Introduction of a Pre trade session and extended Post trade session on Swedish Index Futures
Nasdaq will introduce a pre trade session and an extension of the post trade session for Swedish Index futures on OMXS30 and OMXSB as announced in IT Information - Derivatives number 52. As a consequence of this GCF will introduce a new state: PreOpen.
The session change will be available for testing in GCF External Test 4 as of December 21, 2015. The change will go live February 20, 2016.
More information about the changes can be found here (all time are CET): https://newsclient.omxgroup.com/cdsPublic/vie...mp;lang=en
Pre-Open (PREOP)
The pre-open session for the indices OMXS30 and OMXSB currently starting at 8:30 and ending at 8:55 will after the change start at 8:00 and end at 8:30. During this session only order cancellation is allowed.
Pre-Trade session (PRETR)
A pre-trade session between 8:30 and 8:55 is introduced for futures in OMXS30 and OMXSB. In this auto-match session just as in the post-trade session, trading takes place according to the matching principles of continuous trading. Trading in standardized futures time spreads is available while trading in TMC Order Books is not available. Real-time trade statistics is disseminated but trades do not contribute to official End of Trade Statistics except for Turnover and Open Interest. Stop Orders and Market Orders are not valid during Pre-trade. Limit Orders, with the time in force GTC/GTD, with or without Hidden volume placed during auctions or during continuous trading and stored in EMP is valid in the PRETR. I.e. long Orders are valid in the PRETR.
Call Interaction (CLIN)
For OMXS30, OMXSB, OMXC20CAP and OMXO20 this session state will be replaced with two new sessions, Opening Auction (OAUCT) and Closing Auction (CAUCT). CLIN will however remain as a session to be used when restarting the market after a trading halt.
Opening Auction (OAUCT)
This session replaces the current call interaction session between 8:55 and 9:00.The Index futures Order Book in OMXS30 and OMXSB shifts directly into opening auction at the end of pre-trade and the opening auction in OMXC20CAP and OMXO20 starts 5 minutes prior to continuous trading. Opening auction ends with the Uncross in the transition to continuous trading. Since trade statistics from the pre-trade session shall not contribute to official End of Trade Statistics except for Turnover and Open Interest, the following fields are to be reset (meaning no value assigned) when entering the OAUCT session: Opening price, High Price, Low Price, Last Price, Volume, Time (last trade), Trend Indicator and Deal Source (last trade). Apart from that, the opening auction session is identical to the current call interaction session.
Closing Auction (CAUCT)
This session replaces the current call interaction session in OMXC20CAP and OMXO20 that lasts for at least 90 and at the most 120 seconds and the current call interaction session in OMXS30 and OMXSB that lasts for at least 150 and at the most 180 seconds from the end of Continuous Trading. The closing auction session is identical to the current call interaction session.
Post trade session
The post trade session currently ending at 17:45 will be extended to end at 18:00. The extension is valid for futures on OMXS30 and OMXSB. The post trade session for OMXC20CAP and OMXO20 remains unchanged.
Terminating Business Day (TRMBD)
This session is removed for OMXS30 and OMXSB. Currently this session enables trade reporting which still will be possible during the post trade session.
Electronic Market Place Closed (EMPC)
Today this session state occurs at 18:00 on OMXS30 and OMXSB. Note that on half days it will occur at 13:30 in the new set up regarding OMXS30 and OMXSB.
For questions or comments, please contact dataproducts@nasdaq.com
