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Featuring Velocity & Forces

 

Overview

Nasdaq Velocity & Forces (Nasdaq MAX) is designed to provide a new level of transparency for trading activity in Nasdaq. Nasdaq MAX offers customers new ways to analyze the markets through Nasdaq Velocity and Forces — pre-trade indications of price movement, momentum and liquidity.

  Velocity & Forces Demo

Benefits and Features

Market Velocity and Forces measure pre-trade order activity in Nasdaq trading systems for Nasdaq, NYSE- and NYSE MKT- listed securities.
 
Nasdaq Market Velocity, measures the current activity in a particular stock using order messages entering the Nasdaq trading system. It includes routed orders, Immediate-or-Cancelled orders, and non-display orders, providing unique data that doesn’t show up in a traditional quote feed. Market Velocity then compares the current order activity to the expected order activity to determine surges in trading interest.
 
The real-time Nasdaq Market Forces uses the same order frequency and share volume information as Nasdaq Market Velocity, but categorizes the orders by whether they are buy orders or sell orders. Market Forces provides an indication of market direction and is expressed as a number of shares of buy orders versus sell orders. Together, they provide pre-trade analysis to predict market movements.
 
Velocity and Forces is more effective than physical activity or audible noise on a trading floor because it can be precisely measured and benchmarked. Additionally, it filters out irrelevant messages (such as orders priced far from the inside market). The data feed uses 21-days of historical data to calculate an expected value for Market Velocity for each stock at each time of day.
 
Click the image to play the Nasdaq MAX Game!
 
Nasdaq MAX is designed to provide real-time, intraday pre-trade data from the Nasdaq market center:
  • Traders can execute their trading strategy by comparing the expected order activity in a security with the current activity to detect surges in trading interest before trades occur.
  • Traders can determine which stocks are hot and when to place buy or sell orders to secure the best prices.
  • Velocity and Forces data is combined into one single message for dissemination, allowing for an easy to integrate, low latency feed.
  • Velocity and Forces offers the perfect pairing of market intensity and trend awareness to arm traders with the insight necessary to predict the most effective trading times.
  • Traders can determine the direction of the market by indicating whether pre-trade interest is surging in buy or sell orders.

With its simple data formats, Nasdaq is able to use the same message structure for all of the equity exchanges.

Data Description

The Nasdaq MAX data feed supports the following data elements for the full range of U.S. exchange-listed equities:

  • Market Velocity and Forces Indictors – disseminated at one second intervals – based on displayable orders and non-displayable orders such as routed orders and Immediate-or-Cancel orders for Nasdaq-, NYSE- and MKT-listed issues entered into the Nasdaq trading system.
  • Nasdaq exchange event messages to signal specific events including but not limited to market open, market close and halts.
  • Expected order volume based on 21 days of historical data.
  • Messages disseminated once a second, for each issue covered.

For the complete message layout for the Nasdaq Velocity and Forces feeds, please refer to the Nasdaq Market Velocity and Forces specification.

Access Options

  • Via web products: Firms may access the Velocity and Forces display screens via the Nasdaq DataStore web-based display product. For Nasdaq market participant firms, Nasdaq offers access to Nasdaq MAX data via its Nasdaq Workstation product. Nasdaq market data redistributors may also offer access via their display devices.
  • Via Nasdaq direct data feed products: Trading firms and market data distributors may create a real-time display by processing direct Nasdaq data feed and FTP products. For detailed technical documentation for Nasdaq direct products, please refer to the Data Products Specifications page of the Nasdaq Trader website.

Pricing

Please refer to the U.S Equities Price List for pricing information.

Agreements & Forms

To order Nasdaq Market Analytix, firms must submit the appropriate documentation below and receive prior approval from Nasdaq:

 

How to Order

To order this Nasdaq data product products, refer to:

For further information about this Nasdaq product:

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