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Thursday, August 30, 2012

UTP Vendor Alert #2012 - 6
Testing Update for Upcoming 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).
  • Implementation of these enhancements will be released in two phases:
  • On Monday, October 1, 2012, UQDF quotation message format will be implemented as a "hot cut release."
  • On Monday, February 4, 2013, Limit Up/Limit Down and Market Wide Circuit Breaker functionality is scheduled for implementation.

What are the implementation plans for October1, 2012?

The first release will take place as a "hot cut release" on Monday, October 1, 2012. As announced in UTP Vendor Alert # 2012-3, the UTP SIP will 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.

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

For phase 1, direct data recipients will be required to migrate over to the new quotation message formats on Monday, October 1, 2012, or run the risk of not receiving UTP quotation data.

What are the testing opportunities for October1, 2012, release?

As announced in UTP Vendor Alert # 2012-5, the UTP SIP will offer the following evening and weekend testing opportunities for this UQDF quotation message release:

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.

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, scheduled for February 4, 2013. UQDF subscribers should expect to receive spaces for these LULD-related fields. Testing for this release will only include the two new UTP Quotation message formats, Category Q - Type E and Category Q - Type F.

What are the implementation plans for the LULD and MWCB changes?

The second release is scheduled to be implemented on Monday, February 4, 2013, and will include the functionality related to LULD and MWCB changes. In this release, the following new administrative messages, related to the LULD and MWCB rules, will be released into production:

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)

Please note that the new Market Wide Circuit Breaker messaging will replace the existing Emergency Market Condition messaging on the UTP data feeds as of February 4, 2013. For details, refer to the UTP data feed specifications.

What is the testing schedule for the LULD and MWCB changes?

The UTP SIP is working closely with the UTP Operating committee and industry participants in preparation for the Monday, February 4, 2013, scheduled implementation of LULD and MWCB. As details become available, NASDAQ OMX will post additional UTP notices to inform the direct data recipients. At this time, testing for the new LULD and MWCB administrative messages will begin in November 2012.

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 Trader00ae 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.