Wednesday, April 01, 2015

Data Technical News #2015 - 7
Nasdaq Releases Proprietary Data Feed Specification Updates for Exchange Traded Managed Funds (ETMFs)

What you need to know:

  • Nasdaq® will soon introduce Exchange Traded Managed Funds (ETMFs) as a new exchange-listed asset class.
  • Nasdaq will facilitate trading of ETMFs using a NAV-based trading model, as outlined in the SEC approval order.
  • Nasdaq will modify its proprietary exchange and data feeds to support the new ETMF asset class as outlined below.

Updated 6/30/2015:

  • Nasdaq no longer plans on the addition of a sale condition modifier for proxy price transactions on Nasdaq Last Sale / Nasdaq Last Sale Plus.
  • Reminder: Nasdaq and NFS are requesting that market data vendors display NextShares orders, quotations and trades in NAV-based format if at all possible. For display purposes, Nasdaq is including the NAV premium / discount amount data points on QBBO, NLS and NLS Plus for this purpose. Firms may also calculate the NAV premium / discount amount from proxy price field by deducting $100 from the disseminated value.

What is changing?

Nasdaq is updating its proprietary data feeds specifications to support Exchanged Traded Managed Funds (ETMF), a new asset class to be introduced in the 4th quarter of 2015.

Updated 6/30/2015: Nasdaq no longer plans on the addition of a sale condition modifier for proxy price transactions on Nasdaq Last Sale / Nasdaq Last Sale Plus.

What is an ETMF?

Approved by the SEC in November 2014, ETMFs are a new type of investment vehicle combining features of open-end mutual funds and exchange- traded funds (ETFs). ETMFs will support actively managed investment strategies, while offering the performance advantages and tax efficiencies of ETFs.

Nasdaq is working with Navigate Fund Solutions (NFS) on the ETMF initiative. At time of launch, Nasdaq expects ETMFs will carry the NFS brand “NextShares” in the instrument name. For more information, please visit the NextShares website at www.nextshares.com.

What is a NAV-based trading model?

ETMFs will trade on Nasdaq using a new trading protocol called ‘‘NAV-Based Trading.’’ In NAV-Based Trading, all bids, offers, and execution prices will be expressed as a premium/discount (which may be zero) to the ETMF’s next-determined net asset value (NAV). Executions using NAV-Based Trading will be binding at the time orders are matched on Nasdaq’s facilities, with the transaction prices contingent upon the determination of the ETMF’s NAV at the end of the business day.

To address format limitations for order and trade systems, Nasdaq will represent that ETMF’s next-determined NAV via a proxy price (e.g., $100.00) and a premium/discount of a stated amount to the next-determined NAV. This will be represented by the same increment/decrement from the proxy price used to denote NAV (e.g., NAV-$0.01 would be represented as $99.99; NAV+$0.01 as $100.01).

What data elements will Nasdaq support for ETMFs?

As part of the normal trading process, Nasdaq will support the net order imbalance, order, quotation and trade data for ETMFs in proxy price on its exchange data feeds. In addition, Nasdaq will disseminate the NAV premium / discount amount for vendor display purposes on QBBO, NLS and NLS Plus.

As a reference point, Nasdaq will disseminate Intraday Indicative Values (IIVs) for ETMFs via the Nasdaq Global Index Data Service (GIDS) data feed on a 15-minute basis intraday. At the end of each trading day, Nasdaq will disseminate the daily NAV from the fund accounting firm via the Mutual Fund Dissemination Service (MFDS) data feed.

What data feed format changes will Nasdaq be making for ETMFs?

Nasdaq has summarized its proprietary data feed changes in the table below. For feeds which will have new versions (NLS, NLS Plus, and QBBO), the planned parallel period for the 2.0 and 2.1 versions will be October 1, 2015 – January 29, 2016. The 2.0 versions will be turned down at the end of the day on January 29, 2016.

Data Feed Product ETMF Data Points Price Format New or Existing Formats Scope of Changes
Nasdaq Exchange Data Feeds
Nasdaq TotalView-ITCH 5.0
  • Directory
  • Net Order Imbalance Indicator (NOII)
  • Order by order data
  • Cross trades
  • Trades for non-displayed order types
Proxy
Existing
  • Directory – Add new Issue Sub-Type code “EM” for ETMFs
Nasdaq TotalView-Aggregated 2.0
  • Directory
  • NOII
  • Full price level depth with attribution
Proxy
Existing
  • Directory – Add new Issue Sub-Type code “EM” for ETMFs
Nasdaq NOIView 3.0
  • Directory
  • NOII
  • Cross trades
Proxy
Existing
  • Directory – Add new Issue Sub-Type code “EM” for ETMFs
Nasdaq Level 2 - Version 2.0
  • Directory
  • Top-of-file quotations for Nasdaq exchange participants
Proxy
Existing
  • Directory – Add new Issue Sub-Type code “EM” for ETMFs
Nasdaq Basic / Nasdaq Best Bid and Offer (QBBO) - Version 2.0
  • Directory
  • Nasdaq best bid and offer
Proxy
Existing
  • Directory – Add new Issue Sub-Type code “EM” for ETMFs
Nasdaq Basic / Nasdaq Best Bid and Offer (QBBO) - Version 2.1 NEW
  • Directory
  • Nasdaq best bid and offer
Proxy and NAV Premium/Discount
New Feed
  • Directory – Add new Issue Sub-Type code “EM” for ETMFs
  • New BBO message format for ETMFs with separate proxy and NAV-based fields
Nasdaq Last Sale (NLS) - Version 2.0
  • Directory
  • Nasdaq and FINRA/Nasdaq TRF trades
Proxy
Existing
  • Directory – Add new Issue Sub-Type code “EM” for ETMFs
Nasdaq Last Sale (NLS) - Version 2.1 NEW
  • Directory
  • Nasdaq and FINRA/Nasdaq TRF trades
Proxy and NAV Premium/Discount
New Feed
  • Directory – Add new Issue Sub-Type code “EM” for ETMFs
  • Trades – Introduce new trade message formats to support greater timestamp granularity for all Nasdaq-listed instruments
  • Trades – Introduce separate trade messages for ETMFs with separate proxy and NAV-based price fields
NLS Plus - Version 2.0
  • Directory
  • Nasdaq, BX, PSX and FINRA/ Nasdaq TRF trades
Proxy
Existing
  • Directory – Add new Issue Sub-Type code “EM” for ETMFs
NLS Plus - Version 2.1 NEW
  • Directory
  • Nasdaq, BX, PSX and FINRA/ Nasdaq TRF trades
Proxy and NAV Premium/Discount
New Feed
  • Directory – Add new Issue Sub-Type code “EM” for ETMFs
  • Trades – Introduce new trade message formats to support greater timestamp granularity for all Nasdaq-listed instruments
  • Trades – Introduce separate trade messages for ETMFs with separate proxy and NAV-based price fields
Nasdaq Net Order Imbalance Snapshot 2.1
  • Directory (New)
  • NOII at set time intervals
Proxy
Existing
  • Directory – Add Issue Symbol directory message to the data feed with the Issue Sub-Type code “EM” for ETMFs
Reference Data
Nasdaq Global Index Data Services (GIDS) 2.0
  • Exchange Traded Product (ETP) Directory and Daily
  • ETP Intra-Day Values
U.S. Dollars
Existing
  • Directory – Add Financial Product (FP) Type code of “F” for ETMFs and Frequency code of “15m” for 15-minutes
  • ETP Intraday Valuation – Add Financial Product (FP) Type code of “F”
Mutual Fund Dissemination Service (MFDS)
  • Fund Directory
  • Daily Valuation
  • Dividends
  • Distributions
U.S. Dollars
New
  • All – Introduce new versions of message formats to support expanded Instrument Type / Tier field size
  • All – Introduce new Instrument Type / Tier code of “EM” and new Instrument Code of “Q” for ETMFs / Next Shares

How does Nasdaq recommend market data vendors display ETMF data?

Nasdaq and NFS request that market data vendors display ETMF orders, quotations and trades in NAV-based format, if at all possible. For display use, Nasdaq is including the NAV premium / discount amount data points on QBBO, NLS and NLS Plus for this purpose. Firms may also calculate the NAV premium / discount amount from proxy price field by deducting $100 from the disseminated value.

If firms decide to display ETMF data in proxy price format, Nasdaq and NFS are asking firms to add an indicator to the display so consumers to understand that this value is not the actual execution price for the trade/quote.

Will ETMFs be supported on UTP SIP data feeds?

Since ETMFs are Regulation NMS eligible securities, the UTP SIP is expected to support best bid and offer quotations and trade executions for the new asset class in proxy price format. Nasdaq is working with the UTP Operating Committee (UTPOC) to determine the ETMF messaging formats for the UTP SIP data feeds.

When will ETMFs be launched?

Nasdaq plans to begin listing and trading ETMFs in the fourth quarter of 2015.

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 $13 trillion. To learn more, visit: business.nasdaq.com.