IT - INET Nordic and Baltic - Changes due to review of RTS 1&2 and implementation of MMT v4.1 (52/23)
Nasdaq Nordic and Baltic are planning to implement changes related to review of RTS 1 (equity transparency) and RTS 2 (non-equity transparency), with effective date Monday January 1, 2024. The changes impact certain Trade Types used for on-exchange manual trade reporting and related market data feeds.
In combination with these regulatory changes, Nasdaq Nordic and Baltic will adopt MMT v4.1 including new flagging for frequent batch auctions.
The changes will be available in INET NTF and GCF TST4 for testing by mid-November, and will be activated in INET PROD as of Tuesday January 2, 2024.
RTS 1 and RTS 2 related changes for Nasdaq APA (off-exchange SI/OTC trades) are informed in separate IT-Notices.
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Manual On-Exchange Trades
Changes to Manual Trade Types
Four of the current Trade Types will be removed and one new Trade Type will replace these.
Trade Types that will be removed:
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Beneficial Ownership Transfer Transaction,
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Give-up or Give-in Transaction,
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CCP Related Transaction,
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Exercise Related Transaction
Name change to existing Trade Type:
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Name of Trade Type ‘Linked Component Transaction’ changed to ‘Contingent Trade’
New Trade Type is introduced: ‘Non-Price Forming Trade’.
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‘Non-Price Forming Trade’ covers the exhaustive list of use cases under RTS 1 Article 6(k), including the use cases for Trade Types that are removed.
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The pre-trade transparency waiver flag automatically published and relayed back to Member is ‘PRIC’ and as per revised RTS1 flag ‘NPFT’.
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Trades reported with trade type Non-Price Forming Trade ≥ LIS threshold in all instrument types are considered as LIS trades, hence flags ‘PRIC’ and ‘NPFT’ are not published or assigned.
Changes to post-trade transparency flags
In addition to the pre-trade transparency waiver flag ‘PRIC’ automatically published and relayed back to Member, trades reported with Trade Type
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‘Portfolio Trade’ will be automatically assigned with new flag ‘PORT’,
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‘Contingent Trade’ will be automatically assigned with new flag ‘CONT’.
Optional descriptive flags available in trade entry
Existing descriptive flag ‘SDIV’ continues to be available for all Trade Types.
RTS 1&2 revision introduces additional post-trade flag combination possibilities. Trade entry will support the following combinations for trades that are below LIS threshold:
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For ‘Volume Weighted Average Price Trade’, where BENC continues to be automatically assigned, possible optional combinations are:
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for equity instruments (MiFIR identifiers SHRS, DPRS, ETFS, OTHR): BENC+PORT, BENC+CONT, BENC+PORT+CONT.
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for warrants and certificates (MiFIR identifier SDRV), ETNS and ETCS, it is not possible to use ‘CONT’.
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For ‘Portfolio Trade’, where ‘PORT’ will be automatically assigned, possible optional combinations are:
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for equity instruments (MiFIR identifiers SHRS, DPRS, ETFS, OTHR): PORT+BENC, PORT+CONT, PORT+BENC+CONT.
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for warrants and certificates (MiFIR identifier SDRV), ETNS and ETCS, it is not possible to use ‘CONT’.
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For ‘Contingent Trade’, where ‘CONT’ will be automatically assigned, possible optional combinations are:
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for equity instruments (MiFIR identifiers SHRS, DPRS, ETFS, OTHR): CONT+BENC, CONT+PORT, CONT+BENC+PORT.
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for warrants and certificates (MiFIR identifier SDRV), ETNS and ETCS, it is not possible to use ‘CONT’.
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For ‘Non-Price Forming Trade’, where ‘NPFT’ will be automatically assigned, only possible optional combination is:
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for equity instruments (MiFIR identifiers SHRS, DPRS, ETFS, OTHR): ‘BENC’
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for not liquid ETNS and ETCS: ‘BENC’
Manual Trades ≥ LIS threshold in all instrument types and regardless of Trade Type used are considered as LIS trades, and no pre-trade transparency waiver flag or additional descriptive post-trade flags, except flag ‘SDIV’, are published.
Members who intend to report manual on-exchange trades using Trade Types impacted, need to adopt these changes.
Transitional details for Manual Trades
Current Trade Types and post-trade transparency flags related to those are maintained until December 31, 2023 and published for trades executed during 2023.
For any Manual Trade reported from January 1, 2024 onwards, only the revised Trade Types regime effective as of that date will be supported. This applies also to trades that are agreed during the last trading day of 2023 but are reported during the first trading day of 2024.
Manual Trades that have been reported during the last trading days of December 2023 and for which the deferred publication would delay the trade publication to January 2024, will be published during the relevant market segment’s post trade session at the end of the last trading day of 2023 (i.e. Friday 29 December, 2023).
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Implementation of MMT v4.1 including new flagging for Auction-on-Demand trades
Nasdaq Nordic and Baltic will adopt MMT v4.1 including new flagging for frequent batch auctions.
Auction On Demand trades will be flagged as "P" - On Demand Auction (Frequent Batch Auction) trades instead of "U" - Unscheduled Auction trades as per implementation of MMT v4.1.
Protocol specifications
Protocol changes related to this IT Notice are available at the Nasdaq Nordic Technical Information website.
FIX On-Exchange Trade Reporting protocol: New field TertiaryTrdType [2896] added and existing Trade fields updated with new/modified/obsolete trade types. FIX Tags with references to MMT have been updated to MMT 4.1 values and descriptions.
NLS (Nordic Last Sale) protocol: MMT table updated to MMT 4.1 (no change of MMT field format).
FIX and OUCH Order Entry and FIX DROP protocols: Added the new value for Frequent Batch Auctions to the Trade Mode field in the outbound Execution and Broken Trade messages.
GCF-TIP protocol: Updates will be communicated in a separate IT-Notice.
Nasdaq Nordic Member Rules, Nasdaq Baltic Member Rules and INET Nordic Market ModelThe updates related to these changes will be made effective as of January 2, 2023.Changes will be reflected in the respective rules of Nasdaq Nordic and Nasdaq Baltic and INET Nordic Market Model, available at Nordic Member Rules and at Nasdaq Baltic Rules and Regulations.Implementation schedule
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INET Test (NTF) and GCF TST4 – mid-November, 2023, date to be confirmed
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INET and GCF Production – January 2, 2024
Technical support
For technical questions, please contact Nasdaq Cash Equity Operations:
Tel: +46 8 405 6410
E-mail: operator@nasdaq.com
Best regards,
Nasdaq Nordic and Nasdaq Baltic
Nasdaq Copenhagen, Nasdaq Helsinki, Nasdaq Iceland, Nasdaq Riga, Nasdaq Stockholm, Nasdaq Tallinn and Nasdaq Vilnius are respectively brand names for Nasdaq Copenhagen A/S, Nasdaq Helsinki Ltd, Nasdaq Iceland hf., Nasdaq Riga AS, Nasdaq Stockholm AB, Nasdaq Tallinn AS and AB Nasdaq Vilnius. Nasdaq Nordic represents the common offering by Nasdaq Copenhagen, Nasdaq Helsinki, Nasdaq Iceland and Nasdaq Stockholm. Nasdaq Baltic represents the common offering by Nasdaq Tallinn, Nasdaq Riga and Nasdaq Vilnius.
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