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Wednesday, November 15, 2006

Data News #2006 - 82
Brut Order System Feed to be Discontinued, Effective November 20, 2006

Please Route To:
  • Direct Subscribers to the Brut Order System Feed

Summary:
  • As outlined in Head Trader Alert #2006-191, NASDAQ plans to complete the integration of Brut and INET for trading non-NASDAQ-listed securities on Monday, November 20, 2006.
  • Upon completion of this integration, NASDAQ will cease to support the Brut Order System Feed.
  • Firms that process the Brut Order System Feed are encouraged to migrate to the TotalView-ITCH or TotalView-Aggregated data feed in order to receive full order depth data for the integrated NASDAQ system.

Overview:
As outlined in Head Trader Alert #2006-191, NASDAQ® is integrating Brut and INET for trading non-NASDAQ-listed securities. The target for completing the migration is Monday, November 20, 2006.

Upon completion of this phase of systems integration, NASDAQ will officially retire the Brut Order System Feed.

Replacement Options for the Brut Order System Feed:
As advised in NASDAQ Vendor Alert #2006-072, firms may obtain full order book data from the integrated system for non-NASDAQ-listed issues from the following data feed products:

Data Feed Depth Description
TotalView-AggregatedSM
  • Aggregated order depth (in actual shares) for each price point in the integrated NASDAQ system
    • Security coverage includes NASDAQ-, NYSE-, Amex- and other exchange-listed issues
    • NASDAQ market participant attribution supported within price level messages
  • Net Order Imbalance data for the NASDAQ Opening, Closing, IPO and Halt Crosses for NASDAQ-listed issues
  • Administrative messages, such as the Issue Symbol Directory, Trading Action and Market Participant Position data formats
TotalView-ITCH 3.0
  • Order-by-order tracking for the integrated NASDAQ system
    • Security coverage includes NASDAQ-, NYSE-, Amex- and other exchange-listed issues
    • Different Add Order message formats supported for attributed and unattributed order types
  • Net Order Imbalance data for the NASDAQ Opening, Closing, IPO and Halt Crosses for NASDAQ-listed issues
  • Trade messages for executions of non-displayable orders
  • Trade messages for NASDAQ Opening, Closing, IPO and Halt Crosses as well as NASDAQ Crossing Network executions
  • Administrative messages, such as the Issue Symbol Directory, Trading Action and Market Participant Position data formats
TotalView-ITCH 2.0a
  • Order-by-order tracking for the integrated NASDAQ system
    • Security coverage includes NASDAQ-, NYSE-, Amex- and other exchange-listed issues
    • Market participant attribution is an optional field for Add Order messages
  • Trade messages for executions of non-displayable orders
  • Trading Halted message
TotalView-ITCH 1.0 and
TotalView-ITCH 2.0
  • Order-by-order tracking for the integrated NASDAQ system
    • Security coverage includes NASDAQ-, NYSE-, Amex- and other exchange-listed issues
    • No market participant attribution supported on these legacy formats
  • Trade messages for executions of non-displayable orders

For NYSE-, Amex- and other exchange-listed issues, the TotalView-ITCH and TotalView-Aggregated data feed products will only reflect order flow from the integrated INET and Brut system, effective November 20, 2006. Until NASDAQ completes full systems integration, firms should continue to process the OpenView–Legacy data feed for NASDAQ market participant depth in the NASDAQ Market Center (NMC) system for non-NASDAQ-listed issues.

For the updated systems integration plan, please refer to the NASDAQ Systems Integration page. For information on the associated NASDAQ data feed changes, please refer to the Systems Integration — Data Feed Impact document.

Contact Information: