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--- norex [2017/02/07 14:42] – [Auction Mechanisms] maya
+++ norex [2023/02/27 11:54] (current) – hammed
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 ====== Nasdaq OMX Nordic ======
 Nasdaq OMX Nordic covers the NASDAQ OMX exchanges in Copenhagen, Helsinki, and Stockholm. Part of the NASDAQ OMX exchange group, it leverages the same technologies used by the NASDAQ market in the US.
@@ Line 8: / Line 9: @@
   * Helsinki: Euro (EUR)
   * Stockholm: Swedish Krona (SEK)
-Time Zones:
-  * Copenhagen: UTC +01:00
-  * Helsinki: UTC +02:00
-  * Stockholm: UTC +01:00
-[[http://www.nasdaqomxnordic.com/tradinghours | Trading Hours]]
+[[http://www.nasdaqomxnordic.com/tradinghours | Trading Hours]]\\
+[[https://www.nasdaqomxnordic.com/digitalAssets/111/111428_trading-calendar-2022-2024.pdf | Trading Calendar]]
-==== Lit Order Types ====
+==== Order Types ====
-  * Limit Buy/Sell (Day/IOC)
-  * Market Buy/Sell (Day)
-==== Alternative Trading Systems (ATS) ====
+  * Limit Buy/Sell→ShortSell (Day/IOC)
-  * [[BATSEurope | BATS Europe]]
+  * Market Buy/Sell→ShortSell (Day)
-  * [[Turquoise | Turquoise]]
 ==== Basic Market Rules ====
   * Lot Size: 100 shares.
   * Tick Size: varies by market, price, and security.
   * Short Sale Rules: naked short sales are prohibited; a locate must be obtained prior to executing a short sell.
-  * Circuit Breakers: Nasdaq OMX Nordic employs volatility guides which are set dynamically (Dynamic Volatility Guard) or statically (Static Volatility Guard).
+  * Circuit Breakers: Nasdaq OMX Nordic employs volatility guides which are set dynamically (Dynamic Volatility Guard) or statically (Static Volatility Guard). For more information, please see the Circuit Breakers sections of the [[https://www.nasdaq.com/docs/Nasdaq%20Iceland%20Market%20model%20for%20Genium%20INET%202019_03.pdf |Nasdaq OMX Nordic Market Model]] document.
+  * **Note:** as part of pre-trade transparency requirements under the new MiFID II rule, Europe hidden or hidden portion of iceberg (e.g., CHIX-X Bats and Turquoise reserve/dark orders) order must be sent above the Large In Scale (LIS) thresholds as defined by the European Securities and Markets Authority (ESMA). For more information about the MiFID II rules, visit the ESMA official website at https://www.esma.europa.eu/.
 ==== Auction Mechanisms ====
 Auction mechanisms are referred to as Calls on Nasdaq OMX Nordic.
-The Call procedure starts in all order books of the market segment at virtually the same time. A Call consists of two phases: order management and uncross. The uncross lasts a very short time, usually a fraction of a second. A random uncrosses sequence for the order books will be applied. To facilitate price formation process in calls, order book information is supplemented with tentative matching information. It includes indicative matching price based on prevailing order information, and how much total volume (including no displayed volume) would be matched at the indicated price. The uncross phase includes opening/closing price determination, share allocation, and order information delivery.
+The Call procedure starts in all order books of the market segment at virtually the same time. A Call consists of two phases: order management and uncross. The uncross lasts a very short time, usually a fraction of a second. A random uncrosses sequence for the order books will be applied. To facilitate the price formation process in calls, order book information is supplemented with tentative matching information. It includes indicative matching price based on prevailing order information, and how much total volume (including no displayed volume) would be matched at the indicated price. The uncross phase includes opening/closing price determination, share allocation, and order information delivery.
 === Open ===
-During the opening call there is Market by Order dissemination of the order book. Order entry and full order management is available through the 9:00 opening auction uncross (and after). Orders with Time-In-Force conditions Day, Good-Till-Cancel, Immediate-Or-Cancel and Good-Till-Time and On-Open orders (Market-On-Open (MOO), Limit-On-Open LOO and Imbalance-On-Open orders (IOOP)) become eligible interest for the opening auction. An IOC order is eligible for execution in the opening auction and will be cancelled after the completion of the opening auction if it is not fully executed. On-Close orders (Market-On-Close orders (MOC), Limit-On-Close orders (LOC) and Imbalance-On-Close orders (IOOC)) can be entered, but are effective for the closing auction only.
-Orders are displayed in the market by order feed at their entered limit prices. The book will show crossed prices if the highest bids are at higher price levels than the lowest offers. The Market by Order does not include On-open, On-close, Non-displayed, Market and Hidden iceberg volumes.  Orders entered during pre-open are assigned time priority. No matching (continuous market) until 9:00. Imbalance information dissemination begins exactly 15 minutes before opening call for all issues, and is updated once a second if information is changed. Unexecuted orders (non-IOC and non-on open orders) remaining after the uncross will transition into the continuous market with retained time-priority
+During the opening call there is Market by Order dissemination of the order book. Order entry and full order management is available through the 9:00 opening auction uncross (and after). Orders with Time-In-Force conditions Day, Good-Till-Cancel, Immediate-Or-Cancel and Good-Till-Time and On-Open orders (Market-On-Open (MOO), Limit-On-Open (LOO), and Imbalance-On-Open orders (IOOP)) become eligible interest for the opening auction. An IOC order is eligible for execution in the opening auction and will be cancelled after the completion of the opening auction if it is not fully executed. On-Close orders (Market-On-Close orders (MOC), Limit-On-Close orders (LOC), and Imbalance-On-Close orders (IOOC)) can be entered, but are effective for the closing auction only.
+Orders are displayed in the market by order feed at their entered limit prices. The book will show crossed prices if the highest bids are at higher price levels than the lowest offers. The Market by Order does not include On-Open, On-Close, Non-displayed, Market, and Hidden iceberg volumes. Orders entered during pre-open are assigned time priority. No matching (continuous market) until 9:00. Imbalance information dissemination begins exactly 15 minutes before opening call for all issues, and is updated once a second if information is changed. Unexecuted orders (non-IOC and non-On–Open orders) remaining after the uncross will transition into the continuous market with retained time priority.
 === Close ===
@@ Line 42: / Line 42: @@
 The closing price is defined by the following auction mechanism.
-**Auction** means an auction conducted in a trading platform in respect to qualifying orders pursuant to the following process:
+**Auction** means an auction conducted in a trading platform with respect to qualifying orders pursuant to the following process:
-  * **a)** All orders in the continuous book and all “on-close” orders are eligible for uncross
+  * a) All orders in the continuous book and all “On-Close” orders are eligible for uncross
-  * **b)** Time priority for orders entered prior to the uncross during continuous trading will be based on the order entry time
+  * b) Time priority for orders entered prior to the uncross during continuous trading will be based on the order entry time
-  * **c)** Uncross will only occur if there are crossing prices in the total order book
+  * c) Uncross will only occur if there are crossing prices in the total order book
-  * **d)** Equilibrium price will be determined based on all orders and includes all volume except imbalance orders.
+  * d) Equilibrium price will be determined based on all orders and includes all volume except imbalance orders
-  * **e)** Price determination will occur under the following sequence
+  * e) Price determination will occur in the following sequence:
-      * i) The price that maximizes the number of shares at the time of the uncross to be executed
+      * i. The price that maximizes the number of shares at the time of the uncross to be executed
-      * ii) If more than one price exists under (i), the uncross shall occur at the price that minimizes the imbalance
+      * ii. If more than one price exists in i., the uncross shall occur at the price that minimizes the imbalance
-      * iii) If more than one price exists under (ii), the uncross shall occur at the price with the highest market pressure
+      * iii. If more than one price exists in ii., the uncross shall occur at the price with the highest market pressure
-      * iv) If more than one price exists under (iii), the uncross shall occur at a price that is the average price between the highest price with the positive imbalance and the lowest price with negative imbalance. If this price is off tick, it will be rounded to the nearest tick. In case of equal distance, it will be rounded down.
+      * iv. If more than one price exists in iii., the uncross shall occur at a price that is the average price between the highest price with the positive imbalance and the lowest price with negative imbalance. If this price is off tick, it will be rounded to the nearest tick. In case of equal distance, it will be rounded down.
-  * **f)** All orders better than the equilibrium price will always be filled
+  * f) All orders better than the equilibrium price will always be filled
-  * **g)** Orders at the equilibrium price eligible for matching will be filled using time priority
+  * g) Orders at the equilibrium price eligible for matching will be filled using time priority
 **Auction Periods**
-**STOCKHOLM & HELSINKI**
+**Stockholm and Helsinki**
 . **Continuous Trading** (09:00 - 17:25)
   * All non-closing orders will be matched
-  * Bids & Offers may be placed, cancelled or amended
+  * Bids and Offers may be placed, cancelled, or amended
-. **Closing Call** (17:25-17:29:30)
+. **Closing Call** (17:25 - 17:29:25)
   * No closing orders are matched
   * Imbalance dissemination begins
   * Order cancel and cancel/replace are allowed
-  * Pegged orders remain with their last limit price. New pegged orders cannot be entered.
+  * Pegged orders remain with their last limit price, new pegged orders cannot be entered
-  * Time priority given to all orders including ones placed during continuous trading
+  * Time priority given to all orders, including those placed during continuous trading
 .**Uncross** (17:29:30 - 17:30)
   * Closing orders will be matched
-**COPENHAGEN**
+**Copenhagen**
-. **Continuous Trading** (09:00-16:55)
+. **Continuous Trading** (09:00 - 16:55)
   * All non-closing orders will be matched
-  * Bids & Offers may be placed, cancelled or amended
+  * Bids and Offers may be placed, cancelled, or amended
-. **Closing Call**  (16:55-16:59:30)
+. **Closing Call** (16:55 - 16:59:25)
   * No closing orders are matched
   * Imbalance dissemination begins
   * Order cancel and cancel/replace are allowed
-  * Pegged orders remain with their last limit price. New pegged orders cannot be entered
+  * Pegged orders remain with their last limit price, new pegged orders cannot be entered
-  * Time priority given to all orders including ones placed during continuous trading
+  * Time priority given to all orders, including those placed during continuous trading
-. **Uncross** (16:59:30-17:00)
+. **Uncross** (16:59:30 - 17:00)
   * Closing orders will be matched
-**Order Types:** Market & Limit orders may be entered during the closing call to participate in the uncross.
+**Order Types:** Limit, Market, and Market-on-Close orders may be entered during the closing call to participate in the uncross.
-***Note:** during the Closing Auction, Market orders may be rejected/canceled back if they would result in an indicated price that deviates materially from the last traded price. You can continue to send Market orders to the auction, and use Flatten from Summary. However, be aware of this risk and make sure to verify all orders to ensure they get flat. If an order has been rejected please re-enter with an aggressive Limit.
+**Note:** during the Closing Auction, Market orders may be rejected/cancelled back if they would result in an indicated price that deviates materially from the last traded price. You can continue to send Market orders to the auction, and use Flatten from Summary. However, be aware of this risk and make sure to verify all orders to ensure they get flat. If an order has been rejected, please re-enter with an aggressive Limit.
-**“EP to Reference price” check**
+**EP to Reference Price Check**
-This check validates the EP change compared to a Reference price.
+This check validates the EP (Equilibrium Price) change compared to a Reference price.
-The Reference price is constituted by the INET Reference price for the opening auction. This price is typically previous days close adjusted for CA. For the closing auction the reference price is constituted by the last sale price in continuous trading.
+The Reference price is constituted by the INET Reference price for the opening auction. This price is typically the previous day's close adjusted for Closing Auction. For the closing auction, the reference price is constituted by the last sale price in continuous trading.
-The check rejects the market price order if the EP would change more than a //REFmodifier* Auction extension thresholds used for the opening auction//.
+The check rejects the market price order if the EP would change more than a REFmodifier Auction extension thresholds used for the opening auction.
 Nasdaq Nordic global configuration:
@@ Line 108: / Line 108: @@
   * Auction extension thresholds used for the opening auction
-For example:\\
+For example: with share XYZ, the EP to Reference price check would validate that the EP would not move more than 6% (100% x 6%) from the last sale price in the closing auction and 30% (500% x 6%) in the opening auction.
-With the share XYZ as an example, the EP to Reference price check would validate that the EP would not move more than 6% (100% x 6%) from last sale price in the closing auction and 30% (500% x 6%) in the opening auction.
-**Validation thresholds**\\
+**Validation thresholds:** the validation thresholds are based on the current thresholds used for Auction extensions, opening auction.
-The validation thresholds are based on the current thresholds used for Auction extensions, opening auction.
 |Market|Liquidity Band|Opening Auction|Closing Auction|
-|Nasdaq, Copenhagen*, Helsinki*, and Stockholm|OMXS30/OMXH25/OMXC20 shares|+/-6%|+/-3%|
+|Nasdaq, Copenhagen, Helsinki, and Stockholm|OMXS30/OMXH25/OMXC20 shares|+/-6%|+/-3%|
 |"|Other shares and ETFs or other market segments|+/-10%|+/-5%|
 |"|First North and liquidity group C shares|+/-20%|+/-10%|
 |"|Penny shares|+/-50/80/100/200%|+/-25/40/50/100%|
-For more information, see the [[http://business.nasdaq.com/list/Rules-and-Regulations/European-rules/index.html|Rules and Regulations for the Nordic Markets]] page.
+For more information, see the [[https://www.nasdaq.com/solutions/european-rules-and-regulations|Common Nordic Rules & Regulations and Market Abuse Regulation]] page.
 ===== See Also =====
-  * [[market_guides|Market Guides]]
+  * [[market_guides|Market Guides]]