Nasdaq Clearing Fondhandlareföreningen 2015-10-13 · PDF fileFeatures like e.g. the new...

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.


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.


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



Activation of

multiple

functionality

TRADE REPORTING MIGRATION (FIX)


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)


Oct 23 ITCH for Reported Trades

terminated


Activation of

multiple

functionality

Sep 18 OTC/APA trades

added to NLS (tbd)

NORDIC EQUITY LAST SALE (NLS)


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

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; [email protected] Phone: +46 8 405 6103

http://www.nasdaqomx.com/transactions/connectivity-services/nordic-co-location-services











mailto:[email protected]

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.

http://www.nasdaqomxnordic.com/news/marketnotices/Subscribe

http://www.nasdaqomx.com/transactions/technicalinformation/geniuminet/enhancements

http://www.nasdaqomx.com/transactions/technicalinformation/geniuminet/enhancements

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


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


MARKET MAKING

STRATEGY MARKET MAKING


• 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


• 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


• 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


UPDATES TO QUOTES MESSAGES


• 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


• 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


TRANSPARENCY REGIME

OFF-BOOK TRADES UNDER MIFID II


• 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


• 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)


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


• 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)


• 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


• 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


• 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


TRADING SAFEGUARDS

CIRCUIT BREAKERS


• 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


• One-sided price limits – Limits on aggressive side during continuous matching

• Two-sided limits – active during OMXS30 futures auction from Nov 2016


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


MARKET MAKING

UPDATES TO QUOTE MESSAGES


• 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


• 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


TRADING SAFEGUARDS

CIRCUIT BREAKERS


• 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


All changes Nov 2017

PRE-TRADE CONTROLS



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


TRANSPARENCY REGIME

OFF-BOOK TRADES UNDER MIFID II


• 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


• 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)


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


‘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


• 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)


• 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


• 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


• 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


COMMODITIES POSITION LIMITS AND REPORTING

COMMODITIES POSITION REPORTING WORKFLOW


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


• 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


• 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?


• Please contact us directly!

• [email protected]



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:




• Free-text/account field

TRADE REPORT ENTRY

68

Extra Field at Trade Report entry: • Trader ID (6 chars)

• Client identification code (Short code)




• 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)





• DEA-flag


• 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)


• Commodities risk reducing indicator, DEA-flag


• 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

http://business.nasdaq.com/trade/rules-and-regulations/mifid-II









http://www.nasdaqomx.com/transactions/technicalinformation



WHERE TO GET MIFID II INFORMATION

98

Questions? [email protected]

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: [email protected]

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: [email protected] ISV’s: [email protected]

110

http://business.nasdaq.com/memberportal



[email protected]

[email protected]

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


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


Currently in NTF, from April 24, testing in INET MiFID II Test


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


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


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.


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


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


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



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


https://memberportal.nasdaq.com/static/data/Nasdaq_Member_Portal_Administrator_Appointment_Form.pdf

https://memberportal.nasdaq.com/static/data/Nasdaq_Member_Portal_Administrator_Appointment_Guide.pdf





CONFORMANCE TEST ENVIRONMENT



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

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