Pro-Rata Matching

Nasdaq Derivatives Markets plans to change the matching method for OMXS30 index options from current price/time priority, to a price/pro-rata allocation method.

The change will become active in production during the month of September 2020; the actual date will be communicated closer to go-live via an exchange notice.

The pro-rata allocation method will be introduced for both regular and weekly options as well as for related tailor-made combinations (user-defined spreads and combinations involving OMXS30 index options).

The planned changes are available to members and ISVs for testing in the External Test Systems 1 and 3.

Under the pro-rata allocation method, in a matching event if there are two or more orders at the same best price, then those orders are allocated trade volume based on their display quantity in proportion to the total displayed quantity of orders left to be allocated at that price.

Normal orders and market maker quotes are treated in the same way and together referred to as orders.

At the time of matching, allocations are determined for resting orders at the given price one by one, in descending order of their displayed quantity. If two or more orders have the same display quantity, then allocations to those orders are determined in time priority order.

Each resting order’s allocation is determined as follows:

• A quotient is calculated by dividing the display quantity of the resting order by the total displayed quantity of orders that remain to be allocated at this price.
• The resulting allocation is obtained by multiplying the quotient by the remaining aggressive quantity to execute. The result is rounded up if not an integer number.

Following the change, the trading system will still disseminate orders and quotes in market by order data according to normal price/time order.

 

 

Example 1

Given the following sell orders resting in the order book:

 An incoming bid 10.00 for 15 contracts will be matched with the resting orders into trades accordingly:

Leaving the resulting order book:

 

Example 2

Given the following resting sell orders in the order book:

An incoming bid 10.00 for 15 contracts will be with the resting orders matched into trades accordingly:

 Leaving the resulting order book:

For trade support related questions, please contact:

Trading Operations
tradingoperations@nasdaq.com
+46 8 405 7360

 

For technical questions, please contact:

Technical Support
technicalsupport@nasdaq.com
+46 8 405 6750