Monday, March 8, 2010

Data News #2010 - 6
NASDAQ OMX Plans to Introduce NASDAQ OMX PSX Proprietary Data Feeds

Market Impacted:

  • NASDAQ OMX PSX

Product Impacted:

  • PSX TotalView-ITCH
  • PSX Basic
  • PSX Last Sale (PLS)
  • PSX OUCH Pricing Feed
  • PSX Historical TotalView-ITCH

Contact Information:

What you need to know:

  • As announced in Equity Trader Alert #2010-56, NASDAQ OMX will launch a third U.S. equity platform based on a price/size priority market structure.
  • This new market will be called NASDAQ OMX PSXSM (PSXSM). NASDAQ OMX will launch PSX on October 8, 2010.
  • NASDAQ OMX plans to support the following proprietary data feeds to support trading on PSX:
    • PSX TotalView-ITCH
    • PSX Basic / PSX Best Bid and Offer
    • PSX Last Sale (PLS)
    • PSX OUCH Pricing Feed
  • NASDAQ OMX plans to support the following historical data product to support trading on PSX:
    • PSX Historical TotalView-ITCH

What is NASDAQ OMX PSX?

NASDAQ OMX PSXSM (PSXSM) is a new equity trading platform that NASDAQ OMX will launch on October 8, 2010. This new platform will offer a novel price/size priority model for trading U.S. equities.

What NASDAQ OMX proprietary data feeds will be offered for the new market?

  • PSX TotalView-ITCH 4.1 (Binary)
  • PSX TotalView-ITCH 3.2 (ASCII)
  • PSX GLIMPSE 4.1 (Binary)
  • PSX GLIMPSE 3.2 (ASCII)
  • PSX Last Sale (PLS)
  • PSX Basic (PSX Best Bid and Offer (PSX BBO) and PLS)
  • PSX OUCH Pricing Feed

For ease of implementation, the PSX market data feeds will use the same symbology-compliant data formats as The NASDAQ Stock Market® and NASDAQ OMX BXSM (BXSM).

NASDAQ OMX also plans to support a PSX Historical TotalView-ITCH product offering as part of its web-based services.

What is PSX TotalView-ITCH?

PSX TotalView-ITCHSM will provide order depth using a series of order messages to track the life of a displayable customer order in the PSX market. PSX TotalView-ITCH will also support trade executions for non-displayable orders on the PSX platform.

NASDAQ OMX will support the following versions of the TotalView-ITCH data feed and GLIMPSE retransmission options for PSX:

  • PSX TotalView-ITCH 4.1 will provide order-by-order depth information in a binary data format and will be offered in the standard TCP/IP and UDP/IP protocol options. Upon initial product launch, the recommended bandwidth allocation is 19 Megabits (Mb) per data center connection.
  • PSX TotalView-ITCH 3.2 will provide order-by-order depth information in an ASCII data format and will be offered in the standard TCP/IP and UDP/IP protocol options. Upon initial product launch, the recommended bandwidth allocation is 24 Mb per data center connection.
  • PSX GLIMPSE 4.1 is a companion product to PSX TotalView-ITCH 4.1 and provides a current state of the book retransmission capability for direct data feed subscribers. PSX GLIMPSE 4.1 is offered only in the TCP/IP protocol option and has a recommended bandwidth allocation of 1 Mb.
  • PSX GLIMPSE 3.2 is a companion product to PSX TotalView-ITCH 3.2 and provides a current state of the book retransmission capability for direct data feed subscribers. PSX GLIMPSE 3.2 is offered only in the TCP/IP protocol option and has a recommended bandwidth allocation of 1 Mb.

What is PSX Basic?

PSX Basic will provide a high level view of the quotation and trading activity in the PSX market on a real-time basis. To create a PSX Basic display, firms would need to process the following two proprietary data feed products:

  • PSX Best Bid and Offer (PSX BBO) will provide the highest bid price and lowest offer proce available in the PSX execution system for all U.S. exchange-listed equities on a real-time basis. PSX BBO will be offered in the standard TCP/IP and UDP/IP protocol options. Upon initial implementation, the bandwidth recommendation is 24 Mb for each data center connection.
  • PSX Last Sale (PLS) will provide real-time trade data from the PSX execution system for all U.S. exchange-listed equities on a real-time basis. The PLS data feed will be offered in the standard TCP/IP and UDP/IP protocol options. Upon initial implementation, the bandwidth recommendation is 3 Mb for each data center connection.

What other data products will NASDAQ OMX offer for PSX?

NASDAQ OMX also plans to support a version of the OUCH Pricing Feed for the PSX market. Intended for firms submitting orders via the inbound OUCH protocol, the PSX OUCH Pricing Feed will reflect the PSX internal view of the National Best Bid and Offer (NBBO). The PSX OUCH Pricing Feed is offered only in the UDP/IP protocol option and has a bandwidth recommendation of 10 Mb per data center connection.

Once the market is officially launched, NASDAQ OMX also plans to add a PSX Historical TotalView-ITCH service to its web-based product suite.

Where can I find the technical interface specifications for the PSX data feeds?

Please refer to the NASDAQ OMX Global Data Products - Technical Support page on the NASDAQ OMX Trader® website for the PSX technical interface and protocol documentation. For convenience, NASDAQ OMX has included links to the data product specifications and network support documentation below:

PSX TotalView-ITCH
Description: Provides tick-by-tick details for all displayable orders in the PSX execution system.
Data Delivery Option Symbology Compliant Version** Protocol Options
Order by Order Data - Binary Format PSX TotalView-ITCH 4.1 SoupBINTCP,
MoldUDP64
Order by Order Data - ASCII Format PSX TotalView-ITCH 3.2 SoupTCP3.0,
MoldUDP64
State of Book Retransmission Facility Add On - Binary Format PSX GLIMPSE 4.1 SoupBINTCP
State of Book Retransmission Facility Add On - ASCII Format PSX GLIMPSE 3.2 SoupTCP3.0
PSX Basic
Description: Provides best bid and offer quotations and trade data from the PSX execution system.
Data Delivery Option Symbology Compliant Version** Protocol Options
PSX BBO quotations PSX BBO - Version 1.1 SoupTCP,
MoldUDP
PSX Trades PLS - Version 1.1 SoupTCP,
MoldUDP
PSX Last Sale (PLS)
Description: Provides real-time last sale data from the PSX execution system.
Data Delivery Option Symbology Compliant Version** Protocol Options
PSX Trades PLS - Version 1.1 SoupTCP,
MoldUDP
PSX OUCH Pricing Feed
Description: Provides PSX's internal view of the National Best Bid and Offer based on already fulfilled SEC Regulation NMS requirements. Designed to work OUCH inbound protocol.
Data Delivery Option New Symbology Version** Protocol Options
PSX OUCH Pricing Feed PSX OUCH Pricing Feed - Version 1.1 MossUDP
** NASDAQ OMX will launch NASDAQ OMX PSX (PSX) on October 8, 2010. The PSX data products will support the symbology compliant message formats only.

Are the PSX data feeds available for connectivity and testing?

Yes, the PSX market data feeds are available for connectivity and testing. Please refer to the PSX page on the NASDAQ OMX Trader website for the latest testing information.

What is the fee structure for the PSX data feeds?

NASDAQ OMX plans to waive all usage and distributor fees for the real-time PSX data feed products during the first year of the new market's operation.

How can I order the PSX data feed entitlements?

NASDAQ OMX offers multiple ways to access data at its U.S. data centers. Firms may connect via an authorized extranet or direct connectivity provider. Firms may also use the NASDAQ OMX co-location facility. Please contact your NASDAQ OMX Global Data Products Account Manager to determine the best option for your firm.

Will PSX data be carried on consolidated data feeds?

Yes, PSX will be represented with the 'X' identifier on the following consolidated quote and last sale data feeds:

  • UTP Quotation Data Feed (UQDF)
  • UTP Trade Data Feed (UTDF)
  • Consolidated Quotation System (CQS)
  • Consolidated Tape System (CTS)

Please see UTP Vendor Alert #2010-14 for more information.

Where can I find additional information?


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