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Friday, October 24, 2008

Data News #2008 - 77
NASDAQ OMX Introduces New Versions of TotalView-ITCH Data Feeds to Address Order Reference Number Limitation

Please Route to:

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

Data Feeds Impacted:

  • TotalView-ITCH 3.0
  • TotalView-ITCH 2.0a
  • TotalView-ITCH 2.0

What you need to know:

  • NASDAQ OMX has experienced a rapid rise in the number of orders being processed by the NASDAQ Execution System in recent months.
    • The average daily order rate for the NASDAQ system has more than doubled in the last two months.
    • On Friday, October 10, 2008, the NASDAQ platform processed a record 821 million order messages.
  • NASDAQ OMX has a critical field size limitation on its existing TotalView-ITCH feeds that causes major processing issues when NASDAQ exceeds one billion order messages in a single trading day.
  • To address this limitation, NASDAQ OMX is releasing new versions of the TotalView-ITCH formats on Monday, November 3, 2008.
  • NASDAQ OMX is advising existing direct data feed subscribers to migrate to TotalView-ITCH 3.1 or TotalView-ITCH 4.0.
  • All existing TotalView-ITCH subscribers must migrate to the TotalView-ITCH 4.0 or TotalView-ITCH 3.1 data formats on or before Tuesday, March 31, 2009.

Who you should contact:

Why is NASDAQ OMX releasing new versions of the TotalView-ITCH data feed?

NASDAQ OMXSM is concerned about a critical field size limitation within the TotalView-ITCH® data feed formats. On TotalView-ITCH versions 3.0, 2.0a and 2.0, the Order Reference Number is coded as a nine byte field. Because the Order Reference Number is a numeric field, once NASDAQ processes more than 999,999,999 order messages in a single trading day, the Order Reference Number will seem to have "reset" and increment from 1 again for customers using TotalView-ITCH. Given that the TotalView-ITCH subscribers use the Order Reference Number to track the book, the "reset" process could cause widespread data quality issues.

NASDAQ had been planning to address this field size limitation as part of its TotalView-ITCH 4.0 release. As noted in NASDAQ Vendor Alert #2008-76, TotalView-ITCH 4.0 feed is a new binary feed scheduled to be released on Monday, November 3, 2008.

In the past two months, NASDAQ has seen its average daily order rate more than double. On Friday, October 10, 2008, NASDAQ hit a new record of 821 million messages in a single trading day. The October 10th order rate was 12% higher than the previous record set less than one month before. Given the volatile market conditions, NASDAQ is concerned that it may exceed the TotalView-ITCH Order Reference Number limit of one billion orders soon.

While NASDAQ would still advise firms to migrate to the TotalView-ITCH 4.0 feed, it understands that firms may need additional time to code and test the binary message formats. NASDAQ is, therefore, also releasing a new version of the TotalView-ITCH feed in the standard ASCII text format on Monday, November 3, 2008.

What versions of the TotalView-ITCH formats will NASDAQ OMX release on Monday, November 3, 2008?

NASDAQ OMX will release the following two new versions of the TotalView-ITCH formats for the NASDAQ Execution System on Monday, November 3, 2008:

  • TotalView-ITCH 4.0 – This new feed will use binary characters for key numeric fields such as Order Reference Number, Trade Control Number, Price and Size. In addition, the TotalView-ITCH 4.0 feed is designed to support new data enhancements such as more granular timestamps. Please refer to NASDAQ Vendor Alert #2008-76 for additional details.
  • TotalView-ITCH 3.1 – This new feed will support the Order Reference Number, Trade Control Number, Price, Size and other numeric fields in the current ASCII text format. Closely based on the TotalView-ITCH 3.0 standard, this new feed supports an expanded Order Reference Number field that is capable of handling order rates of up to one trillion messages in a single trading day. While this feed will support the same range of message formats as the TotalView-ITCH 4.0 feed, it will only support timestamps to the millisecond.

NASDAQ OMX plans to support both the TotalView-ITCH 4.0 and TotalView-ITCH 3.1 data formats for the foreseeable future.

What network protocol options will NASDAQ OMX support for the new TotalView-ITCH feeds?

Similar to the legacy products, NASDAQ OMX plans to offer the TotalView-ITCH 4.0 and TotalView-ITCH 3.1 feed in the following network protocol options:

  • TCP/IP (using SoupTCP3.0 for TotalView-ITCH 3.1 and SoupBINTCP for TotalView-ITCH 4.0)
  • UDP/IP (using MoldUDP64 for both TotalView-ITCH 3.1 and TotalView-ITCH 4.0)

NASDAQ OMX is recommending that firms allocate at least 22 Mb in bandwidth for the TotalView-ITCH 4.0 product and at least 30 Mb for the TotalView-ITCH 3.1 product. Please note that NASDAQ OMX bandwidth recommendations are based on one-second peak data rates. Firms may wish to use a higher bandwidth allocation if they are sensitive to sub-second peaks for the TotalView-ITCH product.

NASDAQ OMX also intends to support a compressed version of the TotalView-ITCH 4.0 and TotalView-ITCH 3.1 data feeds for firms looking for the lowest possible network costs. For both feeds, the compressed version will be supported only for the TCP/IP protocol option.

What do I need to do to order the new TotalView-ITCH feeds?

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 3.1 or TotalView-ITCH 4.0 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-ITCH 3.1 or TotalView-ITCH 4.0 data will be used in a system that is not yet approved by NASDAQ OMX

By what date do I need to migrate to the new TotalView-ITCH formats?

Based on industry recommendations, NASDAQ OMX will operate all versions of the TotalView-ITCH feed in a parallel production mode for a four month period beginning Monday, November 3, 2008. All existing TotalView-ITCH subscribers must migrate to the TotalView-ITCH 4.0 or TotalView-ITCH 3.1 data formats on or before Tuesday, March 31, 2009.

Given the Order Reference Number limitation on the current feeds, however, NASDAQ OMX would strongly advise firms to migrate to the TotalView-ITCH 4.0 or TotalView-ITCH 3.1 data formats as quickly as possible. If more than one billion orders are received in a single day during the parallel period, NASDAQ OMX will begin to re-use Order Reference Numbers causing data quality problems for firms still using TotalView-ITCH versions 3.0 and lower.

What other NASDAQ OMX applications are impacted by the Order Reference Limitation?

The Order Reference Number field also is included in the OUCH® and DROP products offered by NASDAQ Transaction Services, U.S. Please refer to Technical Update #2008-11 for additional details.

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

  • Refer to the Specifications – Real-Time Data Feeds page on the NASDAQ Trader® website.
  • Refer to NASDAQ Vendor Alert #2008-76.
  • Contact NASDAQ OMX Global Data Products at +1 301 978 5307.

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