GENIUM INET MARKET MODEL

Transcription

1 GENIUM INET MARKET MODEL NASDAQ OMX Derivatives Markets NORDIC EQUITY DERIVATIVES

2 REVISION HISTORY Date Revision Change Description April 8, Initial version for NASDAQ OMX Derivatives Markets April 29, Changes made in step 3 under section Calculation of EP, and section Fill-or-Kill under section Time in Force. May 10, Clarification regarding the calculation of EP price in section Calculation of EP. June 7, Clarification of hidden orders in call interaction, see section Call Interaction. September 17, Changes: Stop Orders will only be available in Swedish index futures 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 Pricing combinations (new section) Derived Orders, baits (new section) Regeneration of baits during aggressive matching (new section) Restrictions to bait 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) October 11, Call Interaction, clarification regarding Stop Orders Stop Order, clarification regarding Call Interaction and Price triggering Price triggering, clarification regarding Stop Orders 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 October 18, Stop Order, reference added 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, Stop Order, clarification regarding Stop Orders triggered by erroneous transactions 9 Updated Quotation lists due to changed rules regarding Series generation April 4, Changes valid as of April 4, Introduction of an Opening Call Auction on Index futures. Extension of the Call Interaction phase in the Closing Call Auction from seconds to seconds. 3.1 and 3.2 Changes of trading hours and schedules due to the changes on April 4, , 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 Triggering on Session changes. The only available session to trigger on will be Call Interaction for Index futures. August 31, Trade types. Changed procedures when reporting EG2. Genium INET Market Model 2

3 Date Revision Change Description November 14, Clarification Call Interaction and Call Interaction. Description of market transparency moved to section Calculation of EP Market-to-Limit Order Bait Orders Dissemination of Bait Orders New sections 9 and appendix G Description of Connectivity and Protocols April 2, Appendix B, Change of Danish tick sized for single stock options and futures June 15, Removal of Russian and Baltic derivatives Changed MPS accessibility hours August 6, Changed trading hours Norwegian derivatives September 3, Introduction of Weekly options on OMXS30 November 26, and 3.2 New trading schedules Uncross session deleted, allocation moved to transition from CLIN to EOTRD New sessions Deferred publication App. D New Trade Report Types and clarification Clarification, day orders not participating in Post Trade Market orders not valid in POSTR 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 March 25, Order Price Limit. Introduction of a new Price deviation check that prevent Orders with Prices outside an allowed Price range to enter EMP. March 26, Order Price Limit. Allowed deviations updated for options & futures on Maersk. May 6, Changed opening hours for Norwegian Single Stock. 3.1 & 3.2 Corrected time stamps for session state TRMBD. September 3, Section 11 Appendix B. Updated tick size table for Weekly Options. December 9, , 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, and GTC and GTD order are enabled in the two standardized index future time spreads on OMXS and Call auction and Order Price Limit overview Clarification, Order Price Limit is not activated during auctions and and 7.6 Market and Market-to-Limit orders no longer valid for combinations 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 Market and Market-to-Limit orders are validated by Order Price Limit Clarification, the quality of the BBO is validated in order to be used when calculating the reference price New Combination Order Book Reference Price Rule implemented New deviation tables implemented for combination order books Bait 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 January 20, Appendix 10 Quotation list Updated strike generation rules for Swedish Single Stock options 10.1 February 3, 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 February 24, Appendix 10 Updated strike price intervals for Swedish Index, Weekly options and Binary options. Genium INET Market Model 3

4 Date Revision Change Description March 17, 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. DEFINITIONS The official definitions can be found in the Rules and Regulations of NASDAQ Derivatives Markets. BBO Call Call, closing EP EMP FAK FOK GTC GTD LMP Member Order Book Series Time of agreement Best Bid Offer of an Order Book. 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). 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). Equilibrium Price Electronic Market Place; an abbreviation for the Exchange s electronic exchange trading system Genium INET. Fill-and-Kill is a Time-in-force when entering Orders. Fill-or-Kill is a Time-in-force when entering Orders. Good till Cancelled or Expiration Order. Order that is valid until the Expiration of the Series in question. Good till Date. Order that is valid until a specified Date in the future. Last Match Price. An Exchange Member, as defined in the Rules and Regulations. Each tradable Series has an order book in Genium INET for automatching of order and quotes. As defined in the Rules and Regulations. The time that states when the trade was agreed. Can be used at registration of manual trades. Genium INET Market Model 4

5 Time of Trade Execution The time at which an automatically matched trade is matched or a manual trade has been entered. For a manual trade it is the time at which the trade is reported for registration. Uncross VWAP A call ends with an Uncross where price determination and order and trade information dissemination takes place. Volume Weighted Average Price. Used as Expiration-day-fix on Index products. Genium INET Market Model 5

6 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 6

7 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 flex. 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 Error! Reference source not found.. FLEX CONTRACTS The TM (Tailor Made) Clearing service offers market participants the possibility to report flex contracts with non-standardized terms which have been negotiated and agreed bilaterally for clearing. TM Clearing is 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 7

8 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 Options Futures Forwards Binary options Weekly options Danish stock, standardized x x Danish index, standardized x x Finnish stock, on-request x* x Norwegian stock, x x x standardized Norwegian index, x x standardized Swedish stock, standardized x x x x Swedish index, standardized x x x x Pan-Nordic index, x x standardized Danish stock, flex x x x Danish index, flex x x x Finnish stock, flex x x x Norwegian stock, flex x x x Norwegian index, flex x x x Swedish stock, flex x x x Swedish index, flex x x x Pan-Nordic index, flex x x x *Options not listed in group 2 of the Quotation list 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 Genium INET Market Model 8

9 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 PREOP CLIN OPEN CLIN EOTRD STATS CLEAR POSTR TRMBD EMPC session state Danish Stock 08:30 09:00 N/A 09:00 16:55 N/A 16:55 16:57:10 N/A N/A 16:57:40 18:00 C20CAP Index 08:30 08:55 08:55 9:00 09:00 16:55 16:55 15:56:30 16:57:10 16:57:40 16:58:00 17:05:00 18:00 16:57:00 Finnish Stock 08:30 09:00 N/A 09:00 17:25 N/A 17:25 17:27:10 N/A N/A 17:27:40 18:00 Norwegian Stock 08:30 09:00 N/A 09:00 16:20 N/A 16:20 16:22:10 N/A N/A 16:22:40 18:00 OMXO20 Index 08:30 08:55 08:55 9:00 09:00 16:20 16:20 16:21:30 16:22:10 16:22:40 16:23:00 16:30:00 18:00 16:22:00 Swedish Stock 08:30 09:00 N/A 09:00 17:25 N/A 17:25 17:27:10 N/A N/A 17:27:40 18:00 OMXS30 Index 8:30 8:55 08:55 9:00 09:00 17:25 17:25 17:26:30 17:27:10 17:27:40 17:28:00 17:45:00 18:00 17:27:00 OMXSB Index 8:30 8:55 08:55 9:00 09:00 17:25 17:25 17:26:30 17:27:10 17:27:40 17:28:00 17:45:00 18:00 17:27:00 VINX30 Index 08:30 09:00 N/A 09:00 17:25 N/A 17:25 17:27:10 N/A N/A 17:27:40 18:00 Electronic Market Place Closed Genium INET Market Model 9

10 HALF DAY TRADING HOURS, GENIUM INET All times CET Genium INET session state Pre-Open Call Interaction Continuous Trading Call Interaction End of Trading Statistics Day Orders Cleared Post-Trade Terminating business day PREOP CLIN OPEN CLIN EOTRD STATS CLEAR POSTR TRMBD EMPC Danish Stock N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A Electronic Market Place Closed 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 12:56:30 12:57:00 OMXSB Index 08:30 08:55 08:55 9:00 09:00 12:55 12:55 12:56:30 12:57:00 12:57:10 12:57:40 12:58:00 13:15:00 18:00 12:57:10 12:57:40 12:58:00 13:15:00 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 10

11 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 TRADING CALENDAR AND HOLIDAY SCHEDULE Genium INET Market Model 11

12 4 SESSIONS DURING THE TRADING DAY For events during sessions, see appendix I. 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 12

13 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 13

14 CLOSING CALL The Index futures Order Book shifts directly into Call Interaction at the end of Continuous Trading. Call Interaction lasts for at least 90 and at the most 120 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 14

15 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 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 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 In 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 the two standardized index future time spreads on OMXS30. Genium INET Market Model 15

16 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 the two standardized future time spreads on OMXS30 is available while trading in all other Combination 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 Post-trade. 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 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 16

17 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 17

18 5 EXPIRATION CYCLES AND LISTING OF SERIES NASDAQ OMX Derivatives Markets is listing new expiration months according to the Quotation list in the Rules and Regulations of NASDAQ OMX Derivatives Markets. See Error! Reference source not found.. 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 See Error! Reference source not found. for how many Series that shall be listed per expiration month in respective Market. Error! Reference source not found. also shows 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 appendix A 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. 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 I. 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 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 18

19 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 appendix H; 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 in an incoming trade report. NB! The trade will be published immediately if the number of contracts is not sufficient. For classification of underlying s, see Appendix H Deferred publication. Genium INET Market Model 19

20 6.1 TRADE REPORT TYPES The following Trade Types are supported for Manual Trades: TRADE REPORT TYPES DESCRIPTION Name Description Operation OMnet ext_t_state_c FIX TrdType (828) ST Standard Trade Electronically/Phone 0 0 STOS Standard Trade, Electronically/Phone Outside Spread OHT Off Hours Trade Electronically/Phone BT Block Trade Electronically/Phone EGT Exchange Granted Electronically/Phone Trade BTX Exchange Grated Phone Trade, exceeding Maximum Lot Size BTXO Exchange Grated Phone Trade, exceeding Maximum Lot Size, Off Hours EGLT Exchange Granted Trade, Late reported Phone 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 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 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 ). 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 ) 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. For details regarding Trade Information see appendix D. Genium INET Market Model 20

21 SSO Stop Reserve FOK FAK GTS GTC GTD GFD MTL MKT LMT 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 For allowed Order management during different sessions, see Appendix I Order management, Trade reporting and events during sessions. Allowed order types and conditions Index Fut X X X X X X X X X X X Index Opt X X X X X X X X X X Stock Fut X X X X X X X X X X Stock Opt X X X X X X X X X X OMX Fut* X X X X X X X X X X X X Fut Cbo** X X X X X OMX Cbo*** X X X X X X X TMC**** X X X X X 7.1 ORDER TYPES *OMX Fut = OMXS30 Futures **Fut Cbo = Futures Time Spread Combinations ***OMX Cbo = OMXS30 Futures Time Spread Combinations ****TMC = Tailor Made Combinations 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 21

22 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 22

23 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 ( bait 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 23

24 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, Bait 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 bait orders are checked against Order Price Limits in the outright order books and if a Buy bait order has a price above the Upper limit it is rounded off down to the Upper limit and correspondingly if a Sell bait order has a price below Lower limit it is rounded off up to the Lower limit. Genium INET Market Model 24

25 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 Upper Limit Pr Unit 0, , ,0000 Percent (%) 2,000 1,500 1,500 Absolute 10,000 3,000 3,000 Absolute 20,000 4,000 4,000 Absolute 30,000 5,000 5,000 Absolute Allowed deviation EUR From Price Lower Limit Upper Limit Pr Unit 0, , ,0000 Percent (%) 0,200 0,150 0,150 Absolute 1,000 0,300 0,300 Absolute 2,000 0,400 0,400 Absolute 3,000 0,500 0,500 Absolute Allowed deviation VINX From Price Lower Limit Upper Limit Pr Unit 0,000 1,7500 1,7500 Percent (%) Allowed deviation MAERSK From Price Lower Limit Upper Limit Pr Unit 0, , ,000 Absolute 500, , ,000 Absolute 1000, , ,000 Absolute 2000, , ,000 Absolute 3000, , ,000 Absolute Allowed deviation Combination order books in SEK, NOK and DKK From Price Lower Limit Upper Limit Pr Unit ,000 5,000 5,000 Absolute - 20,000 4,500 4,500 Absolute - 10,000 3,500 3,500 Absolute - 2,000 2,500 2,500 Absolute 2,000 3,500 3,500 Absolute 10,000 4,500 4,500 Absolute 20,000 5,000 5,000 Absolute Allowed deviation in the standardized index future time spread Combination order books in SEK, NOK and DKK From Price Lower Limit Upper Limit Pr Unit ,000 3,000 3,000 Absolute Allowed deviation Combination order books in EUR and VINX From Price Lower Limit Upper Limit Pr Unit ,000 0,500 0,500 Absolute - 2,000 0,450 0,450 Absolute - 1,000 0,350 0,350 Absolute - 0,200 0,250 0,250 Absolute 0,200 0,350 0,350 Absolute 1,000 0,450 0,450 Absolute Genium INET Market Model 25

26 From Price Lower Limit Upper Limit Pr Unit 2,000 0,500 0,500 Absolute Allowed deviation Combination order books in MAERSK From Price Lower Limit Upper Limit Pr Unit , , ,000 Absolute , , ,000 Absolute , , ,000 Absolute , , ,000 Absolute - 500, , ,000 Absolute 500, , ,000 Absolute 1000, , ,000 Absolute 2000, , ,000 Absolute 3000, , ,000 Absolute Genium INET Market Model 26

27 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. For combinations, GTC orders are currently only valid in the two standardized index future time spreads on OMXS30. 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 two standardized index future time spreads on OMXS30, 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. For combinations, GTD orders are currently only valid in the two standardized index future time spreads on OMXS30. 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 two standardized index future time spreads on OMXS30, 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 27

28 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 28

29 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 29