Wednesday, January 26, 2011

Data Technical News #2011 - 2
The NASDAQ Options Market Announces Market Data Feed Enhancements

Market Impacted:

Products Impacted:

  • Best of NASDAQ Options (BONO)
  • NASDAQ ITCH to Trade Options (ITTO)
  • NASDAQ Options Depth at Price (DAP)
  • NASDAQ Options NOIView

Contact Information:

What you need to know:

  • NASDAQ OMX® is planning several technological enhancements and updates for The NASDAQ Options MarketSM (NOM), referred to as NOM 2.0, to provide richer functionality as announced in Options Trader Alert #2010-78.
  • Upon the launch of NOM 2.0, NOM will release new versions of Best of NASDAQ Options (BONO) and NASDAQ ITCH to Trade Options (ITTO) and will retire NASDAQ Options Depth at Price (DAP) and NASDAQ Options NOIView.
  • NOM plans to implement these changes in late April 2011.

What market data updates are being made?

Upon the launch of NOM 2.0, NOM data feeds will be updated as follows:

  • BONO and ITTO will be offered in binary format and as uncompressed versions only.
  • BONO will continue to provide the same Best Bid and Offer (BBO) and last sale information that is sent to the Options Price Reporting Authority (OPRA).
  • ITTO will include depth of quotes, depth of orders, net order imbalance information for the opening cross and last sale data.
  • NASDAQ Options DAP and NASDAQ Options NOIView will be retired at the completion of the migration to NOM 2.0.

Furthermore, NOM 2.0 enhancements will allow BONO and PHLX Top of PHLX Options (TOPO) to be moved toward a common format after the completed migration of NOM 2.0.

Which market data feeds will be available on NOM 2.0?

ITCH to Trade Options (ITTO) and will be available for NOM 2.0.

  • BONO is designed to provide BBO and last sale information directly to subscribers.
  • ITTO will provide the depth of quotes and orders on NOM, as well as net order imbalance information for the opening cross and last sale data.

NASDAQ Options DAP and NOIView will be retired.

When will the new BONO and ITTO feeds be available?

NOM plans to implement these changes in late April 2011.

What will happen to the legacy BONO and ITTO feeds?

Upon completion of the symbol migration to NOM 2.0, the legacy BONO and ITTO feeds will be retired. This is expected to occur in late May 2011.

What are the bandwidth recommendations?

The bandwidth recommendation for BONO is 40 Megabits (Mb) per multicast group. The bandwidth recommendation for ITTO is 120 Mb per multicast group.

For both BONO and ITTO, NASDAQ OMX will support three multicast groups each, also called the "A feed", "B feed" and "C feed". NASDAQ OMX will provide local redundancy in the New York Metro Area ("A feed") and ("B feed"), while using the Mid-Atlantic Region ("C feed") for disaster recovery in the event that order entry is switched from the New York Metro Area.

Will testing opportunities be available?

Yes, NOM plans to offer testing. Testing opportunities will be announced at a later date.

Where can I find the NOM market data technical interface specifications?

New specification documents are available on the NASDAQ OMX Global Data Products - U.S. Derivative Data Feed Specifications page on the NASDAQ OMX Trader® website. For your convenience, the links are also provided below:

For more information on the NOM protocol specifications, refer to Options Technical Update #2011-03.

Where can I find additional information?

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