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Thursday, August 28, 2014

Data Technical News #2014 - 26
NASDAQ OMX Offers Parallel Transition Period for NASDAQ, BX and PSX Historical TotalView-ITCH File Formats Through September 26, 2014

Markets Impacted:

Products Impacted:

  • NASDAQ Historical TotalView-ITCH
  • BX Historical TotalView-ITCH
  • PSX Historical TotalView-ITCH

Contact Information:

What you need to know:

  • As announced in Data Technical News #2014-9, NASDAQ OMX® released enhanced versions of all TotalView-ITCH data formats on March 31, 2014.
  • To facilitate the transition for Historical TotalView-ITCH subscribers, NASDAQ OMX is posting data files in both the TotalView-ITCH 4.1 and the enhanced TotalView-ITCH 5.0 message formats during the parallel transition period. Dual file postings started on April 8, 2014 and will run through Friday, September 26, 2014.
  • Effective Monday, September 29, 2014, NASDAQ will only support the TotalView-ITCH 5.0 data formats on the NASDAQ, BX and PSX Historical TotalView-ITCH platforms.

What is Historical TotalView-ITCH?

Via the Historical TotalView-ITCH products, NASDAQ OMX offers a historical record of the daily order and trade transactions for The NASDAQ Stock Market®, NASDAQ OMX BXSM (BXSM) and NASDAQ OMX PSXSM (PSXSM) markets.

Subscribers to the Historical TotalView-ITCH products may download the NASDAQ TotalView-ITCH, BX TotalView-ITCH and PSX TotalView-ITCH daily transaction logs on a T+1 basis from a secured website or FTP server.

The NASDAQ, BX and PSX Historical TotalView-ITCH products are designed to:

  • Allow TotalView-ITCH data feed subscribers and market data distributors to perform back-testing of program trading models for quality control purposes.
  • Provide historical tick-by-tick order data needed by researchers and analysts.
  • Use Binary File specifications to enable firms to easily translate the TotalView-ITCH files for data storage and query.

Why is NASDAQ OMX changing the base data formats for the NASDAQ Historical TotalView-ITCH and BX TotalView-ITCH products?

As announced in Data Technical News #2014-9, NASDAQ OMX released enhanced versions of the NASDAQ TotalView-ITCH, BX TotalView-ITCH and PSX TotalView-ITCH data feeds on March 31, 2014.

With the new real-time feeds in production, NASDAQ OMX also migrated the Historical TotalView-ITCH products to the TotalView-ITCH 5.0 data format standards.

What is the data format transition schedule for the Historical TotalView-ITCH products?

On Tuesday, April 8, 2014, NASDAQ OMX began posting files in the TotalView-ITCH 5.0 formats on the NASDAQ Historical TotalView-ITCH website and FTP servers for the NASDAQ, BX and PSX markets.

For information on how to access the new files for the NASDAQ market, please refer to the following documents:

To facilitate the transition for Historical TotalView-ITCH subscribers, NASDAQ OMX will continue to support both the current TotalView-ITCH 4.1 and the new TotalView-ITCH 5.0 message formats through Friday, September 26, 2014.

NASDAQ Historical TotalView-ITCH and BX Historical TotalView-ITCH subscribers must complete the transition to the new TotalView-ITCH 4.1 message formats by Friday, September 26, 2014. As of Monday, September 29, 2014, NASDAQ OMX will only support the TotalView-ITCH 5.0 data formats on the NASDAQ, BX and PSX Historical TotalView-ITCH platforms.

Where can I locate the Historical TotalView-ITCH technical interface specifications and sample data files for the upcoming release?

NASDAQ OMX posts the technical interface specifications for its web-based data products on the Web-Based Data Products page of the NASDAQ OMX Trader® website. For convenience, NASDAQ OMX also includes the documentation links for the upcoming Historical TotalView-ITCH release below.

NASDAQ OMX Data Produce Technical Interface Documentation
NASDAQ Historical TotalView-ITCH
BX Historical TotalView-ITCH
PSX Historical TotalView-ITCH

Where can I find additional information on Historical TotalView-ITCH?


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