Friday, October 24, 2008

Data News #2008 - 76
NASDAQ OMX to Introduce Binary Version of TotalView-ITCH Feed for The NASDAQ Stock Market

Please Route to:

• Direct NASDAQ OMX Data Feed Subscribers
• NASDAQ OMX Market Data Redistributors

What you need to know:

• NASDAQ OMX will introduce a new binary version of the TotalView-ITCH data feed for the NASDAQ Execution System in November of 2008
• The new TotalView-ITCH 4.0 feed will reflect the following processing improvements over the current order book feed:
  • Expanded Order Reference Number and Trade Control Number
  • Greater timestamp granularity
  • Better bandwidth efficiencies due to smaller message sizes
  • Creation of Order Modify message (to be supported in 2009)
• NASDAQ OMX will process connectivity requests for TotalView-ITCH 4.0 beginning Monday, November 3, 2008

Who you should contact:

• NASDAQ OMX Global Data Products at +1 301 978 5307

What is TotalView-ITCH 4.0?

NASDAQ OMX^SM will introduce a new binary version of the TotalView-ITCH^® data feed for the NASDAQ Execution System in November of 2008. The TotalView-ITCH 4.0 data feed will feature the following data content:

• Order level data with attribution: For the NASDAQ Execution System, NASDAQ OMX provides full order depth with market participant attribution for NASDAQ-, NYSE- and Amex-listed issues. The TotalView-ITCH standard uses a series of order messages to track the life of a customer order.
• Trade messages: To ensure that customers have complete information about NASDAQ^® order flow, TotalView-ITCH supports a trade message to reflect the match of a non-displayable order in the NASDAQ system. TotalView-ITCH versions 3.0 and higher also support a separate trade message to reflect transactions from NASDAQ crosses.
• Net Order Imbalance Data: In the minutes leading up to the NASDAQ Opening and Closing Crosses^SM, NASDAQ disseminates the indicative clearing price and net order imbalance in the NASDAQ book. Because the calculation includes non-displayable as well as displayable order types, the Net Order Imbalance Indicator (NOII) is the best predictor of the NASDAQ opening and closing prices available to the public.
• Administrative messages, such Trading Actions and Symbol Directory messages:
  • Trading Action messages are used to inform market participants when a security is halted or released for trading.
  • Symbol Directory messages provide basic security data such as the market tier and Financial Status Indicator.
  • Market participant position message carries the Primary Market Maker status, Market Participant status and Market Maker mode fields used by some firms to comply with market regulations.
• Event controls, such as start of day, end of day and emergency market halt/resume.

How does the new TotalView-ITCH 4.0 product compare to the existing versions of the TotalView-ITCH feed

While all versions of the TotalView-ITCH formats support full order depth, TotalView-ITCH 4.0 offers a number of data content and processing improvements over the legacy message formats including:

• Binary Data Content: TotalView-ITCH 4.0 will use binary formats for numeric fields such as Order Reference Numbers, Price and Shares. By moving to binary formats, NASDAQ is able to keep the TotalView-ITCH 4.0 message size small even while adding data content.
• Greater Timestamp Granularity: TotalView-ITCH 4.0 will support time stamps to the nearest nanosecond (as compared to the TotalView-ITCH 3.0 feed which supports milliseconds).
• Expanded Order Reference Numbers and Trade Control Numbers: TotalView-ITCH 4.0 is designed to handle incoming order traffic up to 18 quadrillion messages a day (as compared to the TotalView-ITCH 3.0 feed which is limited to one billion messages a day). Given the rapid rise in NASDAQ order flow in recent months, this is a major processing advantage for the TotalView-ITCH 4.0 feed.
• Addition of Order Replace Message: TotalView-ITCH 4.0 is designed to support an Order Replace message format to be introduced in the first quarter of 2009. By adding the Order Replace data format, NASDAQ expects to significantly reduce the TotalView-ITCH 4.0 outbound message rates without sacrificing data content.

Please refer to the TotalView-ITCH 4.0 specification document for the complete message format details.

What network protocol options will NASDAQ OMX support for the TotalView-ITCH 4.0 feed?

Similar to the legacy products, NASDAQ OMX plans to offer the TotalView-ITCH 4.0 feed in the following network protocol options:

• TCP/IP (using the NASDAQ OMX new protocol standard SoupBINTCP)
• UDP/IP (via NASDAQ OMX new protocol standard MoldUDP64)

NASDAQ OMX is recommending that firms allocate 22 Mb in bandwidth for the TotalView-ITCH 4.0 product based on one-second peak data rates in the current operating environment. NASDAQ OMX will also support a compressed version of the TCP/IP feed for firms looking for lower bandwidth costs.

How do I order the TotalView-ITCH 4.0 feed?

New firms need to complete the NASDAQ OMX Global Data Agreement. Firms must also select an authorized connectivity provider to establish a direct connection to the NASDAQ OMX - U.S. data centers.

Existing data feed subscribers must complete the following forms when adding TotalView-ITCH 4.0 data feed to its network configuration:

• Data Feed Request Form Port Request Form — The NASDAQ Equity Market Applications is required for those co-locating or directly connecting to NASDAQ OMX
•  
• System Application is required only if TotalView 4.0 data will be used in a system that is not yet approved by NASDAQ OMX

Firms should also contact their connectivity provider to determine what paperwork is needed to add TotalView-ITCH 4.0 at the network level.

When will the TotalView-ITCH 4.0 be available for testing and implementation?

NASDAQ OMX expects to release the TotalView-ITCH 4.0 data feed on or about Monday, November 3, 2008. NASDAQ OMX will operate the TotalView-ITCH 4.0 in a parallel production environment so firms may migrate to the TotalView-ITCH 4.0 feed as they see fit.

Where can I find additional information on the TotalView-ITCH 4.0 feed?

• Refer to the Specifications – Real-Time Data Feeds page on the NASDAQ Trader^® website
• Contact NASDAQ OMX Global Data Products at +1 301 978 5307

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