Wednesday, February 24, 2010

Data Technical News #2010 - 7
NASDAQ OMX Releases New Symbology-Compliant Versions of NASDAQ and BX Data Feeds

Market Impacted:

  • The NASDAQ Stock Market
  • NASDAQ OMX BX

Products Impacted:

  • NASDAQ TotalView-ITCH
  • NASDAQ GLIMPSE
  • NASDAQ TotalView-Aggregated
  • NASDAQ Level 2
  • NASDAQ Best Bid and Offer (QBBO/NASDAQ Basic)
  • NASDAQ Last Sale (NLS)
  • NASDAQ Market Pathfinders
  • NASDAQ Market Velocity and Forces
  • NASDAQ NOIView
  • NASDAQ OUCH Pricing Feed
  • BX TotalView-ITCH
  • BX GLIMPSE
  • BX Best Bid and Offer (BX BBO/BX Basic)
  • BX Last Sale (BLS)
  • BX OUCH Pricing Feed

Contact Information:

What you need to know:

  • NASDAQ OMX will release the new symbology-compliant versions of NASDAQ and BX data feeds in production between March 1, 2010, and April 1, 2010.
  • Given the large number of messages and products impacted, NASDAQ OMX will offer the new symbology-compliant data feeds in parallel production with the legacy NASDAQ and BX data feeds.
  • In order to accommodate potential new listings greater than 6 characters in May, NASDAQ OMX is advising all direct NASDAQ and BX data feed subscribers to prepare to process the symbology-compliant data feeds by May 3, 2010

Why is NASDAQ OMX releasing new versions of the NASDAQ and BX data feeds?

As announced in Data Technical News #2010-3, NASDAQ OMXSM protocol specifications will require modifications to prepare for industry listing and trading of 5-character root symbols.

In order to prepare for the listing and trading of 5-character root symbols, NASDAQ OMX must expand the symbol field size for NASDAQ®; and NASDAQ OMX BXSM (BXSM) proprietary data formats. Since all order, quotation, trade and administration data formats include the symbol field, NASDAQ OMX must release new symbology-compliant versions of the NASDAQ and BX proprietary data feeds.

When will NASDAQ OMX release the new NASDAQ and BX symbology-compliant data feeds?

NASDAQ OMX will release the symbology-compliant versions of the NASDAQ and BX data feeds in March and April 2010. Please refer to the chart below for the release date for each direct data feed.

Please refer to the U.S. Equity Data Feeds page on the NASDAQ OMX Trader® website to access the NASDAQ and BX data format specification documents for the symbology compliant feeds.

Data Feed Name Target Release Date

NASDAQ TotalView-ITCH 4.1 (Binary)

March 1, 2010

NASDAQ TotalView-ITCH 3.2 (ASCII)

March 1, 2010

NASDAQ GLIMPSE 4.1 (Binary)

March 1, 2010

NASDAQ GLIMPSE 3.2 (ASCII)

March 1, 2010

NASDAQ Best Bid and Offer (QBBO) – Version 1.1

March 1, 2010

NASDAQ Last Sale (NLS) – Version 1.1

March 1, 2010

NASDAQ OUCH Pricing Feed – Version 1.1

March 1, 2010

BX TotalView-ITCH 4.1 (Binary)

March 15, 2010

BX TotalView-ITCH 3.2 (ASCII)

March 15, 2010

BX GLIMPSE 4.1 (Binary)

March 15, 2010

BX GLIMPSE 3.2 (ASCII)

March 15, 2010

BX Best Bid and Offer (BX BBO) – Version 1.1

March 15, 2010

BX Last Sale (BLS) – Version 1.1

March 15, 2010

BX OUCH Pricing Feed – Version 1.1

March 15, 2010

NASDAQ TotalView-Aggregated – Version 1.1

April 1, 2010

NASDAQ Level 2 – Version 1.1

April 1, 2010

NASDAQ Market Velocity & Forces 2.1

April 1, 2010

NASDAQ Market Pathfinders – Version 1.1

April 1, 2010

NASDAQ NOIView 2.1

April 1, 2010

NASDAQ Net Order Imbalance Snapshot (NOIS) 2.1

April 1, 2010

How do the new symbology compliant versions of the NASDAQ and BX data feeds differ?

NASDAQ OMX has expanded the length of the stock symbol message from 6 bytes to 8 bytes on all quote, trade and administrative messages on the NASDAQ and BX proprietary data feed products.

In addition, NASDAQ OMX is adding new values to the Market Category and Security Class fields within the NASDAQ and BX data formats to differentiate NYSE-, NYSE Amex-, and NYSE Arca-listed issues.

What is the customer transition plan for the NASDAQ and BX data feeds?

NASDAQ OMX will offer the new symbology-compliant versions of the NASDAQ and BX data feeds in parallel production with the legacy versions beginning March/April 2010. Firms may transition to the symbology-compliant versions of the NASDAQ and BX data formats at any point during the parallel production period. 

In order to trade 5-character root symbols, NASDAQ OMX is strongly recommending that firms look to complete their transition by May 3, 2010. 

While NASDAQ OMX plans to support the legacy versions of the NASDAQ and BX data formats through year-end, the feeds will not carry data for those NYSE-listed issues with the expanded symbols. The legacy versions of the NASDAQ and BX data feeds will cease to be supported as of December 31, 2010. 

What network protocol options will NASDAQ OMX support for the new feeds?

NASDAQ OMX will offer the new data feed versions in the same protocol options as the legacy data feed versions. There will be no change to the protocol specifications for the NASDAQ and BX feeds.

What are the bandwidth allocations for the symbology compliant data feeds?

Due to the increased message size, the bandwidth recommendation for the symbology compliant versions of the NASDAQ and BX proprietary data feeds is 4% to 10% higher than the current data format version. Please refer to the NASDAQ OMX Bandwidth Recommendations document for more details..

Will NASDAQ OMX offer weekend test dates for the expanded symbol length?

Yes. NASDAQ OMX plans to offer expanded symbols for select NYSE-, NYSE Amex-, and NYSE Arca-listed issues during the weekend user acceptance tests (UAT) on Saturday, March 6, 2010 and Saturday, April 10, 2010. For registration information, NASDAQ and BX market participants should refer to the Saturday Testing Policy page on the NASDAQ OMX Trader website.

Will NASDAQ OMX offer sample data files for the NASDAQ and BX symbology-compliant data feed versions via FTP?

Yes. NASDAQ OMX plans to record the NASDAQ and BX symbology-compliant data feeds during the Saturday UATs. These data files will be posted to a newly created directory (Symbology) on the EMI FTP site within the week of the UAT.

The UAT logs for NASDAQ TotalView-ITCH 4.1 and BX TotalView-ITCH 4.1 data formats will be stored BinaryFile format.  The UAT logs for the other NASDAQ and BX data feeds will be stored in SoupFile format.

When will the new IP addresses be made available?

The UDP/IP Address List on the NASDAQ OMX Trader website now includes the symbology-compliant versions of the NASDAQ and BX data feeds offered in the MoldUDP or MossUDP protocols.


As is normal practice, NASDAQ OMX will assign IP address and port information for SoupTCP protocol feeds at the time of ordering process.

How do I order the new feed versions?

To order a new version of the NASDAQ and BX data feeds, existing distributors would need to complete the Data Feed Request Form online or in hard copy. In addition, firms would need to make the necessary arrangements to connect to the new data feed version in the NASDAQ OMX – U.S. data centers (co-location facility, extranet or direct connectivity provider).

Where can I find additional information?


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Nasdaq (Nasdaq: NDAQ) is a leading global provider of trading, clearing, exchange technology, listing, information and public company services. Through its diverse portfolio of solutions, Nasdaq enables customers to plan, optimize and execute their business vision with confidence, using proven technologies that provide transparency and insight for navigating today's global capital markets. As the creator of the world's first electronic stock market, its technology powers more than 90 marketplaces in 50 countries, and 1 in 10 of the world's securities transactions. Nasdaq is home to approximately 3,900 total listings with a market value of approximately $12 trillion. To learn more, visit: business.nasdaq.com.