Friday, January 30, 2009

Data Technical News #2009 - 3
Reminder: Mandatory TotalView-ITCH Subscriber Migration To End March 31, 2009

Why did NASDAQ OMX release new versions of the TotalView-ITCH formats?

NASDAQ OMX^SM was concerned about a critical field size limitation within the TotalView-ITCH^® data feed formats. On TotalView-ITCH versions 3.0, 2.0a and 2.0, the Order Reference Number is coded as a nine byte field. Because the Order Reference Number is a numeric field, once NASDAQ^® processes more than 999,999,999 order messages in a single trading day, the Order Reference Number will seem to have "reset" and increment from 1 again for customers using TotalView-ITCH. Given that the TotalView-ITCH subscribers use the Order Reference Number to track the book, the "reset" process could cause widespread data quality issues.

To address this data quality concern, NASDAQ OMX released two new versions of the TotalView-ITCH formats on November 3, 2008.

• TotalView-ITCH 4.0 — This new feed uses binary characters for key numeric fields such as Order Reference Number, Trade Control Number, Price and Size. By moving to binary characters, NASDAQ OMX was able to improve TotalView-ITCH throughput and control network costs. The TotalView-ITCH 4.0 data formats are also designed to support new system functionality in 2009, including Order Replace messages and more granular timestamps.
• TotalView-ITCH 3.1 — This new feed supports the Order Reference Number, Trade Control Number, Price, Size and other numeric fields in the current ASCII text format. Closely based on the TotalView-ITCH 3.0 standard, this new feed supports an expanded Order Reference Number field that is capable of handling order rates of up to one trillion messages in a single trading day. While this feed will support the same range of message formats as the TotalView-ITCH 4.0 feed, it only supports timestamps to the millisecond.

When is NASDAQ OMX retiring the legacy TotalView-ITCH formats?

As outlined in Data News #2008-77, NASDAQ OMX offered direct data feed subscribers four months to complete the transition to TotalView-ITCH 4.0 or TotalView-ITCH 3.1. During this four month period, which began November 3, 2008, NASDAQ OMX is operating the new and legacy TotalView-ITCH data feed formats in a parallel production environment.

At the mid-point in the parallel period, NASDAQ OMX would like to remind firms that they must complete their migration to TotalView-ITCH 4.0 or TotalView-ITCH 3.1 on or before Tuesday, March 31, 2009. NASDAQ OMX plans to retire the legacy TotalView-ITCH 3.0, TotalView-ITCH 2.0a and TotalView-ITCH 2.0 at the close of business on March 31^st.

Firms should contact their NASDAQ OMX Global Account Manager if they have any questions about the migration process.

What network protocol options does NASDAQ OMX support for the new TotalView-ITCH feeds?

Similar to the legacy products, NASDAQ OMX offers the TotalView-ITCH 4.0 and TotalView-ITCH 3.1 feed in the following network protocol options:

• TCP/IP (using SoupTCP3.0 for TotalView-ITCH 3.1 and SoupBINTCP for TotalView-ITCH 4.0)
• UDP/IP (using MoldUDP64 for both TotalView-ITCH 3.1 and TotalView-ITCH 4.0)

NASDAQ OMX is recommending that firms allocate at least 22 Mb in bandwidth for the TotalView-ITCH 4.0 product and at least 30 Mb for the TotalView-ITCH 3.1 product. Please note that NASDAQ OMX bandwidth recommendations are based on one-second peak data rates. Firms may wish to use a higher bandwidth allocation if they are sensitive to sub-second peaks for the TotalView-ITCH product.

NASDAQ OMX also offers a compressed version of the TotalView-ITCH 4.0 and TotalView-ITCH 3.1 data feeds for firms looking for the lowest possible network costs. For both feeds, the compressed version is supported only for the TCP/IP protocol option.

How do I order the new versions of TotalView-ITCH?

Firms should contact an authorized connectivity provider to establish a direct connection to the NASDAQ OMX - U.S. data centers for the TotalView-ITCH 4.0 and/or TotalView-ITCH 3.1 data feeds.

Does NASDAQ OMX have any sample data files for the new TotalView-ITCH feeds?

Yes. NASDAQ OMX has posted a sample file of TotalView-ITCH 4.0 and TotalView-ITCH 3.1 data on the public FTP server at ftp://emi.nasdaq.com/ITCH.

In addition, NASDAQ OMX now offers TotalView-ITCH 4.0 data files via the Historical TotalView-ITCH product offering. Please refer to Data Technical News #2009-1 for details on the Historical TotalView-ITCH offering.

Where can I find additional information on TotalView-ITCH?

• Refer to the TotalView product page on the NASDAQ OMX Trader^® website.
• Refer to the Market Data Specifications – Data Feeds page on the NASDAQ OMX Trader website.
• Contact NASDAQ OMX Global Data Products at +1 301 978 5307.