Millennium Exchange - Oslo Børs cash equities and fixed income markets OSLMIT Oslo Børs Market Model Equities Issue 7.9 Valid from January 2016
Important note This document has been produced by Oslo Børs to describe the market model for the Oslo Børs equities market and the Merkur Market. 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 Business Parameters - Equities. If you have any general queries relating to this document, please email: technicalsupport@oslobors.no Further copies of this document can also be downloaded from the Oslo Børs website at the following link: http://www.oslobors.no/ob_eng/oslo-boers/trading/trading-systems/millennium-exchange/market-model 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 Market Model Equities 2
Change log This document can be updated at any time, and has been through the following iterations: Issue Date Description 7.0 10 February 2014 Updated with Millennium Release 8 features: Added Passive Only orders (new section 6.1.6) Added Intra-Day Auction Call (new section 5.1.4) Added a new TIF: GFS (change to section 6.3) Amendments to Iceberg Orders : Optional random replenishment, and replenished Iceberg Orders will be assigned a new public Order ID (changes to section 6.1.3) Added Self Execution Prevention (SEP) (new section 6.9) The disclosure of Member IDs post trade will be discontinued for some segments (changes to section 9.2) Price Differential and Type of Trade will be included in order entry responses (changes to section 6.11) 7.1 28 February 2014 Corrections: Removed the maximum expiry time limit on GTT orders (section 6.3). SEP is defined per User not per Trader Group (sections 3.3 and 6.9). Documentation updates/clarifications: Defined term User (section 2) Used term User instead of connection (section 6.8) 7.2 17 March 2014 Segments SAT (SE Aktietorget), SNGM (SE NGM) and SNMF (SE NGM MTF) are removed from the Burgundy SE Equities market. 7.3 16 June 2014 Added a comment about the default settlement schedule (section 10, moved from MTR) 7.4 6 October 2014 Corrected wording re Grace period, section 8.2.2. 7.5 10 November 2014 Changed the name of the low latency market data feed. Oslo Børs OSLMIT Oslo Børs Market Model Equities 3
Issue Date Description 7.6 1 December 2014 Millennium release 8.6: Added North Sea features, i.e. information about the Dark Midpoint Order Book in the document. Also, a summary of the North Sea features is included in Appendix 5. 7.7 20 April 2015 Millennium release 8.6 Live version: Clarification re order management in Dark Midpoint Order Book. Also added a comment about MICs for trades from the Dark Midpoint Order Book (Appendix 3). 7.8 4 May 2015 Removed references to the Burgundy market 7.9 January 2016 Added the MERK segment and MIC for Merkur Market. 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 Appendix 4 Issue updates. Changes from the previous issue of the document are indicated by a left margin bar. Oslo Børs OSLMIT Oslo Børs Market Model Equities 4
Content Important note... 2 Disclaimer... 2 Change log... 3 Content... 5 1. Introduction... 9 1.1 Purpose... 9 1.2 Readership... 9 1.3 Document series... 9 1.4 Other Relevant Documentation... 10 2. Definitions... 11 3. Participant Structure - Users... 13 3.1 Firm (Member ID)... 13 3.2 Node... 13 3.3 User / Trader Group... 13 3.4 Trader ID... 14 3.5 Trade flow type... 14 4. Market structure... 15 5. The Trading Day... 16 5.1 Scheduled Sessions Lit Order Books... 16 5.1.1 Pre Trading... 16 5.1.2 Opening Auction Call... 16 5.1.3 Regular Trading... 16 5.1.4 Intra-Day Auction Call... 17 5.1.5 Closing Auction Call... 18 5.1.6 Closing Price Publication... 18 5.1.7 Post Close... 18 5.2 Unscheduled Sessions Lit Order Books... 18 5.2.1 Halt (Matching Halt)... 18 5.2.2 Re-opening Auction Call... 18 5.2.3 Auction Extension Periods... 19 5.3 Sessions for North Sea - Dark Midpoint Order Books... 20 5.3.1 Regular Trading... 20 Oslo Børs OSLMIT Oslo Børs Market Model Equities 5
5.3.2 Halt Session... 21 5.4 Instrument Trading Status... 21 5.4.1 Instrument Halt (Matching Halt)... 21 5.4.2 Regulatory Suspension (Trading Halt)... 21 5.5 Circuit Breakers... 22 6. Orders... 23 6.1 Order Types Lit Order Books... 23 6.1.1 Limit Order... 23 6.1.2 Market Order... 23 6.1.3 Iceberg Order... 23 6.1.4 Hidden (Reserve) Order... 24 6.1.5 Pegged Order... 24 6.1.5.1 Pegged Order during Regular Trading... 25 6.1.5.2 Pegged Order during Auctions... 25 6.1.6 Passive Only Orders... 25 6.2 Order Types for North Sea Dark Midpoint Order Books... 26 6.2.1 Limit Order... 26 6.2.2 Market Order... 26 6.2.3 Pegged Order... 26 6.3 Time in Force (TIF) Lit Order Books... 26 6.4 Time in Force (TIF) for North Sea Dark Midpoint Order Books... 28 6.5 Parked Orders... 28 6.6 Order Size... 28 6.7 Order Price... 29 6.8 Auto Cancel... 29 6.9 Self Execution Prevention... 30 6.10 Execution Instruction... 30 6.11 Other Information Connected with an Order... 31 6.12 Order Management Lit Order Books... 31 6.13 Order Management Dark Midpoint Order Books... 32 6.14 Order Priority Lit Order Books... 32 6.15 Order Priority Dark Midpoint Order Books... 33 7. Order Execution... 34 Oslo Børs OSLMIT Oslo Børs Market Model Equities 6
7.1 Order Execution during Regular Trading Lit Order Books... 34 7.1.1 Execution at One Price Level... 34 7.1.2 Pro-rating of Iceberg Orders... 34 7.2 Order Execution during Opening / Re-opening / Closing Auction Calls Lit Order Books... 35 7.2.1 Calculating the Auction Price... 35 7.2.2 Order Execution... 36 7.3 Order Execution in Dark Midpoint Order Books... 36 7.3.1 Well Formed Market Check (WFMC)... 37 8. Trades... 38 8.1 Automatic Trades... 38 8.2 Off-book (Manual) Trades... 38 8.2.1 Reporting... 38 8.2.2 Reporting Hours... 39 8.2.3 Trade Amendment / Cancellation... 39 8.2.3.1 Off-Book Trades... 39 8.2.3.2 Automatic Trades... 40 9. Market Information - Transparency... 41 9.1 Orders... 41 9.2 Trades... 41 9.3 Statistics... 42 9.3.1 Opening Price Calculation... 42 9.3.2 Closing Price Calculation... 42 9.3.2.1 Closing Auction / Last Trade... 42 9.3.2.2 Last Trade... 42 9.3.2.3 Mid Price... 42 9.4 Other Information... 43 10. Clearing and Settlement... 43 10.1 CCP Clearing... 43 10.2 Internalization... 43 Appendix 1 Off-book Trade Types... 45 Appendix 2 Order Types, Sessions and TIFs... 46 Appendix 3 Segments and Market Identifier Codes... 47 Appendix 4 Issue updates... 49 Oslo Børs OSLMIT Oslo Børs Market Model Equities 7
Issue 7.0 10 February 2014 (Millennium Release 8)... 49 Issue 7.1 28 February 2014 (Millennium Release 8)... 49 Issue 7.2 17 March 2014 (Millennium Release 8)... 49 Issue 7.3 16 June 2014 (Millennium Release 8)... 49 Issue 7.4 6 October 2014 (Millennium Release 8)... 49 Issue 7.5 10 November 2014 (Millennium Release 8)... 49 Issue 7.6 1 December 2014 (Millennium Release 8.6 North Sea)... 50 Issue 7.7 20 April 2015 (Millennium Release 8.6 North Sea)... 50 Issue 7.8 4 May 2015... 50 Issue 7.9 Valid from January 2016... 50 Appendix 5 Summary of features in the North Sea dark pool... 51 Introduction... 51 Executive summary... 51 Service description functional characteristics... 51 Oslo Børs OSLMIT Oslo Børs Market Model Equities 8
1. Introduction Since November 2012, the Millennium Exchange trading system has been the trading platform in use for the Oslo Børs equity and fixed income markets. Millennium Exchange is a flexible, highly scalable trading platform with ultra-low latency developed by MillenniumIT, a company in the London Stock Exchange Group. Oslo Børs and its market places for equities and fixed income aims at maintaining its competitive position, and is pleased to offer customers an upgraded release of the state-of-the-art trading system, featuring i.e. North Sea a dark pool supporting the Oslo Børs and Oslo Axess equity markets. North Sea makes use of Turquoise Uncross which is a trademark of TGHL 1, and is made available for Oslo Børs by courtesy of TGHL. 1.1 Purpose This document describes the main functional features available in the Millennium Exchange implementation in the Oslo Børs equities market. The regulated market Oslo Axess and the MTF Merkur Market are also covered. 1.2 Readership This document is relevant for business users and technical staff who need to understand how the Millennium Exchange works from a business perspective. 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 post the migration to the Millennium Exchange platform. The current series of documents are outlined below: General OSLMIT Oslo Børs Market Model Equities (this document) OSLMIT Oslo Børs Business Parameters - Equities OSLMIT Oslo Børs Market Model Fixed Income OSLMIT Oslo Børs Business Parameters Fixed Income 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) 1 Turquoise Global Holdings Limited ("TGHL") is an investment firm authorised by the Financial Conduct Authority of the United Kingdom. Initially founded by a consortium of nine investment banks, TGHL is now majority owned by the London Stock Exchange Group (LSEG). In addition to LSEG, its shareholders now include twelve of the leading investment banks. Oslo Børs OSLMIT Oslo Børs Market Model Equities 9
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 501 Guide to Testing Services OSLMIT 502 Guide to Application Certification OSLMIT 601 Guide to Trading Services Disaster Recovery OSLMIT 602 Network Guide OSLMIT 604 Technical Parameters OSLMIT 605 Live Environment Connectivity OSLMIT 606 CDS Environment Connectivity OSLMIT 801 Reject Codes The latest version of this documentation series can be found on: http://www.oslobors.no/ob_eng/oslo- Boers/Trading/Trading-systems/Millennium-Exchange/Technical-documentation 1.4 Other Relevant Documentation The MiFID Level 2 regulation may be retrieved from http://eur-lex.europa.eu/lexuriserv/lexuriserv.do?uri=oj:l:2006:241:0001:0025:en:pdf Oslo Børs OSLMIT Oslo Børs Market Model Equities 10
2. Definitions The below terms are used in this document: Term Dark Midpoint Order Book Direct Market Access (DMA) EMS Explanation An order book connected to some instruments with dark (unpublished) orders only. 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. Exchange Market Size: For Oslo Børs share products, the EMS will be set for each instrument to a number of shares which is compatible with an approximate consideration of NOK 10,000. For Oslo Børs ETF and ETN products, the EMS will be 100 units For warrants the EMS will be 10,000 contracts. The EMS will be reviewed and adjusted quarterly, on the Friday following the 3 rd Thursday in December, March, June, and September. ETF ETN ADT BBO Dynamic Reference Price Exchange Traded Funds Exchange Traded Notes Average Daily Turnover calculated as defined in MiFID Level 2 regulations (see 0) Best bid and offer i.e. the highest visible buy order and the lowest visible sell order The price of the last automatic execution (from an auction or from Regular Trading), or previous day s closing price LIS Orders large in scale definition in MiFID level 2 Regulation (see section 1.4) Annex II Table 2. Lit Order Book The standard order book with normal visible orders and Hidden orders meeting the LIS criteria. Rules Sponsored Access (SA) Oslo Børs Member and Trading Rules 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. Oslo Børs OSLMIT Oslo Børs Market Model Equities 11
Static Reference Price The most recent of Previous day s closing price Uncrossing price from an auction If there is no uncrossing price from an auction, the Static Reference Price will be set to the price of the first automatic trade after the auction. Please note that the reference prices may be overridden manually; e.g. as a result of corporate actions or price movements. TIF Turquoise Uncross User Visible Midpoint Time in Force Defines when and for how long an order will be valid Periodic uncrossing which take place at randomized time intervals to match orders eligible for Turquoise Uncross against contra-side orders. The FIX CompID or Native user name i.e. the logon name of a trading connection. One FIX CompID may send orders on behalf of many Trader Groups. For Native connections the user name and the Trader Group are the same. This is the mid of the visible BBO in the Lit Order Book, i.e. (best visible bid price + best visible offer price)/2. The result is not rounded, so it may be between ticks. Oslo Børs OSLMIT Oslo Børs Market Model Equities 12
3. 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 3.1 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. 3.2 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. 3.3 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 - Access to private data (orders, trades) - Trade reporting privileges - Clearing arrangements (which CCP(s) to use for each market) - If the Trader Group is subject to CCP Internalization (see section 10.2 for details) For a User it is configurable Oslo Børs OSLMIT Oslo Børs Market Model Equities 13
- If the User s orders should be automatically cancelled at disconnect or logout (see section 6.8 for details) - If the User is part of a Self Execution Prevention (SEP) Group (see section 6.9 for details) - If the Minimum Execution Size (MES) submitted with an order to the Dark Midpoint Order Book should apply to the first fill only, or to all fills (see section 6.6 for details) - The default setting for the Execution Instruction applicable for orders to the Dark Midpoint order Book (see section 6.10 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 a part of enabling the member connections. 3.4 Trader ID The messages to add orders in the Millennium system include a field for Trader ID. Oslo Børs has allocated the first character of that field to identify the trade flow type (see section 3.5). The remaining (10) characters are 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 2. 3.5 Trade flow type It is mandatory to identify the trade flow type for each order submitted to Oslo Børs. The trade flow type is defined as: Trade flow type identifier Name Definition 0 DMA/SA Direct Market Access (DMA) or Sponsored Access (SA). For detailed definitions, see section 2. Any character other than 0 (including <space>) Other All trade flow excluding DMA/SA. When deciding the appropriate category, emphasis should be put on how the order flow was received by the member firm. 2 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. Oslo Børs OSLMIT Oslo Børs Market Model Equities 14
4. Market structure In general, the market structure in Oslo Børs Millennium will have three levels from a business perspective: The Market (e.g. Oslo Børs Equities ). A number of Segments, each including a number of instruments with common features. Each segment is identified by a 3 4 character name. Instruments. Each instrument is identified by a unique numeric Instrument ID. The short name and the full name of the instrument will be included in the reference data. Please note that the ISIN is not unique in the Millennium Exchange system more than one Instrument ID may be associated with the same ISIN. Each instrument has one standard order book ( the Lit Order Book ). Some instruments may have an additional order book ( the Dark Midpoint Order Book ). The segments and the Market Identifier Codes (MIC) are included in Appendix 3 Segments and Market Identifier Codes. Oslo Børs OSLMIT Oslo Børs Market Model Equities 15
5. The Trading Day In Millennium Exchange, the trading day is defined by different sessions. This section discusses the sessions which apply for on-book trading. The sessions which apply for manual (off-book) trade reporting are included in section 8.2. The relevant session changes throughout the day and will be disseminated for each instrument/order book 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, Price Monitoring Extensions, Market Order Extensions, and Matching Halts or Trading Halts (Suspensions). Also, under exceptional circumstances (e.g. operational disturbances), Market operations may extend or shorten sessions. The trading sessions for equities in Millennium are set up in accordance with the document OSLMIT Oslo Børs Business Parameters Equities. 5.1 Scheduled Sessions Lit Order Books This section describes the events of each scheduled session for Lit Order Books. The sessions which may apply to Dark Midpoint Order Books are included in section 5.3. The descriptions refer to the available Time in Force (TIFs), which are described in more detail in section 6.3. 5.1.1 Pre Trading During the Pre Trading session, overnight orders from previous day are published via the market data channels. Members cannot manage or insert orders or trades during this session, and no orders are executed. If an order breaches the allowed price band tolerances (when configured for the instrument) the order is automatically expired. 5.1.2 Opening Auction Call During the Opening Auction Call session, members may insert, amend and delete orders. The orders are not executed, but will be published in accordance with their visibility (i.e. visible orders and visible part of iceberg orders are published). Also, the Indicative Auction Price and Volume will be continuously calculated and published for each instrument. Limit orders, Market orders, Iceberg orders and Hidden Limit orders may be entered in this period, and will participate in the uncrossing. The Market orders will persist in the book until the uncrossing. Pegged orders may be entered, but will be parked and do not participate in the uncrossing. TIFs OPG, GFS, GFA, GTD, GTT and DAY may be used. Note that GTT orders with expiry time during the auction will not expire until after the uncrossing, even if the expiry time is passed. Orders may be entered with TIF ATC as well, but such orders will be parked outside the active order book until the Closing Auction Call. IOC and FOK TIFs may not be used during the Opening Auction Call. At the end of the auction call, the uncrossing will occur and eligible orders are executed in accordance with the auction execution algorithm. The uncrossing will take place on a random time from the scheduled end of the auction call, subject to any Price Monitoring or Market Order Extensions (see section 5.2.3). The random time is set to a maximum value for each segment; see OSLMIT Oslo Børs Business Parameters - Equities for details. Any remaining OPG, GFS or GFA orders and GTT orders with an expiry time which has been passed during the auction call will be expired immediately after the uncrossing and before the next session starts. 5.1.3 Regular Trading Oslo Børs OSLMIT Oslo Børs Market Model Equities 16
At the start of the Regular Trading session, Pegged orders will be moved from the parked queue into the Pegged order container and will be available for execution. Members may insert, amend and delete orders during the Regular Trading session. All order types may be used (Limit, Market, Iceberg, Hidden Limit, Pegged). Market orders will never persist in the order book during Regular Trading they will expire after a full, partial or no fill. TIFs GTD, GTT, DAY, IOC and FOK may be used. Orders may be entered with ATC, GFS or GFA TIF as well, but such orders will be parked outside the active order book until the next auction (for GFA orders) or until the next scheduled (i.e. Opening, Intra-Day or Closing) auction (for GFS orders) or until the Closing Auction Call (for ATC orders). Incoming (aggressive) orders will be continuously executed against existing (passive) orders in the order book, price permitting. Passive orders will be executed in accordance with their priority (see section 7.1). Circuit breakers may be configured for any segment or an individual instrument. If an execution is about to occur at a price which is at or outside the circuit breaker limits for the instrument, the instrument is automatically moved to a Re-opening Auction Call session (see section 5.2.2) and the execution does not take place. The aggressing order which triggered the circuit breaker will be added to the book with its remaining quantity to participate in the Re-opening Auction Call. However, if the aggressing order is a Market order, or has TIF IOC the order will expire before the Re-opening Auction Call is started. Note that an FOK order which would have triggered a circuit breaker if executed, will expire without any executions, and will not trigger a circuit breaker. If a circuit breaker is triggered less than 7 minutes before the Closing Auction Call session, the instrument will be moved directly into the Closing Auction Call session when the circuit breaker is triggered. For instruments which do not have a Closing Auction Call, order book updates will not be published after Regular Trading, and the next session will be the Closing Price Publication. 5.1.4 Intra-Day Auction Call In some segments, Intra-Day Auctions take place at one or more scheduled times during a trading day, in addition to any Opening and Closing Auction Calls. An Intra-Day Auction will interrupt the Regular Trading session for the instrument, run for the scheduled duration, uncross, and then move the instrument back to Regular Trading. The uncrossing will take place on a random time from the scheduled end of the auction call, subject to any Price Monitoring or Market Order Extensions (see section 5.2.3). TIFs GFS, GFA, GTD, GTT and DAY may be used. Note that GTT orders with expiry time during the auction will not expire until after the uncrossing, even if the expiry time is passed. IOC and FOK TIFs may not be used during an Intra-Day Auction. Any remaining GFS or GFA orders and GTT orders with a time which has been passed during the auction call will be expired immediately after the uncrossing, and the visible order book is updated with the order executions and expiries. Oslo Børs OSLMIT Oslo Børs Market Model Equities 17
5.1.5 Closing Auction Call When the Regular Trading session has completed and a Closing Auction Call is configured, the instrument is moved into the Closing Auction Call at the scheduled time. At this point any existing Pegged orders expire, and parked ATC, GFS and GFA orders will be added to the active order book. During the Closing Auction Call members may insert, amend and delete orders. All orders are published in accordance with their visibility, and the Indicative Auction Price and Volume is continuously calculated and published. No execution will take place before the auction uncrossing. All order types except Pegged orders may be used. TIFs ATC, GFA, GFS, GTD, GTT and DAY may be used. Note that GTT orders with expiry time during the auction will not expire until after the uncrossing, even if the expiry time is passed. IOC and FOK TIFs may not be used during the Closing Auction Call. At the end of the auction call, the uncrossing will occur and eligible orders are executed in accordance with the auction execution algorithm. The uncrossing will take place on a random time from the scheduled end of the auction call, subject to any Price Monitoring or Market Order Extensions (see section 5.2.3). Any remaining GFS, ATC or GFA orders and GTT orders with a time which has been passed during the auction call will be expired immediately after the uncrossing, and the visible order book is updated with the order executions and expiries. After this point, no order book updates will be published. 5.1.6 Closing Price Publication Following the end of normal trading (which is the end of the Closing Auction Call, or the end of Regular Trading if no Closing Auction Call is configured), the closing prices are published. Note that the exact start time is subject to any Price Monitoring or Market Order extensions which may occur during the Closing Auction Call. 5.1.7 Post Close During this session, members may cancel orders, but may not insert or amend orders. The order book will not be published during the Post close session i.e. the order book as shown via market data will appear as frozen. 5.2 Unscheduled Sessions Lit Order Books 5.2.1 Halt (Matching Halt) Market supervision may introduce a Matching Halt for one or more instruments. In Millennium, this will be published as a Halt session. During this session, orders will not be executed, and members may not insert or amend orders. However, order cancels will be possible, and GTT orders will expire in accordance with their time limit. If a scheduled auction call session is triggered during a Halt that auction call will not be carried out. If an instrument which is in an auction call session (Opening, Closing or Re-opening) is moved to a Halt session, any remaining market orders in the order book will be expired. If it is expected that the matching halt will remain until the next day, market supervision may decide to change the instrument s status to halt or suspended, see sections 5.4.1 and 5.4.2. 5.2.2 Re-opening Auction Call When a circuit breaker is triggered, or a matching halt or suspension is lifted, the instrument will be moved into a Re-opening Auction Call if the scheduled session for the instrument is Regular Trading. Oslo Børs OSLMIT Oslo Børs Market Model Equities 18
Note that if a circuit breaker is triggered less than 7 minutes before a scheduled Closing Auction Call, the instrument will be moved directly to the Closing Auction Call. The Re-opening Auction Call session will operate the same way as the Opening Auction Call (see section 5.1.2), except that the duration will be shorter, and orders with TIF OPG are not allowed. At the start of the Reopening Auction Call any existing parked GFA orders will be moved to the order book to be included in the auction. GFS orders will remain in the parked state and will not be included in the auction. If a scheduled Closing Auction Call is triggered during a Re-opening Auction Call, the instrument will move to the Closing Auction Call. 5.2.3 Auction Extension Periods An auction extension period may be triggered for one security before it uncrosses. The extension period implies that the auction period is extended with an amount of time (typically 1 minute) so that the market s attention may be drawn to the security and react on price level or opportunities with available market orders. If the calculated Indicative Auction Price at the end of the auction period is more than a certain percentage away from the reference price, a Price Monitoring Extension (PME) may be triggered. If there are market orders that would remain unexecuted at the end of the auction period, a Market Order Extension (MOE) may be triggered. The auction extension periods may occur as indicated in the figure below: Oslo Børs OSLMIT Oslo Børs Market Model Equities 19
The different auctions are configured differently in terms of duration of auction call periods and the maximum number of extension periods: Auction Type Call Period Max no of extensions Duration of each extension PME MOE Opening Auction Call 45 min 1 1 1 min Re-opening Auction Call (after a Circuit Breaker has been triggered); or Re-opening Auction Call(after a matching Halt has been lifted) 3 min 1 1 min 0 1 1 min 3 min (*) 1 1 1 min 1 1 min Re-opening Auction Call (after a 15 min (*) 1 1 1 min Suspension has been lifted) Closing Auction Call 5 min 2 1 1 min (*) May be changed on a case by case basis 5.3 Sessions for North Sea - Dark Midpoint Order Books This section describes the events of each scheduled session for Dark Midpoint Order Books. The sessions which may apply to Lit Order Books are included in sections 5.1 and 5.2. The descriptions refer to the available Time in Force (TIFs), which are described in more detail in section 6.3. 5.3.1 Regular Trading The Regular Trading session for a Dark Midpoint Order Book will normally be started when the corresponding Lit Order Book is scheduled to start its Regular Trading. However no executions will take place in the Dark Midpoint Order Book until a valid Visible Midpoint (please see section 7.3.1 for details) has been received from the Lit Order Book. During the Regular Trading session, orders to the Dark Midpoint Order Book may be inserted, amended or deleted. Orders may be of type Limit, Market or Pegged and must be inserted with 0 disclosed quantity. Market orders may persist in a Dark Midpoint Order Book. At order entry the user may select if the order should be included in continuous trading or Turquoise Uncross or both. The available TIFs are GTT, DAY, IOC, FOK and GFA. However please note that special restrictions apply to the GFA orders in a Dark Midpoint Order Book, see section 6.4 for details. During the Regular Trading session the Dark Midpoint Order Book will operate in a continuous trading mode. Incoming orders will aggress passive orders and try to match them at the current Visible Midpoint price, or will be parked until the next Turquoise Uncross, based on the order s execution instruction (see section 6.10 for details). Turquoise Uncross events occur at random intervals. In these events all orders eligible to participate are collected and will be matched if possible. Each event will take place inside a minimum and a maximum number Oslo Børs OSLMIT Oslo Børs Market Model Equities 20
of seconds from the previous event (or from the start of Trading). Typical values for the minimum will be 5-30 seconds, for the maximum 10-45 seconds (the exact values TBD). The values will be adjusted based on the expected liquidity and other factors related to each individual instrument. All executions in the Dark Midpoint Order Book both in Turquoise Uncross and during continuous trading will take place at the current Visible Midpoint of the corresponding Lit Order Book, provided that the price is valid (please see section 7.3.1 for details). Circuit Breakers do not apply to trading in the Dark Midpoint Order Book. 5.3.2 Halt Session When a Dark Midpoint Order Book is in a Halt session, no orders may be inserted or amended, and no orders will be executed. However the member may cancel orders. Please note that if the Lit Order Book is changed to a Halt session, the Dark Midpoint Order Book does not automatically change its session. However because there will not be a valid price from the Lit Order Book in this scenario, no executions will occur in the Dark Midpoint Order Book. 5.4 Instrument Trading Status 5.4.1 Instrument Halt (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 (see 5.2.1) if it is not already in a Halt session and the closing price for the instrument is sent out. 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. However, 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 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. Note that the closing price will be sent out as normal after the Closing Auction Call, even if a closing price has been sent out when the instrument was halted. 5.4.2 Regulatory Suspension (Trading Halt) In accordance with the Rules, 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 - The closing price for the instrument is sent out It is not possible to enter any orders in a suspended instrument. However, this status does not impact the entry of manual trades. Oslo Børs OSLMIT Oslo Børs Market Model Equities 21
When the suspension is lifted, the instrument s status will be set to Active and a Re-opening Auction Call 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. Note that the closing price will be sent out as normal after the Closing Auction Call, even if a closing price has been sent out when the instrument was suspended. 5.5 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. If a circuit breaker is triggered when uncrossing at the end of an auction call, a Price Monitoring Extension will be started i.e. the auction call is extended. This may happen once or twice in one call, see section 5.2.3 which details the number and duration of the extensions. Note that circuit breakers do not apply to all instruments; please see the document OSLMIT Oslo Børs Business Parameters Equities for details. The circuit breaker triggering levels may be configured for groups of instruments and may vary between the different sessions e.g. the Opening Auction Call triggering levels may be different from those which apply during Regular Trading. 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 of 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) and re-published via the Market Data feeds if they are changed for single instruments, throughout the trading day 3. However please note that Oslo Børs may change the triggering levels without any advance notice. Also, the Static and Dynamic Reference Prices may be changed. These changes are not published via the Millennium system. Price bands are a feature to prevent orders with a clearly erroneous price from being entered. The price bands are defined and published together with the circuit breakers. Section 6.7 includes a description of how price bands work. 3 Please see section 1.3 for references to the applicable Reference Data and Market Data technical documentation Oslo Børs OSLMIT Oslo Børs Market Model Equities 22
6. Orders This section describes characteristics of orders from a market perspective. Further details are included in the Technical Specification documents, see section 1.3. In Appendix 2 Order Types, Sessions and TIFs you will find a summary of the available combinations. Configuration details for the different segments are included in the document OSLMIT Oslo Børs Business Parameters Equities. 6.1 Order Types Lit Order Books 6.1.1 Limit Order A limit order is added to the order book and published with a limit price and a fully visible quantity unless it is executed in full at order entry. If it is partially matched at order entry the remainder will be added to the book and published. A limit order will always execute at a price which is equal to or better than its limit price. The limit price must be a multiple of the instrument s tick size. 6.1.2 Market Order A market order has no price attached to it and is used to trade at the best available prices in the order book during Regular Trading. In an auction uncross, the market orders are executed at the calculated auction price. Market orders will never persist in the order book during the Regular Trading session. If a market order is submitted during this session and not fully filled its remainder is expired. Market orders are added to the order book during an auction call session. If the order book is moved from an auction call session to the Halt session, any remaining market orders will expire. 6.1.3 Iceberg Order For iceberg orders, a disclosed quantity must be specified in addition to the order quantity when submitting an order. For such orders, the system only publishes the disclosed quantity, while maintaining the hidden quantity to replenish the disclosed quantity when the visible quantity is fully executed. The disclosed quantity must be equal to or greater than the minimum peak size defined in OSLMIT Oslo Børs Business Parameters document. An iceberg order must be a limit order. When an iceberg order is received the system considers the entire order quantity (including the disclosed quantity) when searching for executions. When a passive iceberg order receives an execution, the execution takes place first from the disclosed quantity (unless preferencing, see section 7.1). 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 replenishment 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 which 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. Oslo Børs OSLMIT Oslo Børs Market Model Equities 23
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 Replenishment Size% is included in OSLMIT Oslo Børs Business Parameters document. Example: Original disclosed size = 200 Random Replenishment Size% = 20% Lot size = 1 The random replenishment quantity will be between 200 and 240, rounded down to the nearest lot size. It will be re-calculated 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 order book. Further details of iceberg order executions are included in section 7.1. 6.1.4 Hidden (Reserve) Order For a hidden order the disclosed quantity is set to 0, and the order is never published in the order book. A hidden order must be a limit order. A hidden order must have a minimum consideration, so it fits in with the Large in Scale (LIS) definition. Note that a hidden order which is partially executed will still be a hidden order, even if the order s size is reduced so that the remaining consideration is less than this requirement. However, such order may not be amended because the consideration validation is re-applied. Hidden orders are not available for all segments. 6.1.5 Pegged Order A pegged order is a type of fully hidden order which will always peg to the Visible Midpoint of the same instrument. A pegged order may be entered with a hard limit. If a pegged order has a hard limit, the order will expire if the visible BBO moves beyond the hard limit or if the hard limit falls outside the price band thresholds. A pegged order cannot be an iceberg order i.e. a pegged order is always fully hidden. Like all other hidden orders, a pegged order must have a minimum consideration, so it fits in with the LIS definition. A pegged order which is partially executed will still be a pegged order, even if the order s size is reduced so that the remaining consideration is less than this requirement. However, such order may not be amended because the consideration validation is re-applied. Pegged orders are not available for all instruments; see the OSLMIT Oslo Børs Business Parameters document for details. A pegged order may only use the TIFs DAY and GTT, and will be expired by the system at the start of the Closing Auction Call (or at market close, if there is no Closing Auction Call). Oslo Børs OSLMIT Oslo Børs Market Model Equities 24
6.1.5.1 Pegged Order during Regular Trading When a pegged order is entered during Regular Trading the system will validate if it is large enough to be a hidden order. The order s consideration is calculated as Visible Midpoint * Order quantity If the consideration is smaller than what is required by the LIS definition, or if there is no visible BBO, the order is rejected. The consideration validation is re-applied if the order is amended by the member. However, the validation will not be re-applied if the order size is reduced through executions, or when the visible BBO is changed during Regular Trading. If the visible BBO for an instrument disappears (i.e. no bids and/or no offers in the order book), all pegged orders in the instrument are expired by the system. If a pegged buy (sell) order includes a limit price (aka hard limit ), and the limit is lower (higher) than the Visible Midpoint, the pegged order will be rejected at entry. The same validation is done if the order is amended by the member. Also, an existing pegged order will expire if the visible BBO changes so that the order s limit price is breached. 6.1.5.2 Pegged Order during Auctions Pegged orders are not active during auctions. However, a pegged order may be entered during an Opening and Re-opening Auction Call, in which case it will be parked until after the auction uncrossing. When an instrument is moved into a Re-opening Auction Call (e.g. following a circuit breaker or when lifting a halt), existing pegged orders are parked and will not be included in the auction call or uncrossing. At the start of the Closing Auction Call all pegged orders expire. When a pegged order is entered or amended during an auction, there will be no validation at order entry of the consideration (whether it is large enough to be a hidden order), or if there is an existing BBO. Both of these validations are made after the auction uncrossing (when the instrument moves into the Regular Trading session). When an instrument uncrosses after an auction call and moves to Regular Trading, parked pegged orders are un-parked and made available for executions. At this point the pegged order validation is re-applied to check that the pegged order meets the consideration requirement, and that a BBO exists for the instrument. 6.1.6 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. However there is no protection against executions against hidden contra orders i.e. if a hidden contra order with a price inside the current visible BBO exists, it will execute against an incoming order regardless of the setting of the incoming order s passive only indicator. The available options for the passive only indicator are: No constraint i.e. no validation if executions will occur; or Add the order to the order book at any level; or Oslo Børs OSLMIT Oslo Børs Market Model Equities 25
Add the order only if it sets a new best 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 2nd visible price point or better; or Add the order only if the order s price is at the 3rd visible price point or better. For hidden (reserve) orders, only the first two of the above options are available ( No constraint and Add the order to the order book at any level ). The incoming order expires immediately if the condition indicated by the specified indicator is not met. 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); and Not a pegged order ( passive only indicator is ignored) 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. 6.2 Order Types for North Sea Dark Midpoint Order Books 6.2.1 Limit Order A limit order will execute at the limit price, or at a better price. 6.2.2 Market Order A market order has no price attached to it and may trade at any valid price from the Lit Order Book. Market orders may be included both during continuous trading and in Turquoise Uncross. Please note that a market order in the Dark Midpoint Order Book may persist in the order book throughout the day, subject to its TIF. 6.2.3 Pegged Order Pegged orders in the Dark Midpoint Order Book will behave in the same way as Limit orders and Market orders. Unlike the Lit Order Book, a Pegged order in the Dark Midpoint Order Book will not expire if the Visible Midpoint is not valid or moves beyond the order s hard limit. 6.3 Time in Force (TIF) Lit Order Books Each of the available TIF settings for the Lit Order Books is described in the below table: TIF IOC (Immediate or Cancel) Description 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 is not available during an auction call. Oslo Børs OSLMIT Oslo Børs Market Model Equities 26
TIF FOK (Fill or kill) GTT (Good till time) GTD (Good till date) ATC (At the close) OPG (At the open) GFA (Good for auction) GFS (Good for scheduled auction) DAY (Good for day) Description The order is 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. 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. Please note that a GTT order will NOT expire in an auction call, even if the set expire time is passed. If so, it will expire after the auction call uncrossing has completed. 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. The date may be specified up to 90 calendar days ahead. An ATC order may be entered during any session where order entry is allowed. If the order is entered before the Closing Auction Call starts, it will be parked, and injected into the order book when the Closing Auction Call starts. When the auction call ends, any unexecuted part of the order expires. Note that if the instrument is moved to another session during the Closing Auction Call (e.g. Halt), any ATC orders will expire. An OPG order may be entered during the Opening Auction Call only. When the auction call ends, any unexecuted part of the order expires. Note that if the instrument is moved to another session during the Opening Auction Call (e.g. Halt), any OPG orders will expire. A GFA order may be entered during any session which accepts order entry. The order will be parked if the current session is not an auction call, and then injected into the order book when the next auction starts irrespective of the type of auction (open, close or re-opening). When the auction ends, any remaining part of the GFA order expires. Note that if the instrument is moved to another session during the call (e.g. Halt), any GFA orders will expire. A GFS order may be entered during any session which accepts order entry. The order will be parked if the current session is not a scheduled auction call, and then injected into the order book when the next scheduled auction starts. When the auction ends, any remaining part of the GFS order expires. Note that if the instrument is moved to another session during the call (e.g. Halt), any GFS orders will expire. Scheduled auctions include the Opening, Closing and Intra-Day Auction Calls. The order will be executed as much as possible, and any unexecuted quantity will reside in the order book until it expires at market close, or until it is executed, or cancelled by the user. Oslo Børs OSLMIT Oslo Børs Market Model Equities 27