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Tuesday, November 6, 2012

Data Technical News #2012 - 30
Updated 1/9/2013: NASDAQ OMX Releases Data Feed Specification Updates For First Quarter 2013

Market Impacted:

  • The NASDAQ Stock Market
  • NASDAQ OMX BX
  • NASDAQ OMX PSX

Contact Information:

What you need to know:

Updated 1/9/2013: NASDAQ OMX would like to advise firms of the following changes to the original Data Technical News item:

  • NASDAQ OMX® is confirming that the technical changes to the NASDAQ proprietary data feeds for LULD and MWCB will be made on February 4, 2013, as scheduled. NASDAQ OMX would note, however, that the regulatory implementation dates for the LULD and MWCB rules have been revised. NASDAQ OMX will send out a separate communication on the revised regulatory dates shortly.
  • NASDAQ OMX is updating the message type code for the new RPII message format to "N" to avoid a potential value conflict.
  • NASDAQ OMX is also clarifying the new values in the Trading Action message to be supported on the NASDAQ OMX BX and NASDAQ OMX PSX data feeds.
  • NASDAQ OMX will also support another MWCB-related reason code, "MWC0" Market Wide Circuit Breaker Halt – Carry over from previous day.

Original Announcement 11/6/2012:

  • In the first quarter of 2013, NASDAQ OMX will introduce a Retail Price Improvement Indicator (RPII) message to the NASDAQ TotalView, NASDAQ Level 2 and NASDAQ Basic products (pending filing and approval of associated marketplace rules).
  • NASDAQ OMX will also add new values for the Action and Reason Code fields in the Trading Action message in support of Limit-Up Limit-Down (LULD) and Market Wide Circuit Breaker (MWCB) rules.

What is changing?

NASDAQ OMX® plans to implement the following format changes for its proprietary data feed products in the first quarter of 2013:

  • New Retail Price Improvement Indicator (RPII) Message – NASDAQ OMX plans to file with the Securities and Exchange Commission (SEC) to introduce a Retail Price Improvement Program for The NASDAQ Stock Market® (NASDAQ®) participants. In support of this market initiative, NASDAQ OMX plans to add a new Retail Price Improvement Indicator (Type N) message to the NASDAQ order and quotation data feeds.
  • New Values for Trading Action Message – NASDAQ OMX will also add new Action and Reason Code values for the Trading Action (Type H) message in support the LULD and MWCB regulations.

What is the Retail Price Improvement Program?

NASDAQ OMX plans to introduce a Retail Price Improvement Program similar to the NYSE Retail Liquidity Provider program and proposed BATS Y Retail Price Improvement Program. The NASDAQ Retail Price Improvement Program will offer marketable retail orders an opportunity to interact with specially-designated Retail Price Improvement orders inside the spread, as well as other liquidity on the NASDAQ book.

How will the Retail Price Improvement Indicator be supported on the NASDAQ OMX proprietary data feeds?

NASDAQ OMX will introduce a new Retail Price Improvement Indicator (RPII) message format to denote when it has Retail Price Improvement orders better than its best displayed bid and/or offer price for a given NASDAQ -listed security. The RPII message will be supported on the following NASDAQ proprietary data feeds only:

  • NASDAQ TotalView-ITCH 4.1
  • NASDAQ TotalView-ITCH FPGA 4.1
  • NASDAQ TotalView-ITCH 3.2
  • NASDAQ TotalView-Aggregated 1.1
  • NASDAQ Level 2-Version 1.1
  • NASDAQ Best Bid and Offer (QBBO) 1.1

Updated 1/9/2013: Please refer to the data feed specifications for the actual message format. NASDAQ OMX is updating the message type code for the new RPII message format to "N" to avoid a potential value conflict.

Will NASDAQ OMX also send the RPII to the consolidated securities information processors (SIPs) for dissemination?

Yes. NASDAQ OMX will use the Retail Interest Indicator field on the UTP Quotation Data Feed (UQDF) and Consolidated Quotation System (CQS) data feed to denote if it has retail price improvement orders available inside its best displayed bid price and/or best offer price. For details on the SIP messaging, please refer to the UQDF and CQS specification documents.

Why is NASDAQ OMX modifying the Trading Action message codes?

In order to be consistent with UTP SIP message processing, NASDAQ OMX is adding a new Action code of "P" as well as new Reason Code values for the Trading Action message format on NASDAQ proprietary data feed products.

The new "P" action code will be used to indicate when a security is subject to a single stock trading pause under the new Limit-Up Limit-Down (LULD) rules. NASDAQ OMX will send out the "P" action code (rather than the "H" and "Q" action codes) for LULD- trading pauses in NASDAQ-listed securities on select proprietary data feeds.

Updated 1/9/2013: Please note, the "P" action code will not be supported on NASDAQ OMX BX and NASDAQ OMX PSX proprietary data feeds. Paused NASDAQ-listed securities will be halted (action code "H") then released for trading (action code "T") as is done today.

The new Reason Code values are being added to clearly denote when the Trading Action message is being generated under the Market Wide Circuit Breaker (MWCB) or LULD rules.

The Trading Action (Type H) message format is supported on the following NASDAQ OMX data feeds:

  • NASDAQ TotalView-ITCH 4.1
  • NASDAQ TotalView-ITCH FPGA 4.1
  • NASDAQ TotalView-ITCH 3.2
  • NASDAQ TotalView-Aggregated 1.1
  • NASDAQ NOIView 2.1
  • NASDAQ Level 2-Version 1.1
  • NASDAQ Best Bid and Offer (QBBO) 1.1
  • NASDAQ Last Sale (NLS)
  • NLS Plus
  • NASDAQ Net Order Imbalance Snapshot (NOIS) 2.1
  • BX TotalView-ITCH 4.1*
  • BX TotalView-ITCH 3.2*
  • BX Best Bid and Offer (BX BBO) 1.1*
  • BX Last Sale (BLS) 1.1*
  • PSX TotalView-ITCH 4.1*
  • PSX TotalView-ITCH 3.2*
  • PSX Best Bid and Offer (PSX BBO) 1.1*
  • PSX Last Sale (PLS) 1.1*

*These data feeds will only support MWCB reason codes.

Please refer to the data feed specifications for the actual message format.

Will any other data elements related to the LULD and MWCB rules be disseminated?

NASDAQ OMX is still reviewing its LULD and MWCB messaging strategy and is actively engaged with the UTP and CTA plan committees on the matter. Once the discussions are complete, NASDAQ OMX will post a Data Technical News (DTN) alert the final LULD and MWCB plan.

Where can I find the updated proprietary data feed specifications?

Please refer to the Global Data Specifications page on the NASDAQ OMX Trader® website for the most recent version of the U.S. Equities data feed interface documents.

When will NASDAQ OMX support the new Trading Action and RPII messaging on its proprietary data feed products?

Updated 1/9/2013: NASDAQ OMX will support the new Action and Reason Code values for the Trading Action message as of February 4, 2013. Please note: Although the regulatory implementation for the LULD and MWCB rules has changed, the data feeds will still be updated on February 4th. NASDAQ OMX will send out a separate communication on the revised regulatory dates shortly.

NASDAQ OMX will support the new RPII message format on its NASDAQ market center quotation and order feeds on February 4, 2013 (pending SEC filing and approval of the associated marketplace rule).

Please note that both releases will be implemented in a hot cut fashion on the existing NASDAQ OMX data channels. All direct data feed subscribers need to be prepared to handle the new messaging on the stated implementation date.

When will test opportunities for the Trading Action and RPII messaging be available?

Updated 1/9/2013: Please refer to Data Technical News #2013-1 for information regarding testing for these data feed updates.

NASDAQ OMX will support the new Trading Action message values during LULD and MWCB industry-wide tests in January 2013. A UTP News and Equity Regulatory Alert as soon as the test dates are confirmed.

Where can I find additional information?

Please follow Nasdaq on Facebook RSS and Twitter.

Nasdaq (Nasdaq: NDAQ) is a leading global provider of trading, clearing, exchange technology, listing, information and public company services. Through its diverse portfolio of solutions, Nasdaq enables customers to plan, optimize and execute their business vision with confidence, using proven technologies that provide transparency and insight for navigating today's global capital markets. As the creator of the world's first electronic stock market, its technology powers more than 90 marketplaces in 50 countries, and 1 in 10 of the world's securities transactions. Nasdaq is home to approximately 3,900 total listings with a market value of approximately $13 trillion. To learn more, visit: business.nasdaq.com.

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