Friday, October 1, 2010

Data News #2010 - 23
NASDAQ OMX Launches NLS Plus – A Proprietary U.S. Trade Data Feed With Consolidated Volume

Markets Impacted:

  • The NASDAQ Stock Market

Contact Information:

What you need to know:

  • NASDAQ OMX® now offers NLS Plus — a new trade data feed with consolidated volume information for NASDAQ-, NYSE-, NYSE Arca- and NYSE Amex-listed securities.
  • NLS Plus is a robust trade feed that carries trade data from NASDAQ OMX markets:
    • The NASDAQ Stock Market® (NASDAQ®)
    • FINRA/NASDAQ Trade Reporting FacilityTM (TRFTM)
    • NASDAQ OMX PSXSM (PSXSM) (upon market launch on October 8, 2010)
  • NLS Plus is designed to be used in enhanced NASDAQ Last Sale and NASDAQ Basic displays.

What is NLS Plus?

NLS Plus, a new data feed product offered by NASDAQ OMX Information LLC, is a response to customer requests for more robust trade data. By combining all NASDAQ OMX U.S. markets' last sale data with consolidated volume, NLS Plus provides customers with a comprehensive yet affordable data set to use in display products.

The NLS Plus data feed is designed to provide a comprehensive view into the trading activity on U.S. equity exchanges.

  • Market coverage: The NLS Plus data feed reflects all transactions from the NASDAQ OMX U.S. equity market systems: NASDAQ, FINRA/NASDAQ TRF, BX and, upon market launch, PSX. NLS Plus also features total consolidated market volume information at the issue level.
  • Security coverage: NLS Plus covers all U.S. equity securities including:
    • Tape A – New York Stock Exchange (NYSE)-listed securities
    • Tape B – NYSE Amex- and NYSE Arca-listed securities
    • Tape C – NASDAQ-listed securities

Market data distributors are encouraged to use NLS Plus to create enhanced NASDAQ Last Sale and NASDAQ Basic displays.

What data elements are included in the NLS Plus product offering?

NLS Plus provides trade details for all transactions (including odd lots) from the NASDAQ, BX and PSX market systems as well as the FINRA/NASDAQ TRF for the current trade date. Each message includes:

  • Originating NASDAQ OMX market
  • Trade Price
  • Trade Size
  • Sale Condition Modifiers
  • Cumulative Consolidated Market Volume

In addition to the trade messages, NLS Plus also supports such administration messages as:

  • End of Day Trade Summary
  • Stock Directory
  • Stock Trading Action
  • Reg SHO Short Sale Price Test Restricted Indicator

How does the NLS Plus data feed vary from the standard NLS product offering?

In addition to all the data elements from the standard NASDAQ Last Sale (NLS), NLS Plus carries:

  • Trades from the BX and PSX markets
  • Consolidated market volume on each trade message
  • End-of-day trade summary messages

Because the new feed uses binary message formats and is available in a compressed data feed option, NASDAQ OMX is able to deliver NLS Plus using less network bandwidth than the standard feeds.

How is the consolidated volume calculated for the NLS Plus product?

On NLS Plus, NASDAQ OMX includes the cumulative consolidated volume at the time that each NASDAQ, BX or PSX trade report message is generated.

NLS Plus offers real-time consolidated volume for NASDAQ-listed issues and 15-minute delayed volume for NYSE-, NYSE Amex and NYSE Arca-listed issues. For additional details, please refer to the NLS Plus specification document.

How can I access NLS Plus?

NASDAQ OMX is offering the NLS Plus data feed in two network protocol options:

Protocol Option Bandwidth Recommendation
(Per Data Center Connection)
UDP / IP Uncompressed 20 Megabits (Mb)
TCP/IP Compressed 6 Mb

Upon initial launch, firms may receive NLS Plus directly from NASDAQ OMX via co-location or direct connectivity provider. NASDAQ OMX also expects that extranets and redistribution vendors will carry the NLS Plus data feed product.

How much does NLS Plus cost?

For the NLS Plus product, firms pay only the data fees associated with the underlying data content. NLS Plus customers would pay the usage and distributor fees for NASDAQ Last Sale or NASDAQ Basic depending on the entitlement requested. Firms would also be liable for annual administration fees for NASDAQ and BX markets. For firms who currently subscribe to the NASDAQ Last Sale product and already pay the relevant administration fees, there is no additional charge for NLS Plus.

Please contact your NASDAQ OMX Global Data Products account manager for additional information.

How can I subscribe to NLS Plus?

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

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

In addition, firms need to make arrangements to connect to the NASDAQ OMX U.S. data centers via co-location, direct connectivity provider or authorized extranet provider.

Where can I find additional information?

FINRATM, Trade Reporting FacilityTM and TRFTM are trademarks of Financial Industry Regulatory Authority, Inc.

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