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Monday, May 3, 2021

Data Technical News #2021 - 15
Temporary Suspension of Last Sale Data Publication for Certain Securities on Nasdaq Basic, and Nasdaq Last Sale.

Products Impacted:

  • Nasdaq Last Sale
  • Nasdaq Last Sale Plus
  • Nasdaq Last Sale FilterView
  • Nasdaq Basic

Contact Information:

What you need to know:

Nasdaq proprietary data products Nasdaq Last Sale, Nasdaq Last Sale Plus, Nasdaq Last Sale FilterView, and Nasdaq Basic will not publish last sale data for securities projected to exceed 98 percent of the 4-Byte limit until May 17, 2021.

As this change will only impact securities that have priced within the 2% of the upper pricing limit in a regular market session, the current market impact is limited to one Reg NMS security (BRK.a).

What is being changed?

Trade data messages distributed via Nasdaq Last Sale and its iterations have a maximum allowable value of $429,496.7295, due to its 4-byte length. This price limit will be increased with the release of the Long Form Trade Message Enhancement announced on April 16, 2021 and effective May 17, 2021. Because this enhancement is still ongoing, Nasdaq will suspend the publication of last sale information through its proprietary data products for any security that breaks the 98 percent pricing threshold within a trading session, or $420,906.794, beginning May 4, 2021, to ensure that no incorrect pricing data is published. With the introduction of the Long Form Trade Message Enhancement on May 15, 2021 effective for market open May 17, 2021, Nasdaq will resume publication of last sale data for any impacted security leveraging the expanded upper price limits of long form trades.

What is the scheduled date for deployment?

Nasdaq has deployed this suspension effective May 4, 2021.

What is the scope of impacted securities?

As this change will only impact securities that have priced within the 2% of the upper pricing limit, in a regular market session, the current market impact is one Reg NMS security (BRK.a).

Who should I contact for additional information?

Contact Investment Intelligence at +1 301 978 5307 or +45 33 93 33 66