Friday, May 1, 2009

Data News #2009 - 24
NASDAQ Introduces NASDAQ GLIMPSE for TotalView-ITCH Subscribers

What is NASDAQ GLIMPSE?

NASDAQ GLIMPSE is a new retransmission facility for NASDAQ TotalView-ITCH^® direct data feed subscribers. Using the NASDAQ GLIMPSE facility, NASDAQ TotalView-ITCH data feed subscribers may obtain a snapshot of the NASDAQ^® order book at any point during the trading day. Firms may use the NASDAQ GLIMPSE service to validate order book displays or to recover from major data gaps during the trading day.

NASDAQ GLIMPSE is intended to be an add-on service for NASDAQ TotalView-ITCH direct data feed subscribers. Similar to the TotalView-ITCH product, NASDAQ will offer two versions of the NASDAQ GLIMPSE interface:

• NASDAQ GLIMPSE 4.0 uses the same order message formats as the NASDAQ TotalView-ITCH 4.0 data feed product.
• NASDAQ GLIMPSE 3.1 uses the same order message formats as the NASDAQ TotalView-ITCH 3.1 data feed product.

Where can I find the technical interface specifications for NASDAQ GLIMPSE?

The NASDAQ GLIMPSE specifications are available from the Market Data Specifications – Data Feeds page on the NASDAQ OMX Trader^® website. For customer convenience, the URL links to the NASDAQ GLIMPSE documentation are also provided below.

NASDAQ GLIMPSE 4.0

• NASDAQ GLIMPSE 4.0 Data Format Specification
• SoupBINTCP Network Protocol Specification

NASDAQ GLIMPSE 3.1

• NASDAQ GLIMPSE 3.1 Data Format Specification
• SoupTCP 3.0 Network Protocol Specification

When will NASDAQ GLIMPSE be available for firm connectivity?

NASDAQ GLIMPSE 4.0 and NASDAQ GLIMPSE 3.1 are now available at the NASDAQ OMX – U.S. data centers.

What are the hours of operation for the NASDAQ GLIMPSE product?

NASDAQ GLIMPSE will observe the same hours of operation as the NASDAQ TotalView-ITCH data feed.

What is the bandwidth recommendation for NASDAQ GLIMPSE?

NASDAQ GLIMPSE utilizes the SoupTCP protocol suite so each firm can set its own bandwidth allocation for the product.

Based on the current NASDAQ order book statistics, NASDAQ expects that the average GLIMPSE request would return approximately 1.1 million order messages.

The expected average message size for NASDAQ GLIMPSE 4.0 is 28 bytes and for NASDAQ GLIMPSE 3.1 is 36 bytes.

If a firm wanted to receive the full order book spin within one minute, it should allocate approximately 5 Mb in bandwidth for the NASDAQ GLIMPSE 4.0 data feed or approximately 6 Mb for the NASDAQ GLIMPSE 3.1 data feed product.

How can I order the NASDAQ GLIMPSE product offering?

NASDAQ GLIMPSE is covered under the TotalView-ITCH direct access fees. Firms that access the TotalView-ITCH feed via an authorized extranet provider or directly from NASDAQ OMX – U.S. data centers may access the NASDAQ GLIMPSE service at no additional charge. To add NASDAQ GLIMPSE to its network configuration, an existing TotalView-ITCH subscriber must submit the appropriate documentation below and receive prior approval from NASDAQ OMX:

• Data Feed Request Form — Required for all firms.

For the complete list of NASDAQ agreements and forms, please refer to the NASDAQ OMX Global Data Products Administration page on the NASDAQ OMX Trader website.

What is the cost of the NASDAQ GLIMPSE product?

As noted above, NASDAQ GLIMPSE is an optional service add-on for TotalView-ITCH product offering. To encourage widespread access to the service, NASDAQ OMX^SM will allow any firm that is currently paying the TotalView-ITCH direct access fee to access the NASDAQ GLIMPSE for no additional charge.

Where can I find additional information about the TotalView-ITCH products?

For TotalView-ITCH product information:

• Refer to NASDAQ TotalView product page on the NASDAQ OMX Trader website.
• Contact NASDAQ OMX Global Data Products at +1 301 978 5307.