Thursday, March 11, 2021

Data Technical News #2021 - 7
UPDATE - Enhancement to the Nasdaq Last Sale Plus Market Summary Message

What is NLS Plus?

NLS Plus provides real-time intraday last sale data for all securities traded in Nasdaq systems as well as the FINRA/Nasdaq Trade Reporting Facilities (TRF). By combining the last sale data originating from the largest single liquidity pool available in the United States from Nasdaq Stock Market with the overwhelmingly preferred venue for reporting off exchange trading, NLS Plus is the best resource for real-time, intraday trade data. For a description of all securities traded on NLS Plus, please visit the Nasdaq Symbol Directory at: Nasdaq Traded Symbol Directory

What is being enhanced?

In 2015, the Nasdaq Last Sale Plus was enhanced to include real-time consolidated volume for all Nasdaq Traded securities. In 2017, a new message was created to provide an End of Day Trade Summary data, which introduced a summary update of EOD daily pricing statistics from Nasdaq as well as the Consolidated Volume. This newest enhancement will expand that Summary message to include the “Daily Open” value, as well as populating all pricing fields from a Consolidated Data source.

In addition to the above, Nasdaq will also be adding the Consolidated Open Price to its End of day message summary.

What are the definitions of the above enhanced/additional fields?

Will I need to change anything to receive this enhanced data?

No. Nasdaq is introducing this change in a manner that will reduce the operational burden on behalf of all distributors. The “Daily Open” field will be appended to the end of the existing message structure, and all other message structure will remain unchanged. The documentation will be updated to reflect not only the addition of the new “Daily Open” Field, but also the new definitions for all other fields that are being enhanced.

Will the transmission schedule change?

Yes. The transmission schedule timelines will be modified as part of this enhancement to reflect more frequent updates beginning at approximately 4:15 PM EST for all securities, followed by an update at approximately 5:00 PM EST and again at 8:15 PM EST. These updates are cumulative of all market activity up until the timestamp of the EOD Market Summary message. Follow this link for more detail on the Nasdaq Market Datafeed Transmission schedules.

Is there testing available?

Yes, weekend testing is available on April 10, 2021 and May 15, 2021. This is a hot cut event, so after the release date of May 17, 2021, all IP groups for Nasdaq Last Sale Plus will be updated to include the enhanced version of the End of Day Trade Summary Message.

Will Specifications be provided?

Specification changes have been outlined and made available at the following link via Nasdaq Trader: Nasdaq Trader

What is the schedule for deployment?

May 17, 2021.

Will Nasdaq Basic be impacted?

Nasdaq Basic is the industry leading low-cost Top of Book and Last Sale alternative. The product is comprised of the Nasdaq Top of Book Market Data Product (QBBO) and either Nasdaq Last Sale or Nasdaq Last Sale Plus. If your version of Nasdaq Basic is powered by Nasdaq Last Sale Plus, you will automatically receive this enhanced message as of the launch date. If your current implementation of Nasdaq Basic is powered by Nasdaq Last Sale, please reach out to your Sales Rep to discuss upgrading.

Who should I contact for additional information?