Nordic Light data feed
Nordic Light is a new standard to be used when providing Nordic trade data to investors. The market data feed provides the investors with a more accurate picture of the market compared to having data from a single marketplace only. It is a standard for common market data information, delayed or real time. The goal is that Nordic Light should be seen as a minimum standard when distributing data to investors.
Market data fragmentation
Since MiFID was implemented in November 2007, it has been a dramatic change in trading equities where one share can be traded on a several number of marketplaces at the same time. This implies that investors must get a consolidated trade data feed in order to get the correct picture of the market.
Pre and post trade data provided to investors via trading participants, information vendors and newspapers tends not to use a consolidated trade data approach. It is more common to distribute trade data from a single marketplace. As a consequence, investors do not get the correct trade data information.
Open industry discussions started autumn 2010 with a common goal to make it easier for the private investor to find accurate market data. As a joint effort Nordic industry partners have now established a new standard to be used when providing Nordic trade data to investors. The objective is to use the standard for pre and post trade data in Nordic equities when distributing data on web pages, television, newspapers and other media channels. The Nordic consolidated trade data feed is called Nordic Light.
Nordic Light includes pre and post trade data for Nordic shares. The Nordic Light displays the best Bid/Ask prices; Last paid price; High and Low and aggregated turnover from the marketplaces included. Reference prices such as opening and closing prices are primarily taken from the marketplace where the equity is listed
The Nordic light data feed contains data for Nordic equities traded on the following marketplaces:
- Nasdaq OMX Nordic marketplaces (including First North and the Norwegian market)
- NGM (Regulated and MTF)
- Oslo exchange & Oslo Axess
There are additional marketplaces that trade Nordic equities and such marketplaces may be added to Nordic Light upon investor demands.
Consolidation of trade data
The Nordic Light feed consolidates trade data from marketplaces as follows:
- Bid/Ask: The best bid/ask
- Last paid: The Last paid (including trade price in closing auction).
- High/Low: Highest/Lowest Last paid (actual day)
- Opening price: The listing venue opening auction trade price. If there is no opening auction on the listing venue the Opening price is set to the Last paid (actual day).
- Closing price: The listing venue closing auction trade price. If there is no closing auction on the listing venue the Closing price is set to the Last paid (actual day).
- Change or Change in %: based upon Last paid (actual day) versus Last paid (previous day traded).
- Turnover/Volume: Total turnover/volume
Vendors that provides additional data i.e. order book views, trade tickers, broker market share per order book, real-time graphs and ranking lists of winners & losers should strive to consolidate the data in accordance with the items above.