Friday, July 19, 2013

Data Technical News #2013 - 33
UPDATED 9/11/2013: NASDAQ OMX Will Enhance U.S. Proprietary Equity Data Feeds (Postponed)

What is changing?

NASDAQ OMX^® will release new versions of its NASDAQ^®, NASDAQ OMX BX^SM (BX^SM) and NASDAQ OMX PSX^SM (PSX^SM) proprietary equity data feeds in the fourth quarter of 2013.

UPDATED 8/6/2013: NASDAQ OMX has released updated versions of the new specification documents to address issues with the Locator ID and Tracking ID placement and format for NASDAQ, BX and PSX data feeds. NASDAQ OMX also fixed message offsets and IPO message type values. Please refer to the Documentation Revision Log appendix in the technical documentation for feed specific change details.

NASDAQ OMX will be making the following changes to the proprietary message formats:

• Updated Symbol Directory Message – NASDAQ OMX will be adding the following new fields to the Symbol Directory message on the NASDAQ, BX and PSX equity data feeds: Issue Classification, Issue Sub-Type, IPO Flag and Limit Up Limit Down (LULD) Reference Price Tier.
• New IPO Release Message – The new IPO message will be disseminated for NASDAQ-listed securities only to relay the quotation release time as well as the IPO price to be used for intraday net change calculations.
• New MWCB Messages – To align with the UTP data feeds, NASDAQ OMX will add the following two MWCB messages on its proprietary data feeds:

The MWCB Decline Level message informs data recipients what the daily MWCB breach points are set to for the current trading day.

The MWCB Status Level Message informs data recipients when a MWCB has breached one of the established levels.

• Internal Tracking Number – Intended for NASDAQ OMX use only, this new internal system tracking number field will be added to the end of all order, quote and trade messages for data validation purposes.

For TotalView-ITCH^® clients only, NASDAQ OMX will look to introduce the following processing improvements:

• Locator IDs – NASDAQ OMX will modify the TotalView-ITCH messaging for the NASDAQ, BX and PSX markets to support a Locator Identification (ID) field on order, trade and select administrative message formats. Each morning, NASDAQ OMX will relay the Locator ID field within the Directory message (or as a standalone message) for all U.S. exchange-listed securities eligible for the trading on the NASDAQ, BX and PSX markets. Once set for the day, NASDAQ OMX will include the Locator ID field on all ITCH order and trade messages to facilitate filtering and load balancing on the client end. For consistency reasons, NASDAQ OMX will also use the Locator ID (in place of the Symbol) within Trading Action, IPO and Net Order Imbalance Indicator (NOII) messages on the TotalView-ITCH service. Please note that the Locator ID values will apply to the current trading day only, so TotalView-ITCH subscribers will need to process the pre-opening spin each and every day for the most up-to-date information.
• Binary Only Formats – For efficiency reasons, NASDAQ OMX will migrate all direct TotalView-ITCH data feed clients to binary message formats as part of its new versioning strategy.

For Last Sale data feed clients only, NASDAQ OMX will also introduce a Sale Condition Modifier value of "x" (lower case x) in the fourth byte for Odd Lot Cross Trades.

What NASDAQ OMX data feeds will be impacted?

Most NASDAQ OMX proprietary equity data feeds will be impacted by aforementioned changes. For the fourth quarter 2013 release, the NASDAQ OMX data feed mapping will be as follows:

Please refer to the Global Data Specifications page on the NASDAQ OMX Trader^® website for the most recent version of the all U.S. Equities data feed interface documents.

How will NASDAQ OMX release its new proprietary data feed versions?

Updated 9/11/2013: NASDAQ OMX has postponed the release of the enhanced proprietary data feeds. The beta test period will not begin on September 16, 2013. The new release schedule will be announced in the near future.

NASDAQ OMX tentatively plans to offer a four-week beta test period for all direct data feed clients.. During the beta test period, NASDAQ OMX would operate the new versions of its proprietary data feeds out of its primary data center in Carteret, NJ only. During the beta period, firms should limit the use the live data to internal testing purposes only.

For the NASDAQ TotalView-ITCH FPGA product only, NASDAQ OMX plans to do a hot cut implementation.

For all other NASDAQ, BX and PSX products listed above, NASDAQ OMX plans to offer a five-month parallel production period for customers to transition to the new proprietary data formats. At the end of the parallel period, NASDAQ OMX will discontinue the legacy versions of its proprietary message formats.

NASDAQ OMX will post a follow-up Data Technical News item as soon as the testing and release dates have been set.

Do NASDAQ OMX direct data feed subscribers need to order the new data feeds?

Yes, NASDAQ OMX will contact direct data feed subscribers to communicate ordering procedures.

Will direct NASDAQ OMX proprietary data feed clients be required to migrate to the new versions?

Yes, all subscribers that are direct consumers of the affected data feeds will have to migrate to the new versions. NASDAQ OMX suggests that subscribers use the six-month parallel migration to confirm their readiness and avoid data loss when the current data feeds are retired.

What are the new bandwidth recommendations?

NASDAQ OMX expects the average message size of its proprietary data feed products will increase by approximately 10%. NASDAQ OMX is in the process of finalizing its bandwidth recommendations for the new proprietary data feed versions. NASDAQ OMX will include the recommended bandwidth allocations as well as the IP addresses for the new data feed product in the Data Technical News item with the final release schedule.

Where can I find additional information?

• Refer to the Global Data Specifications page of the NASDAQ OMX Trader website for the new U.S. Equities data feed interface documents.
• Contact NASDAQ OMX Global Data Products at +1 301 978 5307 if you have any questions on the new proprietary data feed formats.