEMAND - DETAILS
Market scope:
• Shares admitted to trading on Nasdaq Stockholm (including Norwegian shares), Copenhagen, Helsinki and Iceland
• ETFs and investment funds in Copenhagen
Trading Hours:
• Monday to Friday, during lit order book continuous trading
Access:
• FIX, OUCH and Nordic Workstation
Market data:
• ITCH and GCF-TIP market data are available. The real-time data feeds show the indicative auction price and executable quantity.
Order types:
• Pegged orders only executed at their pegged price according to the peg instruction (“at-priced”)
• Limit orders executes at or within the Primary Best Bid Offer (PBBO).
• Optional Limit Price Protection
• Time in Force: DAY, GTT
• MES protection. One opposite order needs to be equal or larger than MES, hence no aggregation or "bulking"
Document Title 13
PTP
NASDAQ PTP SERVICE @VASBY
15 Nasdaq Nordic IT Forum 15-17 MAR 2016
• MiFID II RTS 25 mandates clock synchronization at European exchanges and trading firms
• Nasdaq offers a Precision Time Protocol (PTP) service for its Nordic Co-Location customers • Customers subscribing to the service will be using the same clock source as the Nasdaq trading
systems • The service is utilizing the PTPv2 protocol to synchronize clocks to achieve nanosecond accuracy
and can be used for: • Time Synchronization • Troubleshooting • Compliance • Fine Tuning Trading Algorithms • Latency Calculations • Precision Trade Capture
• http://www.nasdaqomx.com/transactions/connectivity-services/nordic-co-location-services
• For more information please contact Richard Gaudy; richard.gaudy@nasdaq.com Phone: +46 8 405 6103
GENIUM INET 2017 ROADMAP Anders Bergström Senior Specialist Technical Relations
16
GENIUM INET ROADMAP 2017 PRODUCTION
17
June 12 Oct 27
Nov - Dec
Nov 20
Q-Port replacing CW2
Bulk upload of long codes
Genium INET 5.0.0210 MiFID II release
Genium INET 4.1.0220 release
Genium INET 4.1.0225 release May 8
2017 2018 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Feb 20
MIFID II RELEASE
18
Features
Mandatory release, all adaptions must be in place November 20, 2017.
FIX upgraded to 5.0 SP2
IT-Notices, primary channel for technical updates. http://www.nasdaqomxnordic.com/news/marketnotices/Subscribe
Technical Information web. http://www.nasdaqomx.com/transactions/technicalinformation/geniuminet/enhancements
Summary Member Impact document available mid-March, describing impact on OMnet and FIX
Draft Technical Specifications in late April.
GENIUM INET TESTING ROADMAP 2017
19
May 15 - Ext 4
Jun 15
Ext 4
Genium INET 5.0.0210 MiFID II release
Long code upload ORK
Conformance test
Genium INET 4.1.0225 May release
Q-Port clearing application Ext 1
2017 2018 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Ext 1 & 3
Oct - Dec End to End test Order Record Keeping
MIFID II RELEASE TESTING
20
Features
External test 4 as dedicated test environment, available from mid-May. Recommended to ensure connectivity and configuration prior to testing.
All OMnet and FIX changes for orders, quotes, firm order book updates, trade reports, dedicated trade information and trade ticker available from start.
Second drop in June, primarily clearing related.
Early testing recommended to meet conformance test requirements.
Draft Technical Specifications late April.
EQUITY DERIVATIVES UPDATE March 2017
Nasdaq Nordic IT Forums
AGENDA
Equity Derivatives Update - IT Forums Mar 2017 22
• Market Making
• Transparency Regime
Off-Book Trades & Waivers
OTC Trades
Post-Trade Data Flagging
• Trading Safeguards
Circuit Breakers
Pre-Trade Controls
Equity Derivatives Update - IT Forums Mar 2017 23
MARKET MAKING
STRATEGY MARKET MAKING
Equity Derivatives Update - IT Forums Mar 2017 24
• In preparation for the MiFID II transparency regime, MM obligations extended to cover quote requests in tailor-made combination series
• Applies to Swedish segment (index and single stocks)
• Soft launch 1 Jun 2017, final launch 1 Dec 2017
• MM to provide prices in the CLOB in response to RFQ, executable by all participants
• Response time – MM to respond within 20 sec
• Holding time – MM to provide two-way prices for 20 sec
• If quote is partially or executed in full before 20 sec has elapsed, holding time fulfilled
• If same TMC is re-requested, MM to provide new quote for 20 sec
QUOTE REQUESTS IN TMC Strategy Market Making
Equity Derivatives Update - IT Forums Mar 2017 25
• RFQ created automatically whenever new TMC is created
• Participants can re-request quotes using RFQ messages on OMnet or FIX
• MM receives RFQ on ITCH or OMnet
• RFQ can be one- or two-sided and may carry a quantity, indicators are for information purposes only
• A user-initiated RFQ accepted unless:
An RFQ for the series is already in progress; or
MM already providing qualifying quotes (max spread for min size)
• To prevent excessive use, an RFQ-to-order ratio will be implemented
RESPONDING TO RFQ Strategy Market Making
Equity Derivatives Update - IT Forums Mar 2017 26
• MM only required to respond to valid RFQ
• Valid RFQ – An RFQ in a TMC where all legs covered by the continuous quoting obligations (strike price and maturity matrix)
• MM to respond with two-way prices for quantity required under MM agreement
• MM can respond using quote or single order messages
• MM to respond to at least 50% of RFQs per month and underlying (floor of 10, capped at 50 and 100 for stocks and index respectively)
• Only prices provided with mass quote message subject to MM protection mechanism
• MM can update prices at all times during the required holding time
• Implied orders are not generated from mass quotes in TMCs
RECOGNISED STRATEGIES Strategy Market Making
• The strategies which can be created as TMC series will be limited to a list of recognised strategies in connection to the soft launch
• Appendix to the Genium INET Market Model document for equity derivatives
• Final list to be announced in a market notice
List of Recognised Strategies (tentative proposal):
Vertical, Horizontal and Diagonal Spreads Futures and Forwards Calendar Spreads Straddle, Strangle and Guts Risk Reversal and Synthetic 1:2 Ratio Spread Butterfly Ladder Roll Call to Vertical Call Spread Roll Put to Vertical Put Spread Iron Butterfly Call/Put Condor Condor Box Jelly Roll
Equity Derivatives Update - IT Forums Mar 2017 27
UPDATES TO QUOTES MESSAGES
Equity Derivatives Update - IT Forums Mar 2017 28
• As of 20 Feb OMnet and FIX mass quote messages support quoting several TMC and outright series together
• Mass quote message updated further with mandatory Nov upgrade
• New regulatory fields and trader ID added plus free-text/account field
• In connection to Nov upgrade legacy OMnet messages from CLICK era retired
STRESSED MARKET
Equity Derivatives Update - IT Forums Mar 2017 29
• Stressed market – new special product status code implemented on ITCH and OMnet back in Nov 2016
• Exchange declares stressed market in case of significant movements in underlying instrument
• Exchange to detail parameters to identify stressed conditions in accordance with RTS 8 ahead of Jan 2018
• With Nov 2017 release, price validations and conditions increase during stressed market:
Price limits
Circuit breaker conditions
Max quote spread
Equity Derivatives Update - IT Forums Mar 2017 30
TRANSPARENCY REGIME
OFF-BOOK TRADES UNDER MIFID II
Equity Derivatives Update - IT Forums Mar 2017 31
• Off-book trades under exchange rules to benefit from transparency waivers
• Type of off-book trades:
Block trades, including packages
Exchange for physicals
• Min block trade size set in accordance with LIS waiver
• Deferral thresholds to be aligned with regulatory floor values
• End of day deferrals kept
• Exchange rules to require strategy trades to be reported as multi-leg trade reports
• Time of agreement made mandatory (trades to be reported within 5 min)
• Block sizes and deferral thresholds available in reference data
REGISTERING ON-EXCHANGE TRADE REPORTS
Equity Derivatives Update - IT Forums Mar 2017 32
• New mandatory fields
Time of agreement
Trader ID
Trading Capacity
• Two- or one-party trade reports
Two-party reports for dealer-to-client and interdealer trades
One-party reports for matching for interbank trades without intermediary.
• Single- or multi-leg trade reports
New messages on OMnet and FIX for reporting multi-leg trades (strategies),
Both two- and one-party models supported
2 - 10 series in one message
Possible to have multiple entries for the same series (e.g. reporting index roll on 3 decimals)
NEW SET OF TRADE REPORT TYPES (ETD)
Equity Derivatives Update - IT Forums Mar 2017 33
Name Block Trade,
Standard
Block Trade,
Outside Spread
Block Trade,
Off-hours
Block Trade,
Exchange Granted
Block Trade,
Cash Contingent
Exchange For
Physical
Trade report type BT BTOS BTOH BTEG BTCC EFP
Application Price at or within
BBO at time of
registration.
Trade price is
outside current
BBO.
Used during pre-
or post-trading,
unless EFP, BTCC,
or BTEG is
applicable.
Price outside of
pre-defined
interval by
exchange, or
trade older than 5
min. Approval
required from
exchange.
Used for package
transactions
where only one
component
traded on the
exchange. E.g.
single-strike vola
trades.
Shall be used for
EFP transactions.
Minimum Block
Size
Yes Yes Yes Yes Yes No (TBC)
Trade statistics • High
• Low
• Last
• High
• Low
- - - -
CROSS TRADES IN CLOB
Equity Derivatives Update - IT Forums Mar 2017 34
• Framework with Nov release for executing cross trades in CLOB
• Exchange currently consulting members on proposed rules
• Rules apply to outright and combination series
• Tentative procedures: (Final details subject to member consultation)
Cross trade – Executed using two orders/quotes in CLOB
Cross request – Crossing must be preceded by a quote request having side set to “Cross”
Crossing order – Must be entered 3-30 seconds following the CR
CLEARING OF OTC TRADES (Pending Regulatory Approval)
Equity Derivatives Update - IT Forums Mar 2017 35
• CCP clearing of trades in standard contracts executed OTC outside exchange rules, including systematic internaliser capacity
• Clearing service providing fungibility between equivalent contracts
• Scope includes all derivatives traded on Stockholm exchange
• Same interfaces used for reporting off- and on-exchange trade reports
• Off-exchange trades reported with dedicated OTC trade report types:
“OTC” – OTC, non-disclosed
“SI” – Systematic internaliser, disclosed
“OFF” – Other OTC, disclosed
• Same open interest pool and risk model as for ETDs
• Voluntary publication of trades via Nasdaq APA
POST-TRADE DATA & FLAGGING
Equity Derivatives Update - IT Forums Mar 2017 36
• Details in public trade messages on OMnet and TIP updated in accordance with RTS 2
• The Market Model Typology (MMT) standard to be used for fulfilling the MiFID II trade flagging requirements
• Universal trade type descriptions beyond the regulatory flags
• Flags and relevant fields added to private trade confirmation messages on OMnet and FIX
• Flags and fields in efficient format on feed, protocol specs to provide information of corresponding display codes
OTHER TRANSPARENCY UPDATES
Equity Derivatives Update - IT Forums Mar 2017 37
• Reserve orders – min value check introduced
• Market-by-level detail – the number of orders per price level added to MBL messages on OMnet and TIP
Equity Derivatives Update - IT Forums Mar 2017 38
TRADING SAFEGUARDS
CIRCUIT BREAKERS
Equity Derivatives Update - IT Forums Mar 2017 39
• Circuit breakers introduced in connection with Genium INET Feb 2017 upgrade
• Includes mechanisms for shifting trading mode to auction, pausing trading or extending an auction period
• Circuit breakers active for:
OMXS30 index derivatives
All single-stock derivatives
• Updates during 2017:
Auction extension mechanism active for OMXS30 futures as of 6 March
MM quotes automatically cancelled with May 2017 release
Circuit breakers to be introduced for other index derivatives in Nov 2017
PRE-TRADE CONTROLS
Equity Derivatives Update - IT Forums Mar 2017 40
• One-sided price limits – Limits on aggressive side during continuous matching
• Two-sided limits – active during OMXS30 futures auction from Nov 2016
• Updates during 2017:
Price limits on passive side during continuous matching (“asymmetric two-sided limits”)
Theoretical reference prices (Nov)
Volume and value limits per product type (Nov)
COMMODITIES DERIVATIVES UPDATE
Nasdaq Nordic IT Forum London
AGENDA
Commodity Derivatives Update - IT Forums Mar 2017 42
• Market Making
• Transparency Regime
Off-Book Trades & Waivers
OTC Trades
Post-Trade Data Flagging
• Trading Safeguards
Circuit Breakers
Pre-Trade Controls
• Commodities Position limits and Reporting
Commodity Derivatives Update - IT Forums Mar 2017 43
MARKET MAKING
UPDATES TO QUOTE MESSAGES
Commodity Derivatives Update - IT Forums Mar 2017 44
• As of 20 Feb OMnet (MO96) and FIX mass quote messages support quoting several outright series including combinations together
• Mass quote message to be updated further with mandatory Nov upgrade
• New regulatory fields and Trader ID added plus free-text/account field
• In connection to Nov upgrade legacy OMnet messages from CLICK era retired
Quote transactions MO36, MO37
STRESSED MARKET
Commodity Derivatives Update - IT Forums Mar 2017 45
• Stressed market – new special product status code implemented on ITCH and OMnet back in Nov 2016
• Exchange declares stressed market in case of significant movements in underlying instrument
• Exchange to detail parameters to identify stressed conditions in accordance with RTS 8 ahead of Jan 2018
• With Nov 2017 release, price validations and conditions increase during stressed market:
Price limits
Circuit breaker conditions
Max quote spread for MM
Commodity Derivatives Update - IT Forums Mar 2017 46
TRADING SAFEGUARDS
CIRCUIT BREAKERS
Commodity Derivatives Update - IT Forums Mar 2017 47
• Circuit breakers to be introduced in connection with Genium INET Nov 2017 upgrade
• Includes mechanisms for shifting trading mode to auction, pausing trading or extending an auction period
• Circuit breakers are currently not active for Commodities derivatives
• Updates during 2017:
All changes Nov 2017
PRE-TRADE CONTROLS
Commodity Derivatives Update - IT Forums Mar 2017 48
• Updates during 2017:
Two-sided limits – active for all Commodities futures from Nov 2017
Asymmetric two-sided limits
Reference prices
o Last Paid
o BBO
o Margin price
Volume and value limits per product type
Commodity Derivatives Update - IT Forums Mar 2017 49
TRANSPARENCY REGIME
OFF-BOOK TRADES UNDER MIFID II
Commodity Derivatives Update - IT Forums Mar 2017 50
• Off-book trades under exchange rules to benefit from transparency waivers
• Type of off-book exchange trades:
Block trades, including packages
EFP/EFS
• Waivers
Min block trade size set in accordance with LIS waiver for liquid series
No block size limit for illiquid series
No block size limit for NIF-NIF* trade reports
Exchange rules to require strategy trades
to be reported as multi-leg trade reports
• Time of agreement made mandatory (trades to be reported within 15 min)
• End of day deferrals kept (Freight)
• Block sizes and deferral thresholds available in reference data
*Non-Investment-Firm, e.g. Utility
REGISTERING ON-EXCHANGE TRADE REPORTS
Commodity Derivatives Update - IT Forums Mar 2017 51
• New mandatory fields
Time of Agreement
Trader ID
Trading Capacity
• One or two-party trade reports
• Single- or multi-leg trade reports
New messages on OMnet and FIX for reporting multi-leg trades (strategies)
2 - 10 series in one message
NEW SET OF TRADE REPORT TYPES (ETD)
Commodity Derivatives Update - IT Forums Mar 2017 52
Name Block Standard Block, Outside
spread
Block – Non-
financial
counterparty
Block Trade,
Exchange
Granted
Exchange for
Swap and
Options
(EFS/EOO)
Exchange For
Physical
Trade report
type
BT BTOS New BTEG
New
04 EFP
New
Application Price at or
within BBO at
time of
registration.
Trade price is
outside current
BBO.
Matching
between two
Non-
Investment
Firms
Price outside of
pre-defined
interval by
exchange, or
trade older
than 15 min.
Approval
required from
exchange.
Used for
package
transactions
where only one
component
traded on the
exchange. E.g.
single-strike
vola trades.
Shall be used
for EFP
transactions.
Minimum Block
Size
Yes* Yes* No Yes* No** No**
*No, if iliquid market and/or package transaction ** information on physical, swap or option trade should be available if exchange needs it
LIS VALUES
Commodity Derivatives Update - IT Forums Mar 2017 53
‘De minimis’ LIS Values
Sub-asset class LIS (€)
Commodity Derivatives
Metal Comodity Futures/Forwards 500,000
Metal Commodity Options 500,000
Energy Comodity Futures/Forwards 500,000
Energy Commodity Options 500,000
Agricultural Comodity Futures/Forwards 500,000
Agricultural Commodity Options 500,000
Other Commodity Derivatives 500,000
C10 Derivatives
Freight Derivatives 50,000
Other C10 Derivatives 50,000
• Nasdaq will convert LIS thresholds into fixed number of contracts and maintain LIS values for the following 12 months
CROSS TRADES IN CLOB
Commodity Derivatives Update - IT Forums Mar 2017 54
• Means to facilitate pre-trade transparency for sub-LIS trades
• Framework with Nov release for executing cross trades in CLOB
• Rules apply to outright and combination series
• Tentative procedures:
Cross trade – Executed using two orders/quotes in CLOB
Cross request ‘RFC’ – Crossing must be preceded by a quote request having side set to “Cross”
Crossing order – Must be entered 3-30 seconds following the CR
CLEARING OF OTC TRADES (Pending Regulatory Approval)
Commodity Derivatives Update - IT Forums Mar 2017 55
• CCP clearing of trades in standard contracts executed OTC outside exchange rules, including systematic internaliser capacity
• Clearing service providing fungibility between equivalent contracts
• Scope includes all Commodities derivatives traded on Oslo and Stockholm exchange
• Same interfaces used for reporting off- and on-exchange trade reports
• Off-exchange trades reported with dedicated OTC trade report types:
“OTC” – OTC, non-disclosed
“SI” – Systematic internaliser, disclosed
“OFF” – Other OTC, disclosed
• Same open interest pool and risk model as for ETDs
• Voluntary publication of trades via Nasdaq APA
…Re-launch of what was offered until 2013 before Futurisation of Block Trading.
POST-TRADE DATA & FLAGGING
Commodity Derivatives Update - IT Forums Mar 2017 56
• Details in public trade messages on OMnet and TIP updated in accordance with RTS 2
• The Market Model Typology (MMT) standard to be used for fulfilling the MiFID II trade flagging requirements
• Universal trade type descriptions beyond the regulatory flags
• Flags and relevant fields added to private trade confirmation messages on OMnet and FIX
• Flags and fields in efficient format on feed, protocol specs to provide information of corresponding display codes
OTHER TRANSPARENCY UPDATES
Commodity Derivatives Update - IT Forums Mar 2017 58
• Reserve orders – min value check 10k EUR introduced
Iceberg
Stop-loss
• Market-by-level detail – the number of orders per price level added to MBL messages on OMnet and TIP
Commodity Derivatives Update - IT Forums Mar 2017 59
COMMODITIES POSITION LIMITS AND REPORTING
COMMODITIES POSITION REPORTING WORKFLOW
Commodity Derivatives Update - IT Forums Mar 2017 60
ESMA FTP
Track
Finanstilsynet NO FTP Finansinspektionen SE FTP
Web service upload of position data from member
Weekly report for Nasdaq Exchange SE + NO
Daily report for members
Possible daily report for members
Manual upload of file in Track GUI
DAILY REPORTING
Commodity Derivatives Update - IT Forums Mar 2017 61
• Members to provide file on daily basis - Based on ’TRACK’ solution in place for REMIT and EMIR reporting
• Fields to be gathered are as per ITS 4, enrichment by TV based on instrument reference data and Member profile in ’TRACK’
• Fields to be provided by Member, inter alia
Position Holder ID
Position quantity
Short/Long
Risk reducing
Contract name
• File upload (.csv), can be automated via webservice
• Automated service - will be offered for Members (NIF and IF without complex client structures) which will allow for automatic reporting of positions as with CCP
TRANSACTION REPORTING
Commodity Derivatives Update - IT Forums Mar 2017 62
• Related topic to position limits and reporting
• RTS 22: Commodities hedging indicator field ’64’
• At order entry
FIX
OMnet
o Risk reducing indicator for MIFID reporting
o Default value - ’false’
• Modification possible in ’TRACK’ T+1
QUESTIONS?
Commodity Derivatives Update - IT Forums Mar 2017 63
• Please contact us directly!
• Commodities.mifid2@nasdaq.com
GENIUM INET MIFID II RELEASE (5.0.0210) OMNET AND FIX CHANGES
64
Olivier Démoulin – Lead Business Analyst
TECHNICAL CHANGES TO ENSURE MIFID II COMPLIANCE
65
OMnet API Mandatory changes affecting transactions for orders, quotes, firm order book updates, trade reports, dedicated trade information and trade ticker. Replaced Transactions:
• Quote transactions MO36 and MO37 are discontinued and full support is now
offered by enhanced MO96 (Mass Quote).
• MO77 (Combination Trade Report) is discontinued and replaced by new
multileg trade report transactions (one-party and two-party; will allow up to
10 legs).
TECHNICAL CHANGES TO ENSURE MIFID II COMPLIANCE
66
FIX Version • FIX 5.0 SP2
• EP 206 – Clock Synchronization Datatype Enhancement (timestamps
granularity)
• EP 216 – MMT v3 Support
• EP 222 – MiFID II and MiFIR Extensions
Mandatory updates to:
• Party Role (Party role 12 – Executing Trader - was previously used for the On
behalf user, now it corresponds to “Execution within firm”)
• NewOrderSingle(MsgType=D), NewOrderList(MsgType=E),
MassQuote(MsgType=I), inbound TradeCaptureReport(MsgType=AE)
Details to be published in API impact documents for OMnet and FIX.
ORDER ENTRY/MASS QUOTES
67
Extra Fields at order entry: • Client identification code (Short code)
• Investment decision within firm (Short code)
• Execution within firm (Short code)
• Trader ID (6 chars)
• Commodities risk reducing indicator
• Order Capacity, Liquidity Provision
Extra Fields for Mass Quotes:
• Investment decision within firm (Short code)
• Execution within firm (Short code)
• Trader ID (6 chars)
• Free-text/account field
TRADE REPORT ENTRY
68
Extra Field at Trade Report entry: • Trader ID (6 chars)
• Client identification code (Short code)
• Investment decision within firm (Short code)
• Execution within firm (Short code)
• Commodities risk reducing indicator
• Capacity
• Benchmark transaction flag (BENC)
• Agency Cross transaction flag (ACTX)
New one-party and two-party multileg transactions (up to 10 legs).
EXECUTION REPORTS
69
MIFID II information on Execution Reports/Firm Order Book Updates: • Client identification code (Short code)
• Investment decision within firm (Short code)
• Execution within firm (Short code)
• Trader ID (6 chars)
• Commodities risk reducing indicator
• DEA-flag
• Order Capacity, Liquidity Provision
• FIX: TransactTime(60) in nanos
Circuit breaker trigger info:
• Information to the user whose order or quote triggers a circuit breaker.
TRADE CONFIRMATIONS
70
MIFID II and MMT v3 information on Trade Capture Report confirmations/Dedicated Trade Information:
• Client identification code (Short code), Investment decision within firm (Short
code), Execution within firm (Short code)
• Trader ID (6 chars)
• Commodities risk reducing indicator, DEA-flag
• Order Capacity, Liquidity Provision
• Venue of execution (MIC code, XOFF, SINT)
• Market Mechanism (CLOB, Off-market)
• Trading Mode (Opening/Closing/Unscheduled Auction, Continuous trading,
Out of main session trading, Trade Reporting On Exchange/Off
Exchange/SINT)
• MMT Transaction Category (TPAC, XFPH), Agency Cross Trade Indicator (ACTX),
Benchmark Trade Indicator (BENC)
• Post-trade Deferral Reason (LRGS, ILQD, SIZE)
• Amendment/Cancel Flag
PUBLIC TRADE TICKER
71
Extra information on Public Trade Ticker: • Venue of execution (MIC code, XOFF, SINT)
• Notional Amount
Information sent in MMT efficient format:
• Market Mechanism (CLOB, Off-market)
• Trading Mode (Opening/Closing/Unscheduled Auction, Continuous trading,
Out of main session trading, Trade Reporting On Exchange/Off
Exchange/SINT)
• MMT Transaction Category (TPAC, XFPH), Agency Cross Trade Indicator (ACTX),
Benchmark Trade Indicator (BENC)
• Post-trade Deferral Reason (LRGS, ILQD, SIZE)
• Amendment/Cancel Flag
NASDAQ CLEARING MIFID II CHANGES
CLEARING ISSUES
RTS xx Indirect Clearing
• Indirect clients must be segregated
from direct clients, also at CCP
RTS 26 Straight-through-processing
• Pre-trade checks at trading venue • Straight-through processing • Timeframes for clearing
Nasdaq Clearing 73
INDIRECT CLEARING
• Protection of client’s client
• Included in both EMIR and MiFID II
• Should offer equivalent protection to EMIR direct clients
• New RTS text, for both EMIR and MiFID
Account segregation in CCPs
Nasdaq Clearing 74
Nasdaq Clearing
IMPACT ON DAILY OPERATIONS
75
ONBOARDING PROCESS
Members to inform us about requirements to segregate indirect clients from direct clients
Member to fill out form for new account(s)
We will set up new accounts as requested
Timing: Autumn 2017
Nasdaq Clearing 76
RTS26 – STRAIGHT-THROUGH-PROCESSING
Bilateral trades
• Trade must be reported within 30 min • CCP to pass on info within 60 sec • Clearing broker must accept/reject trade within 60 sec • CCP must accept/reject trade within 10 sec
CCP Clearing member
CCP
Nasdaq Clearing 77
30 min 60 sec 60 sec 10 sec Trade
execution Trade
cleared
Nasdaq Clearing 78
ETD VS OTC – NASDAQ PRODUCTS FUTURE SET UP
ETD – Nasdaq
Clearing house
OTC External venue Fishpool
Pre Novation + Affirmation
Order book
• EQ - Equity derivatives
• EQ - Index derivatives
• COM - Power derivatives
• COM - CO2 derivatives
• COM - Gas derivatives
• COM - Freight derivatives
• COM - Iron Ore
• COM - Coal derivatives
• COM - Steel derivatives
• COM - Renewables
Block
• EQ - Equity derivatives
• EQ - Index derivatives
• COM - Power derivatives
• COM - CO2 derivatives
• COM - Gas derivatives
• COM - Freight derivatives
• COM - Iron Ore
• COM - Coal derivatives
• COM - Steel derivatives
• COM – Renewables
• FI – Short Term
• FI – Long term
OTC rates
• FI - IRS
• FI - OIS
• FI – TM-FRA
ETD
• COM - Seafood derivatives
OTC
• EQ - Equity derivatives flex
• EQ - Index derivatives flex
• EQ – Standardised OTC
• (all eq + index)
• COM – Standardised OTC
• FI – Short term
• FI – Long term
CHANGES AT NASDAQ CLEARING
For trades subject to pre-novation:
• Remove ”pending” state in pre-novation
• Trades will be rejected if there is insufficient collateral
• Message will include details on collateral deficit
Provide ”time-of-trade” for bilateral trades
• Extract time from e.g. MarkitWire, pass on to clearing system and provide to clearing broker
Removal of pre-novation for seafood
Direct debit for intraday margin calls
• If member has chosen cash as default
• Direct debit in base currency 15 minutes after IDMC
• If member has chosen securities as default
• Direct debit after 60 minutes, if there is still a deficit
• Still 90 minutes to meet IDMC!
Nasdaq Clearing 79
Document Title 80
Q-PORT THE NEXT GENERATION CLEARING INTERFACE
CLEARING WORKSTATION REPLACEMENT
Q-Port
CLEARING WORKSTATION
1
CLEARING WORKSTATION
2
SOME BENEFITS WITH THE NEW CLEARING INTERFACE
• Supports the clients’ business processes by dynamically combining multiple related views (such as trades and positions)
• Improved trade reporting, based on NFX’s highly appreciated block broker interface
• Next generation margin simulation tool, supporting multi-asset simulation of real-time portfolios and prices
• Event-driven interface, the application automatically informs the user about pending actions and important information based on the user’s preferences
• Auto-complete searches and multiple ways to filter searches
Q-Port - CW Replacement 82
CLEARING WORKSTATION 2 ROLLOUT TIMELINE
Start End Activity Comment
Mid April Test EXT1 External test environment EXT1
Mid May Test EXT4 External test environment EXT4 supporting MIFID II
Mid May June 9th Production connectivity verification
Possibility to verify connectivity and enroll to 2FA over Internet for the production environment
June 12th Q-Port Go-live Access over Extranet and Internet (2FA)
October 27th Last day for onboarding
Planned last date for CW2
Document Title 83
CONNECTIVITY AND ACCESS
• Fully web browser based = no installation required
• Chrome and Internet Explorer supported
• Access via Internet logon with 2FA
or leased line
Document Title 84
ONBOARDING
Document Title 85
CW2
Q-Port
• Existing Clearing Workstation 2 users will be cloned
• Same user ID and password
• Users accessing via Internet need to enroll to the new 2FA solution
USERS IT ADMINISTRATORS TESTING
Need to review:
• Supported 2FA methods
• New IPs and certificates for Extranet connectivity
• Technical information will be available on our website and through IT notices
• Q-Port is available in test from mid April
• Production launch 12 June
• It’s possible to run Q-Port in parallel with CW2 in production throughout the onboarding period
SUPPORTED TWO-FACTOR AUTHENTICATION METHODS
Document Title 86
Smartphone App
Voice callback
Existing SafeNet app or browser
plugin for CMS Web,
Track and NFM
MARKET DATA, 2017 ROADMAP
GCF RELEASES 2017
88
Focus on MiFID II issues (handled in several releases)
2 TIP releases
Schedule-wise aligned with Genium INET releases
2 Service releases
System internal changes & bug fixes
Changes with customer impact outside releases
Migration of Baltic FI data from INET to GITS, May 15
Migration of Stockholm Convertibles from INET to GITS, October 30
Auction on Demand launch, June 7
PRODUCT CHANGES
89
New Pre- and Post trade products
Additional to existing product offering
Core order/trade information i.e.
no statistical or added-value items
Existing products and features will remain
Detailed announcement in May, 2017
Further disaggregation will be available on demand
GCF ROADMAP 2017 1/2
90
GCF - Release 3.4
May 8
Jan Feb Mar Apr May Jun
INET – Auction on Demand,
Order Entry (optional
fields)
June 7
GITS release
May 8
GCF - Internal SR
Feb 20
Baltic FI data migration
May 15 AoD -> conf changes
June 7
GCF - SR 3.3.1
April 3
INET – NLS / MMT
Feb 20
GITS release
Feb 20
TECHNICAL ROADMAP 2017 2/2
91
GCF – SR 3.4.1 (optional)
Date TBD
Jul Aug Sep Oct Nov Dec
GCF – Release 3.5
Nov 20
INET – Reference data,
Order Entry (mandatory fields)
Nov 20
GITS release
Nov 20
FDS – PW renewal
Date TBD
Convertibles migration
Oct 30
GCF 3.3.1 (SR2)
92
Production April 3, 2017
TST3 March 1, 2017
Service release
Corrections
New Fixed Income valuation data
BondAnalytics (BAn) additional fields will be introduced
FairValue (MFv)
FairValueSpread (MFs)
FairValueRanking (MFr)
GCF 3.4
93
Production May 8, 2017
TST2, April 4
Release content
GITS refinements
New technical source: INET Nordic Last Sale ticker feed (NLS)
Full data migration in 3.5
Auction On Demand (launch June 7)
Minor TIP changes
Coupon interest
OMXS30 Indicator
TIP specification clean-up (redundant fields removed)
All basic data related changes take place in FDS files following the same schedule
GCF 3.5 EARLY INFORMATION, SUBJECT TO CHANGES
94
Production Nov 20, 2017
Test details not available yet
Release content (remaining MiFID issues)
INET
APA
LIS & Iceberg orders
Additional reference data
Trading @ Close Price
GITS
Additional reference data
Nbr of orders in MBL feed
TBD: Post-trade information, deferred publication etc
FDS files will be changed accordingly
OTHER
95
File Delivery Service (FDS) password renewal 2017
New ones sent to contacts in August
Change will take place in late September
Q & A
GENERAL MIFID II UPDATES
96
WHERE TO GET MIFID II INFORMATION
97
Subscribe: Newsletters http://business.nasdaq.com/trade/rules-and-regulations/mifid-II
IT Notices: http://www.nasdaqomx.com/transactions/technicalinformation
WHERE TO GET MIFID II INFORMATION
98
Questions? MiFID2.QA@nasdaq.com
MIFID II: NASDAQ UPDATES
99
New solutions Auction on Demand APA ARM Request for Quotes Position Limits Reporting Etc.
March May July Sept Nov Jan 18
MiFID II
Applies Wed Jan 3,
2018
Rulebooks First draft
Rulebooks Second draft
Seminars Webinars May/June
Scope for Nasdaq Eight trading venues One Investment Firm Four CSDs Supervised by eight national FSAs
Rulebooks Some of the MIFID II-related system updates may cause changes to the rulebooks earlier than January 2018. Members will be informed through the ordinary channels.
APPROVED PUBLICATION ARRANGEMENT
NASDAQ APA
•NASDAQ will apply to become authorized as an APA in Sweden some time during 2017 •This APA will service all European clients with ONE APA service offering •Clients will be able to publish trade reports in all securities covered by the OTC trade publication requirement, i.e. trades in all listed
Equities and equity-like instruments
Bonds
Fixed income derivatives
Equity derivatives
Commodities
FX derivatives
•Opening hours 08-22 CET
TRADE REPORTING
INET
• The core of the APA trade reporting system is the current OTC publication engine in INET
• Trades are to be reported to the APA via FIX
• APA FIX protocol specification is an extended version from the on-exchange manual trade reporting protocol
• Same trade entry port can be used both for on-exchange trade reporting and APA trade
reporting
Genium INET
• To avoid double reporting of trades also to be cleared with Nasdaq Clearing, we also offer these transactions to be APA published in the same clearing transaction
• Trades reported via OMnet
VALIDATIONS
RTS 13, article 10
An APA shall set up and maintain appropriate arrangements to identify on receipt trade reports that are incomplete or contain information that is likely to be erroneous.
These arrangements shall include automated price and volume alerts, taking into account:
(a) the sector and the segment in which the financial instrument is traded;
(b) liquidity levels, including historical trading levels;
(c) appropriate price and volume benchmarks;
(d) if needed, other parameters according to the characteristics of the financial instrument.
Asset Class Deviation allowed
Volume allowed Liquid Illiquid
Equities 10% 40% €100 mill.
Bonds 2% 25% €500 mill.
Equity Derivatives
5% 40% …
Commodity Derivatives
2% … …
… … … …
• All incoming OTC trades will be validated prior to publication
• Trade price will be validated against a reference price
• The reference price is the most recent closing price registered
• Reference prices for Nasdaq listed securities will be sourced from exchange data
• For non-Nasdaq listed securities reported trade prices will be stored and used as reference prices
DEFERRALS
Rules
• Local competent authorities (CA) can grant use of deferred publication for certain trades
• For OTC trades to be published via the APA, the relevant CA is the CA for the investment firm
sending the trade report • Normally the deferral will be T +
2 days before 19:00 CET but in
certain situations the CA can grant a deferral of up to 4 weeks
APA support • The APA will support the use of
deferrals
• When sending trades to the APA for publication the investment firm can assign a ”publication date and time” to the trade
• The trade will not be published until the assigned time and date
• Limited validations in place but it is the investment firms own responsibility to ensure a relevant deferral is applicable
PUBLICATION
• The APA uses the same publication infrastructure as Nasdaq exchanges ensuring global reach
• Trades reported to the APA is published via • NLS (trades reported via INET)
• TIP (all)
• OMnet (trades reported via Genium
INET)
• APA trades are available separatly in data feed
TIP
OMnet
NLS
APA INFRASTRUCTURE
INET
(Validations)
Genium INET
(Validations)
Member A
All trades - All asset classes - All EU countries
GMI
Derivatives Certain derivatives reported for clearing will also be published under APA rules
Publication
FIX
OMnet
TIP
NLS Publication
OMnet Publication
SI QUOTES
The APA set-up will NOT include publication of SI quotes Instead, Nasdaq will offer to publish SI quotes in Genium INET for exchange markets
Quotes will not be executable
Only Nasdaq listed securities in Genium INET
SI quotes in INET (equities) under consideration
Contact Nicolai Dahl Wallin Associate Vice President
Nordic Fixed Income
Tel: +45 20 31 59 46
Email: nicolai.wallin@nasdaq.com
MIFID II MEMBER READINESS
109
INTRODUCING THE NASDAQ MEMBER PORTAL
Simplicity and Control Submit and track online requests
Manage INET and Genium INET connections
Verify membership configurations
Manage Traders and IDs
Download inventory lists
Access multiple memberships
Administrator role
Always up to date
Reliable and secure
24/7 PC and mobile access
Flexible Access Through One User Login
How to get registered? Visit http://business.nasdaq.com/memberportal, or contact us at Members: memberportal@nasdaq.com ISV’s: technicalrelations@nasdaq.com
110
MIFID II AND THE MEMBER PORTAL
111
‘Self-Certification’ functionalities: Required Actions, Notifications and Counter-signing Timelines Use of the member portal will become mandatory
for members during 2017 MiFID II activities in the Member Portal will start in
Q2 Record Keeping:
• the functionality to upload short codes mapping values will be available for basic testing in Q2.
• Other more advanced functionalities will be available for testing in Q3.
Deadlines Several activities will have a deadlines as they will
trigger additional activities: Investment Firm status, Indirect Clearing, etc.
List of activities planned for the Member Portal
Registration of LEI
Registration of MiFID Investment firm status
Short code administration for MiFID II Order Record Keeping: testing and upload/ registration of long codes
Mandatory conformance testing
Algorithm certification
Creation of new accounts for Indirect Clearing clients
Confirmation of Direct Electronic Access
Management of Trader ID’s
Annual member due diligence: self-certification of compliance with the rules of the trading venues
Non-financial entity with right to use the risk-reduction exemption (Non-Financial Commodities members only)
112
MIFID II MEMBER READINESS
Nasdaq MiFID II member readiness dashboard
The launch of the dashboard is planned for the end of Q2. Actual MiFID II Member Readiness activities may start earlier. For presentation use only: the information is subject to change, and additional activities may be added. Actual dashboard may be different.
ORDER RECORD KEEPING
113
ORDER RECORD KEEPING
114
Requirement
Under RTS 24 and MiFID II Article 25, a trading venue has to keep a database of all order records, session changes, changes to the indicative prices and volumes during auctions, for a minimum of 5 years.
Short codes
Introduction of short codes on order entry, to prevent full text with sensitive data supplied with order. Long codes to be provided separately, at the latest by the end of the trading day
Industry solution
Nasdaq is working with industry associations and changes to our solution may be introduced to conform to the generally accepted practice.
Scope
Order Record Keeping will affect all markets trading on INET and Genium INET
TIMEPLAN
115
Jan
June – Jan. 3, 2018
Oct– Jan. 3, 2018
Nov-Dec
Test of Upload of long codes
End-to-end testing
Bulk upload of long codes
Test of Order Entry on INET
Test of Order Entry on Genium INET External Test System 4: Mid May – Jan 3, 2018
2017 2018 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Currently in NTF, from April 24, testing in INET MiFID II Test
ORDER RECORD KEEPING
116
New API Fields
Client Identification Code – Short code corresponding to LEI, National ID, AGGR or PNAL. (Mandatory if Order Capacity = AOTC or MTCH)
Execution within Firm – Short code corresponding to National ID or algorithm id. (Mandatory)
Investment Decision within Firm – Short code corresponding to National ID or algorithm id. (Not mandatory. If left blank AND Order Capacity=DEAL Value from ’Execution within Firm’ will be used as default)
New API fields Testing Production Mandatory
INET (new API fields) Currently in test June 7 Nov 20 (tent.)
Genium INET (new API fields) May in EXT4 Nov 20 Nov 20 (tent.)
Updates of current API field
Order Capacity – becomes mandatory to populate for all markets in Genium INET
ORDER RECORD KEEPING ORDER ENTRY
117
Using short codes on order entry
4 byte (231) integer short codes to represent LEI, persons and algorithms, permitting values between 0 and 2,147,483,647 (subject to change based on industry agreed market practice)
• 0, 1 and 2 reserved for NONE, AGGR and PNAL, respectively
Two short code series: • one for “clients” • one for “decision makers” In the mapping to long codes, participants are required to state if a client code refers to an “entity” or “person”, and for decision maker code if it refers to a “person” or “algo”.
Short codes can be shared across INET and Genium INET
Short codes can be assigned an effective and end date
Nasdaq trading applications: ability for members to upload aliases to create individual names on short code (to improve manual order entries).
ORDER RECORD KEEPING UPLOAD OF LONG CODES
118
Upload of long codes Published specs
Testing Production
Member Portal Rest API March June Nov-Dec
File upload May August Nov-Dec
Member Portal May June Nov-Dec
Features
3 ways to upload long codes: API, Member Portal and supplied file
Web based REST API – ability to add, edit, verify and delete mapping details and to get list of unmapped short codes. 2-Factor authentication
CSV files – upload of CSV files with mapping details, either via SFTP or the Member Portal (TBD)
Member Portal GUI: ability to view, add, edit, delete and export mapping of clients and decision makers. 2-Factor authentication
Safe and secure solution
ORDER RECORD KEEPING
119
Readiness activity for members using mass quotes (for Genium INET)
Short code values will be needed for members using mass quotes • for reference data configurations (fixed values on user level) Why? Otherwise, ‘Execution decision within firm’ field will left blank and order rejected.
Additional features
• Reconciliation process: ability for member to view a reconciliation report in the Member Portal GUI and the API
• Ability to centralize short code administration across memberships in MP
Member activities
Initial bulk upload of all long codes prior to January 3rd 2018 is recommended
Nasdaq expects all members to have tested short code administration
After go-live: delta to be provided every day for the new short codes used
TRADER ID GENIUM INET
120
121
Requirement
To ensure that individual exchange traders can be suspended (RTS 7, Article 18)
Which markets?
Trader IDs will be introduced in Genium INET for Derivatives and Commodities markets
Cash Fixed Income: personal user accounts are already in place and the API field can be left blank
No technical API changes for INET since Trader IDs are already in use
TRADER ID NEW API FIELD IN GENIUM INET
TRADER ID NEW API FIELD IN GENIUM INET
122
Summary
All authorized exchange traders for Derivatives and Commodities will be assigned a personal Trader ID.
Dedicated IDs to be assigned for specific order flows: Algo, Sponsored Access, DMA, Routing (non-DMA)
Trader ID to be included in orders and on-exchange trade reports, validated by exchange upon entry.
Exchange provided front-end user accounts (TW, CW and Q-Port ) can be configured with a default Trader ID, automatically submitted with orders and trade reports.
New API fields Published Specs Testing Production Mandatory
Genium INET (new API field)
Late April May in EXT4 Nov 20 TBD
TRADER ID MEMBER ACTIVITIES
123
Reconciliation of registered trader lists in Nasdaq Member Portal for Nasdaq Derivatives and Commodities markets members
1. Verify that Nasdaq’s records of registered traders cover all individuals of the member firm
2. For traders unregistered with the exchange, there will not be IDs assigned, which will prevent the ability to trade when the validation is enabled.
3. Unregistered traders will need to be registered. 4. Reconciliation of trader lists can be done already now in Member Portal.
Application for exchange registration of traders:
• Derivatives members must complete an online exam before being eligible for registration.
• Authorization of unregistered traders should commence as soon as possible. • Registration of new traders can be done through the Member Portal
TRADER ID MEMBER ACTIVITIES
124
Populating IDs in Trading systems
Complete lists of Trader IDs will be available after the November release, when IDs have been configured in Genium INET backend.
Members will need the complete list of Trader IDs for their registered traders, in order to get the IDs populated in their trading systems. This list will be available either in the Member Portal or may be distributed by Nasdaq.
Non-personal Trader IDs
Notify Nasdaq of the member firm’s requirements for additional, non-personal Trader ID’s (Algo, DMA, Routing).
DIRECT ELECTRONIC ACCESS
125
DIRECT ELECTRONIC ACCESS
126
Features
No new order field introduced. Nasdaq will automatically populate the DEA field for MiFID II order record keeping, based on the type of Trader ID used.
Dedicated Trader IDs must be used for DMA and Sponsored Access respectively, as is already the case on the Cash Equity markets in INET.
INET: Existing AOR (routing) users will be regarded as non-DMA by default. Instead, a new DMA ID type will be introduced in addition to Sponsored Access and Routing. Any existing AOR users can be re-tagged as DMA without any technical impact on members. Actual ID will be unchanged and remain active.
Genium INET: New trader ID types are introduced for Sponsored Access and DMA respectively as part of the general Trader ID initiative. Automatically routed client flow not classified as DMA will have a separate ID type: Routing.
Sponsored Access (both platforms): The use of Sponsored Access is subject to Nasdaq’s authorization on a client-by-client basis, as is the case today. SA providers shall pre-register a persistent short code for the SA client which will be subject to validation at order entry.
DIRECT ELECTRONIC ACCESS
127
Member Activities
All Genium INET members: Notify Nasdaq of the member firm’s requirements for DMA Trader ID’s (and IDs for ‘non-DMA’ routing).
INET members with AOR users: Notify Nasdaq if any existing AOR users should be retagged as ‘DMA’
Existing Sponsored Access providers: • Confirm compliance with any new or updated rules requirement concerning SA, and
notify Nasdaq of the persistent Client short code that you have assigned for each SA client (corresponding to the client’s LEI).
• Ensure that your SA clients will conduct mandatory conformance testing of any in-house trading application connected to Nasdaq’s trading systems.
CONFORMANCE TESTING AND ALGO CERTIFICATION
128
TIMELINE
129 Conformance testing | RTS 7 art 9 | RTS 6 art 6
2017 2018 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
External Test System 4: May – Nov 17
Sept 1- Oct 31
Now – April 30
UAT INET
UAT Genium INET
Member self- certification
Member portal onboarding
INET & Genium INET Genium INET Only
INET Only
Continuous certification
Application Conformance tests
INET M2 Test April 24- Jan
Algorithms certification
Aug 28 – Sept 29
APPLICATION CONFORMANCE TESTING
28 Conformance testing | RTS 7 art 9 | RTS 6 art 6
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec 2017 2018 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Aug 28 – Sept 29 Application Conformance tests
Application Conformance Test
• New conformance test scenarios • New fields to OMnet, FIX & OUCH • Market data loss scenario • Appointed timeslots for application conformance test.
MEMBER PORTAL / SELF-CERTIFICATION
131 Conformance testing | RTS 7 art 9 | RTS 6 art 6
2017 2018 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Now – April 30 Member portal onboarding
• Administrator Appointment Form • Administrator Appointment Guide • Member Portal Website
Sept 1- Oct 31 Member self- certification
Continuous certification Algorithms certification
Member Portal
• Certify for algorithms used • Certify applications used • Sponsored Access providers certify their clients • Download certificates and conformance test reports
CONFORMANCE TEST ENVIRONMENT
27 Conformance testing | RTS 7 art 9 | RTS 6 art 6
2017 2018 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
UAT INET
External Test System 4: May– Nov UAT Genium INET
INET M2 Test April 24- Jan
Conformance Test System
INET members/ISVs: • Conformance test in the INET M2 test system • M2 test system, MiFID 2 compliant
Genium INET members/ISVs: • Genium INET: Conformance test in EXT4 • Genium INET: EXT4 MiFID 2 compliant