Pre-Trade Risk Management (PRM) Request Form INET Nordic

Transcription

1 Pre-Trade Risk Management (PRM) Request Form INET Nordic For requesting new or permanently updated PRM services, with effect overnight. Please send the completed form to (For immediate intraday changes: Contact Cash Equity Operations operator@nasdaq.com) Company Identification Information Member Firm MPID 1 Contact Name ress Direct Phone Number 1 Member Participant ID. Usually a three letter sign. For full details, scope and limitations of the PRM services offered below, please see the Nasdaq Nordic Pre-Trade Risk Management Service Guide, published on our website: When ordering or requesting updates of the PRM services, as well as testing and preparing for implementation of PRM, please follow the step-by-step application and go-live process outlined in the Service Guide. Please note that production setup of PRM accounts must first be tested in the NTF test environment. Environment Please indicate which environment this request is applicable for INET Production INET Member Test Facility (NTF) Port level PRM checks Fat Finger Price Check Price validation If the order deviates more than an order book configured parameter (%), pre-set by the exchange, the order will be rejected with a reject message ( bad price ) before it can execute. Fat Finger check shall be enabled or disabled for 2 : All FIX order entry ports 3 All OUCH order entry ports 3 For the OUCH or FIX ports listed below: Optional Fat Finger multiplier for aggressive thresholds 4 (% value with no decimals): Optional Fat Finger multiplier for passive thresholds 4 (% value with no decimals): Port/session ID: Port/session ID: Page 1

2 Maximum Orders per Second rate If limit is breached, the port will reject incoming orders. itionally, it is possible to have open orders, submitted via that port, automatically cancelled when the limit is breached. Max orders/sec limit shall be enabled or disabled for 2 : All FIX order entry ports 3 All OUCH order entry ports 3 For the OUCH or FIX ports listed below: Port/session ID: Max orders/sec: Cancellation of open orders: 2 For changes to be activated intraday, please contact our Cash Equities Operations at (operator@nasdaq.com) 3 The check is applied for all order entry ports as of the date of the application. The customer is responsible for ordering services for ports activated after the initial configuration. 4 Applied automatically for all ports under the MPID where the Fat Finger Price Check is enabled. Not available for SA clients or members that have SA clients under the member's MPID. PRM Account Services Please indicate if this request is an order for a new account OR an update of an existing account. Your choice will be applicable for all PRM services specified in the remainder of this form. NEW PRM Account request Please assign your new account a six character ID: Include User ID/Trader ID: PRM services ordered below will be enabled for the users specified here EXISTING PRM Account update PRM Account ID: User ID/Trader ID changes (Optional): All User IDs of the participant Please chose one of the below alternatives: Permanent update Activation date: Lock account Unlock account account Page 2

3 DROP On-disconnect safeguard (optional) Automatically cancel all open orders and prevent order entry for the PRM account in case a disconnect event is detected by the host. Applicable for disconnect of the below FIX DROP/OUCH DROP port (Specify account/session ID): Cancel on Disconnects Cancel on Logoffs (intentional) Blow-through Protection (optional) Protect from the risk of unintentionally triggering Nordic Volatility Guards. Will stop execution of aggressive orders 1 (one) price level before the level that would trigger the volatility guard. DROP On-disconnect safeguard Applicable for disconnect of the below FIX DROP/OUCH DROP port (Specify account/session ID): Cancel on Disconnects Cancel on Logoffs (intentional) and FIX DROP/OUCH DROP session: Blow-through Protection Market Price Order Validation During Opening and Closing Auction (optional) The PRM Market price order validation will assess the theoretical effect on the Equilibrium Price (EP) of any type of incoming Market Price Order entered during opening and closing calls, and reject those Orders, if they fail the validation. Market Price Order Validation During Opening and Closing Auction Maximum Order/sec per symbol (optional) A defined maximum orders/sec limit will be monitored on each individual symbol and across all order entry ports. If limit is breached, new orders will be rejected on ALL symbols. Rate: orders/sec per symbol Cancel all open orders on all symbols when limit is breached? Maximum Order/sec per symbol Rate: orders/sec per symbol Cancel all open orders on all symbols when limit is breached? Repeated Order Generation Control (optional) Detect when the same order is being entered repeatedly on the same symbol, side and with the same price and quantity as the previous one. An notification will be sent when limit is reached. Limit: repeated orders (counter is reset to zero as soon as a different order is submitted) affected symbol to the account s Restricted Symbols list when limit is reached? Repeated Order Generation Control Limit: repeated orders (counter is reset to zero as soon as a different order is submitted) affected symbol to the account s Restricted Symbols list when limit is reached? PRM Notifications via (optional) Receive alerts re. Daily Accumulated Value checks, Order Rate checks and Repeated Order Generation check. On best effort basis. (Please submit address list under itional Information (p.6) or provide separate list to Member Services) PRM Notifications via (Please submit address list under itional Information (p.6) or provide separate list to Member Services) Page 3

4 FTP Access (optional) Possibility to upload a list of Restricted Symbols via FTP for this PRM account. Fat Finger Price Check During Auctions (optional) If the order deviates more than an order book configured parameter (%), pre-set by the exchange, the order will be rejected with a reject message ( bad price ) before it can execute. The functionality applies to orders entered or modified during all auction types, i.e. including intra-day auctions. FTP Access Fat Finger Price Check During Auctions Market Order Prevention During Auctions (optional) Specify if a PRM account is prohibited from entering market orders during the auction period. It applies to all auction types. Market Order Prevention During Auctions Maximum Order Quantity Check Order volume will be checked against a pre-set value configured for the Users included in your PRM Account. NOTE: If nothing is specified for one or more currencies, there will be no limit set for orders submitted in those currencies! Max order volume (quantity) for instruments traded in : Max order volume (quantity) for instruments traded in : Max order volume (quantity) for instruments traded in : Max order volume (quantity) for instruments traded in : Max order volume (quantity) for instruments traded in : Maximum Order Value Check A maximum order value allowed on a per order basis is applied for the Users included in your PRM Account. You can set maximum values for each of the currencies below. NOTE: If nothing is specified for one or more currencies, there will be no limit set for orders submitted in those currencies! Desired max value per order: Restricted Symbol List Checks Restricted Symbol List Checks prevent users to trade on certain symbols. Prohibit trading on the instrument symbols and/or markets listed below By specifying a market segment code, the system will prohibit trading on all symbols in that specific market. Order Book Symbol Market Code Page 4

5 Daily Accumulated Value Checks Please choose your accumulators below: Total Risk Value Total traded value including all open orders in the market. (Only applicable for order books traded in currencies for which a value has been specified below) Total Traded Value Total traded value. (Only applicable for order books traded in currencies for which a value has been specified below) Total Open Orders Value Total value of all open orders in the market. (Only applicable for order books traded in currencies for which a value has been specified below) Traded Buy Value Total value bought. (Only applicable for order books traded in currencies for which a value has been specified below) Page 5

6 Traded Sell Value Total value sold. (Only applicable for order books traded in currencies for which a value has been specified below) Open Orders Buy Value Unexecuted total value allowed for the buy orders currently in the market. (Only applicable for order books traded in currencies for which a value has been specified below) Open Orders Sell Value Unexecuted total value allowed for the sell orders currently in the market. (Only applicable for order books traded in currencies for which a value has been specified below) PRM Audit Report Please check the box if you wish to receive audit reports on an SFTP server Enable Audit Reports for MPID indicated on page 1. Page 6

7 itional information (optional) Signature As a Nasdaq Nordic 1 Member we need to comply with the relevant rules and regulations, including but not limited to the Nasdaq Nordic Member Rules, as valid from time to time. We hereby request the PRM services specified above. We certify that we have read and understood the Nasdaq Nordic Pre-Trade Risk Management Service Guide and we acknowledge that the requested services will be provided in accordance with that document and invoiced in accordance with the Nasdaq Nordic Technical Price List. Note on Sponsored Access: Members utilizing Nasdaq PRM as their sole pre-trade validation system for sponsored clients, must have the following checks activated at all times: Fat Finger Price Check, Maximum Order Quantity, Maximum Order Value, Accumulated Value Check, and Max Orders/sec (per port or per symbol). A request to fully disable any of these checks is to be regarded as a violation of the rules for Sponsored Access. Authorized signature Name in print Date Send the completed form to operator@nasdaq.com 1 Nasdaq Nordic refers to altogether or individually to Nasdaq Copenhagen A/S, Nasdaq Helsinki Ltd, Nasdaq Iceland h.f., Nasdaq Stockholm AB, Nasdaq Tallinn AS, Nasdaq Riga AS and AB Nasdaq Vilnius. Page 7