In order to prepare for MiFID II order record keeping requirements for trading venues, Nasdaq Nordic and Nasdaq Baltic will make changes to the order entry protocols to INET Nordic trading system. MiFID II requires venues to store data on the parties involved in the order and, upon request, report those to relevant supervisory authorities.
Changes include additional fields to OUCH and FIX order entry and drop protocols related to identifying the Parties of the Order, Liquidity Provision and Algo identification. The protocols will also include new MiFID II required fields in outbound messages for the purpose of post-trade transparency, utilizing Market Model Typology (MMT) standard trade flags.
Use of the new fields will be initially optional and will become mandatory at a later date in H2 2017. Date will be communicated separately.
Changes to Order Entry protocols are planned for INET Nordic production as of April 24, 2017 and testing will be available in INET Test (NTF) as of December 12, 2016. A separate INET MiFID II test environment will be available from spring 2017 for full MiFID II functionality testing.
Details
Identifying the Parties of the Order
- Client identification
- Investment decision within firm
- Execution within firm
In the three new API fields, members will have to, upon order entry, identify each value with a short code. The purpose of the short code is to reduce the amount of sensitive data handled by the trading system and to minimise any latency impact with smaller message sizes. These short codes will each represent an identifier such as an LEI, Algo ID or national person. Short codes will be identified and added, as well as maintained, via a separate system accessible for members via Nasdaq Member Portal from Q2 2017.
Further information on short code management via Member Portal will be communicated at a later time.
Liquidity Provision Indicator
In addition to order record keeping requirements, a Liquidity Provision Indicator is required for monitoring the market making activity in accordance with MiFID II Market Making schemes, as well as any other liquidity provision activity.
Algo Indicator
A new indicator will be added to identify orders where an algo is involved in either the execution or the investment decision.
Furthermore, the Algo flag is needed for post-trade transparency requirements of a trading venue under MiFID II.
Protocol specifications
The new fields, to support MiFID II Order Record Keeping requirements, are added to OUCH, FIX Order Entry and their respective drop protocols, and will be available according to the time schedule below. The fields are optional until MiFID II functionality is activated in respective environment according to the Migration plan below. The protocols are subject to further changes throughout the MiFID II implementation project.
INET protocol specifications are available at the Nasdaq Nordic Technical Information website, under INET Nordic Protocol Specifications .
Time schedule
- INET Test (NTF) – December 12, 2016
- INET Production – April 24, 2017
- INET MiFID II Test – TBD, preliminary late Q1, 2017
Migration plan
The new protocols will be available for testing in INET Test (NTF) by December 12, 2016. The new fields are optional in INET Test (NTF) and INET Production until MiFID II functionality is activated in INET Test (NTF) and INET Production in H2 2017.
Testing of MiFID II functionality, including the new fields, will initially be available in a new INET MiFID II Test environment which will become available late Q1 2017. MiFID II functionality will be rolled out in the INET MiFID II Test environment in a staged approach during 2017.
Activation of MiFID II functionality in INET Test (NTF) and INET Production will happen in H2 2017. An exact date for this activation will be communicated later.
Trading applications will need to be conformance tested prior to the use of the new fields in INET Production (from when MiFID II functionality is enabled in production H2 2017). Information about conformance testing will be announced in due time.
Testing of the above functionality via Nordic Workstation will be announced later.
Documentation
INET Nordic Market Model: Possible changes will be reflected in INET Nordic Market Model, published on Rules and Regulations for the Nordic Markets .
Questions and feedback
For further information and feedback concerning this information, please contact Ronny Thellman, +46 8 405 6313, ronny.thellman@nasdaq.com .
Support
For technical questions, please contact Nasdaq Cash Equity Operations: Tel: +46 8 405 6410, E-mail: operator@nasdaq.com Best regards, Nasdaq Nordic and Nasdaq Baltic
Nasdaq Copenhagen, Nasdaq Helsinki, Nasdaq Iceland, Nasdaq Riga, Nasdaq Stockholm, Nasdaq Tallinn and Nasdaq Vilnius are respectively brand names for Nasdaq Copenhagen A/S, Nasdaq Helsinki Ltd, Nasdaq Iceland hf., Nasdaq Riga AS, Nasdaq Stockholm AB, Nasdaq Tallinn AS and AB Nasdaq Vilnius. Nasdaq Nordic represents the common offering by Nasdaq Copenhagen, Nasdaq Helsinki, Nasdaq Iceland and Nasdaq Stockholm. Nasdaq Baltic represents the common offering by Nasdaq Tallinn, Nasdaq Riga and Nasdaq Vilnius.
