Nasdaq is launching a new auction model on Monday morning. Are you prepared?

On Monday 16 November, Nasdaq will introduce a new, more efficient auction model for cash equities on the Nasdaq Nordic exchanges. Orderbook features and new auction charting possibilities in Infront 6.4.2 – released today and available for download now – help ensure that you’re prepared for new Nasdaq Nordic auctions on Monday morning (and for auctions on other exchanges too).

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What to expect on Monday morning

The opening auction will begin as normal at 08:45 CET. Before 08:45, all orderbooks will be empty. During the auction phase, individual orders will no longer be shown. The only data available in the orderbook will be volume and the equilibrium price: the theoretical crossing price and volume based on the current orders. If there’s no equilibrium price in the orderbook – which can occur in illiquid instruments – you will only see best bid and offer.

The orderbook will look like this during the auction:

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These changes will apply for all auctions during the day: the opening auction, scheduled intraday auctions for selected instruments, and the closing auction.

Nasdaq has put together a factsheet explaining the new auction model in more detail. You can download it here.

How Infront handles the new auction model

Infront helps you get a clear picture of pre-trade transparency during the auction, even though individual orders will no longer be published.

Infront displays real-time Net Order Imbalance Information (NOII) for Nasdaq Oslo, Stockholm, Helsinki and Copenhagen and Oslo Stock Exchange. The Nasdaq Nordic volumes are supported by the exchange while Infront calculates the estimated imbalance volume on the Oslo SE.

In the example below, there are 1,084 more shares offered than what will actually uncross during the auction, showing a surplus on the offer side.

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You can activate this new feature under Visual Preferences in the Orderbook setup menu.

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New features for charting price and volume in an auction

With Infront 6.4.2, you can chart price and volume movements within an auction on a second or tick-by-tick basis. Once you’ve upgraded, you can enable it from within an intraday chart by clicking the Events dropdown menu and then ticking the Show Auctions option.

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You can also add a volume study to your chart, helping you monitor volume movements within an auction. To add this, click the Technicals dropdown men, then choose Volume Bar. You’ll see the auction volume at the bottom of your chart.

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By charting pricing and volume movements in the auction period, you can better understand how the stock might trade during the day. In the example below, we see that there was a significant buy interest in DNB yesterday morning. As the uncrossing period approached, the buy interest was met with sell orders, pushing the equilibrium price downwards.

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Based on the auction, we could assume that there would be buy interest in DNB during the day. This hypothesis proved to be correct, as DNB outperformed the OBX index after a few hours of trading.

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How to upgrade

Make sure you’re prepared; upgrade to Infront 6.4.2 today. Click below to download Infront 6.4.2 or go to Menu > Help > Get Latest Version in the terminal. If you’re not able to update software on your own PC at work, contact us and we can help your IT department to upgrade you and your colleagues to the latest version.

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