GENIUM INET MARKET MODEL

Transcription

1 GENIUM INET MARKET MODEL Nasdaq Stockholm NORDIC EQUITY DERIVATIVES Effective February 22, 2016

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, implied-outs (new section) Regeneration of implied-outs during aggressive matching (new section) Restrictions to implied-out generation (new section) 7.6 Order modification 8 Quotes (new section) 8.1 Single Quotes (new section) 8.2 Mass Quotes (new section) 8.3 Replacing Quotes losing priority (new section) 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. 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 Implied-out Orders Dissemination of Implied-out 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 Implied-out orders are not generated if according to Order Price Limit, the Buy price is below the lower price limit or if the sell price is above the upper limit Appendix I Trade reporting clarification on what trade report types can be used electronically or via phone during which sessions 18.1 and 18.2 Clarification on time limits regarding trade reporting electronically/phone 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. 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. March 24, Updates to reflect the introduction of long orders in futures time spreads on C20CAP, OMXO20, VINX30 and OMXSB; trading in the futures time spreads on C20CAP, OMXO20, and OMXSB in the post-trade session; and new strike price intervals, tick-size levels and expiration month terms for Norwegian derivatives. Update to reflect the removal of second futures time spread on OMXSB. April 15, Correction Appendix I. Deletion of Combination orders during CLIN shall be possible. Correction Appendix B. Tick-size table for Norwegian index. May 26, Stock weekly options on Swedish shares introduced October 9, Trade reports maximum via the Member s electronic connection increased to contracts. November 17, Futures on OMXS30DVP added Appendix B and C. Appendix B Settlement Prices updated to clarify calculation of daily and final settlement prices. Trading calendar updated in section 3 to now include The quotation and deferred publication lists removed as appendixes in the market model. The document now refers to the original list in the Rules and Regulations of NASDAQ OMX Derivatives Markets. December, 8, New Trade Type FLCN added in Chapter 6.1 and Appendix C. April, 20, April, 20, 2015 Tailor Made Contracts changed to Flexible contracts. June, 8, Stock weekly options on Norwegian shares introduced September 28, Extended Call Interaction in the Closing Call on OMXS30 and OMXSB November 23, Updates to reflect to introduction of self-match prevention with the November upgrade. February 22, Updates to 3, 4.2 and Appendix G to reflect introduction of a pre-trade session and an extended post trade session for Swedish index futures. 4

5 DEFINITIONS The official definitions can be found in the Rules and Regulations of NASDAQ Derivatives Markets. BBO Call EP EMP FAK FOK GTC GTD LMP Member Order Book Series Uncross VWAP 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). 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. 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. 5

6 CONTENTS 1 Introduction Market structure Trading Hours and holiday schedules Sessions during the trading day Pre-open Continuous trading Call Interaction End of trading Statistics Removal of Day Orders Post-Trade Terminating business day Electronic Market Place Closed Extraordinary closing and Trading Suspension Expiration cycles and listing of series Trade reporting Trade Report Types Order types, validity and priority Order Types Order Price Limits Time-in-Force conditions Reserve conditions Triggering Conditions Combination Orders Order modification Ranking of Orders Tick sizes Request for quote Self-Match Prevention Quotes Single Quotes Mass Quotes Replacing Quotes losing priority Connectivity and Protocols Trading Functionality Market Data and Transparency Appendix A Tick Sizes Appendix B Settlement prices

7 Appendix C Trade Statistics Appendix D Ranking of orders and price triggering Exception 1 to the main rule regarding ranking Exception 2 to the main rule regarding ranking Appendix E Prohibited combination matching Appendix F Market transparency Appendix G Order management, Trade reporting and events during sessions Appendix H Self-Match Prevention

8 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. 8

9 2 MARKET STRUCTURE The market for Nordic equity derivatives consist of derivatives on Danish, Finnish, Norwegian and Swedish shares and indexes as well as on Pan-Nordic indexes. Contracts are categorized as standardized, on request, or flexible. Trading takes place either through the electronic exchange trading system Genium INET, through the manual exchange trading system or outside the Exchange s trading systems. STANDARDIZED CONTRACTS Standardized contracts are exchange-traded derivatives listed for trading and clearing with standardized terms. New tradable Series are automatically created by the Exchange according to pre-set rules. ON-REQUEST CONTRACTS ON FINNISH SHARES On-request contracts on Finnish shares are exchange-traded derivatives listed for trading and clearing with standardized terms. New tradable Series are not automatically created for all underlying shares but instead created intraday by the Exchange on request by members. For further info see the Quotation List (appendix 2) in the Rules and Regulations of NASDAQ OMX Derivatives Markets. FLEXIBLE CONTRACTS The Flexible (formerly known as TM or Tailor Made) Clearing service offers market participants the possibility to report flexible contracts with non-standardized terms which have been negotiated and agreed bilaterally for clearing but are not exchange-traded. Flexible Contracts are offered on listed shares, indexes and custom made indexes. The underlying security, expiration date, expiration type, settlement style and strike price (options) are agreed bilaterally by the parties involved in the transaction. No market information is published on flexible contracts. High/Low/Last prices or Open Interest will not be updated. 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, Delta neutral trades Combinations and spreads, Roll of index futures 9

10 REGISTRATION OF MANUAL TRADES Registration of trades matched outside of the exchange trading system, may be reported to the exchange for registration via the members electronic connections to the trading and clearing system, via phone or via a public information distribution system approved by the Exchange. Market segments and types of derivatives The following derivatives are available per market segment Market segment 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 X** Swedish index, standardized x x x x Pan-Nordic index, x x standardized Danish stock, flexible x x x Danish index, flexible x x x Finnish stock, flexible x x x Norwegian stock, flexible x x x Norwegian index, flexible x x x Swedish stock, flexible x x x Swedish index, flexible x x x Pan-Nordic index, flexible x x x *Options not listed in group 2 of the Quotation list ** Introduction on May 26, 2014 TRADING RIGHTS Each member is participating in the trading activity under one or several unique member identification codes, known as Participant codes. To each Participant Users are connected. In the system, the trading rights are set on Participant level and the trading rights are fully inherited on User level. This means that Users connected to the same Participant have the same trading rights and these trading rights determine which products the User have access to trade. Furthermore, each individual trader must possess authorization to trade as stipulated in Rules and Regulations section

11 3 TRADING HOURS AND HOLIDAY SCHEDULES NORMAL TRADING HOURS, GENIUM INET All times CET Pre-Open Pre-Trade Opening Auction Continuous Trading Closing Auction End of Trading Statistics Day Orders Cleared Post-Trade Terminating business day Genium INET PREOP PRETR OAUCT OPEN CAUCT EOTRD STATS CLEAR POSTR TRMBD EMPC session state Danish Stock 08:30 09:00 N/A 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 N/A 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 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 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 N/A 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 N/A 09:00 17:25 N/A 17:25 17:27:10 N/A N/A 17:27:40 18:00 OMXS30 Index 8:00 8:30 8:30 8:55 08:55 9:00 09:00 17:25 17:25 17:27:30 17:28:10 17:28:40 17:29:00 N/A 18:00 17:28:00 OMXSB Index 8:00 8:30 8:30 8:55 08:55 9:00 09:00 17:25 17:25 17:27:30 17:28:10 17:28:40 17:29:00 N/A 18:00 17:28:00 OMXS30DVP 08:30 09:00 N/A N/A 09:00 17:25 N/A 17:25 17:26:00 17:27:40 N/A 17:28:00 18:00 Index VINX30 Index 08:30 09:00 N/A 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 The CLIN (now replaced with OAUCT and CAUCT) session state will still be used when resuming trading after extraordinary closing. See

12 HALF DAY TRADING HOURS, GENIUM INET All times CET Genium INET session state Pre-Open Pre-Trade Opening Auction Continuous Trading Closing Auction End of Trading Statistics Day Orders Cleared Post-Trade Terminating business day PREOP PRETR OAUCT OPEN CAUCT 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 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 N/A Finnish Stock N/A 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 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 N/A 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 N/A 09:00 12:55 N/A 12:55 12:57:10 N/A N/A 12:57:40 18:00 OMXS30 Index 08:00 08:30 8:30 8:55 08:55 9:00 09:00 12:55 12:55 12:57:30 12:58:00 OMXSB Index 08:00 08:30 8:30 8:55 08:55 9:00 09:00 12:55 12:55 12:57:30 12:58:00 OMXS30DVP Index 12:58:10 12:58:40 12:59:00 N/A 13:30 12:58:10 12:58:40 12:59:00 N/A 13:30 08:30 09:00 N/A N/A 09:00 12:55 N/A 12:55 12:56:00 12:57:40 N/A 12:58:00 18:00 VINX30 Index 08:30 09:00 N/A N/A 09:00 12:55 N/A 12:55 12:57:10 N/A N/A 12:57:40 18:00 The CLIN (now replaced with OAUCT and CAUCT) session state will still be used when resuming trading after extraordinary closing. See

13 SESSION STATES UNDER SPECIAL CIRCUMSTANCES In case of a suspension due to technical reasons HALT is the applicable session state. PREOP is the applicable session state when trading shall be resumed after such a suspension. For further details see section TRADING CALENDAR AND HOLIDAY SCHEDULE 13

14 4 SESSIONS DURING THE TRADING DAY For events during sessions, see Appendix G Order management, Trade reporting and events during sessions. 4.1 PRE-OPEN During this no-matching session, only order cancellation is allowed. 4.2 PRE-TRADE In this auto-match session, trading takes place in index futures on OMXS30 and OMXSB according to the matching principles of continuous trading. Trading in standardized futures time spreads is available while trading in TMC Order Books is not available. Real-time trade statistics is disseminated but trades do not contribute to official End of Trade Statistics except for Turnover and Open Interest. Stop Orders and Market Orders are not valid during Pre-trade. 4.3 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. 14

15 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. 15

16 4.4 CALL AUCTION 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 Auction are formed with the no-matching session Call Interaction and the sub phase Uncross. OPENING AUCTION 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. 16

17 CLOSING AUCTION The Index futures Order Book shifts directly into Call Interaction at the end of Continuous Trading. Call Interaction in OMXC20CAP and OMXO20 lasts for at least 90 and at the most 120 seconds from the end of Continuous Trading. Call Interaction in OMXS30 and OMXSB lasts for at least 150 and at the most 180 seconds from the end of Continuous Trading. Call Interaction ends when the Uncross is carried out. The Call Interaction phase allows full order management. Limit Orders, with the time in force GTC/GTD, with or without Hidden volume placed during Call Interaction or during continuous trading and stored in EMP is valid in the Closing Call Auction. I.e. long Orders are valid in Closing Call Auctions. A Limit Day Order, with or without Hidden volume placed during Call Interaction in the Opening Call Auction or during continuous trading and stored in EMP is valid in the Closing Call Auction. Limit Orders, with or without Hidden volume can be entered during Call Interaction. Combination Orders are not valid during call interaction. During call interaction Stop Orders are not valid and cannot be entered, however Stop Orders entered during continuous trading can be cancelled. Market Orders with the Time in Force, Fill-and-Kill, can be placed and stored during Call Interaction and participates at EP and if any quantity remains after the Uncross it will be cancelled. See section 7.8 for ranking of Market Orders. Market-to-Limit Orders entered during Call Interaction are treated as Market Orders, participates in the Uncross at EP and if any quantity remains after the Uncross it will be stored in the Order Book at the EP. Matching of Orders is carried out randomly in the Uncross between 90 and 120 seconds after the end of continuous trading in the transition from Call Interaction to End of Trading according to the Price Time ranking process. The hidden volume will receive a time stamp only when the visible part of the order has been executed. Determination of closing price takes place in the Uncross. 17

18 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. 4.5 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. 4.6 STATISTICS When all instruments connected to a market has entered in to this no-matching session, official High, Low, Last and Open Prices are published for each Series. 4.7 REMOVAL OF DAY ORDERS In this no-matching session, Goof-for-Day-orders in index derivatives are cleared from the Order Books. All longer dated orders in index futures remain in their order books to be part of the Posttrade session, including combination orders in standardized index futures time spreads. 18

19 4.8 POST-TRADE In this auto-match session, trading takes place in index futures on OMXS30, OMXSB, C20CAP and OMXO20 according to the matching principles of continuous trading. Trading in standardized futures time spreads is available while trading in TMC Order Books is not available. Real-time trade statistics is disseminated but trades do not contribute to official End of Trade Statistics except for Turnover and Open Interest. Stop Orders and Market Orders are not valid during Posttrade. 4.9 TERMINATING BUSINESS DAY In this no-matching session electronic after-hours trade reporting is allowed 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. 19

20 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. 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. 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. Resumed trading in index futures will always be performed with an auction, Call Interaction (CLIN). 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. 20

21 5 EXPIRATION CYCLES AND LISTING OF SERIES NASDAQ OMX Derivatives Markets is listing new expiration months according to appendix 2 (Quotation List) in the Rules and Regulations of NASDAQ OMX Derivatives Markets. For further information see LISTING OF NEW EXPIRATION MONTHS When a new expiration month is about to be listed the new Series will be available for trading on the Monday in the expiration week. SERIES LISTED The Quotation List states for how many Series that shall be listed per expiration month in respective Market and also the Strike Price interval and if there is a difference in the Strike Price interval depending on remaining Term. On the Bank Days following the initial listing day new Series are listed in accordance with the Quotation List if the last transaction price in the Contract Share exceeds the second highest or is less than the second lowest listed Exercise Price. 6 TRADE REPORTING Trades matched outside the Exchange shall be reported to the Exchange as soon as possible (main rule: not later than 5 minutes after the trade took place) in accordance with the NASDAQ OMX Derivative Market Rules and Regulations. Time of agreement is a field that states when the trade was agreed upon. The field is optional. For Trade Reporting during sessions, see Appendix G Order management, Trade reporting and events during sessions. Trades matched outside normal opening hours need to be reported / published as soon as possible. These trades need to be reported via telephone to the Exchange. Trade reports cannot be made via the Member s electronic connection if the number of contracts exceeds 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. 21

22 MULTI-LEG TWO-PARTY TRADE REPORTS A multi-leg Two-Party Trade Report makes it possible to enter a trade report for a combination of Instruments, where 2 up to 10 individual Instruments along with their prices can be entered in one transaction. The multi-leg Trade Report is only supported as a Two-Party Trade Report. UNMATCHED TRADE REPORTS Members or the Exchange can cancel unmatched Trade Reports. Else, unmatched Trade Reports will be cancelled by the system at the end of the trading day (day of entry of this report). DEFERRED PUBLICATION For trades matched outside the Exchange, waivers from the principle of immediate publication of a reported trade is allowed if the trade meets the number of contracts according to the Minimum qualifying number of contracts in a transaction criteria set in the rules and regulations; the trade is made between a client and a members own account; and the trade exposes the Member to a price risk. A request can be made for a trade to be deferred until end of trading day on an incoming trade report when using the trade report type BT (Block Trade). NB! The trade will be published immediately if the trade size is not eligible for deferred publication, or if the deferred publication option is not selected on the trade report type. For the minimum number of contracts qualifying the trade for deferred publication, see appendix 12 (Deferred publication) in the Rules and Regulations of NASDAQ OMX Derivatives Markets at 22

23 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 Phone Trade, Late reported FLCN Flexible Contracts Conversion Phone

24 TRADE REPORT TYPES DEFINITIONS Trade report type ST - Standard Trade STOS - Standard Trade Outside Spread OHT - Off Hours Trade BT - Block Trade EGT Exchange Granted Trade BTX - Exchange Granted Trade, exceeding Maximum Lot Size BTXO - Exchange Granted Trade, exceeding Maximum Lot Size, Off Hours EGLT - Exchange Granted Trade, Late reported FLCN 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. Used for the conversion of a member s position in a flexible contract into a contract in an exchange listed (= standardized) instrument. Such conversion can be performed by Nordic Operations if both parties to the trade request that and the flexible contract have become identical with the terms and conditions of an exchange listed contract. The price and volume of the original Flexible Contract will be used when registering the new transaction. The trades registered with FLCN will not be sent out in the market data feeds, nor will the High, Low, Last statistics be updated. For details regarding Trade Information see Appendix C Trade Statistics. 24

25 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 G 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 SE IXF* X X X X X X X X X X X X Fut Cbo** X X X X X X X TMC*** X X X X X 7.1 ORDER TYPES *SE IXF = Swedish Index Futures **Fut Cbo =Index Futures Time Spread & Strip 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. 25

26 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. 26

27 7.2 ORDER PRICE LIMITS OVERVIEW Order Price Limit is a Pre-Trade Price deviation check against a reference price meaning that the price instructions on an incoming order is compared against a reference price and if an order deviate more than an order book configured parameter, the order will be rejected before it can execute. Order Price Limits are not activated during auctions. This functionality is set market wide for all participants and the limits are set by the exchange. MARKET AND MARKET-TO-LIMIT ORDERS Market Orders A Market Order with the time validity Fill-or-Kill will be entirely rejected if the whole order or part of the order would trade more aggressive than the order-price-limit. A Market Order with the time validity Fill-and-Kill will be traded with the quantity that is equal to, or less aggressive than, the order-price-limit. The part of the order that would trade more aggressive than the limit will be rejected. Market-to-Limit Orders A Market-to-Limit Order will be rejected if the matching price is outside the order-price-limit limit. The best visible price on the opposite side of the order book is used to compare against the order-price-limit limit. If that price is outside the limit the order will be rejected. ONE-SIDED PRICE LIMITS The functionality rejects incoming Buy orders with prices above the Upper Price Limit and Sell orders with prices below the Lower Price Limit. On the other hand, Buy orders with prices lower than the Lower Price Limit and Sell orders with prices above the Upper Price Limit are allowed to enter the system. REFERENCE PRICE The price used to decide the Upper and Lower Price Limit. The reference price selection differs depending on product. Orders and quotes are taken into consideration when defining the BBO and orders deriving from combinations ( implied-out orders ) are excluded. When using the BBO for calculating the Reference Price the quality of the BBO is validated. I.e. if the spread is too wide the BBO is disqualified. 27

28 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: 1. The Last Match Price (LMP) is selected as reference price in the selected Series if the price is at or within Best Bid Offer (BBO). 2. If the LMP is not valid, Arithmetic mean of BBO is selected as reference price. 3. No reference price. (I.e. if no LMP or BBO is available no price limits will be calculated.) This rule shall be selected for option series, single stock forwards and futures and Index futures. Combination Order Books Reference Price Rule The following rule for selecting reference prices is used: - Rule: 1. Arithmetic mean of BBO is selected as reference price. 2. If there is no valid BBO available, the arithmetic mean of the implied-in BBO is selected as reference price 3. No reference price. (I.e. if no BBO or implied-in BBO is available no price limits will be calculated.) This rule shall be selected for combination orders If no reference is established whereby no price limits are active, orders entered in combinations series are not checked against the Order Price Limit functionality. However, Implied-out orders deriving from combinations are checked against Order Price Limit in the outright order books with the exception that a combination order at order entry executes what can be executed and then potential further implied-out orders are checked against Order Price Limits in the outright order books and if an impliedbid order has a price above the Upper limit it is rounded off down to the Upper limit and correspondingly if an implied offer has a price below Lower limit it is rounded off up to the Lower limit. 28

29 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 & strip Combination order books in SEK, NOK and DKK From Price Lower Limit Upper Limit Pr Unit ,000 3,000 3,000 Absolute 29

30 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 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 30

31 7.3 TIME-IN-FORCE CONDITIONS GOOD-FOR-DAY ORDERS (GFD) GFD orders (also known as day orders) are valid for a trading day and any unexecuted portion is cancelled at the end of the business day. Orders in the Index futures are also valid during the Call Auction. GOOD-TILL-CANCELLED (GTC) GTC Orders are valid until it is cancelled and at the longest until the Expiration of the Series in question. If the Order is not matched during the day it will be inserted again in the order book the next morning when the system opens. The GTC orders will retain their original chronological order based on original entry time into the system. GTC orders in the Index futures, apart from combination orders, are also valid during the Call Auction. GTC orders in the Index futures, including combination orders in the standardized index futures time spreads, are also valid during post-trade. GOOD-TILL-DATE (GTD) GTD orders are valid until a specified Date in the future. If the Order is not matched during the day it will be inserted again in the order book the next morning when the system opens. The Date orders will retain their original chronological order based on original entry time into the system. GTD Orders in the Index futures, apart from combination orders, are also valid during the Call Auction. GTD orders in the Index futures, including combination orders in the standardized index futures time spreads, are also valid during post-trade. GOOD-TILL-END-OF-SESSION (GTS) GTS Orders specifies the Session Type until the Order shall remain in effect. The Order will be cancelled in a transition to a session not included in the current Session type. FILL-OR-KILL (FOK) No FOK Orders are stored in the Order Book. If a FOK Order is not matched immediately into trade(s) in full upon entry, the order is cancelled. FOK Orders can only be used during continuous trading. FILL-AND-KILL (FAK) No FAK (a.k.a. immediate-or-cancel) 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, 31