Wednesday, June 10, 2009

Data Technical News #2009 - 22
REVISED: NASDAQ Will Modify Historical TotalView-ITCH File Format To Support Flash Orders, Effective June 15, 2009

What is the Historical TotalView-ITCH product?

Historical TotalView-ITCH^® provides a daily record of the order and trade transactions as well as net order imbalance data from the The NASDAQ Stock Market^®. The Historical TotalView-ITCH product is designed to:

• Perform back-testing of program trading models for quality control purposes by TotalView-ITCH data feed subscribers and market data distributors
• Provide historical tick-by-tick NASDAQ^® order data needed by researchers and analysts
• Use SoupFILE specifications to enable firms to easily translate the ITCH files for data storage and query

What are Flash Orders?

As announced in Equity Trader Alert #2009-35, NASDAQ introduced NASDAQ Only Flash Orders on Friday, June 5, 2009, and flash-enhanced routable orders on Monday, June 8, 2009. After attempting to sweep the NASDAQ book, these orders are displayed to NASDAQ participants and market data vendors at the most aggressive price possible during a flash period.

For detailed information about the behavior of the orders, refer to Equity Trader Alert #2009-35.

Are Flash Orders disseminated via the TotalView-ITCH data feeds?

Yes, NASDAQ OMX^SM includes the NASDAQ Only Flash Orders and flash-enhanced routable orders on the NASDAQ TotalView-ITCH data feed for display and execution.

As part of the order release, NASDAQ OMX introduced new "f" versions of the TotalView-ITCH data feed to enable traders and other market data users to differentiate Flash Orders from other orders on its book. The new TotalView-ITCH 4.0f data formats include a Display field within the Add Order Anonymous and Replace Order message formats in addition to a new Order Display message type.

Under the "f" format processing, NASDAQ OMX disseminates an Add Order (No MPID) message with a Display code of "S" at the time that a Flash Order is entered by an exchange participant. If the Order is not executed within the flash period, NASDAQ will disseminate an Order Display message type if it is added to the NASDAQ continuous book or NASDAQ will send out an Order Cancel. For details, please refer to the NASDAQ TotalView-ITCH 4.0f (Binary) specification document.

While the current TotalView-ITCH 4.0 data formats also carry the Flash Order data, there is no special identifier on the feed.

Why is the Historical TotalView-ITCH product migrating to the TotalView-ITCH 4.0f message formats?

Since many firms use Historical TotalView-ITCH data sets for analytical purposes, it is important that the service support the new Display code field for Flash Orders.

When will Historical TotalView-ITCH migrate to the TotalView-ITCH 4.0f message formats?

Effective Monday, June 15, 2009, NASDAQ OMX will begin to post files in the TotalView-ITCH 4.0f formats on the Historical TotalView-ITCH website and FTP servers. For information on how to access the new files, please refer to the Historical TotalView-ITCH Secured FTP Protocol Specification document. For the new data message formats, please refer to the NASDAQ TotalView-ITCH 4.0f (Binary) specification document.

To facilitate the transition for Historical TotalView-ITCH subscribers, NASDAQ OMX will offer a four month parallel period during which it will support both the current TotalView-ITCH 4.0 and the new TotalView-ITCH 4.0f message formats. The parallel period will run from June 15, 2009 to October 30, 2009. Historical TotalView-ITCH subscribers must complete the transition to the new TotalView-ITCH 4.0f message formats by Friday, October 30, 2009. As of Monday, November 2, 2009, NASDAQ OMX will only support the TotalView-ITCH 4.0f data formats on the Historical TotalView-ITCH platform.

What technical changes will I need to make to handle the new Historical TotalView-ITCH formats?

NASDAQ OMX will add a new FTP file directory path for the TotalView-ITCH 4.0f files. For details, please refer to the Historical TotalView-ITCH Secured FTP Protocol Specification document.

Firms will also need to adjust their file processing to handle the TotalView-ITCH message formats. For the new message layout, please refer to the NASDAQ TotalView-ITCH 4.0f (Binary) specification document.

Where can I find additional information on the TotalView-ITCH product changes?

• Refer to Data News #2009-26.
• Refer to the NASDAQ TotalView product page on the NASDAQ OMX Trader^® website.
• Contact NASDAQ OMX Global Data Products at +1 301 978 5307.