As previously communicated in IT-Notices 49/17 , 42/17 , 38/17 , 30/17 , 22/17 and 52/16 , Nasdaq Nordic and Nasdaq Baltic will introduce new mandatory fields on order entry messages in INET Nordic Production. These fields are related to Order Record Keeping (ORK) and are currently optional but will become mandatory and needs to be populated according to the FIX and OUCH Order Entry protocol specifications from November 20, 2017.
It’s essential that all trading participants understand how the MiFID II order entry fields, described in the ‘Nasdaq Order Record Keeping Implementation Guide’, shall be used. The ‘Nasdaq Order Record Keeping Implementation Guide’ is available at the Nasdaq Technical Information, INET Nordic, Enhancements web page.
Order Record Keeping related fields identifying:
- Client identification (ClientID) – Mandatory if Order Capacity is AOTC or MTCH
- Investment decision within firm (IDM) – Mandatory if Order Capacity is DEAL
- Execution decision within firm (EDM) - Mandatory
- Associated Party Role Qualifier to the respective short code fields above, identifying if the ClientID, IDM and EDM is a LEI, Natural ID or an Algo ID.
ORK fields and Member Portal
The Party Roles Client ID, Investment decision within firm and Execution within firm, and their associated PartyRoleQualifier field are conditionaly required on order entry, depending on the Order Capacity used on the order. Nasdaq will always populate all three Party Role groups (ClientID, IDM, EDM) and their associated fields on outbound FIX messages. If not all three Party Role groups are sent in, Nasdaq will populate 0 values in the missing Party Roles PartyID and PartyRoleQualfier fields on outbound messages.
The Client ID , Investment decision within firm and Execution within firm fields will need to be populated with a short code created by the member, following a defined format. Short codes 0, 1, 2 and 3 are reserved values, and can only be used under certain circumstances described in the ‘Nasdaq Order Record Keeping Implementation Guide’.
From November 20 to January 2, 2018, short codes will be required on order entry when applicable in the accepted format. Starting on January 3, each short code will be required to be mapped up with a corresponding long code. The upload of long codes will be done via the Member Portal GUI, the Member Portal Rest API or the Member Portal file upload. Upload of long codes in Member Portal will be available from November 20, 2017. If dummy short codes are used during the period November 20, 2017, to January 2, 2018, Nasdaq recommends customers to map their dummy short codes to long codes in Member Portal with a valid thru date of January 2, 2018.
As required by MiFID II, order information containing short codes and corresponding long codes will be saved for a minimum of 5 years. Upon request from a National Competent Authority, Nasdaq will make order information available in a report in a predefined format.
Order Capacity
The mandatory use of the fields Client ID and Investment Decision Maker depends on the value selected in the Order Capacity field. Execution Decision Maker is always mandatory . Orders are validated in regards to the combined usage of Order Capacity and ORK fields.
For more information on Order Record Keeping and order entry validations, consult the ‘Nasdaq Order Record Keeping Implementation Guide’ available on the Nasdaq Technical Information, INET Nordic, Enhancements web page.
Trader ID
Trader IDs are used in INET Nordic already today. The Trader ID represents the human trader or the technical trading flow (for example an algo (PTR, AUTD), Automated Order Routing (AOR), Sponsored Access (SA) or Direct Market Access (DMA)) responsible for that entry according to Nasdaq’s rules.
An AOR Account Type TraderID is by default considered as non-DMA. As part of the Nasdaq Member Readiness process, members shall report to Nasdaq, via Member Portal, which of their technical TraderIDs that shall be configured as DMA or request for new TraderIDs.
When MiFID II comes into force on January 3, 2018, Direct Electronic Access (DEA= SA and DMA) activity needs to be identified on all orders. Nasdaq will introduce the technical change already from November 20, 2017, in INET Nordic. DEA activity will be auto-populated on outbound messages in FIX Tag [1724] – OrderOrigination or ‘DEA Indicator’ in OUCH, in case the TraderID used on the order is configured as SA or DMA.
In some circumstances, DEA clients may want to override the default DEA indicator on orders if they trade on own account (Order Capacity = DEAL), which can be accomplished by overriding the default DEA flag setting using value 1-4 in OrderOrigination [1724] on FIX and ‘DEA Indicator’ on OUCH upon order entry.
DEA activity is only allowed if the TraderID is configured as SA or DMA. If the DEA Indicator is set to value 5 (Order received from a direct market access or sponsored access customer) on inbound by a non-DEA TraderID, the order will be rejected.
For existing traders and technical flows, Nasdaq launched a member readiness activity that must be completed prior to November 20 th . Trader IDs will be issued as part of this activity.
Algorithmic and Liquidity Provision Indicator
Algorithmic Indicator and Liquidity Provision activity indicator used in the NoOrderAttributes repeating group field, FIX Tag [2593, 2594, 2595] and their separate fields on OUCH, are still optional to use until January 2, 2018. However, the fields will be activated on November 20, 2017, which means that if populated on inbound they will be available outbound as well.
MMT flags
Although MiFID II comes into effect on January 3, 2018, Nasdaq will include new MiFID II required fields in outbound messages for the purpose of post-trade transparency, utilizing Market Model Typology (MMT) standard trade flags, already from November 20, 2017. These fields may be ignored pre-MiFID II since the values can’t be guaranteed until all MiFID II functionality is activated on January 3, 2018.
Orderbook flush (Good-Till-Cancel, GTC orders)
Due to the introduction of the new fields, an orderbook flush [removal of Good-Till-Cancel (GTC) orders] will be done after market close on November 17, 2017 and January 2, 2018.
Testing of November 20 Production release configuration in INET Test NTF
In order to give members the possibility to test the November 20 Production release configuration, INET Test NTF will be configured to meet these requirements from November 1, 2017.
Time schedule
- INET Test (NTF) – November 1, 2017
- INET Production – November 20, 2017 (Flush of GTC orders after market close on November 17)
Questions and feedback
For further information and feedback concerning this information, please contact:
Ronny Thellman Tel: +46 8 405 6313 E-mail: 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.
