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Wednesday, November 7, 2012

UTP Vendor Alert #2012 - 9
UTP SIP Announces Testing Schedule for LULD / MWCB Changes

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 # 2012-6, will soon introduce new administrative message formats on UQDF, UTDF and OMDF to accommodate the new Limit Up-Limit Down (LULD) regulation as well as the new Market Wide Circuit Breakers (MWCB) benchmark.
  • As part of the LULD / MWCB release, the UTP SIP will also support new field values within the Trading Action and UTP participant quotation message formats on UQDF, UTDF, and OMDF.
  • In preparation for the February 4, 2013 implementation of these rules, the UTP SIP now offers evening testing opportunities for UQDF, UTDF and OMDF direct data feed subscribers to sample the new message formats.
  • In addition, the UTP SIP will support the industry wide testing for the LULD and MWCB enhancements scheduled to take place in the January / February 2013 timeframe.

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

The UTP SIP will support new messaging for LULD and MWCB when the new regulations go into effect on Monday, February 4, 2013.

Specifically, NASDAQ OMX will introduce the following new administrative message formats on UQDF, UTDF and OMDF:

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.

As part of the February 4th release, the UTP SIP will also support new LULD fields in the UTP Participant Quotation message formats and National Best Bid Offer (NBBO) appendages on UQDF as well as new Action and Reason code values for the Trading Action message formats on UQDF, UTDF and OMDF.

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 industry participants and the UTP Operating committee in preparation for the Monday, February 4, 2013 scheduled implementation of LULD and MWCB.

The UTP participants, in association with SIFMA and the FIF, are tentatively planning to conduct industry-wide LULD and MWCB testing on the following Saturdays in early 2013:

  • Saturday, January 12, 2013 - Industry Wide LULD and MWCB Test - Scripted / Limited symbols
  • Saturday, January 19, 2013 - Industry Wide LULD and MWCB Test - Scripted / Limited symbols
  • Saturday, January 26, 2013 - Industry Wide LULD and MWCB Test - Scripted / Limited symbols
  • Saturday, February 2, 2013 - Final Industry Wide LULD - Partially Scripted / Limited symbols

Additional testing details and registration information will be provided by the UTP SIP and UTP participant exchanges as soon as the industry-wide testing plans are confirmed.

Will the UTP SIP support evening file format testing in advance of the industry tests?

Yes. To ensure that direct data feed subscribers are ready to handle the new UTP messages, the UTP SIP will offer evening format testing opportunities beginning Monday, November 12, 2012. The UTP SIP will replay a sample data file with the new UQDF, UTDF and OMDF message format via the production IP multicast channels from 9:00 p.m. to 10:30 p.m., ET, on weekday evenings.

UTP SIP is offering the pre-recorded test data to help firms to validate the new UTP message formats and field values only. For full LULD and MWCB functionality testing, firms must participate in the Saturday user acceptance tests (UATs) in January / February 2013.

Type of Testing Scheduled Dates Description
Evening Test Transmissions Monday, November 12, 2012 through Friday, February 1, 2013 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.

Will the evening test data be focused on specific securities?

Yes. Although the UTP SIP evening test files will carry data for a variety of NASDAQ symbols, the LULD message format testing will be limited to the following symbols on UQDF, UTDF and OMDF:

Channel Symbols
UQDF1 and UTDF1 AAPL, AMGN, AMZN, BBBY
UQDF2 and UTDF2 CSCO, DELL, DISH, EBAY
UQDF3 and UTDF3 FLEX, FISV, GOOG, HOME
UQDF4 and UTDF4 LORL, MAT, MSFT, ORCL
UQDF5 and UTDF5 PCAR, PZZA, QQQ, SHLD
UQDF6 and UTDF6 SWHC, WMAR, YHOO, ZNGA

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.