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Thursday, July 26, 2012

UTP Vendor Alert #2012 - 5
UTP SIP Announces Testing Date for the New UTP Data Feed Messages

Markets Impacted:

  • UTP/SIP

Products Impacted:

  • UTP Quotation Data Feed (UQDF)
  • UTP Trade Data Feed (UTDF)
  • OTC Montage Data Feed (OMDF)

Contact Information:

What you need to know:

  • As announced in UTP Vendor Alert # 2012-3, the UTP Securities Information Processor (SIP) will soon introduce new quotation message formats for the UTP Quotation Data Feed (UQDF).
  • The new UQDF quotation message format will be implemented as a “hot cut release” on Monday October 1, 2012.
  • In preparation for the UQDF release, the UTP SIP will offer evening format testing and Saturday User Acceptance Tests (UATs) during the month of September.

What is changing?

As announced in UTP Vendor Alert # 2012-3, the UTP SIP will soon introduce new quotation messages for the UTP data feeds related to the new NYSE Euronext Retail Liquidity Program (RLP) as well as Limit Up Limit Down (LULD) and Market Wide Circuit Breaker (MWCB) rules.

In an effort to minimize the direct data recipients coding changes, the UTP SIP will make the required regulatory changes to the quotation message formats on UTP Quotation Data FeedSM (UQDFSM) as a single release on Monday, October 1, 2012. Please note that the release date for the UQDF message formats is being driven by NYSE Euronext which is looking to implement its RLP for NASDAQ-listed securities within 90 days of Securities and Exchange Commission (SEC) approval.

In this “hot cut release” the UTP SIP will replace the existing UTP Participant Quotation message formats on UQDF with completely new message formats. As outlined in the UQDF specification document, the data mapping for the October 1st release will be as follows:

Message Format
Current Values Through September 28, 2012 New Values as of October 1, 2012
Message Category Message Type Message Category Message Type
UTP Participant BBO Short Form Quotation Q C Q E
UTP Participant BBO Long Form Quotation Q D Q F

Will the UTP SIP release the full range of quotation and administrative message formats on October 1, 2012?

No. For October 1st, the UTP SIP focus on the UTP Participant BBO Quotation message format changes for UQDF only.

As outlined in the UTP Vendor Alert # 2012-3, the UTP SIP will also introduce new administrative message formats on all UTP data feeds for the new LULD and MWCB regulations to be implemented on February 4, 2013. Given the scope of regulatory changes, the UTP SIP feels that it is best to test the new LULD and MWCB administrative messages as part of the industry-wide testing schedule.

Will there be testing opportunities for the October 1st release?

Yes, the UTP SIP will offer the following evening and weekend testing opportunities for the UQDF quotation message release in the third quarter of 2012:

Type of Testing Scheduled Dates Description
Evening Test Transmissions Monday, August 13, 2012 through Friday, September 28, 2012 A test file will be recorded to be replayed in the evenings from 9:00 p.m. to 10:30 p.m., ET, to all UTP data feed subscribers. No registration is required to participate in evening testing.
Saturday User Acceptance Test (UAT) Saturday, September 8, 2012; September 15, 1012; and Saturday, September 29, 2012 (Confidence Test) UTP participants will be invited to enter data to test the new functionality. As it is generated, the UTP SIP will disseminate the test data via the UTP data feeds. Advance registration is requested for the UATs.

Will this release include the Limit Up / Limit Down Price Band Messages or the Market Wide Circuit Breaker changes?

While the UQDF message format release will include the new SIP Generated Update field as well as the LULD Indicator fields at both the market participant’s BBO and the national BBO (NBBO) level, these fields will not be populated until the U.S. equity exchanges implement the Limit Up / Limit Down functionality on February 4, 2013.

From October 1, 2012 to February 1, 2013, UQDF subscribers should expect to receive spaces for these LULD-related fields. The remaining message changes related to the Limit Up / Limit Down and Market Wide Circuit Breaker rules are still being finalized. The UTP SIP anticipates providing additional testing in November / December 2012 for the following new message administrative message formats:

Category Type Usage
A C Market Wide Circuit Breaker Decline Level Message (NEW)
A D Market Wide Circuit Breaker Status Message (NEW)
A P Price Band Message (NEW)

How do UQDF subscribers register for the September UATs?

Firms that would like to participate in the User Acceptance Testing (UAT) on September 8th, September 15th or September 29th should send an email to dataproducts@nasdaqomx.com by noon of the Thursday prior to the test date.

Where can I find the UTP market data technical interface specifications?

The new specification document is available on the UTP Technical Specifications page on the NASDAQ OMX Trader® website. For your convenience the individual specifications are provided below:

Where can I find additional information?

Contact NASDAQ OMX Global Data Products at +1 301 978 5307