Millennium Exchange - Oslo Børs cash equities and fixed income markets. OSLMIT Oslo Børs and Nordic ABM Market Model Fixed Income

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1 Millennium Exchange - Oslo Børs cash equities and fixed income markets OSLMIT Oslo Børs and Nordic ABM Market Model Fixed Income Issue October 2017 Valid as of November 2017/January 2018

2 Important note This document has been produced by Oslo Børs to describe the market model for the Oslo Børs and Nordic ABM fixed income markets. The main body of the document includes generic descriptions of functionality which is available in Oslo Børs implementation of the Millennium Exchange system. The configuration of the markets is included in the separate document OSLMIT Oslo Børs and Nordic ABM Business Parameters Fixed Income. If you have any general queries relating to this document, please Further copies of this document can also be downloaded from the Oslo Børs website at the following link: Disclaimer This document has been prepared on the basis of the best information available. Oslo Børs has taken reasonable efforts to ensure that the information in this publication is correct at the time of publication, but shall not be liable for decisions made in reliance on it. Oslo Børs will seek to provide notice to customers of changes being made to this document, but this notice cannot be guaranteed. Therefore, please note that this publication may be updated at any time. The information contained is therefore for guidance only. This document does not form part of the contractual documentation between the Oslo Børs and its customers. Oslo Børs OSLMIT Oslo Børs and Nordic ABM Market Model Fixed Income 2

3 Change log This document can be updated at any time, and has been through the following iterations: Issue Date Description February 2014 Updated with Millennium Release 8 features: Added Passive Only orders Amendments to Iceberg Orders : optional random replenishment, and replenished Iceberg Orders will be assigned a new public Order ID Added Self Execution Prevention (SEP) Price Differential and Type of Trade will be included in order entry responses for certain segments Added distribution of Average Price February 2014 Added to new segments, OBUL and OMNA (Appendix 2) For each segment, added description on whether orders represent firm or indicative prices (Appendix 2) Removed the maximum expiry time limit on GTT orders (see section 8.2) SEP is defined per User not Trader Group (see section 8.4) Defined term User. Used term User instead of connection (section 8.3.1) October 2014 Amended standard settlement cycle to T November 2014 Changed the name of the low latency market data feed April 2015 Deleted reference to Burgundy (general) and amended name for segment OBRA (appendix 2) Please see OSLMIT Oslo Børs and Nordic ABM Business Parameters Fixed Income v 1.8 for timeline for systems amendments September 2016 Adjusted to Millennium Release 9.1. Added description of RFQ and new segment UNOT. Deleted segments Nordic ABM MTF, OB Telephone, Nordic ABM Telephone November 2016 Added details to description of RFQ. Removed segment UNOT March 2017 Date updated to reflect implementation in production April 2017 Updated for Millennium Release 9.2 (MiFiD II) August 2017 Amended text regarding circuit breakers. Added info on calculation of simulated bid/offer for RFQs. Amended MIC for OTC trades October 2017 Amended text regarding trade cancellations/amendments Please note that only the latest issue of this document will be available from the Oslo Børs website. Details of the changes made in each issue of the document are described in the appendix. Changes from the previous issue of the document are indicated by a left margin bar. Oslo Børs OSLMIT Oslo Børs and Nordic ABM Market Model Fixed Income 3

4 Content OSLMIT Oslo Børs and Nordic ABM Market Model Fixed Income... Feil! Bokmerke er ikke definert. Important note... 2 Disclaimer... 2 Change log... 3 Content Introduction Purpose Readership Document series Other Relevant Documentation Definitions Participant Structure - Users Firm (Member ID) Node User/Trader Group Trader ID Market structure Instrument parameters Liquid vs non-liquid Pre-trade SSTI, Post-trade SSTI, Pre-trade, Pre-trade LIS and Post-trade LIS Pool factor Instrument Trading Status Matching halt Regulatory Suspension (Trading Halt) The Trading Day General Description Circuit breakers Price bands Tick Sizes Settlement currency Lot Size Orders and quotes Oslo Børs OSLMIT Oslo Børs and Nordic ABM Market Model Fixed Income 4

5 11.1 Description of Order Types Description of Quotes Description of Time In Force (TIF) Request For Quote (RFQ) Private RFQ Named vs anonymous Single sided vs dual sided RFQs Responding to an RFQ by registering quote Various validations Other Information Connected with an Order and quotes Auto Cancel Max order value Self Execution Prevention Order Management Order and quote Priority Trades Settlement Dates MIC Trade Cancellations and Amendments Automatic Trades General Price Monitoring Extensions RFQ Trades General Manual Trades Dual Sided Trade Reports Trade Types Reporting Guidelines for Manual Trades for bonds listed on Oslo Børs or Nordic ABM Trade Flags Repo Trades Market information Protocol Closing Price Oslo Børs OSLMIT Oslo Børs and Nordic ABM Market Model Fixed Income 5

6 13.3 Volume and Value for Repo Trades Information Published Calculation of Last Trade Price Calculation of Volume Weighted Average Price Average Price News Indices Appendix 1 - Sessions Sessions Sessions for Order Entry Admin Closing Auction Call Regular Trading Normal book Regular Trading RFQ orderbook Halt Issuing_Buyback Auction Call Issuing_Buyback Special Entry Opening Auction Call Order Entry Post Close Pre Closing Entry Pre-Open Entry Re-Opening Auction Call Session Pre-Trading Sessions for Manual Trade Reports Pre-Trade Reporting Trade Reporting Post Close Halt Appendix 2 Segment and MIC codes Appendix 3 Issue Updates Issue 4.0 Released 10 February Issue 4.1 Released 28 February Oslo Børs OSLMIT Oslo Børs and Nordic ABM Market Model Fixed Income 6

7 Issue 4.2 Released 6 October Issue 4.3 Released 10 November Issue 4.4 Released 21 April Issue 5.0 Released 13 September Issue 5.1 Released 23 November Issue 5.2 Released 27 March Issue 6.0 Released 28 April Issue 6.1 Released 23 August Oslo Børs OSLMIT Oslo Børs and Nordic ABM Market Model Fixed Income 7

8 1. Introduction In November 2012, Oslo Børs migrated its equity and fixed income trading from TradElect/Infolect to Millennium Exchange, a flexible, highly scalable trading platform with ultra-low latency from MillenniumIT, a company in the London Stock Exchange Group. 1.1 Purpose The purpose of this document is to describe the main features of the market model for the Oslo Børs and Nordic ABM Fixed Income markets in the Millennium trading system. 1.2 Readership This document is particularly relevant to trading and technical staff at Oslo Børs member firms, ISVs and vendors and other market participants interested in trading on its markets. 1.3 Document series This document is a part of a series of documents providing a holistic view of full trading and information services available from Oslo Børs on the Millennium Exchange platform. The current series of documents are outlined below: General OSLMIT Oslo Børs Market Model Equities OSLMIT Oslo Børs Business Parameters - Equities OSLMIT Oslo Børs and Nordic ABM Market Model Fixed Income (this document) OSLMIT Oslo Børs and Nordic ABM Business Parameters Fixed Income OSLMIT Oslo Børs Market Model Nibor Oslo Børs Business Parameters Nibor Trading OSLMIT 201 Guide to New Trading System OSLMIT 202 FIX Trading Gateway (5.0 SP2) OSLMIT 203 Native Trading Gateway OSLMIT 204 Post Trade Gateway (FIX 5.0 SP2) OSLMIT 205 Drop Copy Gateway (FIX 5.0 SP2) Market Data OSLMIT 302 FIX/FAST OSLMIT 303 MITCH Gateway OSLMIT 306 FIX/FAST News and Indices Gateway OSLMIT 401 Reference Data OSLMIT Derived Information Guidelines Other OSLMIT 504 Guide to Dress Rehearsals (only relevant to the migration project) OSLMIT 505 Guide to Go-live (only relevant to the migration project) OSLMIT 601 Guide to Trading Services Disaster Recovery OSLMIT 602 Network Guide OSLMIT 604 Technical Parameters OSLMIT 605 Live Environment Connectivity Oslo Børs OSLMIT Oslo Børs and Nordic ABM Market Model Fixed Income 8

9 OSLMIT 606 CDS Environment Connectivity OSLMIT 801 Reject Codes OSLMIT Guide to Decommissioned Services Oslo Børs Record Keeping 1.4 Other Relevant Documentation Technical specifications for Millennium can be found on the Oslo Børs website at the link: The MiFID II Level 2 regulation may be retrieved from Definitions Some terms that will be used throughout the document: Term Direct Market Access (DMA) H/L/LTP Manual trade Sponsored Access (SA) User Description A service provided by a member firm through which a customer is able to submit orders to the trading system under the member firm s trading codes and via the member firm s order management systems, but without manual intervention by the member firm. Highest, Lowest and Last Traded Price Trades in Oslo Børs/Nordic ABM listed securities executed away from the order book (i.e. manual trades) must be reported via Millennium A direct technical connection that enables a non-member firm to access the trading system directly under a member firm s trading codes. Orders submitted in this manner do not pass through the order management systems of the member firm but will pass through the Exchange level controls provided within the trading system to assist the member firms with sponsored access order flow validation. The FIX CompID, e.i. the logon name of a trading connection. One FIX CompID may send orders on behalf of many Trader Groups. Oslo Børs OSLMIT Oslo Børs and Nordic ABM Market Model Fixed Income 9

10 2. Participant Structure - Users Each member s connections to the Millennium Exchange system will be configured at three levels: Firm (Member ID) Node User / Trader Group The drawing below illustrates how the connections are related: Member ID Node FIX Trading GW (CompID) TraderGroup (entered via FIX) Native trading user (TraderGroup) FIX PostTrade user FIX DropCopy user 2.1 Firm (Member ID) A Member ID will be assigned to each member. The Member ID will be unique in the Millennium system. There is no configuration of privileges or technical connectivity at this level. One member may have multiple Nodes connected. 2.2 Node Each Node may be configured with privileges e.g. access to different markets (equities or fixed income or both) or segments, and clearing arrangements. All users which are connected to one node will inherit the privileges defined for that node. However, Oslo Børs will normally assign all trading privileges to each User/Trader Group. 2.3 User/Trader Group Oslo Børs will assign most trading privileges and configurations at the Trader Group level. This includes - Order entry privileges - Order management privileges. Separate Trader Group will be used for giving primary dealers access to restricted order books for issuing and buyback auctions. - Access to private data (orders, trades) - Trade reporting privileges - Clearing arrangements (which CCP to use) - If the Trader Group is a part of an internalization group For a User it is configurable - If the User s orders should be automatically cancelled at disconnect or logout (see section for details) Oslo Børs OSLMIT Oslo Børs and Nordic ABM Market Model Fixed Income 10

11 - If the User is part of a Self Execution Prevention (SEP) Group (see section 10.6 for details) Further details about the participant setup, is included in OSLMIT 201 Guide to New Trading System, see section 1.3. Each member will have to set up their own structure of Trader Groups to suit their needs. The detailed configuration of trader groups and privileges has to be agreed between each member and Oslo Børs as part of enabling the member connections. The detailed configuration of trader groups and privileges has to be agreed between each member and Oslo Børs as a part of enabling the member connections. 2.4 Trader ID The messages to add orders in the Millennium system include a field for Trader ID which is up to 11 characters long.. The field is optional and available for the member s own use. It is strongly recommended that the members include a user id with the orders, because it makes it easier for i.a. Market Surveillance to contact the right person directly when needed Market structure From a business perspective, the Oslo Børs Millennium will consist of three levels: Market: The Oslo Børs market consisting of both Oslo Børs and Nordic ABM. Named OB Fixed Income. Segment: A Segment is a set of instruments where common features apply, how the trading day is configured etc. Segment is formally not a level in Millennium. However, for structural purposes, segment is kept as a parameter to group instruments that trade using a common set of trading parameters. Oslo Børs will for each instrument distribute the segment to which it belongs via the reference data service, please see OSLMIT 401 Reference Data on Instrument: An Instrument is a tradable security. Each Instrument will be linked to a Segment and each Instrument will have a unique InstrumentID 2. If an ISIN is traded in more than one segment, each instance of the instrument will have a unique InstrumentID assigned to it but they will continue to have the same ISIN assigned to them. 3 Orderbook: An instrument may have several orderbooks attached. An instrument may be moved between segments in interday basis. Please note that the technical structure of the instruments and instrument parameters are different from the above. The technical details are described in OSLMIT 201 Guide to New Trading System. 1 In MiFID II it has been proposed to make it mandatory to include the trader ID with all order entries. The status of this proposal is unknown at the time of writing. 2 On FIX this corresponds to tag 48 SecurityID 3 An instrument is assigned to both an order book trading cycle and an off book trading cycle. For instruments having RFQ, a separate trading cycle for the RFQ-book is applied. For instruments that are assigned to more than one trading cycles a trader may register both orders and manual trades and RFQ (depending on instrument). This information is only relevant for technical viewers. Oslo Børs OSLMIT Oslo Børs and Nordic ABM Market Model Fixed Income 11

12 The segments and the Market Identifier Codes (MIC) are included in Appendix 2 Segments and Market Identifier Codes. Oslo Børs OSLMIT Oslo Børs and Nordic ABM Market Model Fixed Income 12

13 4. Instrument parameters 4.1 Liquid vs non-liquid Each instrument will be defined as either liquid or non-liquid. The value for each instrument will be available in reference data file. 4.2 Pre-trade SSTI, Post-trade SSTI, Pre-trade, Pre-trade LIS and Post-trade LIS For each instrument, ESMA will define pre-trade SSTI, post-trade SSTI, pre-trade LIS and post-trade LIS. This governs for example pre- and post-trade transparency. The value for parameter will be available in the reference data files. 4.3 Pool factor For individual bonds, a pool factor may be specified. Pool factor is used when calculation statistics distributed by Millennium. Whether a pool factor is specified will be available in the reference data file. 5. Instrument Trading Status 5.1 Matching halt Market supervision may decide to impose a Matching Halt by changing the instrument status to halt. In this scenario, the instrument will be moved to a Halt session. The instrument halt status will be carried forward to the next trading day, until it is changed by market supervision. When the instrument is in halt status, orders will not be executed and orders may not be added or amended. Similarly, RFQs may not be initiated and any on-going RFQs will be terminated. Members may cancel existing orders, and GTT orders are expired in accordance with their time limit. The reporting of manual trades is not impacted by the instrument halt status. When the instrument status is changed back to active a Re-opening Auction Call for normal book is started if the instrument is scheduled to be in Regular Trading at that point. If the instrument is scheduled to be in another session, it will be moved to that session. 5.2 Regulatory Suspension (Trading Halt) Market supervision may impose a Regulatory Suspension (Trading halt) in an instrument. The following events will take place: - All orders in the instrument are expired - The instrument s status is set to suspended It is not possible to enter any orders in a suspended instrument or initiate a RFQ. Any on-going RFQs will be terminated. However, this status does not impact the entry of manual trades. When the suspension is lifted, the instrument s status will be set to Active and a Re-opening Auction Call for normal book is started if the instrument is scheduled to be in Regular Trading at that point. If the instrument is scheduled to be in another session, it will be moved to that session. 6. The Trading Day 6.1 General Description Oslo Børs OSLMIT Oslo Børs and Nordic ABM Market Model Fixed Income 13

14 The Millennium trading day is defined and controlled by a unique set of trading sessions that are assigned to the instruments and which change during the course of the trading day. On each session change updates are disseminated for each of the instruments covered by that trading session. The various sessions are further described in section 13. The relevant session changes throughout the day and will be disseminated for each instrument/orderbook when the change occurs. In general, all instruments in one segment will normally follow the same schedule for session changes, but differences may occur due to circuit breakers, matching halts or trading halts. The trading session for fixed income in Millennium are set up in accordance with the tables in OSLMIT Oslo Børs and Nordic ABM Business Parameters Fixed Income. Market Operations may under exceptional circumstances (e.g. operational disturbances) extend or shorten sessions. 6.2 Circuit breakers A circuit breaker will be triggered when an execution is about to happen (i.e before the orders are executed) at a price which is outside certain price levels defined for the instrument. When a circuit breaker is triggered during the Regular Trading session, the instrument s session will be changed to Re-opening auction call. The orders will be carried forward to the call, except IOC orders. Note that circuit breakers do not apply to all instruments; please see OSLMIT Oslo Børs Business Parameters Fixed Income for details. The circuit breaker triggering levels may be configured for groups of instruments and may vary between the different sessions. Alternatively, the configuration for a group may be overridden for single instruments. If so, the triggering levels will be the same through all sessions. There are two types for circuit breakers: The static circuit breaker, where the triggering levels are a percentage away (higher and lower) from the static reference price; and The dynamic circuit breaker, where the triggering levels are a percentage away (higher and lower) from the dynamic reference price. If a percentage is not specified for a circuit breaker, that circuit breaker is not active. The percentages are published on a daily basis (Reference data 4. However, please note that Oslo Børs may change the triggering levels without any advance notice. Also, the static and dynamic reference price may be changed. These changes are not published via the Millennium systems. Price bands are used to prevent orders with a clearly erroneous price from being entered. The price bands are defined and published together with the circuit breakers. Please see separate section for description of price bands. 7. Price bands 4 Please see Reference Data and Market Data technical documentation Oslo Børs OSLMIT Oslo Børs and Nordic ABM Market Model Fixed Income 14

15 For certain instruments, price bands are defined 5. The price band is a certain percentage away from the static reference price, on both sides (i.e. both higher and lower than the static reference price). The price of each incoming limit order will be compared with the price band. If the price exceeds the limit, the order will be rejected. Also, during the pre-trading session in the morning, the price of all overnight orders is compared with the price band limits. If an order s price falls outside the price band limit, it will expire. Please note that the limits may be changed at any time during a trading day subject to Oslo Børs assessment. 8. Tick Sizes The tick size governs the minimum tick size that can be entered on orders and quotes submitted to the order book. All orders and quotes submitted must be in multiples of the tick size. The minimum tick size is only applicable for orders, quotes and trades executed through the order book. Separate tick size tables may be defined for orders and quotes for the same instrument. The price at which orders and quotes are placed on the order book will reflect percentage of face value. For off book trades executed away from the order book, the instrument s tick sizes is not applicable and trades can be reported with up to 8 decimals. The reporting of repo trades will be based on the repo Yield. Tick size tables: Orders: Description Tick size For bonds with less than 12 months left to maturity For bonds with more than 12 months left to maturity 0.01 Quotes: Description Tick size All bonds Settlement currency When reporting manual trades, settlement currency must be defined. The denominated currency is available in the reference data file. 10. Lot Size 5 Please note that this feature is designed to prevent erroneous order entries, and does not correlate with the correct market price term used in the Rules. Oslo Børs OSLMIT Oslo Børs and Nordic ABM Market Model Fixed Income 15

16 Volume is specified as nominal amount. Lot size will be defined for each instrument. Orders entered with a size larger than the lot size must be submitted with order sizes in multiples of the lot size, i.e. fractions will be rejected. Off book trade reporting (manual trades) will not be subject to the same regime and the volumes stated on these trades may be reported with volumes deviating from the lot size. These trades should however be reported in multiples of face value of one bond. Volume of quotes must be in multiples of lot size. For each instrument, a minimum and maximum limit may be defined (if applicable the values will be specified in reference data files). Oslo Børs OSLMIT Oslo Børs and Nordic ABM Market Model Fixed Income 16

17 11. Orders and quotes 6 Orders and quotes are registered in separate orderbooks Description of Order Types The following order types will be available for fixed income trading. Configuration details for the various segments are included in OSLMIT Oslo Børs and Nordic ABM Business Parameters - Fixed Income Order type Limit order Iceberg order Description A limit order is used to trade at or better than its specified limit price. The full volume of the order is displayed on entry unless it partially executes on order entry. For iceberg orders, a trader must specify a disclosed quantity, in addition to an order quantity, when submitting an order. For such orders, the system only displays the disclosed quantity, while maintaining the hidden quantity to replenish the displayed quantity when it is fully executed. An iceberg order must be a limit order. The disclosed quantity must be equal to or greater than the minimum peak size defined in the Oslo Børs and Nordic ABM Business Parameters document for fixed income. When an iceberg order is received, the system considers the entire quantity (including the disclosed quantity) when searching for executions. When a passive iceberg order receives execution, the execution takes place first from the disclosed quantity (unless preferencing). During Regular Trading, as soon as the disclosed quantity of an iceberg order is executed, the system replenishes the disclosed quantity by the lower of the replenished quantity and the remainder of the order. A passive iceberg order loses time priority each time its disclosed quantity is replenished. At order entry the user may select the method to use to calculate the replenishment quantity (i.e. original disclosed quantity or random quantity ). It is not possible to change the method for an existing order. The random quantity will be greater than or equal to the order s original disclosed quantity, and less than or equal to the original disclosed quantity uplifted by the Random Replenishment Size. The Random 6 When registering orders and quotes, FIX 5.0 must be used, please see a description in OSLMIT 202 Fix Trading Gateway on Oslo Børs OSLMIT Oslo Børs and Nordic ABM Market Model Fixed Income 17

18 Replenishment Size% is included in OSLMIT Oslo Børs and Nordic ABM Business Parameters document. Example: Original disclosed size = Random Replenishment Size% = 20% Lot size = The random replenishment quantity will be between and , rounded down to the nearest lot size. It will be recalculated each time the disclosed quantity is replenished. An iceberg order whose hidden quantity has been fully exhausted and is remaining in the order book only with a visible quantity is considered as a fully visible order. During auction calls, an iceberg order is included in the calculation of the auction price and volume with its total quantity. However, only the disclosed quantity is published in the orderbook. Total quantity must exceed Minimum Iceberg Value (specified in reference data files). Validation will be applied both when iceberg orders are submitted and or size is amended. Minimum Iceberg Value may in reference data files be specified in instrument-file or trading file. A value for a particular instrument specified in the instrument file will override the value in the trading file for the trading parameter used for the instrument in question. Passive Only Orders New orders may be entered with a passive only indicator. Using this indicator with an incoming order, the order will not execute against any visible contra order at order entry. If a visible contra order with an equal or better price exists, the incoming order with the passive only indicator expires with no execution. The available options for the passive only indicator are: No constraint i.e. no validation if execution will occur; or Add the order to the orderbook at any level; or Add the order only if it sets a new bet bid (offer); or Add the order only if the order s price is the same as current best bid (offer), or if it sets a new best bid (offer); or Add the order only if the order s price is at the 2 nd visible price point or better; or Add the order only if the order s price is at the 3 rd visible price point or better. The incoming order expires immediately if the condition indicated by the specified indicator is not met. Oslo Børs OSLMIT Oslo Børs and Nordic ABM Market Model Fixed Income 18

19 The passive only indicator is only applicable for an incoming order which is Limit order; and TIF is one of DAY or GTT or GTD (other TIFs will cause the order to be rejected); and Submitted during Regular Trading ( passive only indicator is ignored during auctions) If the price of an existing order with the passive only indicator set is modified, the order re-aggress the orderbook and the passive only indicator is applied during the aggression Description of Quotes The following quote types will be available for fixed income trading. Configuration details for the various segments are included in OSLMIT Oslo Børs and Nordic ABM Business Parameters - Fixed Income Quote type Limit Description A limit quote is used to trade at or better than its specified limit price. The full volume of the order is displayed to the counterparty 11.3 Description of Time In Force (TIF) The following time qualifiers will be available for fixed income trading. Configuration details for the various segments are included in OSLMIT Oslo Børs and Nordic ABM Business Parameters - Fixed Income Time qualifier Day GTC (Good till cancel) GTD (Good till date) Description The order or quote will be executed as much as possible, and any unexecuted quantity will reside in the orderbook until it expires at market close (orders) or end of the particular RFQ (quotes), or until it is executed, or cancelled by the user. The order will be executed as much as possible, and any unexecuted quantity will reside in the orderbook until it is cancelled by the firm or the Exchange. The order will be executed as much as possible, and any unexecuted quantity will reside in the order book until end of day on the specified date, or until it is executed or cancelled. If the date specified is a nonbusiness day, the order is immediately expired at market open on the following business day. Time qualifier GTD and GTT cannot be combined. GTT (Good till time) The order will be executed as much as possible, and any unexecuted quantity will reside in the order book until it expires at the specified time on the current date, or until it is executed, or at the end of the Post Close session or it is cancelled by the user. GTT order will not expire in an auction call even if the set time has passed. If so, it will expire after auction call uncross has completed. Oslo Børs OSLMIT Oslo Børs and Nordic ABM Market Model Fixed Income 19

20 GFA (Good for auction) GFA-orders are directed at the next auction call session. They may be entered during other sessions that accept order entry and are immediately parked until the start of the next auction call phase, irrespective of the type of auction (open, close or re-opening). They will not be displayed during or participate in other sessions. At the end of the auction call session, the remainder of a GFA-order is cancelled. This is irrespective of whether an auction was performed or not. If the instrument is moved to another session during the call (e.g. Halt), any GFA order will expire. IOC (Immediate or cancel) The system will attempt to execute as much as possible of the order s quantity in the order book, price limit permitting. Any unexecuted quantity expires. If the execution of an IOC order triggers a circuit breaker, the unexecuted quantity of the IOC order is expired. However, any executions from the IOC order which do not violate the circuit breaker will be carried through. IOC orders are sometimes named FAK (Fill and Kill) IOC is not available during an auction call. FOK (Fill or kill) FOK orders are either fully executed, or it is not executed at all. In both cases it will expire immediately. If the execution of a FOK order would trigger a circuit breaker, the FOK order is expired without any executions taking place and the circuit breaker is not triggered. FOK is not available during an auction call. OPG (Opening auction call) OPG orders only participate in the opening auction call. The remainder, if any, is immediately expired at the conclusion of the auction. OPG orders cannot be submitted after the opening auction call session. If the instrument is moved to another session during the call (e.g. Halt), any OPG order will expire Request For Quote (RFQ) Private RFQ The requester may initiate a private RFQ at any time during regular trading session for the RFQ orderbook. The RFQ orderbook has a separate trading cycle and the hours may deviate from other trading cycles for the same instrument. Only participants granted access to RFQ will be eligible to initiate a RFQ or respond to a RFQ. There may be several RFQ-processes for the same instrument in parallel. Similarly, a participant may initiate several RFQprocesses in the same orderbook in parallel. Each RFQ has a unique RFQID. The following information on quotes may be published when the trade is published: If pre-trade transparency model is Full: Price and volume of each individual quote (without memberid) is published on market data. Oslo Børs OSLMIT Oslo Børs and Nordic ABM Market Model Fixed Income 20

21 If pre-trade transparency model is Partial: A simulated bid/ask price for the quotes submitted is published on market data. Simulated bid price is calculated as being an average price of all bid quotes submitted for a particular RFQ session. Simulated ask price is calculated as being an average price of all offer quotes submitted for a particular RFQ session. (By RFQ-session is meant the period from a requester initiates a RFQ until the process is terminated as a result of a trade, the requester has cancelled the RFQ process or the process is terminated as the pre-defined deadline has elapsed.) Separate simulated bid and simulated ask will be calculated. If the calculated bid/ask simulated price is not a multiple of the instrument's tick size, the value will be rounded to the nearest tick. If the calculated simulated bid/ask is equally spaced between two tick values, then the value will be rounded up to the nearest tick. If pre-trade transparency model is No: None of the quote submitted nor the bid/ask simulated price is published on market data The Millennium system automatically assigns the transparency-model to each RFQ-process. Regardless of which model is used, the requester will always see each individual quote for the RFQs that he has initiated. If the RFQ process is named, the requester will see memberid for each submitted quote Named vs anonymous The requester may choose whether memberid is to be disclosed for quotes. If the requester specifies that memberid is to be disclosed (Named RFQ), the requester may choose which counterparties that will be invited to submit quotes. If the requester specifies that no memberid is to be disclosed (anonymous RFQ) all fixed income members who are enabled to participate in RFQ will be invited to submit quotes. The requester may for each individual process choose whether the RFQ is to be anonymous or named Single sided vs dual sided RFQs When initiating an RFQ, the requester may decide whether he wants quotes for one side of the order book only (single sided) or both sides of the orderbook (dual sided). The side registered by the requester represents the side he wants to trade Responding to an RFQ by registering quote When a recipient responds to a RFQ by submitting a quote, both volume and price must be specified. When responding to an RFQ, the volume must be equal to or greater than the initial RFQ quantity. Regardless of what the requester has specified, the recipient may register either single sided or dual sided quotes. A recipient may cancel or amend a submitted quote. However, if the recipient submits another quote to the same RFQ, then initially submitted RFQ quote by the same market maker will be replaced by the new quote. If the quote is the same as the previous quote, it will be rejected. A double-sided quote cannot be replaced by a single-sided quote or vice versa. However, the recipient may cancel a single sided quote and replace it by registering a new dual sided quote and vice versa. If a quote submitted is a double-sided quote, cancelling only one side of the quote will automatically cancel the other side of the quote. The side of a single-sided quote cannot be amended. Any quotes may be amended or deleted until the quote is traded on or the quote is deleted due to termination of the RFQ process. Oslo Børs OSLMIT Oslo Børs and Nordic ABM Market Model Fixed Income 21

22 A market maker can cancel the existing double sided/single sided quote and submit a new quote with any side(s) to the same RFQ. All quotes will be expired upon reaching the end of private quote negotiation duration Various validations RFQ Min Quantity If defined, RFQ Min Quantity defines the minimum quantity allowed in a RFQ submitted for an instrument.as a multiple of Lot size. Please see reference data file whether this validation is set. RFQ Max Quantity If defined, RFQ Max Quantity defines the maximum allowed quantity in a RFQ submitted for an instrument.as a multiple of Lot size. Please see reference data file whether this validation is set. RFQ BID-ASK Price If defined, RFQ BID-ASK Price defines the maximum percentage deviation between quote and bid/ask prices of the normal book. Please see reference data file whether this validation is set. RFQ Duration When initiating a RFQ, the requester may define a time limit by which any quotes must be registered. When this time limit is met, all quotes outstanding will automatically be terminated if the requester has chosen not to trade on any of the quotes. If a RFQ trade has been entered into, all quotes outstanding will be terminated at the time of the RFQ trade. It the requester has not defined any time limit and has not entered into a RFQ trade, all quotes outstanding will be terminated when the default time limit is reached. This default time limit is defined by RFQ Duration as specified in the reference data file. RFQ Execution Policy RFQ Execution Policy determines the possible execution methods in the RFQ orderbook. The following may be used: Best execution: the requester may only match against the quote having the best price-time priority. Market makers may respond with quotes having volume that exceeds the volume the requester specified when initiating the RFQ. However, the requester may only trade the volume initially specified. Select and match: the requester may match against any quote. Volume may be equal to or higher than the volume the requester initially specified. The reference data file specifies which of these models are used for individual instruments Other Information Connected with an Order and quotes Dealing Capacity Oslo Børs OSLMIT Oslo Børs and Nordic ABM Market Model Fixed Income 22

23 For each order and quote entered the participant must state the capacity in which it is trading; i.e. Any other capacity, Dealing on own account or Matched Principal. Clearing account type Clearing Account is a mandatory field for orders, quotes and trades and the following options are available: House, Client. Account The Account field is an optional field that can be left blank on the entry to Millennium. The participant may also state a reference for the client on whose behalf the member inserted the order. For the trading system, this is a pass-through field and is not processed. Account is not used for quotes. Direct Electronic Access orders Each order and quote must be marked as whether it is a result of Direct Electronic Access. 7 Once the order or quote is submitted to the trading system, it will not be possible to amend the value. Algo orders Each order and quote must be marked as whether it is part of an algorithm. 8 Once the order or quote is submitted to the trading system, it will not be possible to amend the value. Market maker orders Each order and quote must be marked as whether it is part of a market maker strategy. 9 Once the order or quote is submitted to the trading system, it will not be possible to amend the value. Investment Decision maker, Executing trader and identification of investor For each order and quote, investment decision maker, executing trader and identification of investor must be stated 10. Once the order or quote is submitted to the trading system, it will not be possible to amend the value. Executing Trader: indicates the short code of the person or system executing the order Investment decision maker: indicates the short code of the person or system who made the investment decision. Client: Indicates the short code of the person or firm/legal entity the order was entered on behalf of. When identifying the investor, the following options are available: If investor is known: short code identifying the investor If part of an aggregated order: AGGR If allocation is pending: PNAL If no client: blank Price differential When an order is added to the order book, the Price Differential is calculated and returned to the submitter of the order. The Price Differential shows - If the new order matched upon aggression when being added to the book directly; or - If the new order set a new BBO; or - If the new order joined the existing BBO; or 7 Please see OSLMIT 202 FIX Trading Gateway document for further description 8 Please see OSLMIT 202 FIX Trading Gateway document for further description 9 Please see OSLMIT 202 FIX Trading Gateway document for further description 10 Please see OSLMIT 202 FIX Trading Gateway document and Oslo Børs Record Keeping for further description Oslo Børs OSLMIT Oslo Børs and Nordic ABM Market Model Fixed Income 23

24 - At which price level (2 nd to 9 th ) the order was added; or - If the new order was added as a hidden order to the order book It will only be re-calculated when the order s price is modified i.e. there is no continuous update. Also, it should be noted that for overnight (GTD) orders the Price Differential is not updated when the market starts on the following day. Type of trade When an iceberg order has been executed, the Type of Trade is reported back to the owner of the order. The Type of Trade indicates if the execution was from the visible or the hidden portion of the order Auto Cancel Each User may be configured so that any active orders will be automatically cancelled if the User s connection to the trading system is disconnected or logged out. The configuration options are: On disconnect: o Do not cancel on disconnect o Cancel on disconnect o Cancel on disconnect, but exclude GTD and GTC orders On logout o Do not cancel on logout o Cancel on logout o Cancel on logout, but exclude GTD and GTC orders Additionally, a Disconnect Delay may be specified, which defines the number of milliseconds the system will wait for the user to connect back before expiring all open orders submitted by the User. When submitting an order, the user may specify for that order that it should not be cancelled on disconnect / logout, even if Auto Cancel is set on. The default setup is Do not cancel on disconnect / logout. The member may specify this setup when a connection enablement is established or amended. For RFQs, Cancel on disconnect and Cancel on logout will only be applicable for recipients and not for the requester Max order value It will be possible per instrument to define max order value. Validation will be performed each time a limit order is submitted or amended. Only amendments to price or quantity will trigger a validation. If order is above max order value, the order will be rejected. If max order value is set, the value will be available in reference data files Self Execution Prevention Members who wish to avoid self-execution may request to register one or more of their Users as a Self Execution Prevention Group ( SEP Group ). One member may establish several SEP Groups, but one User may only be included in one SEP Group. Oslo Børs OSLMIT Oslo Børs and Nordic ABM Market Model Fixed Income 24

25 Each User in a SEP Group will be assigned with one of the following standing SEP instructions: Cancel Incoming Order (CIO); or Cancel Resting Order (CRO) When an incoming order from a User which is included in a SEP Group is about to execute with a contra order which has been entered by a User which is included in the same SEP Group, the orders will be processed in accordance with the incoming (aggressive) order s SEP instruction: SEP instruction of incoming order Cancel incoming order (CIO) Cancel resting order (CRO) Processing The incoming order expires The contra order is left unexecuted in the order book The contra order expires The incoming order continues to execute with other orders. Any remainder of the incoming order is left in the order book Please note that Self Execution Prevention will not be applied during auctions, and it will not be applied for TIFs FOK, GFA, OPG and ATC. If an existing order s price is modified the order will re-aggress the order book and the SEP instruction will be applied during the aggression Order Management Open orders may be cancelled or amended by the member who submitted the order. Also, there are available functions for mass cancellation of orders please see the technical documentation for details. On request by the member, Market Supervision can cancel a member s orders. This option is intended for emergency use only, and should not be relied upon as a regular practice. The member may amend the following attributes of an open order: - Order quantity - Disclosed quantity - Limit price - Expiry date of a GTD order - Expiry time of a GTT order Order modification may impact order priority, please see section 8.8. A fully visible order may be amended to become an iceberg order. However the resulting iceberg order will use the original disclosed size for replenishment i.e. random replenishment is not available in this scenario. If the price of an existing order with the passive only indicator set is modified, the order re-aggress the order book and the passive only indicator is applied during the aggression. If the price of an existing order which is subject to Self Execution Prevention (SEP) is modified the order will reaggress the order book and the SEP instruction will be applied during the aggression. Oslo Børs OSLMIT Oslo Børs and Nordic ABM Market Model Fixed Income 25

26 11.8 Order and quote Priority When the Millennium system executes orders it prioritizes the orders as follows: Price Counterparty - i.e. orders with same member as the aggressive order have higher priority (Order preferencing) Visibility (i.e. visible orders (including iceberg peaks) Time Order modification may impact order priority: Change Increase the order size Decrease the order size Change the order price Date and time validity, participant reference, client reference Description The order loses time priority No impact A new time priority is assigned to the order. The order is considered to be aggressive if it matches, i.e. it is processed like a new order. No impact on the order s priority. Quotes are ranked using the same price-time priority as orders. 12. Trades Settlement Dates Oslo Børs: Standard settlement cycle is T+2. Deviating settlement schedules may be registered for manual trades MIC For all off book trades, the trade report must contain MIC-code. The following MIC-codes may be used: MIC XOSL XOAM SINT Description On exchange trades on Oslo Børs (both off book and on book trades) All trades on Nordic ABM Off exchange off book trades entered into in the capacity as a registered systematic internalizer 11 Manual trades are reported using the post trade gateway, please see a description in OSLMIT 204 Post Trade Gateway on Oslo Børs OSLMIT Oslo Børs and Nordic ABM Market Model Fixed Income 26

27 XOFF Off exchange off book trades that are not entered into in the capacity as a registered systematic internalizer For on book and RFQ trades, MIC will automatically be set Trade Cancellations and Amendments Trades may be cancelled up until S-1. No update of statistics is disseminated if a trade is cancelled after T or publication date. Off-book trades When submitting an amendment the process is: Cancel the original trade report by submitting a cancellation message using the original trade code. Both parties to the trade must cancel their side of the trade before the trade is cancelled. If correcting, a new trade report that contains all the details of the original trade report with all necessary details corrected must be submitted. Automatic trades and RFQ trades Both the buying and the selling member must cancel their side before the trade is cancelled. Alternatively, the members may request assistance from Oslo Børs Automatic Trades General When orders are executed by Millennium, trades are automatically created, trade details are disseminated to the involved parties, and public information is published on FAST Price Monitoring Extensions Price monitoring extensions will not be used in any segments for fixed income instruments RFQ Trades General For private RFQs, only the requestor may trade at the quotes submitted and it is possible to trade on one quote per RFQ. The requestor may choose whether to trade against the quote having the best priority in the orderbook (based on price/time) or whether to trade against a specific quote if RFQ-model is select and match. If the requestor wants to trade against a specific quote in the orderbook, volume must be the initial RFQ quantity or greater. It must also be equal to or less than the volume in the quote referred Manual Trades Dual Sided Trade Reports Manual trades in fixed income instruments must be reported using the dual sided trade reporting functionality. This entails that one member must register their side of the trade and the other member then confirms this trade. Dual sided trade reports are published when it has been confirmed by the counterpart, taking the applicable publication regime into consideration. Oslo Børs OSLMIT Oslo Børs and Nordic ABM Market Model Fixed Income 27