Data Technical News Nordic #2017 - 23 Genium Consolidated Feed (GCF): Updated draft TIP 3.5 Specification Available


Products Impacted: Genium Consolidated Feed

What you need to know

GCF feed and TIP protocol will be upgraded to version 3.5 on Monday November 20, 2017.

The updated (second) draft specification version 3.5.0 is now available on Nasdaq’s GCF page and Future release page. The final specification will be published in August. By far most of the protocol changes in this specification are final.

This update contains the orderbooksummary changes referred to in previous notice. For details, please see item 4 on the list of release content changes below.
 
Release changes

Changes in this release are mainly MiFID II related. 

1) New messages

  • BasicDataTradableSupplementary

    Additional basic data message containing MiFID II specific data. This message will also be added to basic data files distributed via File Delivery Service (FDS).
     
  • TradePrimary

    A subset of the regular Trade message to be used in a coming Post-trade product which will be announced soon.
  • TradeReport

    This message will contain on-exchange trade reports. With the introduction of this message the current Trade message will only contain Automatched trades including Nordic@Mid (N@M) and Auction On Demand (AOD) trades.

2) Changed messages

Please see the TIP 3.5.0 specification, the tipspecdiff document (included to specification package) and Future release page for details

  • BasicDataIssuer
  • BasicDataMarket
  • ExchangeTradedProduct
  • Orderbook
  • OrderbookExternal
  • OrderbookSummary
  • Trade
  • TradeReportExternal 
  • TradeStatistics

Changes on basic data messages and order book summary will have impact on TIP files.
 

3) Removed messages

  • BasicDataCMOAnnouncement
  • DCSUpdate
  • MarketState
  • RiskBasic


4) Orderbook summary functionality

In the future, GCF will contain only one consolidated OrderbookSummary message per instrument at the end of day. The OrderbookSummary message at start of day will continue to be disseminated as is. GCF will stop to provide additional summaries which are sent out today on Helsinki markets (when those enter the continuous trading) and Copenhagen markets (at 15:30CET). Also the extra summaries related to settlement price updates won’t be available any longer.

The OrderbookSummary will be generated when all three conditions below are fulfilled:

  • Official price flag on Orderbook has been set
  • Official price flag on TradeStatistics has been set.
  • Official turnover flag on TradeStatistics has been set

The settlement price information will be removed from the OrderbookSummary. The official close settlement price is disseminated in the SettlementPrice message.

Required flag information for indicating the official close values has been added to Orderbook, TradeStatistics and SettlementPrice messages.    

- TradeStatistics (“w”)

IsOfficialClosingPrice (YesNo)

This flag is set to “Y” when TradeStatistics message provides official closing price, otherwise flag will be missing.

IsOfficialClosingTurnover (YesNo)

This flag is set to “Y” when TradeStatistics message provides official closing turnover, otherwise flag will be missing.

- Orderbook (“o”)

IsOfficialClosingPrice (YesNo)

This flag is set to “Y” when Orderbook message provides official closing price, otherwise flag will be missing.

- SettlementPrice (“p”)

This flag is set to “Y” when SettlementPrices message provides official settlement price, otherwise flag will be missing.


5) MarketState message removed

Market state message will be removed and all the state information will be available on orderbook level only.


Testing

GCF TST3 is the main (and currently only) MiFID test system and it will be next upgraded on July 3, 2017. Please note that availability of the new data will still be limited, but new messages are now available in relevant products.


Where can I find additional information? 

Market Data products:
dataproducts@nasdaq.com