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Friday, April 27, 2012

Data Technical News #2012 - 7
NASDAQ OMX PHLX Announces a New PHLX Depth of Market Data Feed

Markets Impacted:

Products Impacted:

  • PHLX Depth of Market

Contact Information:

What you need to know:

  • NASDAQ OMX® will offer a new direct market data feed called PHLX Depth of Market that will provide full depth of quotes, depth of orders, net order imbalance information for the opening cross and last sale data for NASDAQ OMX PHLXSM (PHLX®).
  • NASDAQ OMX plans to offer live data for PHLX Depth by July 2, 2012.

What is PHLX Depth of Market?

PHLX Depth of Market (PHLX Depth) is a direct, low-latency market data feed, pending Securities and Exchange Commission (SEC) approval, that is designed to provide full depth of quotes, depth of orders, net order imbalance information for the opening cross and last sale data directly to subscribers.

PHLX Depth will be similar to the NASDAQ Options Markets ITCH to Trade Options (ITTO) data feed. For easier development, the specification will be similar to the ITTO v3.0 specification.

  • New Option ID messages to identify Options as well as short and long form quote update messages will be provided to mitigate bandwidth requirements.
  • PHLX Depth will be offered in MoldUDP64 and SoupBinTCP protocol options.
  • PHLX Depth will be offered as an uncompressed version only, using binary encoded messages.
  • PHLX Depth will be offered with a companion GLIMPSE feed as a state of the market retransmission facility add on for no additional cost.

As with other PHLX market data feeds, NASDAQ OMX will support three multicast groups for PHLX Depth, 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.

When will PHLX Depth of Market be available?

The PHLX Depth feed is expected to be available for testing in late May 2012. Beta production data is expected to be available in mid June 2012 with live data available Monday, July 2, 2012. Further announcements will be made when additional information is available.

What is the bandwidth recommendation for PHLX Depth?

PHLX Depth will be offered in uncompressed version only. The bandwidth recommendation is 250 Megabits (Mb) per data stream.

What do firms need to do to connect to PHLX Depth?

New IP address information and updated data feed request forms will be provided at a later date.

What are the fees for PHLX Depth?

Fees for PHLX Depth will be announced at a later date, pending filing with the SEC.

Is the PHLX Depth interface specification available?

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 link is also provided below:

Contact Information

For questions regarding the PHLX Depth or PHLX Orders data feeds, please contact NASDAQ OMX Global Data Products at +1 301 978 5307.


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