Millennium Exchange - Oslo Børs cash equities and fixed income markets OSLMIT Derived Information Guidelines Issue 2.7 1 May 2015
Important note This document has been produced by Oslo Børs to assist customers in the use of the Millennium platform on the Oslo Børs and market places. Part of the documentation is based on documentation from Millennium IT and the London Stock Exchange Group. Where the document title includes a number (i.e. OSLMIT 201), the number corresponds to similar documentation from The London Stock Exchange and/or from Borsa Italiana. For more details, please see references in the appendix. If you have any general queries relating to this document, please email: technicalsupport@oslobors.no Further copies of this document can also be downloaded from the Oslo Børs website: http://www.oslobors.no/ob_eng/oslo-boers/trading/trading-systems/millennium- Exchange/Technical-documentation Disclaimer This document has been prepared on the basis of the best information available. Oslo Børs has taken reasonable efforts to ensure that the information in this publication is correct at the time of publication, but shall not be liable for decisions made in reliance on it. Oslo Børs will seek to provide notice to customers of changes being made to this document, but this notice cannot be guaranteed. Therefore, please note that this publication may be updated at any time. The information contained is therefore for guidance only. This document does not form part of the contractual documentation between the Oslo Børs and its customers. Oslo Børs OSLMIT Derived Information Guidelines 2
Change log This document can be updated at any time, and has been through the following iterations: Issue Date Description 1.0 13 July 2012 Initial document release 2.0 12 November 2012 New release of the document as the Millennium platform is launched and the migration project is finalized. Minor wording changes to remove references to project and document links updated. 2.1 4 February 2013 New release of the document to include the Burgundy equity markets. 2.2 16 April 2013 New release of the document to include the new fixed income segment OBRA and the name change of Oslo ABM to Nordic ABM. Updated section 3.3 to reflect that FIX/FAST also includes Burgundy equities. 2.3 19 December 2013 New release of the document to include the Burgundy fixed income markets (sections 2.1.4 and 4.5). Added two new Burgundy equity segments (section 2.1.2). Added information on calculation of closing BBO (section 3.2.3). Added additional information on calculating VWAP and Last for OBAU-segment (government bonds) (sections 4.2 and 4.5). 2.4 20 May 2014 New release to include a new segment, a new statistic and removal of three segments 2.5 10 November 2014 Changed the name of the low latency market data feed 2.6 11 December 2014 New release to include guidelines for the North Sea dark midpoint order book trades 2.7 1 May 2015 New release excluding Burgundy Please note that only the latest issue of this document will be available from the Oslo Børs website. Details of the changes made in each issue of the document are described in the appendix. Oslo Børs OSLMIT Derived Information Guidelines 3
Content Important note... 2 Disclaimer... 2 Change log... 3 Content... 4 1. Introduction... 6 1.1 Purpose... 6 1.2 Readership... 6 1.3 Document series... 6 1.4 Abbreviations... 7 2. General information... 8 2.1.1 Oslo Børs and Oslo Axess Equity instruments... 8 2.1.2 Oslo Børs and Nordic ABM Fixed Income instruments... 9 3. Equity Derived Information... 11 3.1 Types of books and their statistics contributions... 11 3.1.1 Off-book... 11 3.1.2 Lit Order Book (Normal book)... 11 3.1.3 Dark Midpoint Order Book (Normal book)... 11 3.2 Calculating equities statistics... 11 3.2.1 Opening price... 11 3.2.2 Closing price... 11 3.2.3 Best bid and offer... 12 3.2.4 Volume weighted average price... 12 3.2.5 High, low and last price... 12 3.2.6 Volume, turnover and number of trades... 12 3.2.7 Trade cancellations... 13 3.2.8 Equity trade types... 13 3.3 Dissemination of statistics in MITCH and FIX/FAST... 15 3.4 Trade types and their statistics contribution... 15 4. Fixed Income derived information... 16 4.1 Primary and secondary order book... 16 4.1.1 Types of books for order handling and trading... 16 4.1.2 Standard of book types for Oslo Børs and Nordic ABM... 16 Oslo Børs OSLMIT Derived Information Guidelines 4
4.1.3 Primary and secondary book relevant for high, low, last and vwap... 16 4.2 Calculating fixed income statistics... 17 4.2.1 Opening and closing price... 17 4.2.2 Best bid and offer... 17 4.2.3 High, low and last trade price... 17 4.2.4 Average price... 17 4.2.5 Volume weighted average price... 17 4.2.6 Converted last, high and low... 18 4.2.7 Volume, turnover and number of trades... 18 4.2.8 Repo trades... 18 4.2.9 Reported trades... 18 4.2.10 Trade cancellations... 18 4.2.11 Telephone segments... 19 4.2.12 Fixed income trade types... 19 4.3 Dissemination of statistics in FIX/FAST... 20 4.4 Trade types and their statistics contribution... 21 4.5 Statistics per market segment and session... 22 4.5.1 Issuing Auction segment (OBIA)... 23 4.5.2 Buyback Auction segments (OBBA, OBUB)... 23 Appendix 1 Issue updates... 24 Issue 1.0 Released 13 July 2012... 24 Issue 2.0 Released 12 November 2012... 24 Issue 2.1 Released 4 February 2013... 24 Issue 2.2 Released 16 April 2013... 24 Issue 2.3 Released 19 December 2013... 24 Issue 2.4 Released 20 May 2014... 24 Issue 2.5 Released 10 November 2014... 24 Issue 2.6 Released 11 December 2014... 24 Issue 2.7 Released 1 May 2015... 24 Oslo Børs OSLMIT Derived Information Guidelines 5
1. Introduction Since November 2012, the Millennium Exchange trading system has been the trading platform in use for Oslo Børs equity and fixed income markets. Millennium Exchange is a flexible, highly scalable trading platform with ultra-low latency developed by MillenniumIT, a company in the London Stock Exchange Group. Oslo Børs and its market places for equities and fixed income aims at maintaining its competitive position, and is pleased to offer customers an upgraded release of the state-of-the-art trading system as of April 2015. 1.1 Purpose The purpose of this document is to provide information vendors, member firms and software houses with guidelines on calculating derived market data information from data delivered via the Millennium Exchange market data platform. 1.2 Readership This document should be read in conjunction with the following: OSLMIT Oslo Børs Market Model Equities OSLMIT Oslo Børs and Nordic ABM Market Model Fixed Income OSLMIT 302 FIX/FAST Gateway OSLMIT 303 MITCH Gateway 1.3 Document series This document is a part of a series of documents providing a holistic view of full trading and information services available from Oslo Børs on the Millennium Exchange platform. The current series of documents are outlined below: General OSLMIT Oslo Børs Market Model Equities OSLMIT Oslo Børs Business Parameters - Equities OSLMIT Oslo Børs and Nordic ABM Market Model Fixed Income OSLMIT Oslo Børs and Nordic ABM Business Parameters Fixed Income OSLMIT Oslo Børs Market Model Nibor Trading OSLMIT 201 Guide to New Trading system OSLMIT 202 FIX Trading Gateway (5.0 SP2) OSLMIT 203 Native Trading Gateway OSLMIT 204 Post Trade Gateway (FIX 5.0 SP2) OSLMIT 205 Drop Copy Gateway (FIX 5.0 SP2) Market Data OSLMIT 302 FIX/FAST Gateway Oslo Børs OSLMIT Derived Information Guidelines 6
OSLMIT 303 MITCH Gateway OSLMIT 306 FIX/FAST News and Indices Gateway OSLMIT 401 Reference Data OSLMIT Derived Information Guidelines Other OSLMIT 501 Guide to Testing Services OSLMIT 502 Guide to Application Certification OSLMIT 601 Guide to Trading Services Disaster Recovery OSLMIT 602 Network Guide OSLMIT 604 Technical Parameters OSLMIT 605 Live Environment Connectivity OSLMIT 606 CDS Environment Connectivity OSLMIT 801 Reject Codes The latest version of this documentation series can be found on: http://www.oslobors.no/ob_eng/oslo-boers/trade/trading-systems/millennium- Exchange/Technical-documentation 1.4 Abbreviations Abbreviation BBO ETF ETN LTP MTF VWAP Description Best bid and offer Exchange traded funds Exchange traded notes Last traded price Multilateral trading facility Volume weighted average price Oslo Børs OSLMIT Derived Information Guidelines 7
2. General information Derived data is defined as the end result of any calculation of statistics that uses any component of the Exchange s real time data as its basis. With regards to dissemination of statistics from our real time feed the official opening and closing prices are disseminated on both our FIX/FAST and MITCH market data services. All other statistics are disseminated only on our FIX/FAST market data service. The recommended way of calculating derived information may be different for different instrument types. For that reason we have divided the guidelines into two groups, for Equity instruments and for Fixed Income instruments. 2.1.1 Oslo Børs and Oslo Axess Equity instruments Below, the segments of the Oslo Børs and Oslo Axess equity markets are described. Segment MIC Description OBX XOSL This segment includes the constituents of the OBX index i.e. the most traded shares at Oslo Børs. OBMA XOSL The OBMA segment includes the instruments in liquidity category OB Match i.e. shares with a minimum of 10 trades per day on average excl. OBX, or shares with less than 10 trades but with a liquidity provider scheme. OBST XOSL The OBST segment includes the instruments in liquidity category OB Standard i.e. shares with fewer than 10 trades per day on average and without a liquidity provider agreement. OBNW XOSL The OBNW segment includes the instruments in liquidity category OB New i.e. newly listed shares. OBPC XOSL The OBPC segment includes the instruments in the liquidity category OB Equity Certificates i.e. the listed equity certificates. OBWR XOSL The OBWR segment includes warrants. OBEF XOSL The OBEF segment includes the listed ETFs (Exchange Traded Funds). OBEN XOSL The OBEN segment includes the listed ETNs (Exchange Traded Notes). OAX XOAS THE OAX segment includes the Oslo Axess listed shares. Subscription rights and other temporary instruments will be traded in the same segment as the underlying instrument. Oslo Børs OSLMIT Derived Information Guidelines 8
2.1.2 Oslo Børs and Nordic ABM Fixed Income instruments Below, the segments of the Oslo Børs and Nordic ABM fixed income markets are described. Segment MIC Description OBAU XOSL The OB FI Automatch segment will commence trading with an opening auction followed by continuous auto match trading. Off book reporting (manual trades) must be reported through the Millennium system. Manual trades are not published. Order prices are firm. OBRA XOSL The OB FI Matching segment will commence trading with an opening auction followed by continuous auto match trading. Off book reporting (manual trades) must be reported through the Millennium system. Order prices are firm. OBOC XOSL The OB FI Call segment will support both an opening auction and an end of day (closing) auction. For the main trading phase the segment will support order entry without continuous executions. Off book reporting (manual trades) must be reported through the Millennium system. Order prices are firm. OBIA XOSL The OB Issuing Auctions segment is subject to ad hoc issuing auctions. Both the Dutch and American Auction Models will be supported. Access rights to these instruments will be defined on a per instrument basis. Order prices are firm. OBBA XOSL The OB Buyback Auctions segment is subject to ad hoc buyback auctions. Both the Dutch and American Auction Models will be supported. Access rights to these instruments will be defined on a per instrument basis. Only the central bank and primary dealers will have access. Order prices are firm. OBUB XOSL The OB Unlimited Buyback Auctions segment is subject to ad hoc buyback auctions. Both the Dutch and American Auction Models will be supported. Access rights to these instruments will be defined on a per instrument basis. The central bank and fixed income members will have access. Order prices are firm. OBUL XOSL The OB Bulletin Board segment will support both order entry and off book trade reporting (manual trades). Automatic executions will not be supported. Order prices are indicative. OBTM XOSL The OB Telephone segment will support both order entry and off book trade reporting (manual trades). Automatic executions will not be supported but the participant s member ID will be disseminated along with the order details message. Off book reporting (manual trades) must be reported through the Millennium system, but are not visible to the market. At beginning of Post Close an average price and traded volume will be published for each instrument traded that day. Order prices are firm. OABM XOAM The Nordic ABM segment will support both order entry and off book Oslo Børs OSLMIT Derived Information Guidelines 9
trade reporting (manual trades). Automatic executions will not be supported but the participant s member ID will be disseminated with the order details message. Off book reporting (manual trades) must be reported through the Millennium system. Order prices are firm. OABT XOAM The Nordic ABM Telephone segment will support both order entry and off book trade reporting (manual trades). Automatic executions will not be supported but the participant s member ID will be disseminated along with the order details message. Off book reporting (manual trades) must be reported through the Millennium system, but are not visible to the market. At beginning of Post Close an average price and traded volume will be published for each instrument traded that day. Order prices are firm. Oslo Børs OSLMIT Derived Information Guidelines 10
3. Equity Derived Information 3.1 Types of books and their statistics contributions 3.1.1 Off-book Manual trades (off-book) in the equity segment should not update any market data statistics. 3.1.2 Lit Order Book (Normal book) The lit order book is the standard order book with normal visible orders and hidden orders meeting the LIS criteria. The lit order book is published after the start of the trading period till the post close. The following market data statistics will be updated for lit book trades (automatch and uncrossing trades) on this cycle: Turnover normal book trades Number of trades normal book Volume of trades normal book VWAP (normal book) High price (normal nook) Low Price (normal book) 3.1.3 Dark Midpoint Order Book (Normal book) The dark midpoint order book is an order book with dark (unpublished) orders only. No official market data statistics should be updated for dark midpoint order book trades (automatch and Turquoise Uncross TM 1 trades) 3.2 Calculating equities statistics 3.2.1 Opening price The opening price is set to the price of today s first executed trade either in an auction or during continuous trading. 3.2.2 Closing price For the ordinary equity type instruments the closing price is calculated as The execution price of the closing auction; or If there were no executions in the closing auction, the last executed trade (from regular trading or an auction); or If there were no trades on the current day, the previous day s closing price; or If there was no closing price on the previous day, the reference price; or If there is no reference price, the closing price is undefined. 1 Periodic uncrossings which take place at randomized time intervals to match orders eligible for Turquoise Uncross TM against contra-side orders Oslo Børs OSLMIT Derived Information Guidelines 11
For the ETFs, ETNs and warrants instruments the closing price is calculated as The mid of the visible BBO at the end of continuous trading; or If there was no best bid or no best offer at the end of continuous trading, the last executed trade (from continuous trading or an auction); or If there were no trades for the entire day, the closing price will be the best bid price or the best offer price (whichever is available); or If neither the best bid nor the best offer price is available, the closing price will not be computed. In certain circumstances the closing price may be changed manually by market supervision. In that event, the changed closing price will be disseminated via the market data feeds. 3.2.3 Best bid and offer The best bid and offer represents the orders with the highest visible buy order and the lowest visible sell order at the time of calculation. Closing best bid and offer is the visible BBO at the end of closing auction, regardless if there has been an auction uncrossing trade. If there are no bids and offers at closing auction the visible BBO at the end of continuous trading. 3.2.4 Volume weighted average price The cumulative volume weighted average price for all eligible trades should be calculated as follows: VWAP = n i= 1 n i= 1 ( PiVi ( Vi) ) where P is the trade price, V is the volume of the trade, and n is all of the trades that have taken place for the instrument during a trading day up to and including the time of calculation. The VWAP should be adjusted to reflect cancelled trades. 3.2.5 High, low and last price The high price should be the highest traded price that have taken place for the instrument during a trading day up to and including the time of calculation. Similarly, the low price should be the lowest traded price that have taken place for the instrument during a trading day up to and including the time of calculation. Last price is the last traded price at the time of calculation. The high, low and last prices should be adjusted to reflect cancelled trades. 3.2.6 Volume, turnover and number of trades Oslo Børs OSLMIT Derived Information Guidelines 12
Volume, e.g. traded quantity, turnover and number of trades is calculated for all normal book trades and should be adjusted to reflect cancelled trades. 3.2.7 Trade cancellations The below statistics should be automatically adjusted if a trade that has previously updated the one or many of the following statistics is cancelled for that instrument: High price Low price Last traded price Last traded size Last traded time Last trade movement Volume Turnover Number of trades Volume weighted average price Opening price Closing price 3.2.8 Equity trade types Trade Type Name Venue Book Publish Ordinary Equities ETFs, ETNs and Warrants 2 XOSL/ XOAS* Normal Immediate Y Y NT NK Negotiated trade Negotiated trade delayed publ. requested XOSL/ XOAS* Off-book Immediate Y XOSL/ XOAS* Off-book Delayed if meets size requirement O Ordinary trade XOSL/ XOAS* Off-book Immediate Y Y OK Ordinary trade delayed publ. requested XOSL/ XOAS* Off-book Delayed if meets size requirement NM Not to Mark XOSL/ XOAS* Off-book No Y Y Y Y 2 Automatic trades are not indicated using a specific trade type on MITCH and FIX/FAST, please see OSLMIT 302 for further description. Oslo Børs OSLMIT Derived Information Guidelines 13
DT Derivative Related XOSL/ XOAS* Off-book Immediate Y VW VWAP Trade XOSL/ XOAS* Off-book Immediate Y OT OTC trade XOFF Off-book Immediate Y TK OTC trade delayed publ. requested XOFF Off-book Delayed if meets size requirement SI SI Trade SI Off-book Immediate Y Y SK SI Trade delayed publ. requested (*) Venue is set to: XOSL for Oslo Børs instruments XOAS for Oslo Axess instruments SI Off-book Delayed if meets size requirement Y Oslo Børs OSLMIT Derived Information Guidelines 14
3.3 Dissemination of statistics in MITCH and FIX/FAST For equities the following statistics per instrument are available from the Market Data gateways: Opening and closing price Cumulative traded quantity (volume), turnover and number of trades Calculated VWAP, high and low prices Only lit book trades will be included when calculating statistics for equities. MITCH (Equities) FIX/FAST (Equities) Lit Dark Off Lit Dark Off Book Book Book Book Book Book High No No No Yes No No Low No No No Yes No No VWAP No No No Yes No No Last Traded Price No No No No No No Number of Trades No No No Yes No No Turnover No No No Yes No No Volume No No No Yes No No Opening Price Yes No No Yes No No Closing Price Yes No No Yes No No 3.4 Trade types and their statistics contribution Trade type High Low VWAP No. of trades Turnover Volume Opening price Closing price Automatic trades (lit book) All other trade types (dark/off book) Yes Yes Yes Yes Yes Yes Yes Yes No No No No No No No No Oslo Børs OSLMIT Derived Information Guidelines 15
4. Fixed Income derived information 4.1 Primary and secondary order book 4.1.1 Types of books for order handling and trading Fixed income instruments may have one or two of the following book types registered for order handling and trading: Normal book, off-book and bulletin book. Depending on which segment a fixed income instrument is listed in the ways of trading the instruments vary. This is due to both the regulatory limitations and the purpose of each segment. 4.1.2 Standard of book types for Oslo Børs and Nordic ABM Fixed income instruments listed in segments on Oslo Børs have two books; normal book and offbook. The normal book handles automatic trades and auction trades and the off-book handles manual trading. However auction instruments listed in the segments for issuing and buyback purposes only have a normal book. Fixed income instruments listed in segments on Nordic ABM have two books; bulletin books and offbook. The bulletin book handles order registration/interests and the off-book handles manual trading. 4.1.3 Primary and secondary book relevant for high, low, last and vwap Every fixed income instrument has a registered primary book out of the registered books. The book type to be primary may vary between normal book and off-book. The description of which book is the primary for each instrument is published in the daily reference data updates. The need for knowing which book is the primary book related to the official statistics for high, low, last and vwap for the instrument and conversions to yield on the mentioned statistics if relevant. Each of the books registered for a fixed income instrument disseminates statistics through FAST/FIX although only the primary book disseminates the official statistics where a combination of relevant information from all the registered books for the instrument is taken into account. This is why the statistics from the primary book should be considered as the official statistic and the high, low, last and vwap statistics from the secondary order book should be disregarded. Oslo Børs OSLMIT Derived Information Guidelines 16
4.2 Calculating fixed income statistics 4.2.1 Opening and closing price No opening or closing price is calculated for fixed income instruments. 4.2.2 Best bid and offer Best bid and offer defined as the current best bid and the current best offer per instrument should not be confused with the best bid and best offer distributed by FIX/FAST which defines the best bid of the day and the best offer of the day. To be able to publish the current best bid and current best offer the orderbook must be maintained in house pursuant to the market data incremental refresh messages for fixed income published via FIX/FAST. 4.2.3 High, low and last trade price High price, Low price, and Last trade price is calculated based on automatic trades (including auction trades) and manual trades with trade type O and OK and is presented in the primary book statistics. Time and date of trade agreement is taken into account. Please note that for segment OBAU, High Price and Low Price is not disseminated. Last traded price is only disseminated once the orderbook enters Post Close. As manual trades are not disseminated, but manual trades with trade type O and OK is included in calculation of Last trade price, the only way to publish the correct Last trade price is to use the combined statistics messages distributed on FIX/FAST. 4.2.4 Average price Average price is calculated based on automatic trades (including auction trades) and manual trades with trade type O and OK. Volume is not taken into account. Average price = price of all eligible trades/number of eligible trades 4.2.5 Volume weighted average price The volume weighted average price is calculated based on automatic trades (including auction trades) and manual trades with trade type O and OK and is presented in the primary book statistics. Time and date of trade agreement is taken into account. The cumulative volume weighted average price for all eligible trades should be calculated as follows: VWAP = n i= 1 n i= 1 ( PiVi ( Vi) ) where P is the trade price, V is the colume of the trade, and n is all of the trades that have taken place for the instrument during a trading day up to and including the time of calculation. The VWAP should be adjusted to reflect cancelled trades. Oslo Børs OSLMIT Derived Information Guidelines 17
Please note that for segment OBAU, VWAP is only disseminated once the orderbook enters Post Close. As manual trades are not disseminated, but manual trades with trade type O and OK is included in calculation of VWAP, the only way to publish the correct VWAP is to use the combined statistics messages distributed on FAST/FIX. 4.2.6 Converted last, high and low Converted last, converted high and converted low is the yield for the trades updating Last, High and Low respectively. Yield on the high, low and last statistics is calculated only for fixed rate bullet bonds and zero coupon bills. Yield will be calculated for fixed bullet bonds. 4.2.7 Volume, turnover and number of trades To calculate correct volume, turnover and number of trades the statistics published in the primary and the secondary orderbook shall be summarized in order to publish combined statistic as the volume, turnover and number of trades are published as statistics on the relevant book. All trade types should be included please see special handling for repo trades below. Please note that for segment OBAU, only normal book volume is published during Regular trading. Once the orderbook enters Post Close, a separate message for off-book volume is published. As manual trades are not disseminated, but manual trades (with exception of repo-trades) is included in calculation off-book volume, the only way to publish the correct traded volume is to use the statistics messages distributed on FIX/FAST. 4.2.8 Repo trades Repo trades represent two transactions; one sale and one repurchase transaction. The value in the price field is the repo rate in repo trades. For repo trades, the individual trades should be multiplied by 2 upon reception when included in the statistics Number of trades and Volume. The Turnover in repo trades shall be published equal to Volume. A repo trade will never be published together with a converted price/yield even though the instrument traded is a fixed bullet bond or a zero coupon bill. 4.2.9 Reported trades In the fixed income markets statistics will only be updated for trades reported on the current day. Time of trade agreement is taken into account when updating the statistics. Delayed trades with the current trade date will not update the statistics until the trade is published which will happen during the start of Post Close. Trades with a previous trade date will not update any statistics. 4.2.10 Trade cancellations The below statistics should be automatically adjusted if a trade that has previously updated one or many of the following statistics is cancelled for that instrument: High Price Low Price Last Traded Price Volume Turnover Number of Trades Oslo Børs OSLMIT Derived Information Guidelines 18
Volume Weighted Average Price Average Price When a repo trade is cancelled the volume, number of trades and turnover statistics should be reduced by twice. 4.2.11 Telephone segments No statistics are published for the telephone segments (OBTM and OABT) during the pre-trade reporting and trade reporting sessions. In the post close session the following statistics are published based on the trade type configuration: Volume of trades Volume weighted average price 4.2.12 Fixed income trade types Trade type Description On Publishes 3 book/manual 4 Automatic trade On book Immediate O Ordinary trade Manual Immediate ON Non-standard settlement Manual Immediate RE Repo Manual Immediate OU Outside of opening hours Manual Immediate OE Exchange granted trade Manual Immediate OH Other Manual Immediate OL Odd lot Manual Immediate OK Ordinary trade delayed publication Manual Delayed DN Non-standard settlement delayed publication Manual Delayed DR Repo delayed publication Manual Delayed DU Outside of opening hours delayed publication Manual Delayed DE Exchange granted trade delayed publication Manual Delayed DH Other delayed publication Manual Delayed DL Odd lot delayed publication Manual Delayed 3 Not relevant for segment OBAU as manual trades in this segment are reported to the exchange, but not published. 4 Automatic trades are not indicated using a specific trade type on FIX and FIX/FAST, please see OSLMIT 302 for further description. Oslo Børs OSLMIT Derived Information Guidelines 19
4.3 Dissemination of statistics in FIX/FAST Oslo Børs OSLMIT Derived Information Guidelines 20
4.4 Trade types and their statistics contribution Trade type Last trade price Conv. last High Conv. high Low Conv. low VWAP Average Price Nbr of trades Volume of trades 5 Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Turnover of trades O Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes ON No No No No No No No No Yes Yes Yes RE 6 No No No No No No No No Yes (x2) Yes (x2) Yes (x2) OU No No No No No No No No Yes Yes Yes OE No No No No No No No No Yes Yes Yes OH No No No No No No No No Yes Yes Yes OL No No No No No No No No Yes Yes Yes DN No No No No No No No No Yes Yes Yes OK Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes DR 5 No No No No No No No No Yes (x2) Yes (x2) Yes (x2) DU No No No No No No No No Yes Yes Yes DE No No No No No No No No Yes Yes Yes DH No No No No No No No No Yes Yes Yes DL No No No No No No No No Yes Yes Yes 5 Automatic trades are not indicated using a specific trade type on FIX and FIX/FAST, please see OSLMIT 302 for further description. 6 For segment OBAU, repo trades do not update any statistics. The description given thus applies to all other fixed income segments where repos are published. Oslo Børs OSLMIT Derived Information Guidelines 21
4.5 Statistics per market segment and session Statistic High/Low/ Conv. H/ Conv. L/ Average Price VWAP LTP/ Conv. LTP Turnover Volume No. of Trades OBAU OB FI Automatch Off Book Pre-Trade Reporting/ Trade No No No No No No No Reporting Post close No No Yes Yes Yes Yes No Normal Book Pre Open Entry No No No No No No No Opening auction/continuous No No No No No Yes No Trading Post close No Yes Yes Yes No Yes No OBRA OB FI Matching Off Book Pre Trade Reporting No No No No Yes Yes Yes Trade Reporting/Post Close Yes No Yes Yes Yes Yes Yes Normal Book Pre Open Entry No No No No No No No Opening Auction/Continuous Yes No Yes Yes Yes Yes Yes Trading/Post Close OBOC OB FI Call Off Book Pre Trade Reporting No No No No Yes Yes Yes Trade Reporting/Post Close Yes No Yes Yes Yes Yes Yes Normal Book Pre Open Entry/Pre Close No No No No No No No Entry Opening Auction/Closing Yes No Yes Yes Yes Yes Yes Auction/Post Close OBUL OB Bulletin Board * Off Book Pre Trade Reporting No No No No Yes Yes Yes Trade Reporting/Post Close Yes No Yes Yes Yes Yes Yes OABM Nordic ABM * Off Book Pre Trade Reporting No No No No Yes Yes Yes Trade Reporting/Post Close Yes No Yes Yes Yes Yes Yes OBTM OB Telephone * Off Book Pre Trade Reporting/Trade No No No No No No No Reporting Post Close Yes No Yes Yes Yes Yes Yes OABT ABM Telephone * Off Book Pre Trade Reporting/Trade No No No No No No No Reporting Post Close Yes No Yes Yes Yes Yes Yes Oslo Børs OSLMIT Derived Information Guidelines 22
*OBUL, OABM, OBTM and OABT have Off Book and Bulletin Book. Bulletin Book order books should not update nor publish any statistics. 4.5.1 Issuing Auction segment (OBIA) The order book will be published only to the central bank from the Issuing Auction Call till the post close. The order book content will not be made available to other participants other than the Central Bank and Oslo Børs. On the uncrossing the individual trades will be published as market data. The following market data statistics will be published for Normal Book trades on this cycle to the market (to all market participants and the Central Bank). Turnover Normal Book Trades Number of Trades Normal Book Volume of Trades Normal Book 4.5.2 Buyback Auction segments (OBBA, OBUB) The order book will be published only to the Central Bank from the Buy Back Auction Call till the post close. The order book will not be made available to other participants other than the central bank and Oslo Børs. On the uncrossing the individual trades will be published as market data. The following market data statistics will be updated for Normal Book trades on this cycle and will be published to the market (to all market participants and the Central Bank). Turnover Normal Book Trades Number of Trades Normal Book Volume of Trades Normal Book Oslo Børs OSLMIT Derived Information Guidelines 23
Appendix 1 Issue updates This appendix describes the details of the changes made in each issue of this document. Issue 1.0 Released 13 July 2012 Initial release of the document. Issue 2.0 Released 12 November 2012 New issue of the document post migration to the Millennium platform. No changes to content, except minor wording changes to remove references to migration project and updated document links. Issue 2.1 Released 4 February 2013 New issue of the document which includes the Burgundy equity market. No other changes except minor changes to wording. Issue 2.2 Released 16 April 2013 New issue of the document which includes the new fixed income segment. Changed name of the market Oslo ABM to Nordic ABM. Updated section 3.3 to reflect that FIX/FAST also includes Burgundy equities. Issue 2.3 Released 19 December 2013 New issue of the document which includes fixed income for Burgundy in section 2.1.4 and 4.5. Added information on calculation of closing BBO for equities in section 3.2.3. Added additional information regarding statistics for segment OBAU in sections 4.2 and 4.5. Added two new Burgundy segments valid from 27 January 2014 in section 2.1.2. Issue 2.4 Released 20 May 2014 2.1.2: Removed SAT, SNGM and SNMF segments 2.1.3: Added OBUL segment 4.2.4, 4.3 and 4.4; Added new statistic: Average Price 4.5: Added OBUL information. Rearranged section. Issue 2.5 Released 10 November 2014 Changed the name of the low latency market data feed. Issue 2.6 Released 11 December 2014 3.1.3: New section to describe the dark midpoint order book 3.3, 3.4: Updated tables to include dark midpoint order book Issue 2.7 Released 1 May 2015 Removed all information regarding the Burgundy market which was discontinued as from 1 May 2015 2.1.2: Name change of the OBRA segment Oslo Børs OSLMIT Derived Information Guidelines 24