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Exchange Information

Exchange Background

NASDAQ_OMX_EU Gateways connect to two separate entities via the NASDAQ OMX platform:

  • Nordic: consists of four local stock exchanges in Denmark, Sweden, Finland and Iceland
    • NASDAQ OMX Copenhagen
    • NASDAQ OMX Stockholm
    • NASDAQ OMX Helsinki
    • NASDAQ OMX Iceland
  • NLX: the new London based market (NASDAQ OMX NLX) for trading interest rate derivatives.

Time and Time Zone

Set the machine that hosts the NASDAQ_OMX_EU Gateway to run in (GMT) Greenwich Mean Time zone and time (London time) with Daylight Savings enabled.

Required Connection Information

Before you can install a NASDAQ_OMX_EU Gateway, you must work with the exchange to configure the following connection information:

  • Receive primary and backup order session connection IP addresses and port assignments.
  • Receive the FDSUsername and FDSPassword to access the exchange’s FTP service via the File Distribtion Service (FDS). This is required to receive settlement prices for Nordic products.
    Note

    You do not require an FDSUsername/FDSPassword for NLX products.

  • Receive the firm’s SenderCompID from the exchange. This value will be used as the GatewayCompany parameter in each order session.
  • Receive SenderSubID values from the exchange for each order session.
    Note

    To access both NLX and Nordic products, you must configure a minimum of two separate order sessions. Each order session must map to a unique direct trader ID.

When requesting login credentials, users can work with the exchange to configure the behavior of orders on disconnect. This allows orders to automatically delete on disconnect or enter a Held state for a certain period of time.

The exchange can set orders to react to a FIX session disconnect as listed below:

  • Keep all orders working at the exchange
  • Suspend all outstanding orders
  • Suspend all outstanding orders except overnight orders (i.e., GTC/GTD)

Required Broadcast Channels

To receive settlement prices for Nordic products, users must be able to access the exchange’s File Distribution Service (FDS). If needed, users may configure a proxy server to access the FDS.

For more information, refer to Support for Open, Close and Settlement Prices.

Exchange API Interface

NASDAQ_OMX_EU Gateways connect to the exchanges via the FIX 5.0 for orders and fills while market data is provided by the exchange-provided ITCH Multicast.

For a complete description of market data delivery, refer to Understanding the Price Feed.

For a complete description of order management, refer to Understanding Order Management.

Matching and Clearing

NASDAQ OMX EU matches orders based on one of two algorithms:

  • First-in, First-Out (FIFO)
  • Pro-rata

All NLX and Nordic products are cleared through a single clearing house, LCH.Clearnet, using a Value at Risk (VaR) methodology with LCH.Clearnet’s Portfolio Approach to Interest Rate Scenarios (PAIRS).

Available Products

NASDAQ OMX EU offers contracts based on the following products:

NLX Supported Products

NASDAQ_OMX_EU Gateway support trading the following NLX products:

  • Futures and Options:
    • Three Month EURIBOR (NI)
    • Three Month Sterling Interest Rate Futures (NL)
    • Long Gilt Futures (NR)
    • Schatz Futures (NS)
    • Bobl Futures (NB)
    • Bund Futures (NU)
  • Spreads: Calendar Spreads for Futures
Note

The exchange may change its listed products at any time. For currently listed products, contact NASDAQ OMX EU or visit their website.

Nordic Supported Products

NASDAQ_OMX_EU Gateway support trading all Nordic Financial Derivatives and Indices including:

  • Futures and options on Swedish, Norwegian, Finnish and Danish stocks
  • Futures and options on the OMXS30 index
  • OMXC20 index
  • VINX30 index
  • OMXO20 Index
  • Futures on OMXSB

Asset Classes

NASDAQ OMX EU offers products in the following classes:

  • Futures
  • Options
  • Spreads
  • Forwards (Nordic only)
    Note

    NASDAQ_OMX_EU Gateways append _F for Nordic Forward contracts. Also, Nordic Forwards appear under Futures in the X_TRADER Market Explorer.

Supported Exchange Functionality

The following lists exchange functionality that TT currently supports:

  • Request for Quotes (RFQs) for NLX
  • Non-tradable (Indicative) Request for Quotes for Nordic

Unsupported Exchange Functionality

NLX Unsupported Functionality

The following lists exchange functionality that TT currently does not support:

  • Trade Modification
    • Trade Amendments
    • Trade Cancellations
  • Mass quote
  • Reporting of privately negotiated trades
  • On Behalf of transaction

Nordic Unsupported Functionality

The following lists exchange functionality that TT currently does not support:

  • OTC Time and Sale data is not supported.
  • Trade Modification - Post -Trade Allocation - Give up
  • Triggering of session changes
  • MatchIncrement
  • Contingent(Linked) orders
  • One-Sided Auctions