Data Technical News Nordic #2017 - 29 Genium Conso
Post# of 301275
Products Impacted: Genium Consolidated Feed
Markets Impacted:
- Nasdaq Nordic Fixed Income
What you need to know As previously announced, the GCF feed and TIP protocol will be upgraded to version 3.5 on Monday November 20, 2017. In addition to the announced specification, a new message will be introduced to the 3.5 release. The updated specification version 3.5.0 is now available on Nasdaq’s GCF page and Future release page .
Release changes In order to keep up the high transparency in the Danish mortgage bond market, Nasdaq has agreed with market participants to calculate a consolidated reference price on Danish mortgage bonds listed at Nasdaq. The calculated average reference price will take consolidated prices from other trading venues sent as “duplicates” to the Nasdaq APA service as well as “loan payments” from the issuers and later also include primary market transactions. The reference price will be a weighted average.
This will be in addition to the TIP-specification version 3.5 as sent out September 6 for the November 20 release. This will not require immediate action.
We apologize for any inconvenience caused.
The new TIP message InstrumentStatisticsExtended:
This message contains the average price on Danish cash bond markets including trades from the Nasdaq APA (Approved Publication Arrangement), "loan transactions" and primary market transactions.
Message type: INSb
| BasicD Field | Type | Description |
| IdCode | Id 9 | |
| TimeExec | Time 10 | |
| AllTradesAveragePrice | Float 12,6 | Calculated as the weighted average of system generated and reported trades of type standard for an ISIN. Included are “loan transactions”, primary market transactions, all order book trades and reported trades of the same ISIN, which meets the following criteria: 1) the trade type is standard, 2) the trade is reported during the continuous trading session. Also OTC standard trades are included. |
| AllTradesVolume | Float 16,2 | The volume field refers to units/nominal volume traded and is related to the turnover field, which refers to turnover in market value. States the turnover (units/nominal) for all published transactions which are part of the calculation of "AllTradesAveragePrice". |
| AllTradesTurnover | Float 16,2 | Accumulated turnover for all published trades. |
| AllNumberOfTrades | Integer 9 | Accumulated number of trades |
New message FixedIncomeType
The new field similar to the BondType field in BasicDataBond but contains more information.
The BondType field will remain as is, in parallel to the FixedIncomeType field. You will not need to do any changes now unless you want to use the new field of BondType. However, in the next TIP release, 3.6.0 in February, the BondType field will be removed.
Where can I find additional information? If you have any questions or would like to discuss this, please contact your account manager or contact: dataproducts@nasdaq.com or +46 8 405 7500
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