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Tuesday, October 22, 2013

Data Technical News #2013 - 45
Updated 12/20/2013: NASDAQ OMX Updates Release Schedule and Specifications for Enhanced U.S. Proprietary Equity Data Feed Versions

Markets Impacted:

  • The NASDAQ Stock Market
  • NASDAQ OMX BX
  • NASDAQ OMX PSX

Contact Information:

What you need to know:

  • Updated 12/20/2013: NASDAQ OMX has postponed the start of the beta test period by two weeks to Monday, January 27, 2014. Please refer to Data Technical News #2013-60 for additional information.
  • As announced in Data Technical News #2013-33, NASDAQ OMX will release new versions of its NASDAQ, BX and PSX proprietary equity data feeds to include enhanced Symbol Directory and IPO messaging.
  • In order to address customer concerns and requests, NASDAQ OMX postponed the release of the new versions of its NASDAQ, BX and PSX proprietary equity data feeds until the first quarter of 2014.
  • Given the new timeline, NASDAQ OMX plans to make the following format changes to the new NASDAQ, BX and PSX proprietary data feeds:
  • Use of binary values for numeric fields for those NASDAQ, BX and PSX feeds included in this release for bandwidth efficiency reasons.
  • Support of Symbol and Locator ID in TotalView-ITCH Add Order, Trade and Administrative message formats.
  • Support for Bloomberg ID (BBGID) field in the Directory message on the NASDAQ Last Sale (NLS) and NLS Plus.

What is changing?

NASDAQ OMX® has revised its release schedule for the new versions of its NASDAQ®, NASDAQ OMX BXSM (BXSM) and NASDAQ OMX PSXSM (PSXSM) proprietary equity data feeds.


Updated 12/20/2013: For the software-based versions of the NASDAQ OMX proprietary data feeds, the new schedule is:

Event Date(s) Details
Beta Test Period January 27, 2014 Updated 12/20/2013: During this period, NASDAQ OMX will offer customer access to live data in the new data feed versions at its Carteret, NJ and Ashburn, VA data centers location only. Data use will be restricted to testing purposes only.
Parallel Production Period TBD NASDAQ OMX will operate both the current and new versions of its proprietary data feed products in a parallel production mode. Firms may migrate to the new feed versions at any point during the parallel period.
Legacy Feeds Retired TBD NASDAQ OMX will cease to support the current version of its proprietary data feeds at the end of business on a date to be determined. NASDAQ OMX will support only the new versions of its proprietary data feeds in production on this date.

For the hardware-based version of NASDAQ TotalView-ITCH, NASDAQ OMX is still finalizing its cut-over and expects to advise firms of the cut-over date in late January 2014.

What enhancements are included in the NASDAQ OMX proprietary data feed release?

As detailed in Data Technical News #2013-33, the new data feed versions will include an Updated Symbol Directory Message, New IPO Release Message and New Market Wide Circuit Breaker (MWCB) Messages. Based on customer feedback, NASDAQ OMX will expand the format changes to include:

  • Binary Numeric Formats: NASDAQ OMX will migrate to binary message formats and transmission protocols for its proprietary equity data feeds as part of this release for bandwidth efficiency and greater timestamp granularity reasons.

  • TotalView-ITCH Symbol Processing: Based on customer feedback, NASDAQ OMX will support both Symbol and Locator ID fields on Add Order, Trade and administrative messages on NASDAQ TotalView-ITCH 5.0, BX TotalView-ITCH 5.0 and PSX TotalView-ITCH 5.0.

  • Bloomberg ID (BBGID) on NLS: NASDAQ OMX will also add a BBGID field to the Symbol Directory message format on the NASDAQ Last Sale (NLS) and NLS Plus data feeds.

What NASDAQ OMX data feeds will have new versions?

Most NASDAQ OMX proprietary equity data feeds will be impacted by the enhancements. For the first quarter 2014 release, the NASDAQ OMX data feed mapping will be as follows:

New Data Feed Version Replaces
The NASDAQ Stock Market
NASDAQ TotalView-ITCH 5.0 NASDAQ TotalView-ITCH 4.1 and
NASDAQ TotalView-ITCH 3.2*
NASDAQ TotalView-ITCH FPGA 5.0 NASDAQ TotalView-ITCH FPGA 4.1
NASDAQ GLIMPSE 5.0 NASDAQ GLIMPSE 4.1 and
NASDAQ GLIMPSE 3.2*
NASDAQ TotalView-Aggregated 2.0 NASDAQ TotalView-Aggregated 1.1*
NASDAQ NOIView 3.0 NASDAQ NOIView 2.1*
NASDAQ Level 2 – Version 2.0 NASDAQ Level 2 – Version 1.1*
NASDAQ Best Bid and Offer (QBBO) 2.0 QBBO 1.1*
NASDAQ Last Sale (NLS) 2.0 NLS 1.1*
NASDAQ Trades FilterView 2.0 NASDAQ Trades FilterView 1.1*
NASDAQ OMX BX
BX TotalView-ITCH 5.0 BX TotalView-ITCH 4.1 and
BX TotalView-ITCH 3.2*
BX GLIMPSE 5.0 BX GLIMPSE 4.1 and
BX GLIMPSE 3.2*
BX Best Bid and Offer (BX BBO) 2.0 BX BBO 1.1*
BX Last Sale (BLS) 2.0 BLS 1.1*
NASDAQ OMX PSX
PSX TotalView-ITCH 5.0 PSX TotalView-ITCH 4.1 and
PSX TotalView-ITCH 3.2*
PSX GLIMPSE 5.0 PSX GLIMPSE 4.1 and
PSX GLIMPSE 3.2*
PSX Best Bid and Offer (PSX BBO) 2.0 PSX BBO 1.1*
PSX Last Sale (PLS) 2.0 PLS 1.1*
All NASDAQ OMX – U.S. Equity Markets
NLS Plus 2.0 NLS Plus 1.1

*Indicates an ASCII data feed that will be replaced with a binary data feed.

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.

Will direct data feed subscribers be required to migrate to the new versions of the NASDAQ OMX proprietary equity products?

Yes. NASDAQ OMX will require all direct data feed subscribers to migrate to the new versions of the proprietary equity data feeds in accordance with the schedule posted above. Firms that fail to do so will cease to receive data when the legacy data feed versions are retired at the end of the parallel transition period.

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

Yes, NASDAQ OMX has already contacted direct data feed subscribers detailing the ordering procedures. If subscribers are concerned that they have not been contacted, please contact your NASDAQ OMX account manager.

When will the new IP addresses be made available?

The UDP/IP Address List on the NASDAQ OMX Trader® website now includes the enhanced versions of the data feeds offered in the MoldUDP64 protocol. As is normal practice, NASDAQ OMX will assign IP address and port information for SoupBINTCP protocol feeds at the time of ordering process.

What are the bandwidth recommendations for the new NASDAQ OMX proprietary message formats?

While NASDAQ OMX expects to see some bandwidth savings with the binary conversion, it continues to recommend that firms increase their network circuit size by 10% for the new data feed versions. NASDAQ OMX will confirm its bandwidth recommendations at the start of the beta test period.

Where can I find additional information?


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