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Friday, July 5, 2013

UTP Vendor Alert #2013 - 6
UPDATED 8/8/2013: UTP SIP to Introduce New Sale Condition Modifiers and Financial Status Indicator

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:

  • UPDATED 8/8/2013: The UTPOC has extended the implementation of these changes and now plans to introduce the new values on on Monday, October 21, 2013.
  • At the May 2013 meeting of the UTP operating committee (UTPOC), the plan members approved the following changes for the UTP Data feeds:
  • Creation of a new Odd Lot modifier ("I" - Odd Lot Trade)
  • REVISED: Creation of a new Corrected Consolidated Last price modifier ("9" - Corrected Consolidated Last price (per listing market)
  • Creation of a new Financial Status Indicator "C" (Creations and/or Redemptions Suspended for Exchange Traded Product)
  • In preparation for the UTDF release, the UTP SIP will offer evening format testing and Saturday User Acceptance Tests (UATs) beginning August 19, 2013.

What is being announced?

UPDATED 8/8/2013: In cooperation with the UTP Operating Committee (UTPOC) and Consolidated Tape Authority (CTA), the UTP Securities Information Processor (UTP SIP) plans to introduce two new sale condition values on its outbound trade messages via the UTP Trade Data FeedSM (UTDFSM) on Monday, October 21, 2013.

UTP market participants will support these two new sale condition values on their inbound messages to the UTP SIP and to the Securities Information Automation Corporation (SIAC).

The new sale condition modifiers are:

Sale Condition Value Sale Condition Byte Placement Purpose
I Level 4 Odd Lot Trade
9 Level 2 Corrected Consolidated Last (per listing market)

Odd Lot Trade ("I"): The Odd Lot Trade modifier will be available to any participant to distinguish a trade resulting from a market center's execution in increments less than the defined round lot size. Odd Lot Trade transactions will be included in volume statistical calculations only. The Odd Trade value "I" will appear in Level 4 of the extended sale condition modifier field on the UTDF and CTS data feeds.

Please note: Each morning within the Issue Symbol Directory Message (Category A - Type B) the round lot size is established for NASDAQ Listed Securities.

Corrected Consolidated Last - per the Listing Market ("9"): This new modifier will be allowed to be used only by the Listing Market and may be used to adjust the consolidated last sale price. The Corrected Consolidated Last will be eligible to set the High, Low and Last for the consolidated statistics and will not update the participant records. Volume will always be reported as zero and will appear in Level 2 of the extended sale condition modifier field on the UTDF and CTS data feeds.

Can a trade have more than one sale condition in a specific Level location?

No, the SIP will only allow for one identifier within each sale condition byte location. With the inclusion of the Odd Lot identifier, all odd-lot trades, including weighted-average price trades, cross trades or other specially priced trades, will be disseminated with an "I" in byte 4. Trades marked as odd lot override the dissemination of any other condition codes in that category that would otherwise be included.

New Financial Status Indicators:

UPDATED 8/8/2013: The UTP SIP plans to introduce a new Financial Status indicator on all UTP data feeds on October 21, 2013. The Financial Status indicator is used to denote the current Financial Status of a security. UTP will be modified to add a new Financial Status indicator in the existing Financial Status field. The new Financial Status indicator 'C' will be used to denote 'Creations and/or Redemptions Suspended for Exchange Traded Product' to indicate that the Exchange Traded Product does not offer the ability to create and/or redeem shares on the listing market.

The new Financial Status indicator will be as follows:

Code Value
C Creations and/or Redemptions Suspended for Exchange Traded Product

What are the testing opportunities for the release?

The UTP SIP will offer the following evening and weekend testing opportunities for the UTDF trade messages release:

Type of Testing Scheduled Dates Description
Evening Test Transmissions Monday, August 19, 2013 through Friday, October 18, 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.
Saturday User Acceptance Test (UAT) Saturday, September 14, 2013;
Saturday, October 12, 2013; and
Saturday, October 19, 2013 (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.

Where can I find additional information?

The updated UTP trade modifiers and financial status indicators are located in the UTP technical specification documents available on the UTP Technical Specifications page on the NASDAQ OMX Trader® website. For your convenience the individual specifications are provided below:

Will there be testing opportunities?

Yes, the SIP plans to provide testing opportunities for this change. The UTP SIP is now working to finalize the release and SIP will post a follow-up news item to communicate testing availability.

Who should I contact for more information?

For more information on the UTP data feeds, please contact NASDAQ OMX Global Data Products at +1 301 978 5307.


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