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Thursday, August 26, 2010

Data News #2010 - 20
NASDAQ OMX Introduces Historical PHLX Orders Data from the TOPO Plus Orders Data Feed

Markets Impacted:

  • NASDAQ OMX PHLX

Products Impacted:

  • TOPO Plus Orders

Contact Information:

What you need to know:

  • To support the NASDAQ OMX PHLXSM (PHLX®) market and provide the trading and market data community access to historical simple and complex order information from the TOPO Plus Orders data feed, NASDAQ OMX® is introducing the Historical PHLX Orders product.
  • Effective Wednesday, September 1, 2010, Historical PHLX Orders data will be available via secured FTP download files.
 

What is the Historical PHLX Orders product?

Historical PHLX Orders provides a daily record of the simple and complex order data from the PHLX market. The Historical PHLX Orders product is designed to:

  • Allow TOPO Plus Orders data feed subscribers and market data distributors to perform back-testing of program trading models using order message data.
  • Provide historical PHLX order data needed by researchers and analysts.
  • Store historical information indefinitely, thus saving firms the cost of data storage.

What is TOPO Plus Orders?

As announced in Data Technical News #2009-42, NASDAQ OMX introduced TOPO Plus Orders. TOPO Plus Orders is a direct, low-latency market data product that is designed to allow subscribers to connect to both the Top of PHLX Options (TOPO) data feed and the new PHLX Orders data feed.

TOPO includes Best Bid and Offer (BBO) and last sale information from PHLX. PHLX Orders includes the full limit order book and contains a real-time status of simple and complex orders on the PHLX order book for all PHLX-listed options. This includes new orders and changes to orders resting on the PHLX book.

When will Historical PHLX Orders be available?

Effective Wednesday, September 1, 2010, firms may order the Historical PHLX Orders product.

Historical PHLX Orders will be available on a T+1 basis and will feature the daily simple and complex order message logs beginning on July 26, 2010. A total of eight files will be available for each day; four for simple order messages and four for complex order messages.

NASDAQ OMX plans to retain a minimum of three months of Historical PHLX Orders files on its secured FTP server beginning in November 2010.

How can customers access the Historical PHLX Orders product?

NASDAQ OMX offers access to the Historical PHLX Orders download files via secured FTP.

Where can I find the technical interface specifications for the Historical PHLX Orders product?

The Historical PHLX Orders secured FTP specifications are available from the Web-Based Market Data Specifications page on the NASDAQ OMX Trader® website. The Historical PHLX Orders documentation is also provided below.

How can I order the Historical PHLX Orders product?

To order this web-based data product, firms must submit the appropriate documentation and receive prior approval from Nasdaq:

For the complete list of Nasdaq and UTP market data agreements and forms, please refer to the Nasdaq Global Data Products Agreements and Forms page.

How much does the Historical PHLX Orders product cost?

NASDAQ OMX will charge a flat monthly fee of $500 USD for access to the Historical PHLX Orders data regardless of the number of users.

Where can I find additional information?

For information on the Historical PHLX Orders product:

For information on the TOPO Plus Orders product

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

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Nasdaq (Nasdaq: NDAQ) is a leading global provider of trading, clearing, exchange technology, listing, information and public company services. Through its diverse portfolio of solutions, Nasdaq enables customers to plan, optimize and execute their business vision with confidence, using proven technologies that provide transparency and insight for navigating today's global capital markets. As the creator of the world's first electronic stock market, its technology powers more than 90 marketplaces in 50 countries, and 1 in 10 of the world's securities transactions. Nasdaq is home to approximately 3,900 total listings with a market value of approximately $13 trillion. To learn more, visit: business.nasdaq.com.

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