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Friday, September 06, 2019

Options Technical Update #2019 - 4
Nasdaq Options Markets Update SQF Technical Specifications



  • System Impact

Markets Impacted:

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All Nasdaq options markets have updated the Specialized Quote Feed (SQF) specification documents. These changes add an additional field that is required for exchange CAT reporting, indicating the time a quote event was sent to the exchange.

PHLX/NOM/BX Technical Specifications

The SQF 6.5a technical specification document has been updated to add the SentTimestamp field to the following messages:

  • Short Quote Block
  • Long Quote Block
  • Short Quote Block (Full Symbology)
  • Long Quote Block (Full Symbology)
  • Quote Reply
  • Detailed Quote Reply
  • Underlying Purge
  • Underlying Purge Reply

ISE/GEMX/MRX Technical Specifications

The SQF 8.2a technical specification document has been updated to add the SentTimestamp field to the following messages:

  • Simple Quote Block (short form)
  • Simple Quote Block (long form)
  • Complex Quote Block
  • Quote Block Reply
  • Detailed Quote Block Reply
  • Underlying Purge Request
  • Underlying Purge Reply


This change is pursuant to the CAT reporting exemption for market maker quotations. Note that market maker IOC orders and auction responses (“SQF Sweeps”), as well as QUO orders, are not included in this exemption, and market makers must still report those events to CAT.  

Testing for this change will be available in January 2020, with the exact date to be announced in a future alert.

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