Friday, October 24, 2008

Equity Technical Update #2008 - 11
NASDAQ Introduces New OUCH and DROP Versions to Address Order Reference Number Limitation and Will Retire Old Versions

Please Route To:

Head Traders; Compliance Officers; Technical Contacts

What you need to know:

  • NASDAQ OMX has experienced a rapid rise in the number of orders being processed by the NASDAQ Execution System in recent months:
    • The average daily order rate for the NASDAQ system has more than doubled in the last two months.
    • On Friday, October 10, 2008, NASDAQ processed a record 821 million order messages on its single book platform.
  • NASDAQ OMX has an Order Reference Number field size limitation on existing versions of OUCH and DROP protocols.
  • To address this limitation, NASDAQ is releasing new versions of OUCH and DROP protocols on Monday, November 3, 2008.
  • QIX, CTCI, Rash, INET FIX, NASDAQ FIX and BRUT FIX protocols do not have the field size limitation and are unaffected.

Who you should contact:

Why is NASDAQ releasing new versions of OUCH and DROP?

NASDAQ® is concerned about a critical Order Reference Number field size limitation within all existing OUCH® and DROP versions. Currently, the Order Reference Number is a nine byte numeric field within OUCH and DROP protocols. Because the Order Reference Number is a numeric field, once NASDAQ processes more than 999,999,999 order messages in a single trading day, the Order Reference Number will seem to have “reset” and will increment from 1 again for customers using OUCH and DROP.

In the past two months, NASDAQ has seen its average daily order rate more than double. On Friday, October 10, 2008, NASDAQ hit a new record of 821 million messages in a single trading day. The October 10th order rate was 12% higher than the previous record set less than one month before. Given the volatile market conditions, NASDAQ is concerned that the Order Reference Number may exceed one billion soon.

What is the impact?

For those firms that use the Order Reference Number within their trading systems and more importantly, use the number to match against TotalView-ITCH® data, it is important that you switch to a new version of the protocols that support a 12 digit number as quickly as possible.

What new OUCH and DROP versions will NASDAQ release on November 3rd to address the issue?

NASDAQ will introduce two new OUCH versions and one new DROP version that will support a 12 digit Order Reference Number. They include:

  • OUCH 2.1a which is based on the current OUCH 2.0a version
  • OUCH 3.1 which is based on the current OUCH 3.0 version
  • DROP 2.1 which is based on the current DROP 2.0 version

NASDAQ will NOT provide a new version for the following OUCH and DROP versions:

  • OUCH 1.05
  • OUCH 2.0
  • DROP 1.0

On Tuesday, March 31, 2009, NASDAQ will retire the existing versions of OUCH and DROP which include the following:

  • OUCH 1.05
  • OUCH 2.0
  • OUCH 2.0a
  • OUCH 3.0
  • DROP 1.0
  • DROP 2.0

What do I need to do to address this limitation?

  • View the protocol specifications posted on the NASDAQ Trader® website to obtain the specifications for the new OUCH and DROP versions.
  • Use the Port Request Form and request the new port versions for testing in the NASDAQ Test Facility and to obtain replacement production ports. Please indicate which port should be terminated upon creation of the new port on the port request form. There will be no charge for testing the new Order Reference Number.

Are there any other protocols that are affected by the Order Reference Number limitation?

All TotalView-ITCH versions will also be affected. Please see NASDAQ NASDAQ Vendor Alert #2008-77 for more information on the changes required.

QIX, CTCI, Rash, INET FIX, NASDAQ FIX and BRUT FIX are unaffected by this issue and there is no change required.

Where can I get additional information?

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