Nasdaq pushes back auction book launch

Nasdaq said in May that it planned to launch a new order book that would run auctions continuously alongside its main markets in Stockholm, Copenhagen, Helsinki and Iceland. The launch, subject to regulatory approval, was expected in the fourth quarter of 2016.

The exchange had originally said it would allow members to begin testing the order book on August 22.

However, in a note sent to members on August 17, seen by FN, Nasdaq said it would communicate a “new date for testing and planned production launch will be communicated at a later stage”.

It wrote: “Based on results from the consultation process, Nasdaq Nordic has decided to further enhance the trading model. Therefore, testing will not be available from August 22, 2016 as earlier communicated.”

A spokeswoman for the exchange group added: “After consultations we have taken the decision to enhance the offering further. Throughout the process this has been an iterative development where we really are taking the opportunity to co-develop the service with our members, hence the testing and launch has been slightly postponed.”

The auction model has come into vogue as it helps to alleviate the market impact of big trades by allowing orders to be submitted at certain prices within a limited timeframe, before matching bids and offers are executed. This structure means there is no benefit to being the first to place an order, removing the advantage for high-speed traders.

Bats Europe, the region’s largest exchange, launched an order book that runs auctions throughout the day in October 2015, while the London Stock Exchange launched a midday auction in March.

Nasdaq is planning to mimic Bats’ approach, with its head of Nordic equity markets Lauri Rosendahl telling FN in May that each auction would be triggered when demand in a stock reaches a certain level, and will last for less than 100 milliseconds.

Bats Europe recently added a minimum acceptable quantity, or MAQ, to its auction book. An MAQ order is not completed unless a user’s minimum stated quantity, or higher, is reached. Such an order may be filled by multiple smaller orders to reach a user’s MAQ size.

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