As previously communicated in IT-Notices 22/17 and 52/16 , Nasdaq Nordic and Nasdaq Baltic will make changes to the INET Nordic Order Entry protocols in order to prepare for MiFID II order record keeping requirements for trading venues. 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.
On March 1, 2017, Nasdaq Nordic and Nasdaq Baltic announced further updates to the Order Entry protocol specifications due to introduction of Auction On Demand (AOD) currently available in INET Test (NTF) and INET MiFID II (M2) Test Environments; see IT-Notices 27/17 and 15/17 for further information. In addition to this, Nasdaq Nordic and Nasdaq Baltic have decided to further update the Nasdaq Nordic FIX Order Entry protocol specification following the FIX extension pack, EP222.
Changes announced in this IT-Notice are available in INET Test (NTF) and INET MiFID II (M2) Test environments. Production launch date is June 7, 2017 (multiple fields are initially optional).
FIX Order Entry updates (FIX Order Entry, FIX Drop and FIX Drop for OUCH)
New updates since previous IT-Notice ( 22/17 ):
- FIX Tag [529] – OrderRestrictions updated on Issue Price Stabilization 528=A, instead of previous 528=P. Please note that both values A and P will be accepted until further notice.
Previously announced updates:
- FIX Tag [447] – PartyIDSource updated to use P (Short Code Identifier) instead of D
- Investor ID (the Investment Decision Maker) updated from enum value 5 to 122 in PartRole [452]
- DEA activity indicator BasisOfTrade [7559] replaced with OrderOriginator [1724], 5 = “Order received from a direct access or sponsored access customer”
- Liquidity provision indicator LiqProvOnly [9215] replaced with OrderAttributeGrp component block - NoOrderAttributes [2593], OrderAttributeType [2594] and OrderAttributeValue [2595]
The current OUCH v4.01 protocol available in INET Test (NTF) and INET MiFID II (M2) Test is not affected by the updates described above.
Protocol specifications
Latest INET Nordic protocol specifications are available at the Nasdaq Nordic Technical Information website, under INET Nordic Protocol Specifications . The protocols are subject to further changes throughout the MiFID II implementation project. Time schedule
- INET Test (NTF) – Currently available
- INET MiFID II (M2) Test – Currently available
- INET Production – June 7, 2017
Migration plan
OUCH v4.01, FIX Drop for OUCH v1.33.1 and FIX Order Entry & Drop v1.35.1 are available for testing in INET Test (NTF) and in INET MiFID II (M2) Test. INET MiFID II (M2) Test
Testing of MiFID II functionality, including the new fields, is available in a new INET MiFID II (M2) Test environment. The new fields are mandatory (i.e. validation is done) and need to be populated according to the protocol specification format.
Information about MiFID II functionality available for testing will be published at Nasdaq Technical Information, INET Nordic, Testing . For information regarding INET MiFID II (M2) Test environment, please see IT-Notices 26/17 , 24/17 and 23/17 . INET Test (NTF) and INET Production The new fields are optional (i.e. no validation is done) in INET Test (NTF) and INET Production until November 20, 2017 from when the new fields become mandatory and need to be populated according to the protocol specification format. MiFID II functionality will be activated in INET Test (NTF) and INET Production by January 3, 2018 when MiFID II comes into force.
Mandatory Certification
Trading applications will need to be conformance tested prior to the use of the new fields in INET Production (from when MiFID II fields are mandatory November 20, 2017). Conformance testing is scheduled for September-October 2017.
Testing of the above functionality via Nordic Workstation will be announced separately.
Questions and feedback
For further information and feedback concerning this information, please contact:
Riitta Pesiö Tel: +46 8 405 6437 E-mail: riitta.pesio@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.
