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Monday, June 5, 2006

Data News #2006 - 35
NASDAQ Files Draft Proposal to Consolidate Premium TotalView and OpenView Full-Depth Entitlements and to Enhance Format Delivery Options

Please Route To:
  • NASDAQ, INET and BRUT data feed subscribers
  • Market Data Administrators

Summary:
  • NASDAQ recently filed a draft proposal with the Securities and Exchange Commission (SEC) to:
    • Merge the distributor and user fee schedules for TotalView and OpenView full-depth data for NASDAQ-, NYSE- and Amex-listed securities*.
    • Offer a variety of different feeds carrying the full-depth data, including ITCH format feeds, each fee-liable under the TotalView entitlement.
    • Offer a fee waiver for the distribution of NASDAQ’s real-time best bid and offer (BBO) quote for NYSE- and Amex-listed stocks.
  • This proposal is pending SEC approval.

Overview

Throughout the past several quarters, the distribution of NASDAQ’s premium full-depth data feeds — TotalView® and OpenViewSM — has continued to increase significantly. NASDAQ® has implemented several major enhancements to the TotalView product to ensure that the needs of its customers and prospects are met:

  • Honed technology to reduce latency, ensuring TotalView is the fastest of NASDAQ’s depth feeds.
  • Employed compression technology to provide market participants and redistributors with cost-saving options for accessing this premium data.
  • Included Net Order Imbalance information to assist in trading during the market open and close events and in understanding supply and demand in the market.

NASDAQ plans to integrate the NASDAQ Market Center®, Brut and INET trading facilities into a single technology platform — Single Book — that will further enhance execution quality for system users. NASDAQ is targeting July of 2006 to begin the integration into Single Book and will be making several enhancements to its premium market data offerings as part of this process:

  1. Upon the completion of Single Book integration, NASDAQ proposes to integrate the entitlement for full depth from NASDAQ market participants quoting in NASDAQ stocks with the full depth from NASDAQ market participants quoting in NYSE- and Amex-listed stocks. This will result in a single full-depth entitlement that will retain the TotalView name and will deliver data across all securities, regardless of their listing market. Distributors and subscribers currently receiving full depth of NASDAQ stocks alone will now be able to see full NASDAQ depth in NYSE and Amex stocks, and vice versa.

  2. To allow for greater flexibility for distributors, NASDAQ also plans to disseminate Single Book data, including both TotalView and OpenView data, via multiple data feed formats, including ITCH. All versions of the TotalView data feed will be fee-liable under a single, consolidated Depth Feed Distributor Fee designed to lower costs for data feed recipients. Upon completion of the migration to Single Book, there will be five data feeds carrying TotalView — each with slightly different features:

    • TotalView-Aggregated (previously known simply as the TotalView data feed)
    • TotalView–ITCH 3.0 (not yet released)
    • TotalView–ITCH 2.0a (previously known as OpenView+ (ITCH 2.0a))
    • TotalView–ITCH 2.0 (previously known as ITCH 2.0)
    • TotalView–ITCH 1.0 (previously known as ITCH 1.0)

  3. To encourage more competition in the trading and quoting of NYSE- and Amex-listed stocks, NASDAQ is also proposing a fee waiver for firms wishing to distribute NASDAQ’s real-time BBO quote for NYSE- and Amex-listed stocks.
Data Feed Enhancements

In addition to providing ITCH formats that will disseminate NASDAQ’s full depth for NASDAQ-, NYSE- and Amex-listed stocks, NASDAQ will also enhance its existing TotalView–Aggregated data feed to include full depth from the NASDAQ market participant quotations of NYSE- and Amex-listed stocks. Specifications and further details on this data feed, as well as on TotalView–ITCH 3.0, will be published shortly. The following table summarizes the features that each of the feeds described will have upon Single Book:

Data Feed Data Offered Securities Included
TotalView-Aggregated
  • Full depth-of-book with attribution — aggregated by market participant at each price level
  • NOII data
 NASDAQ-, NYSE- and Amex-listed
TotalView–ITCH 3.0
  • Full depth-of-book with attribution — order-by-order detail
  • NOII data
 NASDAQ-, NYSE- and Amex-listed
TotalView–ITCH 2.0a
  • Full depth-of-book with attribution — order-by-order detail
 NASDAQ-, NYSE- and Amex-listed
TotalView–ITCH 2.0
  • Full depth-of-book without attribution — order-by-order detail
 NASDAQ-, NYSE- and Amex-listed
TotalView–ITCH 1.0
  • Full depth-of-book without attribution — order-by-order detail
 NASDAQ-, NYSE- and Amex-listed

User Fee Structure
NASDAQ has proposed the following Single Book Consolidated User Fee schedule. The new fees are expected to be effective August 1, 2006, pending SEC approval.

NASDAQ Service Level Monthly Fee
TotalView Professional $75 per user
TotalView Non-Professional $14 per user

Please note: Underlying Level 1 fees are separately reported and assessed.

Depth Feed Distributor Fee Structure
NASDAQ has also proposed the following Single Book consolidated distributor fee schedule. The new DepthFeed Distributor Fees are expected to be effective as of August 1, 2006, pending SEC approval.

Data Feed Direct Access Fee Internal Distributor Fee External Distributor Fee
Data Feed

— TotalView-Aggregated
— TotalView-ITCH 3.0
— TotalView-ITCH 2.0a
— TotalView-ITCH 2.0
— TotalView-ITCH 1.0
— OpenView Basic *

 $2,500
  • $500 for distribution to 10 or fewer subscribers
  • $1,000 for distribution to more than 10 subscribers
  • $1000 for distribution to 50 or fewer subscribers
  • $2,500 for distribution to more than 50 and less than or equal to 100 subscribers
  • $4,500 for distribution to more than 100 subscribers

The Direct Access Fee is applicable only to distributors receiving an uncontrolled data feed from NASDAQ directly or via an Extranet provider. Distributors receiving an uncontrolled data feed from another source (e.g., a retransmission vendor) will not be liable for this fee.

The Internal and External Distributor Fee is dependent upon the organization’s use of the data and the number of devices/users that receive the data. The Internal Distributor Fee will be charged when a distributor utilizes the data solely within their own organization. The External Distributor Fee will be charged where a distributor is providing the data to their customers or otherwise outside their organizations, in addition to possibly using the data internally. Distributors using the data both internally and externally shall be liable only for the External Distributor Fee.

This new distributor fee schedule is designed to produce modest to significant cost savings for most firms.

Reporting Obligations
Beginning with the service month of August 2006, pending SEC approval, NASDAQ will begin charging the revised Depth Feed Distributor Fees as applicable to market data recipients. As these fees are invoiced directly by NASDAQ, the new rates will automatically be reflected in the invoice for the service month of August 2006. Distributors are now required to submit additional reporting associated with the Internal or External Distributor fee, so that NASDAQ can ensure organizations are invoiced for the appropriate tier based upon the number of devices/users.

Data Feed Reporting Obligations
As of August 1, 2006, all data feed providers are now required to begin reporting each ITCH format data feed access to NASDAQ. Please refer to the NASDAQ Data Policies section of the NASDAQ Trader® website for the data feed reporting requirements.

Contracts
All recipients of the INET data feeds are required to submit additional requisite documentation by June 15, 2006.

Completed documents should be sent to:

The NASDAQ Stock Market
Market Data Distribution
9600 Blackwell Road, 5th Floor
Rockville, MD 20850

Subscriber Agreements
As a reminder, distributors must either administer the NASDAQ Subscriber Agreement to all external subscribers accessing real-time NASDAQ proprietary data on distributor-controlled devices, including ITCH data, or have an indemnification agreement in place with NASDAQ. For additional information on NASDAQ’s Subscriber Agreement Administration policy, please refer to the NASDAQ Data Policies section on the NASDAQ Trader website.

Contact Information
  • For questions about the NASDAQ fee schedule or the policies associated with distributing NASDAQ market data, please contact NASDAQ Market Data Distribution at 301.978.5307.

* Please note that OpenView Basic continues to be a separate entitlement which does not contain full-depth data and, at this time, remains fee liable at $6 per user per month for subscribers that access OpenView Basic.