GENIUM INET
MARKET MODEL
NASDAQ OMX Derivatives Markets
NORDIC EQUITY DERIVATIVES
Effective September 28, 2015
REVISION HISTORY
Date
April 8, 2010
Revision
1.0
Change Description
Initial version for NASDAQ OMX Derivatives Markets
April 29, 2010
1.1
May 10, 2010
1.2
June 7, 2010
1.3
September 17, 2010
1.4
October 11, 2010
1.5
October 18, 2010
1.6
Changes made in step 3 under section 4.3.4”Calculation of EP”, and
section 7.2.5 “Fill-or-Kill” under section “Time in Force”.
Clarification regarding the calculation of EP price in section 4.3.4
“Calculation of EP”.
Clarification of hidden orders in call interaction, see section 4.3.2 “Call
Interaction”.
Changes:
7.1.4 Stop Orders will only be available in Swedish index futures
7.5.7 OMXS30 standardized Index futures roll (new section). This new
functionality will be implemented as of the 8 of November.
Clarification:
3.3 Session states during special circumstances (new section)
7.3 Reserve Orders
7.5 Combination Orders
7.5.1 Pricing combinations (new section)
7.5.4 Derived Orders, implied-outs (new section)
7.5.5 Regeneration of implied-outs during aggressive matching (new
section)
7.5.6 Restrictions to implied-out generation (new section)
7.6 Order modification
8 Quotes (new section)
8.1 Single Quotes (new section)
8.2 Mass Quotes (new section)
8.3 Replacing Quotes – losing priority (new section)
4.3.2 Call Interaction, clarification regarding Stop Orders
7.1.4 Stop Order, clarification regarding Call Interaction and Price
triggering
7.4.1 Price triggering, clarification regarding Stop Orders
7.5.3 Tailor-Made Combination, clarification regarding maximum ratio
7.7 Ranking of Orders, exception to the main rule
13 Appendix E Ranking of Orders, example on exception to the main
rule
14 Appendix F Combinations, during special circumstances matching
may be prohibited
7.1.4 Stop Order, reference added
7.4.1 Price triggering, exception to Stop Orders not being triggered if
LMP is updated outside BBO
7.7 Ranking of Orders, exception to the main rule
13 Appendix E 13.1, Correction of example on exception to the main rule
13 Appendix E 13.2, new example on exception to the main rule
January 31, 2011
1.7
April 4, 2011
1.8
August 31, 2011
1.9
Genium INET Market Model
7.1.4 Stop Order, clarification regarding Stop Orders triggered by
erroneous transactions
9 Updated Quotation lists due to changed rules regarding Series
generation
4.3 Changes valid as of April 4, 2011.
Introduction of an Opening Call Auction on Index futures.
Extension of the Call Interaction phase in the Closing Call Auction from
60 – 90 seconds to 90 – 120 seconds.
3.1 and 3.2
Changes of trading hours and schedules due to the changes on April 4,
2011.
7.1.4, 7.4.1 and appendix 13.3
As of April 4, 2011 none of the two exceptions to the main ranking rule
will trigger Stop Orders and has therefore been removed from the
triggering sections.
7.4.2 Triggering on Session changes. The only available session to
trigger on will be Call Interaction for Index futures.
6.2 Trade types.
Changed procedures when reporting EG2.
2
2
Date
November 14, 2011
Revision
1.10
Change Description
Clarification
4.3.2.1 Call Interaction and 4.3.3.1 Call Interaction. Description of market
transparency moved to section 9.
4.3.4 Calculation of EP
7.1.3 Market-to-Limit Order
7.5.4 Implied-out Orders
7.5.7 Dissemination of Implied-out Orders
New sections
9 and appendix G Description of Connectivity and Protocols
April 2, 2012
1.11
June 15, 2012
1.12
August 6, 2012
September 3, 2012
November 26, 2012
1.13
1.14
1.15
March 25, 2013
1.16
March 26, 2013
1.17
May 6, 2013
1.18
September 3, 2013
December 9, 2013
1.19
1.20
January 20, 2014
1.21
February 3, 2014
1.22
February 24, 2014
1.23
Genium INET Market Model
11 Appendix B,
Change of Danish tick sized for single stock options and futures
Removal of Russian and Baltic derivatives
Changed MPS accessibility hours
3.1 Changed trading hours Norwegian derivatives
Introduction of Weekly options on OMXS30
3.1 and 3.2 New trading schedules
4.3.3.2 Uncross session deleted, allocation moved to transition from
CLIN to EOTRD
4.4-4.9 New sessions
6.1.5 Deferred publication
6.2.1-6.2.2 13 App. D New Trade Report Types and clarification
7.1.1 Clarification, day orders not participating in Post Trade
7.1.2 Market orders not valid in POSTR
7.1.4 Stop Order, not valid in POSTR
7.7 Ranking of derived Orders, Clarification 16 App. G Market
Transparency, updated
17 App. H Deferred publication, new
18 App. I Order management, Trade reporting and events during
sessions, new
7.2 Order Price Limit. Introduction of a new Price deviation check that
prevent Orders with Prices outside an allowed Price range to enter EMP.
7.2 Order Price Limit. Allowed deviations updated for options & futures
on Maersk.
3.1 Changed opening hours for Norwegian Single Stock. 3.1 & 3.2
Corrected time stamps for session state TRMBD.
Section 11 Appendix B. Updated tick size table for Weekly Options.
3.1, 3.2, 4.6, 4.7 and 7.6 Extended post trade session on index futures
on OMXS30 and enabling trading in the two standardized index future
time spreads on OMXS30 during the post trade session
7.6, 7.3.2 and 7.3.3 GTC and GTD order are enabled in the two
standardized index future time spreads on OMXS30
4.3 and 7.2.1 Call auction and Order Price Limit overview Clarification,
Order Price Limit is not activated during auctions
7.1.2 and 7.1.3 and 7.6 Market and Market-to-Limit orders no longer
valid for combinations
7.1.3 Market-to-Limit order Clarification on which order book price is
used to determine the price of the order
7.2 Combination orders are validated by Order Price Limit
7.2.2 Market and Market-to-Limit orders are validated by Order Price
Limit
7.2.4 Clarification, the quality of the BBO is validated in order to be used
when calculating the reference price
7.2.4.3 New Combination Order Book Reference Price Rule
implemented
7.2.5.5 – 7.2.5.7 New deviation tables implemented for combination
order books
7.6.4 Implied-out orders are not generated if according to Order Price
Limit, the Buy price is below the lower price limit or if the sell price is
above the upper limit
Appendix I Trade reporting clarification on what trade report types can
be used electronically or via phone during which sessions
18.1 and 18.2 Clarification on time limits regarding trade reporting
electronically/phone
Appendix 10 Quotation list Updated strike generation rules for Swedish
Single Stock options 10.1
7.2.4 Order Price Limit reference price. The rule for selecting reference
price for index futures is changed to be the same as for single stock and
index options and single stock forwards/futures
Appendix 10 Updated strike price intervals for Swedish Index, Weekly
options and Binary options.
3
3
Date
March 17, 2014
Revision
1.24
March 24, 2014
1.25
April 15, 2014
1.26
May 26, 2014
October 9, 2014
1.27
1.28
November 17, 2014
1.29
December, 8, 2014
April, 20, 2015
June, 8, 2015
September 28, 2015
1.30
1.31
1.32
1.33
Change Description
General updates to layout and language in document (no material
changes to content). Info on Standardized and Tailor Made
Combinations in Section 7.6 extended. New section 7.10 Request For
Quote.
Updates to reflect the introduction of
long orders in futures time spreads on C20CAP, OMXO20, VINX30 and
OMXSB;
trading in the futures time spreads on C20CAP, OMXO20, and OMXSB
in the post-trade session; and
new strike price intervals, tick-size levels and expiration month terms for
Norwegian derivatives.
Update to reflect the removal of second futures time spread on OMXSB.
Correction Appendix I. Deletion of Combination orders during CLIN shall
be possible.
Correction Appendix B. Tick-size table for Norwegian index.
Stock weekly options on Swedish shares introduced
Trade reports maximum via the Member’s electronic connection
increased to 100.000 contracts.
Futures on OMXS30DVP added Appendix B and C.
Appendix B Settlement Prices updated to clarify calculation of daily and
final settlement prices.
Trading calendar updated in section 3 to now include 2016.
The quotation and deferred publication lists removed as appendixes in
the market model. The document now refers to the original list in the
Rules and Regulations of NASDAQ OMX Derivatives Markets.
New Trade Type FLCN added in Chapter 6.1 and Appendix C.
April, 20, 2015 Tailor Made Contracts changed to Flexible contracts.
Stock weekly options on Norwegian shares introduced
Extended Call Interaction in the Closing Call on OMXS30 and OMXSB
DEFINITIONS
The official definitions can be found in the Rules and Regulations of NASDAQ Derivatives
Markets.
BBO
Best Bid Offer of an Order Book.
Call
Auction process to facilitate price formation with two distinct parts:
the first part is an order management phase called Call Interaction
and the second part is a matching process for all eligible orders.
The matching process is called Uncross (as it removes all orders
with crossing prices).
Call, closing
The Closing Call in Index futures (OMXS30, OMXC20, OMXO20
and OMXSB), produces the last auto matched trades of the order
book (if there are eligible orders available for matching).
EP
Equilibrium Price
EMP
Electronic Market Place; an abbreviation for the Exchange’s
electronic exchange trading system Genium INET.
FAK
Fill-and-Kill is a Time-in-force when entering Orders.
FOK
Fill-or-Kill is a Time-in-force when entering Orders.
Genium INET Market Model
4
4
GTC
Good till Cancelled or Expiration Order. Order that is valid until the
Expiration of the Series in question.
GTD
Good till Date. Order that is valid until a specified Date in the future.
LMP
Last Match Price.
Member
An Exchange Member, as defined in the Rules and Regulations.
Order Book
Each tradable Series has an order book in Genium INET for automatching of order and quotes.
Series
As defined in the Rules and Regulations.
Time of agreement
The time that states when the trade was agreed. Can be used at
registration of manual trades.
Time of Trade
The time at which an automatically matched trade is matched or a
Execution
manual trade has been entered.
For a manual trade it is the time at which the trade is reported for
registration.
Uncross
A call ends with an Uncross where price determination and order
and trade information dissemination takes place.
VWAP
Volume Weighted Average Price. Used as Expiration-day-fix on
Index products.
Genium INET Market Model
5
5
CONTENTS
1
Introduction ..................................................................................................................................................... 8
2
Market structure .............................................................................................................................................. 9
3
Trading Hours and holiday schedules ............................................................................................................12
4
Sessions during the trading day .....................................................................................................................15
4.1
Pre-open....................................................................................................................................................15
4.2
Continuous trading ....................................................................................................................................15
4.3
Call Interaction ..........................................................................................................................................16
4.4
End of trading ............................................................................................................................................18
4.5
Statistics ....................................................................................................................................................18
4.6
Removal of Day Orders .............................................................................................................................18
4.7
Post-Trade.................................................................................................................................................19
4.8
Terminating business day..........................................................................................................................19
4.9
Electronic Market Place Closed .................................................................................................................19
4.10
Extraordinary closing and Trading Suspension .....................................................................................19
5
Expiration cycles and listing of series ............................................................................................................21
6
Trade reporting ..............................................................................................................................................21
6.1
7
Trade Report Types...................................................................................................................................23
Order types, validity and priority ....................................................................................................................25
7.1
Order Types ..............................................................................................................................................25
7.2
Order Price Limits ......................................................................................................................................27
7.3
Time-in-Force conditions ...........................................................................................................................31
7.4
Reserve conditions ....................................................................................................................................32
7.5
Triggering Conditions ................................................................................................................................32
7.6
Combination Orders ..................................................................................................................................34
7.7
Order modification .....................................................................................................................................38
7.8
Ranking of Orders .....................................................................................................................................38
7.9
Tick sizes...................................................................................................................................................38
7.10
8
Request for quote..................................................................................................................................39
Quotes ...........................................................................................................................................................40
8.1
Single Quotes ............................................................................................................................................40
8.2
Mass Quotes .............................................................................................................................................40
8.3
Replacing Quotes – losing priority .............................................................................................................40
9
Connectivity and Protocols ............................................................................................................................40
9.1
Trading ......................................................................................................................................................40
9.2
Market Data and Transparency .................................................................................................................40
Appendix A – Tick Sizes .........................................................................................................................................41
Appendix B – Settlement prices..............................................................................................................................42
Appendix C – Trade Statistics ................................................................................................................................43
Genium INET Market Model
6
6
Appendix D – Ranking of orders and price triggering .............................................................................................46
Exception 1 to the main rule regarding ranking ...................................................................................................46
Exception 2 to the main rule regarding ranking ...................................................................................................48
Appendix E – Prohibited combination matching .....................................................................................................50
Appendix F – Market transparency .........................................................................................................................51
Appendix G – Order management, Trade reporting and events during sessions ...................................................53
Genium INET Market Model
7
7
1
INTRODUCTION
This document describes the functionalities for trading of Nordic equity derivatives on NASDAQ
OMX Derivatives Markets, the name used for the derivatives trading operations of NASDAQ
OMX Stockholm AB (the “Exchange”).
Chapter 2 describes the market structure, while chapter 3 presents an overview of the trading
hours and holiday schedules. In chapter 4, the trading sessions during a trading day is
presented. Chapter 5 describes the expiration cycles and listing of series. Chapter 6 outlines the
registration of manual trades. Chapter 7 presents the order types available and discusses the
order modification.
While the document has been prepared on the basis of the best information available, at the
moment of preparation, the Exchange accepts no liability for decisions taken, or systems work
carried out, by any party based on this document. This document does not form part of the
contractual documentation between the Exchange and its customers. Content of this document
may also be subject to discussions and in some cases approval from relevant authorities.
While the Rules and Regulations of NASDAQ OMX Derivatives Markets is a legally binding
document between Members and the exchange, the purpose of this Market Model document is
to provide additional guiding information for trading members.
Additional documents referenced in this documentation can be found at NASDAQ OMX’s official
website.
Genium INET Market Model
8
8
2
MARKET STRUCTURE
The market for Nordic equity derivatives consist of derivatives on Danish, Finnish, Norwegian
and Swedish shares and indexes as well as on Pan-Nordic indexes. Contracts are categorized
as standardized, on request, or flexible. Trading takes place either through the electronic
exchange trading system Genium INET, through the manual exchange trading system or outside
the Exchange’s trading systems.
STANDARDIZED CONTRACTS
Standardized contracts are exchange-traded derivatives listed for trading and clearing with
standardized terms. New tradable Series are automatically created by the Exchange according
to pre-set rules.
ON-REQUEST CONTRACTS ON FINNISH SHARES
On-request contracts on Finnish shares are exchange-traded derivatives listed for trading and
clearing with standardized terms. New tradable Series are not automatically created for all
underlying shares but instead created intraday by the Exchange on request by members. For
further info see the Quotation List (appendix 2) in the Rules and Regulations of NASDAQ OMX
Derivatives Markets.
FLEXIBLE CONTRACTS
The Flexible (formerly known as TM or Tailor Made) Clearing service offers market participants
the possibility to report flexible contracts with non-standardized terms which have been
negotiated and agreed bilaterally for clearing. Flexible Contracts are offered on listed shares,
indexes and custom made indexes. The underlying security, expiration date, expiration type,
settlement style and strike price (options) are agreed bilaterally by the parties involved in the
transaction.
ELECTRONIC EXCHANGE TRADING SYSTEM
Genium INET is the electronic exchange trading system for storing of orders, ranking of orders
and execution of trades by exchange members.
MANUAL EXCHANGE TRADING SYSTEM
The manual exchange trading system is a service for exchange members. Services include for
example matching of:
 Large block trades
 Combinations and spreads
 Delta neutral trades
 Roll of index futures
Genium INET Market Model
9
9
Genium INET Market Model
10 10
REGISTRATION OF MANUAL TRADES
Registration of trades matched outside of the exchange trading system, may be reported to the
exchange for registration via the members electronic connections to the trading and clearing
system, via phone or via a public information distribution system approved by the Exchange.
Market segments and types of derivatives
The following derivatives are available per market segment
Market segment
Danish stock, standardized
Danish index, standardized
Finnish stock, on-request
Norwegian stock,
standardized
Norwegian index,
standardized
Swedish stock, standardized
Swedish index, standardized
Pan-Nordic index,
standardized
Danish stock, flexible
Danish index, flexible
Finnish stock, flexible
Norwegian stock, flexible
Norwegian index, flexible
Swedish stock, flexible
Swedish index, flexible
Pan-Nordic index, flexible
Options
x
x
x*
x
Futures
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
Forwards
Binary options
Weekly options
x
x
X**
x
x
x
*Options not listed in group 2 of the Quotation list
** Introduction on May 26, 2014
TRADING RIGHTS
Each member is participating in the trading activity under one or several unique member
identification codes, known as Participant codes. To each Participant Users are connected.
In the system, the trading rights are set on Participant level and the trading rights are fully
inherited on User level. This means that Users connected to the same Participant have the same
trading rights and these trading rights determine which products the User have access to trade.
Furthermore, each individual trader must possess authorization to trade as stipulated in Rules
and Regulations section 2.2.10.
Genium INET Market Model
11 11
3
TRADING HOURS AND HOLIDAY SCHEDULES
NORMAL TRADING HOURS, GENIUM INET
All times CET
Pre-Open
Call
Interaction
Continuous
Trading
Call
Interaction
End of Trading
Statistics
Day Orders
Cleared
Post-Trade
Terminating
business day
Genium INET
session state
Danish Stock
C20CAP Index
PREOP
CLIN
OPEN
CLIN
EOTRD
STATS
CLEAR
POSTR
TRMBD
Electronic
Market Place
Closed
EMPC
08:30 – 09:00
08:30 – 08:55
N/A
08:55 – 9:00
09:00 – 16:55
09:00 – 16:55
N/A
16:55 –
16:57:10
16:57:10
N/A
16:57:40
N/A
16:58:00
16:57:40
17:05:00
18:00
18:00
Finnish Stock
Norwegian Stock
OMXO20 Index
08:30 – 09:00
08:30 – 09:00
08:30 – 08:55
N/A
N/A
08:55 – 9:00
09:00 – 17:25
09:00 – 16:20
09:00 – 16:20
N/A
N/A
16:20 –
17:27:10
16:22:10
16:22:10
N/A
N/A
16:22:40
N/A
N/A
16:23:00
17:27:40
16:22:40
16:30:00
18:00
18:00
18:00
Swedish Stock
OMXS30 Index
08:30 – 09:00
8:30 – 8:55
N/A
08:55 – 9:00
09:00 – 17:25
09:00 – 17:25
N/A
17:25 –
17:27:10
17:28:10
N/A
17:28:40
N/A
17:29:00
17:27:40
17:45:00
18:00
18:00
OMXSB Index
8:30 – 8:55
08:55 – 9:00
09:00 – 17:25
17:25 –
17:28:10
17:28:40
17:29:00
17:45:00
18:00
OMXS30DVP Index
VINX30 Index
08:30 – 09:00
08:30 – 09:00
N/A
N/A
09:00 – 17:25
09:00 – 17:25
N/A
N/A
16:55
15:56:30 –
16:57:00
17:25
16:20
16:21:30 –
16:22:00
17:25
17:27:30 –
17:28:00
17:27:30 –
17:28:00
17:25
17:25
17:26:00
17:27:10
17:27:40
N/A
N/A
N/A
17:28:00
17:27:40
18:00
18:00
Genium INET Market Model
12 12
HALF DAY TRADING HOURS, GENIUM INET
All times CET
Pre-Open
Call
Interaction
Continuous
Trading
Call
Interaction
End of Trading
Statistics
Day Orders
Cleared
Post-Trade
Terminating
business day
Genium INET
session state
PREOP
CLIN
OPEN
CLIN
EOTRD
STATS
CLEAR
POSTR
TRMBD
Electronic
Market Place
Closed
EMPC
Danish Stock
N/A
N/A
N/A
N/A
N/A
N/A
N/A
N/A
N/A
N/A
C20CAP Index
N/A
N/A
N/A
N/A
N/A
N/A
N/A
N/A
N/A
N/A
Finnish Stock
N/A
N/A
N/A
N/A
N/A
N/A
N/A
N/A
N/A
N/A
Norwegian Stock
08:30 – 09:00
N/A
09:00 – 13:00
N/A
13:00
13:02:10
N/A
N/A
13:02:40
18:00
OMXO20 Index
08:30 – 08:55
08:55 – 9:00
09:00 – 13:00
13:00 –
13:01:30 –
13:02:00
13:02:10
13:02:40
13:03:00
13:10:00
18:00
Swedish Stock
08:30 – 09:00
N/A
09:00 – 12:55
N/A
12:55
12:57:10
N/A
N/A
12:57:40
18:00
OMXS30 Index
08:30 – 08:55
08:55 – 9:00
09:00 – 12:55
12:55 –
12:57:30 –
12:58:00
12:58:10
12:58:40
12:59:00
13:15:00
18:00
OMXSB Index
08:30 – 08:55
08:55 – 9:00
09:00 – 12:55
12:55 –
12:57:30 –
12:58:00
12:58:10
12:58:40
12:59:00
13:15:00
18:00
OMXS30DVP Index
08:30 – 09:00
N/A
09:00 – 12:55
N/A
12:55
12:56:00
12:57:40
N/A
12:58:00
18:00
VINX30 Index
08:30 – 09:00
N/A
09:00 – 12:55
N/A
12:55
12:57:10
N/A
N/A
12:57:40
18:00
Genium INET Market Model
13 13
SESSION STATES UNDER SPECIAL CIRCUMSTANCES
In case of a suspension due to technical reasons HALT is the applicable session state. PREOP
is the applicable session state when trading shall be resumed after such a suspension. For
further details see section 4.10.
TRADING CALENDAR AND HOLIDAY SCHEDULE
Genium INET Market Model
14 14
4
SESSIONS DURING THE TRADING DAY
For events during sessions, see Appendix G – Order management, Trade reporting and events
during sessions.
4.1
PRE-OPEN
During this no-matching session, only order cancellation is allowed.
4.2
CONTINUOUS TRADING
During this auto-match session each new incoming order is immediately checked for execution
against orders on the opposite side of the Order Book. Orders can be executed in full or partially
in one or more steps.
Orders in the Order Book will be matched according to the priority:
1. price; and
2. time
Buy or sell orders entered with the same price as a corresponding buy or sell order in the Order
Book will be matched into a trade.
Buy orders entered into the Order Book with a higher buy price than the sell order with the lowest
price (crossing prices), will be matched into one or more trades depending on the volume of the
incoming order and the volume and the price of the sell order(s). The matching process will try to
fill as much as possible of the volume in the incoming buy order until the limit of the crossing
prices is passed.
Sell orders entered into the Order Book with a lower sell price than the buy order with the highest
price (crossing prices), will be matched into one or more trades depending on the volume of the
incoming order and the volume and the price of the buy order(s). The matching process will try to
fill as much as possible of the volume in the incoming sell order until the limit of the crossing
prices is passed.
The price of the resting (passive) order is used if an incoming (aggressive) order has a price
better than the price of the best existing order in the order book (e.g. the sell limit is lower than
the buy limit).
The priority order in the same price level is the time when the order was accepted and stored in
the Order Book.
Genium INET Market Model
15 15
4.3
CALL INTERACTION
Call auctions are only applicable for index futures on OMXS30, OMXSB, OMXC20CAP and
OMXO20. Order Price Limits are not activated during Call auctions.
Trading in the applicable index futures order books starts with a Call auction process prior to
continuous trading and ends with a Call auction process after continuous trading.
Call auctions are executed for all futures Order Books per Index at the same time.
Both the Opening and Closing Call are formed with the no-matching session Call Interaction and
the sub phase Uncross.
OPENING CALL
The Call Interaction starts 5 minutes prior to continuous trading and ends with the Uncross in the
transition to continuous trading whereby determination of opening price and matching of orders
takes place.
The Call Interaction phase allows full order management.
Limit Orders, with the time in force GTC/GTD, with or without Hidden volume placed during Call
Interaction or during continuous trading and stored in EMP is valid in the Opening Call Auction.
I.e. long Orders are valid in the Opening Call Auction.
Limit Orders, with or without Hidden volume can be entered during Call Interaction.
During call interaction Combination Orders are not valid and cannot be entered.
During call interaction Stop Orders are not valid and cannot be entered.
Market Orders with the Time in Force, Fill-and-Kill, can be placed and stored during Call
Interaction and participates at EP and if any quantity remains after the Uncross it will be
cancelled. See section 7.8 for ranking of Market Orders.
Market-to-Limit Orders entered during Call Interaction are treated as Market Orders, participates
in the Uncross at EP and if any quantity remains after the Uncross it will be stored in the Order
Book at the EP.
Matching of orders takes place in the transition from Call Interaction to continuous trading and is
carried out according to the Price – Time ranking process. The hidden volume will receive a time
stamp only when the visible part of the order has been executed.
Genium INET Market Model
16 16
CLOSING CALL
The Index futures Order Book shifts directly into Call Interaction at the end of Continuous
Trading.
Call Interaction in OMXC20CAP and OMXO20 lasts for at least 90 and at the most 120 seconds
from the end of Continuous Trading. Call Interaction in OMXS30 and OMXSB lasts for at least
150 and at the most 180 seconds from the end of Continuous Trading. Call Interaction ends
when the Uncross is carried out.
The Call Interaction phase allows full order management.
Limit Orders, with the time in force GTC/GTD, with or without Hidden volume placed during Call
Interaction or during continuous trading and stored in EMP is valid in the Closing Call Auction.
I.e. long Orders are valid in Closing Call Auctions.
A Limit Day Order, with or without Hidden volume placed during Call Interaction in the Opening
Call Auction or during continuous trading and stored in EMP is valid in the Closing Call Auction.
Limit Orders, with or without Hidden volume can be entered during Call Interaction.
Combination Orders are not valid during call interaction.
During call interaction Stop Orders are not valid and cannot be entered, however Stop Orders
entered during continuous trading can be cancelled.
Market Orders with the Time in Force, Fill-and-Kill, can be placed and stored during Call
Interaction and participates at EP and if any quantity remains after the Uncross it will be
cancelled. See section 7.8 for ranking of Market Orders.
Market-to-Limit Orders entered during Call Interaction are treated as Market Orders, participates
in the Uncross at EP and if any quantity remains after the Uncross it will be stored in the Order
Book at the EP.
Matching of Orders is carried out randomly in the Uncross between 90 and 120 seconds after the
end of continuous trading in the transition from Call Interaction to End of Trading according to the
Price – Time ranking process. The hidden volume will receive a time stamp only when the visible
part of the order has been executed.
Determination of closing price takes place in the Uncross.
Genium INET Market Model
17 17
CALCULATION OF EP
The prices used in the selection of EP are all existing prices between the highest and the lowest
price where Limit Orders exist, extended with one tick up from the highest, and one tick down
from the lowest price. During Call Auction the EP is calculated as follows:
1. The EP shall be the price at which the highest volume (trading volume) can be traded in the
allocation, including Hidden volume orders. Trading volume can only be achieved if the
highest bid price is higher than or is equivalent to the lowest ask price. If there is a highest
trading volume on more than one price level, go to step 2.
2. If there is more than one price level where the tradable volume is the highest, the level with
the lowest imbalance is selected. The imbalance is defined as the surplus from the
aggregated buy quantity or aggregated sell quantity after allocation of Orders. If there is
more than one price level with the lowest imbalance go to step 3.
3. The market pressure is used to decide the EP.
-
Only buy pressure – select the highest price as EP
-
Only sell pressure – select the lowest price as EP
-
Both buy and sell pressure – then go to the next step
-
Only nil pressure – then go to the next step
4. The price closest to the last updated of Last Match Price or Settlement Price shall be the EP.
It is neither possible to calculate an EP, nor possible to match orders in the Uncross, when:
 No crossing orders exist; or
 Only market orders exist in the order book.
4.4
END OF TRADING
The Uncross of the Closing Call takes place in the transition to End of Trading and so do the
release of Trade Reports that are subject to Deferred Publication.
4.5
STATISTICS
When all instruments connected to a market has entered in to this no-matching session, official
High, Low, Last and Open Prices are published for each Series.
4.6
REMOVAL OF DAY ORDERS
In this no-matching session, Goof-for-Day-orders in index derivatives are cleared from the Order
Books. All longer dated orders in index futures remain in their order books to be part of the Posttrade session, including combination orders in standardized index futures time spreads.
Genium INET Market Model
18 18
4.7
POST-TRADE
In this auto-match session, trading takes place in index futures on OMXS30, OMXSB, C20CAP
and OMXO20 according to the matching principles of continuous trading. Trading in standardized
futures time spreads is available while trading in TMC Order Books is not available. Real-time
trade statistics is disseminated but trades do not contribute to official End of Trade Statistics
except for Turnover and Open Interest. Stop Orders and Market Orders are not valid during Posttrade.
4.8
TERMINATING BUSINESS DAY
In this no-matching session electronic after-hours trade reporting is allowed.
4.9
ELECTRONIC MARKET PLACE CLOSED
During this no-matching session trade reports are no longer accepted via members electronic
connections.
4.10 EXTRAORDINARY CLOSING AND TRADING SUSPENSION
Trading may be suspended by NASDAQ OMX Derivatives Markets either due to technical
reasons or regulatory reasons. Suspensions are regulated in NASDAQ OMX Derivatives
Markets Rules.
Technical suspension means that trading is suspended when the Order Book(s) become
inaccessible for technical reasons.
Regulatory suspension means that the Order Book(s) are suspended due to rules and
regulations.
The Exchange shall provide the Exchange Members with information regarding closings and
suspensions via suitably accessible information technology.
SUSPENSION DUE TO TECHNICAL REASONS (EXTRAORDINARY CLOSING)
Technical disruptions are regulated in the Rules and Regulations of NASDAQ OMX Derivatives
Markets. Trading shall be suspended if a technical disturbance causes a major part of the
Members (market shares) to lose connection to the markets.
When the electronic exchange trading system is closed, Orders may not be placed, changed or
revoked and trades cannot be matched. Trades done outside the Exchange may not be reported
for registration.
RESUMING TRADING AFTER EXTRAORDINARY CLOSING
After an extraordinary closing, trading shall be resumed as soon as the circumstances which
caused the closing no longer exist and the conditions once again exist to maintain properly
functioning exchange operations.
Genium INET Market Model
19 19
Resuming trading may take place not earlier than 10 minutes after the notice thereof, unless all
Exchange Members have received reasonable notice of an earlier re-opening. During the period
prior to re-opening, the exchange trading system will be accessible for Order cancellation.
SUSPENSION DUE TO REGULATORY REASONS (TRADING SUSPENSION)
The provisions contained in the Securities Market Act and any relevant subordinate legislation
shall apply to suspension of trading.
If an underlying is object to trading suspension the derivatives connected to that underlying shall
be suspended for trading.
RESUMING TRADING AFTER A TRADING SUSPENSION
When a suspension ceases, trading is resumed and the restrictions on order entry ceases.
REMOVAL OF ORDERS
Extraordinary Closing
After an extraordinary closing the Orders stored in Genium INET normally remain there. In the
event that an Order/s must be placed again, the Exchange will provide notice thereof.
Trading Suspension
After a trading suspension the Orders stored in Genium INET are normally removed. In the event
that Orders will remain in the Order Books, the Exchange will provide notice thereof.
Genium INET Market Model
20 20
5
EXPIRATION CYCLES AND LISTING OF SERIES
NASDAQ OMX Derivatives Markets is listing new expiration months according to appendix 2
(Quotation List) in the Rules and Regulations of NASDAQ OMX Derivatives Markets. For further
information see www.nasdaqomx.com/nordicrules.
LISTING OF NEW EXPIRATION MONTHS
When a new expiration month is about to be listed the new Series will be available for trading on
the Monday in the expiration week.
SERIES LISTED
The Quotation List states for how many Series that shall be listed per expiration month in
respective Market and also the Strike Price interval and if there is a difference in the Strike Price
interval depending on remaining Term.
On the Bank Days following the initial listing day new Series are listed in accordance with the
Quotation List if the last transaction price in the Contract Share exceeds the second highest or is
less than the second lowest listed Exercise Price.
6
TRADE REPORTING
Trades matched outside the Exchange shall be reported to the Exchange as soon as possible
(main rule: not later than 5 minutes after the trade took place) in accordance with the NASDAQ
OMX Derivative Market Rules and Regulations. Time of agreement is a field that states when the
trade was agreed upon. The field is optional.
For Trade Reporting during sessions, see Appendix G – Order management, Trade reporting
and events during sessions.
Trades matched outside normal opening hours need to be reported / published as soon as
possible. These trades need to be reported via telephone to the Exchange.
Trade reports cannot be made via the Member’s electronic connection if the number of contracts
exceeds 100.000.
When reporting a trade the following trade report types and trade types are available.
ONE-PARTY TRADE REPORTS
Members are able to report each side of a trade for matching by the Exchange. When both
parties have reported their side of the trade and the required data matches, matching will occur.
TWO-PARTY TRADE REPORTS
One member is able to report both sides of a trade (internal crossing) when both buyer and seller
are represented by the same member firm.
Genium INET Market Model
21 21
MULTI-LEG TWO-PARTY TRADE REPORTS
A multi-leg Two-Party Trade Report makes it possible to enter a trade report for a combination of
Instruments, where 2 up to 10 individual Instruments along with their prices can be entered in
one transaction.
The multi-leg Trade Report is only supported as a Two-Party Trade Report.
UNMATCHED TRADE REPORTS
Members or the Exchange can cancel unmatched Trade Reports. Else, unmatched Trade
Reports will be cancelled by the system at the end of the trading day (day of entry of this report).
DEFERRED PUBLICATION
For trades matched outside the Exchange, waivers from the principle of immediate publication of
a reported trade is allowed if
 the trade meets the number of contracts according to the Minimum qualifying number of
contracts in a transaction criteria set in the rules and regulations;
 the trade is made between a client and a members own account; and
 the trade exposes the Member to a price risk.
A request can be made for a trade to be deferred until end of trading day on an incoming trade
report when using the trade report type BT (Block Trade).
NB! The trade will be published immediately if the trade size is not eligible for deferred
publication, or if the deferred publication option is not selected on the trade report type.
For the minimum number of contracts qualifying the trade for deferred publication, see appendix
12 (Deferred publication) in the Rules and Regulations of NASDAQ OMX Derivatives Markets at
www.nasdaqomx.com/nordicrules.
Genium INET Market Model
22 22
6.1
TRADE REPORT TYPES
The following Trade Types are supported for Manual Trades:
TRADE REPORT TYPES DESCRIPTION
Name
ST
STOS
OHT
BT
EGT
BTX
BTXO
EGLT
FLCN
Description
Standard Trade
Standard Trade,
Outside Spread
Off Hours Trade
Block Trade
Exchange Granted
Trade
Exchange Grated
Trade, exceeding
Maximum Lot Size
Exchange Grated
Trade, exceeding
Maximum Lot Size, Off
Hours
Exchange Granted
Trade, Late reported
Flexible Contracts
Conversion
Operation
Electronically/Phone
Electronically/Phone
OMnet ext_t_state_c
0
101
FIX TrdType (828)
0
1001
Electronically/Phone
Electronically/Phone
Electronically/Phone
107
108
102
1007
1008
52
Phone
105
2105
Phone
106
1006
Phone
103
2103
Phone
109
1309
TRADE REPORT TYPES DEFINITIONS
Trade report type
ST - Standard Trade
STOS - Standard Trade Outside Spread
OHT - Off Hours Trade
BT - Block Trade
EGT – Exchange Granted Trade
BTX - Exchange Granted Trade, exceeding Maximum Lot
Size
BTXO - Exchange Granted Trade, exceeding Maximum
Lot Size, Off Hours
EGLT - Exchange Granted Trade, Late reported
FLCN
Genium INET Market Model
Definition
The agreed price shall, at the moment of Registration, be
within or at the current BBO.
The agreed price is outside the current BBO but has been
within or at the current BBO during a period of 5 minutes
prior to the trade report.
Shall be used when continuous trading is not proceeding if
the agreed price is outside the current BBO and has not
been within or at the current BBO during a period of 5
minutes prior to the application for Registration or if the price
has been within or at the BBO during the current trading day
– or if the agreed price is fair depending on the market
conditions.
Minimum size is 1.000 contracts and if the agreed number of
contracts equals or exceeds the relevant level, the trade is
deferred and published in transition to End-of-Trading if
reporting members choose deferred publication. If not the
trade is immediately published at the time of reporting.
The agreed price is outside the current BBO and has not
been within or at the current BBO during a period of 5
minutes prior to the application for Registration. However the
price must have been within or at the BBO during the current
trading day.
The agreed number of contracts exceeds the maximum lot
size (currently 100.000). Trade is deferred and published in
transition to End-of-Trading if reporting members choose
deferred publication. If not the trade is immediately published
at the time of reporting.
The agreed number of contracts exceeds the maximum lot
size (currently 100.000) and it is reported after continuous
trading on the same day. Trade is immediately published at
the time of reporting.
Refers to trades from a previous date that by mistake was
not reported on the trading day. In order to get a registration,
Trading Surveillance must be contacted, via telephone, with
a motivation to seek for approval.
Used for the conversion of a member’s position in a flexible
contract into a contract in an exchange listed (=
standardized) instrument. Such conversion can be performed
by Nordic Operations if both parties to the trade request that
and the flexible contract have become identical with the
terms and conditions of an exchange listed contract. The
23 23
price and volume of the original Flexible Contract will be
used when registering the new transaction. The trades
registered with FLCN will not be sent out in the market data
feeds, nor will the High, Low, Last –statistics be updated.
For details regarding Trade Information see Appendix C – Trade Statistics.
Genium INET Market Model
24 24
7
ORDER TYPES, VALIDITY AND PRIORITY
Outlined below are the order types and conditions available for Nordic equity derivatives in
Genium INET. Each order must be placed with a valid quantity, Order Type and Time-in-Force
condition. In case of a Limit Order, a valid limit price is also mandatory. Reserve and Triggering
conditions are voluntary. It’s not possible to use more than one Triggering condition per order.
Orders cannot be placed if the quantity of the order exceeds 50 000.
For allowed Order management during different sessions, see Appendix G – Order
management, Trade reporting and events during sessions.
Allowed order types and conditions
SSO
X
X
X
X
X
Stop
X
X
X
X
X
X
X
Reserve
X
X
X
X
X
X
X
FOK
X
X
X
X
X
X
X
FAK
X
X
X
X
X
X
GTS
X
X
X
X
X
X
GTC
X
X
X
X
X
X
X
GTD
X
X
X
X
X
GFD
X
X
X
X
X
MTL
X
X
X
X
X
X
X
MKT
LMT
Index Fut
Index Opt
Stock Fut
Stock Opt
SE IXF*
Fut Cbo**
TMC***
X
X
X
*SE IXF = Swedish Index Futures
**Fut Cbo =Index Futures Time Spread & Strip Combinations
***TMC = Tailor Made Combinations
7.1
ORDER TYPES
LIMIT ORDER (LMT)
A Limit Order is an Order, to sell or buy, at a maximum purchase price or minimum selling price.
If not fully matched, it is stored in the Order Book in descending buy-price order or ascending
sell-price order and joins the queue of orders having the same price according to time priority.
If the price specified by a limit price is not valid according to the allowed tick sizes, it will be
rejected. It will only execute at prices equal to or more generous than its specified limit price.
Stored (during continuous trading) Limit Orders are valid, and new such Limit Orders can be
placed during Call Interaction.
Limit Orders can be accepted in part or in its entirety.
In Order Books participating in the Post Trade session, stored Limit Orders will be cleared from
the Order Books before the Post Trade session starts.
Genium INET Market Model
25 25
MARKET ORDER (MKT)
A Market Order is an Order to sell or buy at the best available price and is therefore entered
without a price. The Time in Force for a Market Order is always Fill-or-Kill or Fill-and-Kill. Any
remaining quantity will be cancelled.
Note that a Market order will trade through the Order Book until the entire quantity is filled.
No Market Orders with the Time in Force, FOK, can be placed during Call Interaction.
Market Orders are not valid in the Post Trade session.
Market Orders with the Time in Force, FAK, can be placed and stored during Call Interaction and
participates at EP and if any quantity remains after the Uncross it will be cancelled. If no EP has
been established, these Orders are disseminated without price in the Market-by-Level data.
Market Order is not a valid Order Type in Combinations.
MARKET-TO-LIMIT ORDER (MTL)
Market-to-Limit Order is an Order to sell or buy at the best visible price. The best visible price on
the opposite side of the order book is used to determine the price of the Market-to-Limit Order
and if the Order is partly matched the remainder is converted to a Limit Order priced at match
price. In comparison with a normal Market Order, the Market-to-Limit Order only executes up to
the best visible price level and therefore does not trade through the Order Book.
During the continuous matching session state a Market-to-Limit Order is immediately cancelled if
no match can be executed, e.g. if no Order exist on the opposite side of the market.
Market-to-Limit Orders entered during Call Interaction are treated as Market Orders, participates
in the Uncross at EP and if any quantity remains after the Uncross it will be stored in the Order
Book at the EP. If no EP has been established, these Orders are disseminated without price in
the Market-by-Level data.
Market-to-Limit Order is not a valid Order Type in Combinations.
Genium INET Market Model
26 26
7.2
ORDER PRICE LIMITS
OVERVIEW
Order Price Limit is a Pre-Trade Price deviation check against a reference price meaning that the
price instructions on an incoming order is compared against a reference price and if an order
deviate more than an order book configured parameter, the order will be rejected before it can
execute. Order Price Limits are not activated during auctions.
This functionality is set market wide for all participants and the limits are set by the exchange.
MARKET AND MARKET-TO-LIMIT ORDERS
Market Orders
A Market Order with the time validity Fill-or-Kill will be entirely rejected if the whole order or part of
the order would trade more aggressive than the order-price-limit.
A Market Order with the time validity Fill-and-Kill will be traded with the quantity that is equal to,
or less aggressive than, the order-price-limit. The part of the order that would trade more
aggressive than the limit will be rejected.
Market-to-Limit Orders
A Market-to-Limit Order will be rejected if the matching price is outside the order-price-limit limit.
The best visible price on the opposite side of the order book is used to compare against the
order-price-limit limit. If that price is outside the limit the order will be rejected.
ONE-SIDED PRICE LIMITS
The functionality rejects incoming Buy orders with prices above the Upper Price Limit and Sell
orders with prices below the Lower Price Limit. On the other hand, Buy orders with prices lower
than the Lower Price Limit and Sell orders with prices above the Upper Price Limit are allowed to
enter the system.
REFERENCE PRICE
The price used to decide the Upper and Lower Price Limit. The reference price selection differs
depending on product. Orders and quotes are taken into consideration when defining the BBO
and orders deriving from combinations (“implied-out orders”) are excluded. When using the BBO
for calculating the Reference Price the quality of the BBO is validated. I.e. if the spread is too
wide the BBO is disqualified.
Single stock forwards and futures Index futures and Index and single stock options
Reference Price Rule
The following rule for selecting reference prices is used:
-
Rule:
Genium INET Market Model
27 27
1. The Last Match Price (LMP) is selected as reference price in the selected Series if the
price is at or within Best Bid Offer (BBO).
2. If the LMP is not valid, Arithmetic mean of BBO is selected as reference price.
3. No reference price. (I.e. if no LMP or BBO is available no price limits will be calculated.)
This rule shall be selected for option series, single stock forwards and futures and Index futures.
Combination Order Books Reference Price Rule
The following rule for selecting reference prices is used:
-
Rule:
1. Arithmetic mean of BBO is selected as reference price.
2. If there is no valid BBO available, the arithmetic mean of the implied-in BBO is selected
as reference price
3. No reference price. (I.e. if no BBO or implied-in BBO is available no price limits will be
calculated.)
This rule shall be selected for combination orders
If no reference is established whereby no price limits are active, orders entered in combinations
series are not checked against the Order Price Limit functionality. However, Implied-out orders
deriving from combinations are checked against Order Price Limit in the outright order books with
the exception that a combination order at order entry executes what can be executed and then
potential further implied-out orders are checked against Order Price Limits in the outright order
books and if an impliedbid order has a price above the Upper limit it is rounded off down to the
Upper limit and correspondingly if an implied offer has a price below Lower limit it is rounded off
up to the Lower limit.
Genium INET Market Model
28 28
UPPER AND LOWER PRICE LIMIT
The Upper and Lower Price Limit decide how much the price on an incoming order/quote can
deviate from the reference price before it is rejected.
The Upper limit is calculated as the reference price + allowed deviation and the Lower limit as the
reference price – allowed deviation.
Allowed deviation SEK, NOK and DKK
From Price
Lower Limit
0,000
2,000
10,000
20,000
30,000
Upper Limit
100,0000
1,500
3,000
4,000
5,000
100,0000
1,500
3,000
4,000
5,000
Pr Unit
Percent (%)
Absolute
Absolute
Absolute
Absolute
100,0000
0,150
0,300
0,400
0,500
Pr Unit
Percent (%)
Absolute
Absolute
Absolute
Absolute
1,7500
Pr Unit
Percent (%)
Allowed deviation EUR
From Price
Lower Limit
0,000
0,200
1,000
2,000
3,000
Upper Limit
100,0000
0,150
0,300
0,400
0,500
Allowed deviation VINX
From Price
Lower Limit
0,000
Upper Limit
1,7500
Allowed deviation MAERSK
From Price
Lower Limit
0,000
500,000
1000,000
2000,000
3000,000
Upper Limit
150,000
200,000
400,000
500,000
600,000
150,000
200,000
400,000
500,000
600,000
Pr Unit
Absolute
Absolute
Absolute
Absolute
Absolute
Allowed deviation Combination order books in SEK, NOK and DKK
From Price
Lower Limit
- 999999,000
- 20,000
- 10,000
- 2,000
2,000
10,000
20,000
Upper Limit
5,000
4,500
3,500
2,500
3,500
4,500
5,000
5,000
4,500
3,500
2,500
3,500
4,500
5,000
Pr Unit
Absolute
Absolute
Absolute
Absolute
Absolute
Absolute
Absolute
Allowed deviation in the standardized index future time spread & strip Combination order
books in SEK, NOK and DKK
From Price
- 999999,000
Lower Limit
Upper Limit
3,000
3,000
Pr Unit
Absolute
0,500
0,450
0,350
0,250
0,350
0,450
Pr Unit
Absolute
Absolute
Absolute
Absolute
Absolute
Absolute
Allowed deviation Combination order books in EUR and VINX
From Price
Lower Limit
- 999999,000
- 2,000
- 1,000
- 0,200
0,200
1,000
Genium INET Market Model
Upper Limit
0,500
0,450
0,350
0,250
0,350
0,450
29 29
From Price
Lower Limit
2,000
Upper Limit
0,500
0,500
Pr Unit
Absolute
600,000
550,000
450,000
350,000
250,000
350,000
450,000
550,000
600,000
Pr Unit
Absolute
Absolute
Absolute
Absolute
Absolute
Absolute
Absolute
Absolute
Absolute
Allowed deviation Combination order books in MAERSK
From Price
Lower Limit
- 999999,000
- 3000,000
- 2000,000
- 1000,000
- 500,000
500,000
1000,000
2000,000
3000,000
Genium INET Market Model
Upper Limit
600,000
550,000
450,000
350,000
250,000
350,000
450,000
550,000
600,000
30 30
7.3
TIME-IN-FORCE CONDITIONS
GOOD-FOR-DAY ORDERS (GFD)
GFD orders (also known as day orders) are valid for a trading day and any unexecuted portion is
cancelled at the end of the business day.
Orders in the Index futures are also valid during the Call Auction.
GOOD-TILL-CANCELLED (GTC)
GTC Orders are valid until it is cancelled and at the longest until the Expiration of the Series in
question. If the Order is not matched during the day it will be inserted again in the order book the
next morning when the system opens. The GTC orders will retain their original chronological
order based on original entry time into the system.
GTC orders in the Index futures, apart from combination orders, are also valid during the Call
Auction.
GTC orders in the Index futures, including combination orders in the standardized index futures
time spreads, are also valid during post-trade.
GOOD-TILL-DATE (GTD)
GTD orders are valid until a specified Date in the future. If the Order is not matched during the
day it will be inserted again in the order book the next morning when the system opens. The Date
orders will retain their original chronological order based on original entry time into the system.
GTD Orders in the Index futures, apart from combination orders, are also valid during the Call
Auction.
GTD orders in the Index futures, including combination orders in the standardized index futures
time spreads, are also valid during post-trade.
GOOD-TILL-END-OF-SESSION (GTS)
GTS Orders specifies the Session Type until the Order shall remain in effect. The Order will be
cancelled in a transition to a session not included in the current Session type.
FILL-OR-KILL (FOK)
No FOK Orders are stored in the Order Book. If a FOK Order is not matched immediately into
trade(s) in full upon entry, the order is cancelled. FOK Orders can only be used during
continuous trading.
FILL-AND-KILL (FAK)
No FAK Orders are stored in the Order Book during continuous matching. If an FAK Order is not
matched immediately into trade(s) in full or in part upon entry, the remaining part of the order is
Genium INET Market Model
31 31
cancelled. FAK Orders placed during Call Auction will be stored in the Order Book but the
remaining part of the order is cancelled after the Uncross.
7.4
RESERVE CONDITIONS
RESERVE ORDERS
In a Reserve Order (a.k.a. iceberg or hidden volume order), a certain portion (shown volume) of
the total volume of an order is displayed in the Order Book. Both the displayed and nondisplayed portions of the Reserve Order are available for potential execution against incoming
orders.
Reserve orders include an executable quantity that is only partially visible to the market. The
quantity is automatically refreshed from a hidden quantity once the displayed quantity is fully
executed. Refreshing the quantity (there is a time priority among reserve orders when it comes to
refreshing) is regarded as a new order from a time priority point of view, however an incoming
aggressive order will not trade through to the next level until all of the displayed and hidden
quantities available are executed.
Stored (during continuous trading) Reserve Orders are valid, and new such Reserve Orders can
be placed during Call Interaction. Their total quantity is used for the EP calculation and the
uncrossing. Their total quantity is displayed in market by price.
7.5
TRIGGERING CONDITIONS
STOP ORDERS
Stop Orders are only available in Swedish Index futures and only as Good-for-Day Orders. A
Stop Order is an Order that is stored outside the central order book with a price condition that if
triggered automatically places the order into the central order book as a Limit, Market or Marketto-Limit Order. It’s possible to set the price condition different from the Limit Price (if any). A Stop
Order is not visible to the market before it is triggered. Stop Orders are not valid and cannot be
entered during Auctions, however Stop Orders entered during continuous trading can be
cancelled during Auctions. Stop Orders cannot be entered during, and are not valid in, the Post
Trade session. A Stop Order can be one of the following two types:
Regular Stop Order
According to the “buy high – sell low” principle, a buy Order is submitted to the market when the
price for an Instrument rises to a certain level and a sell Order is submitted when the price falls
to a certain level.
Market if Touched Stop Order
According to the “buy low – sell high” principle, a sell Order is submitted to the market when the
price for an Instrument rises to a certain level and a buy Order is submitted when the price falls
to a certain level.
Genium INET Market Model
32 32
A Stop Order triggered by an erroneous trade in Genium INET that is afterwards cancelled or
price adjusted, is regarded as any other order and separately subject to the cancellation and
price adjustment rules of the Exchange.
Price Condition
The Last Match Price (LMP) is used for triggering of Stop Orders. Trade reports and combination
against combination order matching updating Last Paid Prices are not considered to be LMP,
thus they do not cause any triggering. LMP originating from a combination match against outright
orders causes triggering. Stop Orders will not be triggered during Auctions.
Triggering conditions can be one of the following:
 LMP >= Trigger Price
 LMP <= Trigger Price
SESSION STATE ORDERS (SSO)
A Session State Order is an Order that is stored outside the central order book with a session
condition that if triggered automatically places the order into the central order book as a Limit,
Market or Market-to-Limit Order. Triggering of session changes can be used to trigger on the
session Call Interaction in Index futures, i.e. at the next Call auction. The Order is immediately
triggered at Order entry if the condition is fulfilled.
Triggering on the session continuous trading is not valid. However, placing an Order during Call
Interaction that triggers on the continuous trading will not be rejected immediately, it will be
rejected when the condition is fulfilled. I.e. the Order will be rejected in the transition to the
continuous trading session.
Genium INET Market Model
33 33
7.6
COMBINATION ORDERS
Combination order books refer between two and four different Series (“the legs”) that an order
which is placed into such order book (“a combination order”) simultaneously trades if matched.
There are two types of combination order books; pre-defined standardized combinations and
user-defined tailor made combinations.
Combination order books are integrated with the order books of the individual leg series and as
such combination orders can either match within the combination order book, or against outright
orders and quotes (“implied-in matching”) in the individual order books of the legs. If possible the
matching engine of Genium INET creates and publishes implied-out orders in the individual order
books of legs with a ratio of 1. The central system also supports implied-out matching of legs with
ratios larger than one, as well as implied-in matching although no such implied orders are
published. Implied-in matching will always be prioritized at order entry before matching within the
combination order book if the implied-in price equals the actual.
PRICING AND QUANTITY
The limit price of a combination order is given as the sum of each leg’s price multiplied by its ratio
relative to the order quantity. For combination bid (ask) orders, the price of a bought (sold) leg is
added, and the price of a sold (bought) leg is subtracted.
This means that the limit price of a combination order is a positive value when
 the user is placing a bid and is willing to pay; or
 the user is placing an offer and wants to be paid; and
a negative value when
 the user is placing an offer and is willing to pay; or
 the user is placing a bid and wants to be paid.
The quantity of a combination order reflects how many units of the combination it will trade if
matched. One unit of a combination trades one times the ratio of each leg. E.g. if the combination
bid order buys one “A” and sells one “B”, then a combination order quantity of 10 will if fully
matched buy 10 “A”, and sell 10 “B”.
IMPLIED ORDERS AND MATCHING
Implied-out (a.k.a. derived) orders are orders coming out of combinations into outright order
books automatically created and continuously maintained by the matching engine of Genium
INET.
For a combination leg, where possible, the central system uses the best priced outright orders
and quotes in all other legs to calculate a theoretical price needed to trade at in order to execute
one combination unit at the given net order price. Such calculated price will be placed into the
market as an implied-out order and if matched, Genium INET will simultaneously trade the
Genium INET Market Model
34 34
combination order against the outright orders and quotes in all other legs without execution risk.
The implied quantity attached to the theoretical price is the minimum between the combination
order quantity and the outright orders and quotes used as base for the price.
Implied-in matching means matching of a combination order immediately at entry against a price
and quantity coming into the combination out of outright orders and quotes.
Implied-out orders will if possible be re-generated during aggressive matching. Such regenerated implied order is regarded as a new order from a time priority point of view. This means
that an incoming outright order will not trade through to the next price level until all volume
available from combination orders with generated implied-out orders have been executed.
Orders implied off-tick
Implied-out orders calculated at a price which is not a valid tick in the outright Order Book are
always rounded off to the nearest worse applicable price according the tick-size table. When an
aggressive order hits such rounded off implied order, the trade will take place at the actual price.
I.e. implied-out order are created at their actual price, but published in the order book according
to the tick-size table for the order book. This means that it is possible that incoming orders will be
matched at a better price than what is visible in the order book at entry.
Restrictions to implied order creation
 Implied-out orders are not created, if according to the Order Price Limits, the bid price is
below the Lower Price Limit or if the ask price is above the Upper Price Limit.
 Implied-out order that have a quantity restriction (leg ratio > 1) will be created by the
matching engine of Genium INET and receive a time stamp for time prioritization. It will
however not be published in the order book.
 Implied-out orders are not created if the base is already fully committed to another
combination.
 During special circumstances a combination may not be executed even though a
possibility exists. See Appendix E – Prohibited combination matching.
 Implied-out orders are not created based on other implied orders, but combination orders
can execute against implied orders if possible.
STANDARDIZED COMBINATIONS
Standardized combinations are pre-defined combination order books automatically created by
the Exchange. At all times, two time spread combinations are available for futures on the indexes
OMXS30, OMXC20CAP, OMXO20 and VINX30 so that when buying (selling) the first
combination, one buys (sells) the second month, sells (buys) the first, and when buying (selling)
the second combination, one buys (sells) the third month, sells (buys) the second.
At all times, one futures time spread combination for OMXSB (second month/first month) is also
available.
Genium INET Market Model
35 35
E.g. bid 0.95 for 25 lots in the OMXS30 December/November time spread is an order with
combination terms to buy up to 25 futures contracts of the December expiry, and simultaneously
sell as many contracts of the November expiry. The individual leg prices are not specified, and
will if matched be selected by the Exchange based on the combination net price. I.e. the price on
the bought December futures minus the price on the sold November may not exceed 0.95. It’s
possible to match such combination order in part but when matched the order will always sell as
many November futures as it buys December.
For futures on the OMXS30DVP index, at all times the below combinations are available:
 two time spreads so that when buying (selling) the first combination, one buys (sells)
the second year, sells (buys) the first, and when buying (selling) the second
combination, one buys (sells) the third year, sells (buys) the second;
 one time spread so that when buying (selling) the combination, one buys (sells) the
third year, sells (buys) the first;
 two strips so that when buying (selling) the first combination, one buys (sells) the
second and first years, and when buying (selling) the second combination, one buys
(sells) the third and second years; and
 one strip so that when buying (selling) the combination, one buys (sells) all three
years.
TAILOR MADE COMBINATIONS
The Tailor Made Combination (TMC) functionality supports the creation of user-defined
combination order books in in Genium INET. The creation of a TMC order book is initiated by
members which submits a request specifying the leg Series to be traded, their ratios relative to
the combination order quantity and for each leg their relative sides to the combination order (as
defined or opposite). Such TMC order book is allowed to have up to four legs and each leg’s
allowed ratio relative to the order quantity may be between one and four. It’s neither possible to
combine instruments with different currencies or contract size, nor is it possible to combine single
stock with index instruments. It’s however possible to combine single stock Series with different
underlying shares as long as they meet the former criteria (e.g. buy options on Volvo B, sell
options on Sandvik).
Requests to create a new TMC order book can be submitted via order entry interfaces during
open hours. The Exchange evaluates such request and either creates the order book according
to the market standard which might involve re-sorting of the legs, or simply communicates back
an already existing order book, meeting the submitted criteria. The Exchange will always sort
legs for new TMC order books accordingly:
1. Product type (forward before future before call option before put option)
2. Expiry (longer lifetime before shorter)
Genium INET Market Model
36 36
3. Most expensive (Call: lower strike before higher, Put: higher strike before lower, Equity/
Forward/Future: N/A)
Also, the Exchange will always create the first leg’s side as defined. This is an important aspect
for members to consider for order entry as it means that a combination can be created reversed
compared to the submitted request.
Once a TMC order book has been created, all market participants are notified and full order
management is immediately supported.
Genium INET Market Model
37 37
7.7
ORDER MODIFICATION
The priority of a stored order is retained if the volume (shown and or hidden) is reduced, if the
time validity is changed and if the fee text pass through fields are changed. Other changes such
as increase of the quantity or change of the price is equivalent to cancellation of the Order and
the placing of a new Order.
7.8
RANKING OF ORDERS
The main rule for ranking of Orders is based firstly upon best price/net price and secondly by the
longest storage time.
Exception 1: An Order which would have had higher ranking according to the main rule but is
preventing Exchange Transactions which otherwise could take place of an Order with
Combination Terms can be by-passed provided that the Orders included in the Combination
Term has different ratios. Only Orders which do not exceed three contracts can be by-passed.
See Appendix D – Ranking of orders and price triggering.
Exception 2: An implied-out order which would have had higher ranking according to the main
rule but is preventing execution which otherwise could take place of an Order can be by-passed
provided that two passive and different combination orders are involved. Only implied-outs, in
Series also common to two passive combination orders with different terms, can be by-passed.
See Appendix D – Ranking of orders and price triggering.
The storage time for implied-out orders is the same as for the combination order from which it is
derived. If the derived Order is regenerated and the volume is increased due to an increased
volume in the base, it receives a new time stamp.
NB! In cases where the possibility exists for execution between two Orders with combination
terms, the transaction shall be executed provided that the transaction cannot be executed
against Limit Orders without combination terms upon the same or better terms.
During Auctions, Market Orders are ranked as aggressively priced Limit Orders. Please note that
this means that Market Orders are always ranked ahead of priced Orders.
7.9
TICK SIZES
The tick size is the smallest allowed price movement and is thereby also the smallest possible
difference between the buy and sell price in an Instrument. For detailed information on applicable
tick sizes per product, see Appendix A – Tick Sizes.
Genium INET Market Model
38 38
7.10 REQUEST FOR QUOTE
The Request For Quote (RFQ) functionality allows members to request a one- or two-sided
quote to the central order book of a specified instrument. Such RFQ can be submitted with or
without an indicative quantity attached to it. Once submitted, a RFQ is visible to the entire market
and all market participants can respond to it with single orders or quotes in the applicable order
book.
The RFQ functionality is available in order books for
 OMXS30 index options (including binary & weekly);
 Options (including binary & weekly), forwards and futures on Swedish shares;
 Options on exchange traded funds in SEK;
 Options and forwards on Finnish shares and depository receipts on request;
 VINX index options;
 Options and futures on Danish shares;
 OMXC20CAP index options;
 Options (including weekly), forwards and futures on Norwegian shares;
 OMXO20 index options; and
 Tailor Made Combinations.
The RFQ functionality is neither available for outright index futures, nor standardized index
futures combinations.
Genium INET Market Model
39 39
8
QUOTES
Market Makers are offered quoting capability.
8.1
SINGLE QUOTES
Quoting is provided in one Series by a special type of transaction that includes both a bid and
offer with corresponding prices and quantities. Price quotation can be single-sided or two-sided,
i.e. the bid or offer or both the bid and offer can be provided in one transaction.
8.2
MASS QUOTES
Mass Quotes are supported to provide quoting in up to 37 Series in the same underlying using
one transaction including both bids and offers with corresponding prices and quantities. Mass
quotes can be single-sided or two-sided, i.e. the bids or offers or both the bids and offers can be
provided in one transaction.
8.3
REPLACING QUOTES – LOSING PRIORITY
A previous quotation can be replaced by a new quotation in the same order book (it is possible to
replace only one side with the other retaining its priority). This is done in an automatic manner to
enable market makers to provide continuous quotes. Replacing and changing quotes always
leads to lost priority.
9
CONNECTIVITY AND PROTOCOLS
9.1
TRADING
Genium INET offers two interfaces for Trading; the OMnet API and the FIX protocol. The
supported functions per protocol are outlined below.
Function
Order entry & mgmt.
Trade reporting
Single quotes
Mass quotes
RFQs
MM Protection
Trade drops
9.2
OMnet
X
X
X
X
X
X
X
FIX
X
X
X
X
MARKET DATA AND TRANSPARENCY
Market Data is available directly from Genium INET via two protocols; OMnet and ITCH. Market
Data is also available from the Genium Consolidated Feed via the TIP protocol.
Market Transparency is different throughout the trading day, depending on Trading Session and
Protocol. See Appendix F – Market transparency.
Genium INET Market Model
40 40
APPENDIX A – TICK SIZES
Market
segment
Danish stock
Danish index
Options
Price
interval
< 0.10
0.10 - 1.0
1.0 - 4.0
> 4.00
Maersk
< 0.10
0.10 – 4.00
> 4.00
Finnish stock
Norwegian
stock
Norwegian
index
Swedish stock
Swedish index
OMXS30DVP
index
Euro index
Tick size
0.01
0.10
0.25
0.50
25
0.01
0.05
0.25
0.01
< 0.25
0.25 – 4.00
4.00 – 8.00
> 8.00
< 0.25
0.25 – 4.00
4.00 – 8.00
> 8.00
< 0.10
0.10 – 4.00
> 4.00
< 0.10
0.10 – 4.00
> 4.00
0.01
0.05
0.10
0.25
0.01
0.05
0.10
0.25
0.01
0.05
0.25
0.01
0.05
0.25
< 0.10
0.10 – 4.00
> 4.00
0.01
0.05
0.10
Futures/Forwards
Binary options
Weekly Options
Price
interval
< 0.10
0.10 – 4.00
> 4.00
Tick size
Tick size
Price
interval
Tick size
Maersk
< 0.10
> 0.10
25
0.01
0.05
< 0.25
0.25 – 4.00
4.00 – 8.00
> 8.00
0.01
0.05
0.10
0.25
< 0.10
0.10 – 4.00
> 4.00
< 0.10
0.10 – 4.00
> 4.00
0.01
0.05
0.25
0.01
0.05
0.25
0.01
0.05
0.25
0.01
0.01
< 1000
> 1000
< 0.10
0.10 – 4.00
4.00 – 50.00
> 50.00
>0
0.10
0.25
0.01
0.01
0.01
0.05
0.10
0.25
0.01
0.01
0.10
All standardized combinations order books have the same tick sizes tables as their individual leg
Series except for the OMXS30 futures time spreads, which have a constant tick size of 0.05.
Tailor Made Combination order books have a constant tick size of 0.01.
Genium INET Market Model
41 41
APPENDIX B – SETTLEMENT PRICES
DAILY SETTLEMENT PRICES FOR INDEX FUTURES
The front month
The settlement price is equal to the Last Paid Price if the Last Paid Price is at or within the
closing BBO. If the Last Paid Price is outside the closing BBO the average of the BBO is used
given that both a bid and ask price exist. If there is no closing BBO the settlement price is the
theoretical futures price calculated using the index closing level.
In the daily settlement price calculation, the first month is considered to be the front until the
expiration day. On the expiration day of the first month, the second month is considered to be the
front.
Other months
The settlement price is the theoretical futures price calculated using the index closing level.
DAILY SETTLEMENT PRICES FOR INDEX DIVIDEND FUTURES
The settlement price is equal to the Last Paid Price if the Last Paid Price is at or within the
closing BBO. If the Last Paid Price is outside the closing BBO the average of the BBO is used
given that both a bid and ask price exist. If there is no closing BBO the settlement price is the
theoretical futures price calculated using confirmed or estimated dividends for the index
constituents.
DAILY SETTLEMENT PRICES FOR SINGLE STOCK FUTURES
The settlement price is the theoretical futures price calculated using the closing price of
underlying shares.
FINAL SETTLEMENT PRICES FOR INDEX DERIVATIVES
The final settlement price for OMXS30, OMXSB, OMXC20CAP, OMXO20 and VINX30 index
derivatives is the index VWAP. The final settlement price for futures on the OMXS30DVP index is
the index closing value end of the expiration day.
FINAL SETTLEMENT PRICES FOR SINGLE STOCK DERIVATIVES
The final settlement price for single stock derivatives is the closing price of the underlying shares
on the expiration day.
Genium INET Market Model
42 42
APPENDIX C – TRADE STATISTICS
ELECTRONICALLY MATCHED TRADES
Electronically matched trades update:
 Last price
 Last quantity
 High
 Low
 Open price
 Turnover
 Open Interest
REPORTED TRADES
ST - Standard Trade
 Updates:
 Last price
 Last quantity
 High
 Low
 Open price
 Turnover
 Open Interest
 Last Trade Report price
 Last Trade Report quantity
STOS - Standard Trade, Outside Spread
Updates:
 High
 Low
 Turnover
 Open Interest
 Last Trade Report price
 Last Trade Report quantity
Genium INET Market Model
43 43
OHT - Off Hours Trade
Updates:
 Turnover
 Open Interest
 Last Trade Report price
 Last Trade Report quantity
BT - Block Trade
Updates:
 High
 Low
 Turnover
 Open Interest
 Last Trade Report price
 Last Trade Report quantity
EGT- Exchange Granted Trade
Updates:
 High
 Low
 Turnover
 Open Interest
 Last Trade Report price
 Last Trade Report quantity
BTX - Exchange Granted Trade, exceeding maximum lot size
Updates:
 High
 Low
 Turnover
 Open Interest
 Last Trade Report price
 Last Trade Report quantity
Genium INET Market Model
44 44
BTXO - Exchange Granted Trade, exceeding maximum lot size After Hours
Updates:
 Turnover
 Open Interest
 Last Trade Report price
 Last Trade Report quantity
EGLT - Exchange Granted Trade, Late Reported
Trade is not published publicly.
FLCN – Flexible Contracts Conversion
Trade is not published publicly
Genium INET Market Model
45 45
APPENDIX D – RANKING OF ORDERS AND PRICE
TRIGGERING
EXCEPTION 1 TO THE MAIN RULE REGARDING RANKING
An outright order which would have had higher ranking according to the main rule but is
preventing execution which otherwise could take place with a combination order can be bypassed provided that the legs in the Combination have different ratios. Only Orders which do not
exceed three contracts can be by-passed. See example below.
Given the following Order Books:
No implied-out order is created in Order Book A (the combo calculates against the best price
level in Order Book B,3@4,5 and that Order is to small).
No implied-out is published in Order Book B since all or none Orders are not allowed, i.e. the
combo has to sell at least 4 contracts or multiples of 4 contracts. The combo can actually sell
40@4,25.
Order Book A
100@16
-
100@18
Order Book B
100@4
3@4,5
-
100@5
Combination Order Book A/B
ratio buying 1 of Order Book A and selling 4 of Order Book B
10/40@1 -
Genium INET Market Model
46 46
An incoming Order to buy 60@4,25 (in green) in Order Book B:
Results in the following trades:
Order Book A, 10 @ 18
Order Book B, 40 @ 4,25
Order Book A
100@16
-
100@18
Order Book B
100@4
60@4,25 3@4,5
-
100@5
Combination Order Book A/B
ratio buying 1 of Order Book A and selling 4 of Order Book B
10/40@1 -
Leaving the resulting Order Books:
The buy Order of 3@4,5 has been by-passed due to insufficient quantity.
Order Book A
100@16
-
90@18
Order Book B
100@4
20@4,25 3@4,5
-
100@5
Combination Order Book A/B
ratio buying 1 of Order Book A and selling 4 of Order Book B
-
Genium INET Market Model
47 47
EXCEPTION 2 TO THE MAIN RULE REGARDING RANKING
An implied-out order which would have had higher ranking according to the main rule but is
preventing execution which otherwise could take place with an outright order can be by-passed
provided that two passive and different combination orders are involved. Only implied-out order,
in Series also common to two passive combination orders with different terms, can be by-passed.
See example below.
Given the following Order Books:
Single orders in black, implied-outs in different colors generated from the combination order
books with corresponding colors. Note that implied-out orders are only based on outright orders
for example; the bid 10@1105,25 in order book C is calculated against 1104 in order book B.
Order Book A
50@1103
- 50@1103,25 10@1103,25
Order Book B
50@1104
10@1104,25 -
50@1104,5
50@1105
Order Book C
50@1105
10@1105,25 -
50@1106,25
Combination Order Book B/A
ratio buying 1 of Order Book B and selling 1 of Order Book A
10@1,25
-
Combination Order Book C/B
ratio buying 1 of Order Book C and selling 1 of Order Book B
10@1,25
Genium INET Market Model
-
48 48
An incoming Order to sell 10@1105,25 in Order Book C:
Results in the following trades:
Order Book C, 10@1105,25
Order Book B, 10@1104
Leaving the resulting Order Books:
Order Book A
50@1103
- 50@1103,25 10@1103,25
Order Book B
40@1104
10@1104,25 -
50@1104,5
Order Book C
50@1105
- 50@1106,25
Combination Order Book B/A
ratio buying 1 of Order Book B and selling 1 of Order Book A
10@1,25
-
Combination Order Book C/B
ratio buying 1 of Order Book C and selling 1 of Order Book B
-
Note that the bid 10@1, in combination C/B is selling at 1104 and not 1104,25 because a
passive combination never trades against another passive combination i/e the LMP will be
outside BBO. The implied-out, 10@1104,25 in order book B was therefore by-passed. This can
only happen in the order book that combination B/A and C/B have in common.
Genium INET Market Model
49 49
APPENDIX E – PROHIBITED COMBINATION
MATCHING
Due to the fact that implied-out orders are not generated if the base is fully committed as the
base to another combination, there are special situations where a combination may not be
executed even though a possibility exists.
If the bases in the combination are already fully committed to other combinations, incoming
orders will not be executed (even though it seems to be possible) towards the combination since
the combination needs a created implied-out order to trigger re-calculation due to changed BBO.
If the combination order is changed (leading to a new order entry) the combination will be
triggered with a re-calculation and if still possible it will be executed.
Any new order sent in to the combination will lead to a re-calculation and if still possible it will be
executed. However if the new combination order has a better price than the blocked combination
order, that order will be executed first.
Genium INET Market Model
50 50
APPENDIX F – MARKET TRANSPARENCY
OMNET
Type of Data
- Market-by-Order
No-matching
Not disseminated in real time.
Anonymous full Order Depth
of stored orders with their
shown quantity retrieved if
queried.
Five best price levels with
aggregated shown quantity.
Auto-match
Not disseminated in real
time. Anonymous full Order
Depth of stored orders with
their shown quantity retrieved
if queried.
Five best price levels with
aggregated shown quantity.
- Equilibrium Data
N/A
N/A
Public Deal Information
(Trade Ticker)
Trade Reports disseminated
on a trade-by-trade basis.
Trade Reports and
electronically matched trades
disseminated on a trade-bytrade basis.
Type of Data
- Market-by-Order
No-matching
Anonymous full Order Depth
of stored orders with their
shown quantity disseminated
in real time.
Auto-match
Anonymous full Order Depth
of stored orders with their
shown quantity disseminated
in real time.
- Market-by-Level
- Equilibrium Data
No
N/A
No
N/A
Public Deal Information
(Trade Ticker)
No
Electronically matched trades
disseminated on a trade-bytrade basis.
- Market-by-Level
Call Auction
No.
Five best price levels with
aggregated shown and
hidden quantity. All orders
priced at or better than the
EP are included in the first
price level.
EP and aggregated shown
and hidden equilibrium
quantity. Bid or ask price of
surplus that will remain in the
order book after the Uncross.
Surplus quantity that will
remain in the order book after
the Uncross.
Trade Reports disseminated
on a trade-by-trade basis,
uncross trades at session
transition.
ITCH
Genium INET Market Model
Call Auction
No order depth disseminated
during Call Interaction.
Anonymous full Order Depth
of stored order with their
shown quantity disseminated
once uncrossed.
No
EP and aggregated shown
and hidden equilibrium
quantity on bid and ask side.
Uncross trades at session
transition.
51 51
TIP
Type of Data
- Market-by-Order
No-matching
Not disseminated in real time.
Anonymous full Order Depth
of stored orders with their
shown quantity retrieved if
queried.
Five best price levels with
aggregated shown quantity.
Auto-match
Not disseminated in real
time. Anonymous full Order
Depth of stored orders with
their shown quantity retrieved
if queried.
Five best price levels with
aggregated shown quantity.
- Equilibrium Data
N/A
N/A
Public Deal Information
(Trade Ticker)
Trade Reports disseminated
on a trade-by-trade basis.
Trade Reports and
electronically matched trades
disseminated on a trade-bytrade basis.
- Market-by-Level
Genium INET Market Model
Call Auction
No.
Five best price levels with
aggregated shown and
hidden quantity. All orders
priced at or better than the
EP are included in the first
price level.
EP and aggregated shown
and hidden equilibrium
quantity. Bid or ask price of
surplus that will remain in the
order book after the Uncross.
Surplus quantity that will
remain in the order book after
the Uncross.
Trade Reports disseminated
on a trade-by-trade basis,
uncross trades at session
transition.
52 52
APPENDIX G – ORDER MANAGEMENT, TRADE REPORTING AND EVENTS DURING
SESSIONS
INDEX DERIVATIVES
EMP
Pre-Open
EMP
Call
Interaction
EMP
Continuous
Trading
EMP
Call
Interaction
EMP
End of
Trading
EMP
Statistics
EMP Day
Orders are
cleared
Genium INET
session state
PREOP
CLIN
OPEN
CLIN
EOTRD
STATS
Type
No matching
Auction
Auto-match
Auction
No matching
Order management
Futures
Delete
Full
Full
Full
Order management
Options
Delete
Delete
Full
Order management
Combos
None
Delete
Trade Reporting
(trade report types)
Electronically
Trade Reporting
(trade report types)
Phone
At Transition
EGLT
EGLT
CLEAR
EMP
Post-Trade
Index
futures
POSTR
EMP
Terminating
business
day
TRMBD
EMP
Electronic
Market Place
Closed
EMPC
No matching
No matching
Auto-match
No matching
No matching
None
None
None
Full
None
None
None
None
None
None
Delete (long)
Orders
None
None
Full
Delete
None
None
None
None
None
None
ST, STOS,
BT, EGT,
OHT
OHT
OHT
None
OHT
OHT
ST, STOS,
BT, EGT,
BTX, EGLT
Uncross CLIN
OHT,
BTXO,
EGLT
OHT, BTXO,
EGLT
OHT, BTXO,
EGLT
None
OHT, BTXO,
EGLT
OHT, BTXO,
EGLT
Uncross
CLIN
Release of
Deferred
Trades
End of trade
Statistics
Automatic
delete of
Day Orders
Genium INET Market Model
Settlement
Prices
(~17:40)
53 53
OHT, BTXO,
EGLT (until
19:00 CET)
Final Turnover &
Open Interest
(~19:25)
SINGLE STOCK DERIVATIVES
EMP
Pre-Open
EMP
Continuous
Trading
EMP
End of
Trading
EMP
Statistics
Genium INET
session state
PREOP
OPEN
EOTRD
Type
No matching
Auto-match
Order management
Futures & Options
Delete
Order management
Combos
None
Trade Reporting
(trade report types)
Electronically
Trade Reporting
(trade report types)
Phone
At Transition
EGLT
STATS
EMP
Terminating
business
day
TRMBD
EMP
Electronic
Market Place
Closed
EMPC
No matching
No matching
No matching
No matching
Full
None
None
None
None
Full
None
None
None
None
ST, STOS,
BT, EGT
OHT
OHT
OHT
ST, STOS,
BT, EGT,
BTX, EGLT
OHT, BTXO,
EGLT
OHT, BTXO,
EGLT
OHT, BTXO,
EGLT
Release of
Deferred
Trades
End of trade
Statistics
Settlement
Prices
(~17:40)
Genium INET Market Model
OHT, BTXO,
EGLT (Until
19:00 CET)
Final Turnover
& Open Interest
(~19:25)
54 54