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Wednesday, May 29, 2013

Data Technical News #2013 - 25
Updated 8/27/2013: NASDAQ OMX to Add Adjusted Close Price to NLS and NLS Plus Data Feeds

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What you need to know:

    • Updated 8/27/2013: The changes to the NLS and NLS Plus data feeds will be implemented on Monday, September 16, 2013. The new messaging will not be available on September 9, 2013 as previously announced.
    • Effective Monday, September 16, 2013, NASDAQ OMX will modify the NASDAQ Last Sale (NLS) and NLS Plus data feeds to include an Adjusted Closing Price message.
    • For NASDAQ-listed securities the NASDAQ Official Closing Price (NOCP) will be used to calculate the adjusted close.
    • For non-NASDAQ securities, the consolidated close from the security's listing exchange will be used to calculate adjusted close.

What is being announced?

Updated 8/27/2013: NASDAQ OMX® is eagerly working to improve and provide additional value to the NLS and NLS Plus data feeds. Effective Monday, September 16, 2013, NASDAQ OMX will modify the NLS and NLS Plus data feeds to include an Adjusted Closing Price message.

The adjusted closing price will reflect a security's previous day official closing price adjusted for any applicable corporate actions. If there are no corporate actions for a security, the previous day's official close will be disseminated.

How will the Adjusted Close message be disseminated?

The Adjusted Closing Price will be an administrative message disseminated between 3:00 a.m., Eastern Time (ET) and 4:00 a.m., ET.

The new message format will include the following fields in the table below. Please refer to the updated technical specifications for specific message details.

Field Name Notes
Stock Stock symbol
Security Class Indicates the primary listing market for the issue. Allowable values are:
Code Value
Q NASDAQ Listed Issue
N NYSE Listed Issue
A NYSE MKT Issue
P NYSE Arca Issue
Z BATS-Listed Issue
Adjusted Closing Price The previous trading day's official closing price adjusted for any applicable corporate actions.

What value will be used to calculate the Adjusted Closing Price?

For NASDAQ-listed securities the NASDAQ Official Closing Price (NOCP) will be used to calculate the adjusted close. For non-NASDAQ securities, the consolidated close from the security's listing exchange will be used to calculate adjusted close.

Why is the NOCP being used for NASDAQ-listed securities?

NASDAQ believes the NOCP is a more representative and transparent market close value than the consolidated close. The NOCP was designed to provide market participants, distributors, and investors with a robust, transparent primary market close that is validated and subject to NASDAQ MarketWatch and FINRA surveillance. NASDAQ's closing cross process produces a tradable closing price that represents either the closing cross or the best available price at the time of the transaction (the NASDAQ Inside).

NASDAQ's Closing and Opening Cross offer enhanced transparency and execution choices prior to and at the open and close. The cross process provides a true price discovery facility that represents supply and demand in the marketplace, and also serves as a facility to resolve natural order imbalances in critical events, such as index rebalances.

Will testing opportunities be available?

Yes, NASDAQ OMX will offer a User Acceptance Test (UAT) on Saturday, September 14, 2013. Firms that would like to participate in the UAT should contact NASDAQ Trading Services or call +1 212 231 5180.

Where can I find additional information?


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