Monday, June 22, 2009

Data News #2009 - 28
REVISED: NASDAQ OMX BX Introduces New Versions of BX TotalView-ITCH to Support Flash Orders

What are the new flash orders?

As outlined in Equity Trader Alert #2009-41, NASDAQ OMX BX^SM (BX^SM) will introduce new BX Flash Orders on Monday, July 20, 2009. After attempting to sweep the BX book, a BX Flash Order will allow an exchange participant to disseminate an order at the most aggressive price possible that would not result in a trade through via the BX TotalView-ITCH® data feed for up to one half second. Orders that become non-marketable and that do not execute in the flash period will remain on the book, unless cancelled by the customer. Orders that remain marketable after the flash period will be cancelled.

Will the flash orders be disseminated via the BX TotalView-ITCH data feeds?

Yes, BX will include the BX Flash Orders on the BX TotalView-ITCH data feed for display and execution.

As part of the order release, BX will introduce two new "f" versions of the BX TotalView-ITCH data feed to enable traders and other market data users to differentiate Flash Orders from other orders on its book.

Earlier versions of the BX TotalView-ITCH service will also carry the Flash Order data without any special identifier.

How will the "f" version of BX TotalView-ITCH differ from the current production feeds?

Using the BX TotalView-ITCH 4.0 and BX TotalView-ITCH 3.1 data formats as a starting point, BX is adding several new data elements to the "f" versions to enable firms to clearly differentiate Flash Orders from other orders on the book. Specifically, the "f" versions of BX TotalView-ITCH will include a Display field within the Add Order (No MPID) and Replace Order message formats in addition to a new Order Display message type.

Under the "f" format processing, BX will disseminate an Add Order (No MPID) message with a Display code of "S" at the time that a Flash Order is entered by an exchange participant. If the Order is not executed within the flash period, BX will disseminate an Order Display message type if it is added to the BX continuous book or BX will send out an Order Cancel.

For details on the "f" versions, please refer to the following BX TotalView-ITCH technical interface specifications:

• NASDAQ OMX BX TotalView-ITCH 4.0f (Binary)
• NASDAQ OMX BX TotalView-ITCH 3.1f (ASCII)

What protocols will BX support for the "f" versions of BX TotalView-ITCH?

As of Monday, July 20, 2009, BX will offer the BX TotalView-ITCH 4.0f and BX TotalView-ITCH 3.1f data formats in the following network protocol options.

Please refer to the NASDAQ OMX Connectivity Providers List for information on how to connect directly to NASDAQ^® data centers for TotalView-ITCH and other feeds.

When will the "f" versions of the BX TotalView-ITCH feed be available for connectivity and use?

The BX TotalView-ITCH 4.0f and BX TotalView-ITCH 3.1f data feeds will be officially released with the BX Flash Order launch on Monday, July 20, 2009.

In preparation for the launch, BX will offer connectivity testing of the "f" versions of the BX TotalView-ITCH feeds beginning Monday, July 6, 2009.

Please visit the MoldUDP Data Feed Addressing Information web page for a list of the BX TotalView-ITCH Data feed MoldUDP addressing assignments.

How can I order the “f” versions of the BX TotalView-ITCH product?

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

• Data Feed Request Form - Required for all firms
• Nasdaq Global Data Agreement - Required for all firms prior to initiation of the first Nasdaq data service only
• System Application - Required for firms only if the data will be displayed or used in a system that is not yet approved by Nasdaq

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

Will BX TotalView-ITCH subscribers be required to migrate to the new "f" versions of the data formats?

No. BX will continue to support the standard versions of the BX TotalView-ITCH 4.0 and BX TotalView-ITCH 3.1 indefinitely.

Where can I find additional information?

For information on Flash Orders:

• Refer to the Order Types and Routing Strategy Reference Guide.
• Contact Transaction Services U.S. Market Sales at +1 800 846 0477.

For information on the BX TotalView-ITCH product:

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