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Thursday, April 1, 2010

Data Technical News #2010 - 11
The NASDAQ Options Market to Make the Net Order Imbalance Indicator Message Stream More Efficient, Effective Monday, May 3, 2010

Market Impacted:

  • The NASDAQ Options Market

Product Impacted:

  • NASDAQ ITCH to Trade Options(ITTO)
  • NASDAQ Options Depth at Price (DAP)
  • NASDAQ Options NOIView

Contact Information:

What you need to know:

  • Effective Monday, May 3, 2010, The NASDAQ Options MarketSM (NOM) will modify the dissemination of Net Order Imbalance Indicator (NOII) messages to reduce the number of messages sent, pending filing with the Securities and Exchange Commission (SEC).

What is being updated within the Net Order Imbalance Indicator messages?

Net Order Imbalance Indicator (NOII) messages are currently sent every five seconds for every symbol traded on NOM. Some of these messages contain only zeros because there is no imbalance or paired contracts.

Beginning Monday, May 3, 2010, NOII messages that do not contain updated data for any field (i.e. all zeros, no paired contracts, no imbalance, no indicative opening price, etc.) will not be disseminated, pending a filing with the SEC. NOII messages with paired contracts, an imbalance and/or indicative opening prices will continue to be disseminated, as is the process today. Focusing the dissemination to only include those messages that contain data updates will reduce unnecessary traffic and create more efficiency and value within the data.

What is NOII?

In the minutes leading up to the NOM auction events, NASDAQ OMXSM disseminates the indicative clearing price and net order imbalance on NOM. Because the calculation includes non-displayable as well as displayable order types, NOII is the best predictor of the auction event available to the public.

When are NOII messages disseminated?

NASDAQ OMX disseminates NOM NOII data at five second intervals in the minutes leading up to the NOM auction events.

  • For the NOM Opening Auction, NASDAQ OMX begins the dissemination of NOII messages at 9:25 a.m., Eastern Time (ET).
  • For the NOM Closing Auction, NASDAQ OMX begins the dissemination of NOII messages ten minutes prior to market close.
  • Which NOM data feeds disseminate NOII data?

    The following feeds disseminated NOII data for NOM:

  • NASDAQ ITCH to Trade Options (ITTO)
  • NASDAQ Options Depth at Price (DAP)
  • NASDAQ Options NOIView
  • How do I obtain the NOM data feeds?

    To initiate this data on a data feed, firms must submit the appropriate documentation and receive prior approval from NASDAQ OMX:

    For the complete list of NASDAQ OMX and UTP market data agreements and forms, please refer to the NASDAQ OMX Global Data Products Agreements and Forms page.

    In addition, firms need to make arrangements to connect to the NASDAQ OMX New York Metro Area data center via co-location, an authorized extranet or direct connectivity provider.

    Where can I find additional information?

    • For questions regarding Net Order Imbalance Indicator data and associated direct data feeds, please contact NASDAQ OMX Global Data Products at +1 301 978 5307.

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