IT – INET Nordic – Reminder: Indicative Close Price for

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News Desk 2018
IT – INET Nordic – Reminder: Indicative Close Price for ETP instruments

As previously announced in IT-Notice 76/15 , Nasdaq Nordic is introducing an Indicative Close Price (ICP) calculation for Warrants, Certificates and Exchange Traded Notes on Nasdaq Copenhagen A/S, Nasdaq Helsinki Ltd and Nasdaq Stockholm AB.

Nasdaq Nordic will keep the closing price process for these instruments unchanged but will complement this process by taking into use the IndicativeClosePrice (ICP) TIP-field in Genium Consolidated Feed (GCF). This field will contain a calculated Indicative close price.

Indicative Close Price will be launched in GCF production on January 18, 2016 and has been available for testing in GCF- EXT3 as of January 5, 2016.

Details

INET identifiers:

Market segments impacted:

Exchange / MIC Segment name Segment symbol Currency Seq. no GCF ID
XSTO OMX STO Warrants SEEQ WAR SEK 4 21
XSTO OMX STO Certificates SEEQ CERT SEK 160 256
XSTO OMX STO Exchange Traded Notes SEEQ COM SEK 158 264
XHEL OMX HEL Covered Warrants FIEQ WAR EUR 64 93
XHEL OMX HEL Certificates FIEQ CERT EUR 159 258
XHEL OMX HEL Exchange Traded Notes FIEQ COM EUR 157 456
XCSE OMX CPH Warrants DKWA WAR DKK 167 308
XCSE OMX CPH Certificates DKWA CERT DKK 168 310
XCSE OMX CPH Exchange Traded Notes DKEQ COM DKK 357 458

Genium Consolidated Feed (GCF) – TIP:

In Genium Consolidated Feed, the TIP message OrderbookSummary will hold the calculated Indicative Close Price in the IndicativeClosePrice field.

The Indicative close price will be calculated as the Average Best Bid and Ask from the last (1) minute of Continuous Trading at end of the day. Order coverage criteria of 90% will be applied. This means that a spread needs to be present at least 90% of time during the last minute in order for the Indicative Close Price to be calculated. If no Indicative Close Price can be calculated, the field will carry the previous Indicative Close Price. The corresponding timestamp showing the date the Indicative Close Price was calculated on will also be disseminated.

Protocol specifications

No protocol changes.

Current versions of INET protocol specifications are available at the Nasdaq Nordic Technical Information website, under INET Nordic Protocol Specifications .

Implementation schedule

Time schedule

The Indicative Close Price is planned for launch:

  • GCF- EXT3 – as of January 5, 2016
  • GCF Production – January 18, 2016

Documentation

INET Nordic Market Model:

Market Model effective as of January 18, 2016 reflects this addition. The current and future version of the Market Model can be viewed at www.nasdaqomx.com/nordicrules .

Support

For technical questions, please contact Nasdaq Cash Equity Operations: Tel: +46 8 405 6410, E-mail: operator@nasdaq.com

Best regards, Nasdaq Nordic

“Nasdaq Nordic” is not a legal entity but represents the common offering by Nasdaq Copenhagen A/S, Nasdaq Helsinki Ltd, Nasdaq Iceland hf. and Nasdaq Stockholm AB.

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