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Friday, February 6, 2009

Data News #2009 - 10
NASDAQ OMX to Introduce Order Replace Message on TotalView-ITCH

Markets Impacted:

  • The NASDAQ Stock Market
  • NASDAQ OMX BX

Products Impacted:

  • NASDAQ TotalView-ITCH 4.0
  • NASDAQ TotalView-ITCH 3.1
  • BX TotalView-ITCH 4.0
  • BX TotalView-ITCH 3.1

Contact Information:

What you need to know:

  • NASDAQ OMX will begin to support the new Order Replace message format on the NASDAQ TotalView-ITCH 4.0, NASDAQ TotalView-ITCH 3.1, BX TotalView-ITCH 4.0, and BX TotalView-ITCH 3.1 data feeds in March of 2009.
  • NASDAQ OMX is introducing the Order Replace functionality for both the NASDAQ and BX markets as a way to control order message traffic and network costs in this volatile market environment.
  • In preparation for the Order Replace launch, NASDAQ OMX will offer testing opportunities for NASDAQ TotalView-ITCH and BX TotalView-ITCH data feed subscribers beginning Monday, March 2, 2009.
  • NASDAQ OMX expects to schedule the official launch of the Order Replace functionality for all NASDAQ- and New York Stock Exchange (NYSE)-listed issues on Monday, March 30, 2009.

Why is NASDAQ OMX introducing the Order Replace functionality for the TotalView-ITCH data feeds?

In the current market environment, NASDAQ OMX® is looking to help its market participants and market data redistributors control system and network costs. NASDAQ OMX estimates that the new Order Replace functionality will reduce TotalView-ITCH® message traffic rates up to 40% in 2009.

Currently, a NASDAQ OMX market participant would need to submit two order events in order to update the price or size on an existing order. The firm would need to cancel the original order and then submit a new order at the revised price or size. While NASDAQ OMX leads the industry in trading system speeds, we are seeking to improve efficiency and enable market participants to submit a single Order Replace event for a price update. To that end, NASDAQ OMX plans to implement the new Order Replace functionality as defined in the TotalView-ITCH 4.0 and TotalView-ITCH 3.1 data feed specifications on Monday, March 30, 2009.

When did NASDAQ OMX release the specifications for the new Order Replace functionality?

For market data customers, NASDAQ OMX included the Order Replace (Message Type "U") data format in the NASDAQ TotalView –ITCH 4.0, NASDAQ TotalView-ITCH 3.1, BX TotalView-ITCH 4.0 and BX TotalView-ITCH 3.1 specifications released in November of 2008. For customer convenience, NASDAQ OMX is including the links to the TotalView-ITCH data feed specification documents below.

Outbound Data Feed Specifications:

Outbound Transmission Protocol Specifications:

  • SoupBINTCP for TotalView-ITCH 4.0
  • SoupTCP 3.0 for TotalView-ITCH 3.1
  • MoldUDP64 for TotalView-ITCH 4.0 and TotalView-ITCH 3.1

    How will NASDAQ OMX handle the Order Replace functionality on the older versions of the TotalView-ITCH data feed?

    NASDAQ OMX is the midst of a TotalView-ITCH customer migration. As outlined in Data Technical News #2009-3, NASDAQ OMX has instructed all direct data feed subscribers to transition to the TotalView-ITCH 4.0 or TotalView-ITCH 3.1 data formats by Tuesday, March 31, 2009. Once the customer migration is complete, NASDAQ OMX will retire the legacy NASDAQ TotalView-ITCH 3.0, NASDAQ TotalView-ITCH 2.0a and NASDAQ TotalView-ITCH 2.0 data feeds.

    Since NASDAQ OMX is decommissioning the legacy data feeds at the end of the quarter, it will not support the Order Replace message on TotalView-ITCH 3.0, TotalView-ITCH 2.0a or TotalView-ITCH 2.0 data feeds. Instead, NASDAQ OMX will implement code to convert the single Order Replace event into an Order Cancel event and an Add New Order event during the customer conversion for the legacy TotalView-ITCH customers.

    While this message conversion process will ensure that all TotalView-ITCH subscribers have an accurate order book display, NASDAQ OMX would advise legacy TotalView-ITCH subscribers that the coding fix could cause processing latencies when the Order Replace functionality is implemented.

    When does NASDAQ OMX plan to test and implement the new Order Replace functionality?

    NASDAQ OMX plans to implement the Order Replace functionality for both the NASDAQ and BX markets for all U.S. exchange-listed equities on Monday, March 30, 2009.

    To ensure that TotalView-ITCH customers are prepared for the Order Replace release, NASDAQ OMX plans to offer the following testing opportunities for market participants and market data redistributors in March of 2009:

    • Sample TotalView-ITCH Data Files: During the first week of March, NASDAQ OMX will post sample TotalView-ITCH 4.0 and TotalView-ITCH 3.1 data files containing the new Order Replace message formats on the public FTP server.
    • NASDAQ Test Facility (NTF): In March of 2009, NASDAQ and BX market participant firms will also be able to test the new Order Replace functionality via the NTF. Please refer the NTF product page on the NASDAQ OMX Trader® website for information on access.
    • Weekend Production Tests: NASDAQ OMX will conduct at least one Saturday production test for the Order Replace functionality in March of 2009.

    NASDAQ OMX will post a follow-up Data Technical News item with additional details as soon as the March testing schedule is confirmed.

    Where can I find additional information?

    For TotalView-ITCH product information:

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