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.
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.
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.
The closing price is defined by the following auction mechanism.
Auction means an auction conducted in a trading platform with respect to qualifying orders pursuant to the following process:
Stockholm and Helsinki
1. Continuous Trading (09:00 - 17:25)
2. Closing Call (17:25 - 17:29:30)
3.Uncross (17:29:30 - 17:30)
1. Continuous Trading (09:00 - 16:55)
2. Closing Call (16:55 - 16:59:30)
3. Uncross (16:59:30 - 17:00)
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/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
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 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.
Nasdaq Nordic global configuration:
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.
Validation thresholds: 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%|
|“||Other shares and ETFs or other market segments||+/-10%||+/-5%|
|“||First North and liquidity group C shares||+/-20%||+/-10%|
For more information, see the Rules and Regulations for the Nordic Markets page.