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Thursday, March 16, 2006

UTP Vendor Alert #2006 - 4
SIP Enhancement Release 9.0 Scheduled for May of 2006

Please Route To:
  • Direct UTP data feed subscribers

Data feeds impacted:
  • UTP Trade Data Feed (UTDF)
  • UTP Quotation Data Feed (UQDF)

Summary:
  • The UTP Operating Committee (UTPOC) has authorized NASDAQ, in its role as a security information processor (SIP), to implement the following format changes to the UQDF and UTDF data feeds as part of the next scheduled release:
    • UTDF: Reuse a reserve field in the UTDF message header to support a Sub Market Center Identifier.
    • UQDF: Add a new quote condition to the SIP Quote feeds to be used by the American Stock Exchange (Amex) to comply with Regulation National Market System (Reg NMS).
  • The NASDAQ SIP plans to implement these code changes on or about May 1, 2006.

Release Highlights:
At the request of the UTPOC, the NASDAQ SIP has implemented a regular release schedule for the UTP data feeds. The next SIP release is scheduled for May of 2006. For this release, the UTPOC has decided to implement the following two data feed enhancements:

1. Modify UTDF Message Header to Support a Sub-Market Center Identifier:
As previously announced, the NASD and NASDAQ have filed with the Securities and Exchange Commission (SEC) to create The Trade Reporting Facility, LLC (TRF). Under the joint proposal, the TRF would be responsible for the collection, dissemination and regulation of NASDAQ Stock Market trades for NASDAQ-listed securities transacted over-the-counter once NASDAQ becomes an exchange.

In October of 2005, the UTPOC initially approved a proposal to identify transactions from the TRF by using the Market Center ID value of "L". After further consultation with the SEC, Consolidated Tape Authority (CTA), NASD Regulation (NASDR) and the market data community, however, the UTPOC decided against the initial proposal and decided to use a revised approach to identify trades transacted over-the-counter by an exchange. As part of SIP 9.0, the NASDAQ SIP will redefine a reserve field within the in the UTDF message header to denote a Sub-Market Center Identifier. The new field definition is:

Sub-Market Center Identifier — This one-byte alphanumeric field will be used for NASD-reported trades to indicate the originating market center of a trade transaction.   The NASD, as the regulator of the over-the-counter market, is responsible for reporting internalized trades of its member firms.  The NASD may, however, align with other UTP participant exchanges to facilitate the collection, verification and reporting of internalized trade transactions to the SIP.

Since the NASD acts as the regulator for all over-the-counter transactions, the UTDF Market Center ID field will carry the value of “D” for the NASD. When the transaction is collected as part of a joint trade reporting facility, the NASDAQ SIP will indicate the originating UTP market center in the Sub-Market Center field.

Upon initial implementation of the field, the following Sub-Market Center values will be supported:

Code Value
Q The Trade Reporting Facility LLC (NASDAQ/NASD)
space No sub-market; Trade originates from the NASD Alternative Display Facility.

2. Add A New Quote Condition Value on UQDF:
At the request of the American Stock Exchange (Amex), the UTPOC is adding the following quote condition value to the UQDF data feed to be used by market centers in compliance with the SEC Reg NMS:

New Quote Condition value:
Code Value
U Manual Bid and Ask (Non-Firm)

Pending SEC approval, Amex intends to use the “U” quote condition modifier under its Hybrid market to indicate when it is in a manual auction due to a breach of the spread tolerance, momentum tolerance, gap trade tolerance or the specialist has gapped the quote in its AEMI platform. It is non firm because the quote is only indicative of the expected auction price, and it is manual because automatic execution is not available for the quote on both the bid and ask sides. Quotations with the “U” modifier are not included in the calculation of the NBBO.

Note: this value will also be supported as an allowable value on OMDF for consistency with quote condition modifiers.

Revised Data Feed Specifications:

The NASDAQ SIP has updated the data feed interface specifications to reflect the SIP 9.0 changes. Please click on the View/Print button below to access the updated specifications documents.

UTDF Interface Specifications (Version 9.0)
UQDF Interface Specifications (Version 9.0)
OMDF Interface Specifications (Version 9.0)

Testing and Implementation Schedule:

As noted above, the NASDAQ SIP plans to implement SIP 9.0 on or about Monday, May 1, 2006. In preparation for this release, the NASDAQ SIP plans to provide the following testing opportunities for direct UTP data feed subscribers:

Type of Testing Scheduled Dates Description
Evening Test Transmissions Monday April 3, 2006, through Friday, April 28, 2006 A test file will be recorded in the NTF to be replayed in the evenings from 8:30 p.m. to 10:30 p.m., Eastern Time (ET), to all UTP data feed subscribers. No registration is required to participate in evening testing.
Saturday User Acceptance Tests (UATs) Saturday, April 22, 2006, and Saturday, April 29, 2006 (Confidence Test) NASDAQ SIP will conduct production tests on select Saturdays. UTP participants will be invited to enter data to test the new functionality. As it is generated, the NASDAQ SIP will disseminate the test data via the UTP data feeds. Advance registration is requested for the UATs.
Sunday Stress Test Sunday, April 23, 2006 NASDAQ SIP will simulate message traffic using test drivers to test the capacity of its systems and networks. As it is generated, NASDAQ SIP will disseminate the test data via the UTP data feeds for downstream data recipients to stress test their systems as well. Advance registration is requested for the stress test.
Production Date Monday, May 1, 2006 SIP 9.0 goes live into production.

To register for the UATs and stress tests, please email your testing contact information to MKTDATASVC@nasdaq.com at least one day prior to the scheduled testing date.

Contact Information:

  • Questions about the UTP data feeds may be directed to NASDAQ Market Data Distribution at 301.978.5307.

  • Questions about the Trade Reporting Facility LLC should be directed to NASDAQ Market Sales at 800.846.0477.

  • Questions about the new "U" quote condition may be directed to the Amex Service Desk at 212.306.2600.