Auction on Demand

trade large orders discretely with minimal market impact

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Periodic auctions are used as an alternative to OTC and dark pool trading.

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Periodic Auction Trading Statistics - July 2019

  • Turnover: 777MEUR (673 MEUR)

  • Average traded per day (single counted): 34 MEUR (34 MEUR)

  • Average trade size 5 KEUR (5 KEUR) 
Nordic Equities Auction on Demand Trading Turnover JPG

 

 

Periodic Auction

Periodic auctions execute separately from the lit order book with no impact on continuous lit trading. No information about individual orders is published, making Auction on Demand ideal for large or strategically important orders where you want to keep information about trading interests confidential.

Overview

Nordic Equities Auction on Demand process graph

Auctions are triggered on demand as soon as two crossing orders are found by the system. An auction starts with a fixed 25 ms period, followed by a random period of between 0 and 75 ms, so that the auction stays open for a maximum of 100 ms. During this time other bids may enter the system and take precedence.

The auction will uncross at the price where the most volume can be traded. Price and executable quantity are published in real time.

Priority model: Internal (broker)/Size/Time.

Market Scope

Auction on Demand is available for shares traded on Nasdaq Stockholm (including Norwegian shares), Nasdaq Copenhagen, Nasdaq Helsinki and Nasdaq Iceland.

Confidentiality & Transparency

Pre-trade transparency: Indicative Price and Quantity in real time.

Post-trade transparency: Trades in real time, no counterparty, separate MIC code on execution reports.

Executions contribute to official member market share. Auction on Demand trade reporting fulfils the MIDIFII transparency requirements.

Connectivity and Trading Hours

Auction on Demand can be accessed via FIX, OUCH and the Nordic Workstation during lit order book trading hours.

 

    Safety Features

    Auction on Demand runs in parallel to our lit order books. No information about individual orders are published. We have also implemented several safety features to ensure that minimizes risk for information leakage.

    • Randomized uncross after 25-100 ms
    • Speed bump on cancels secures real trading interests in the book
    • Speed bump on modifications of order when reducing position

    Order Types

    Orders can be entered as Pegged, Limit or Market orders, with optional limit price protection and MES protection.

    • Pegged orders only executed at their pegged price according to the peg instruction (“at-priced”)
    • Limit and Market orders executes at or within the Primary Best Bid Offer (PBBO).
    • Optional Limit Price Protection
    • Time in Force: DAY, GTT, IOC, GFA
    • MES protection. One opposite order needs to be equal or larger than MES, to prevent aggregation or "bulking"

    Key Benefits with Auction on Demand

    Periodic Auctions on Demand

    Benefit from the Auction model at any time during trading hours. Auctions are triggered on demand, whenever matching orders are found.

    Minimized Market Impact

    Minimize information leakage for large or strategically important trading interests. Only the indicative price and quantity published pre-trade. Post-trade reporting in real time, no counterparty information & separate MIC codes on execution reports.

    Multiple Safety Features

    Randomized uncross and speed bumps on cancels and modifications secures that only real trading interests are entered in the book.

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