Search:
   

Friday, April 16, 2021

Data Technical News #2021 - 12
Introduction of Long Form Price Messages: Nasdaq Last Sale, Nasdaq Last Sale Plus, & Nasdaq Last Sale FilterView

Products Impacted:

  • Nasdaq Last Sale
  • Nasdaq Last Sale Plus
  • Nasdaq Last Sale FilterView

Contact Information:

What you need to know:

Nasdaq is introducing long-form message types to Nasdaq Last Sale, Nasdaq Last Sale Plus, and Nasdaq Last Sale FilterView. This is direct response to the upper limit of a 4-byte price within Nasdaq Last Sale and other Nasdaq Last Sale iterations.

What is Nasdaq Last Sale and Nasdaq Last Sale Plus?

Nasdaq Last Sale (NLS) provides real-time intraday last sale data for all securities traded in Nasdaq systems and the FINRA/Nasdaq Trade Reporting Facility™ (TRF). Nasdaq Last Sale is the most reliable and accurate resource for real-time and intraday trade data. The product is designed to:

  • Support pricing for the full range of U.S. exchange-listed equities, including NYSE- and NYSE American-listed issues in addition to Nasdaq-listed issues.
  • Include trading data from both the Nasdaq trading platform and the FINRA/Nasdaq Trade Reporting Facility (TRF).
  • Encourage universal distribution of Nasdaq real-time trade data to the public via the Internet and other electronic media.
  • Enable firms to create dynamic stock tickers, portfolio trackers and time/price graphs products for public use.
  • Ensure widespread delivery of Nasdaq Last Sale through its innovative pricing.

    • Nasdaq Last Sale Plus is an expanded offering of Nasdaq Last Sale. It couples the power of Nasdaq Last Sale content with value-add features such as:

  • Trades from the Nasdaq BX and Nasdaq PSX markets to expand market share.
  • Consolidated market volume on each trade message to track activity across all Nasdaq marketplaces.
  • End-of-day trade summary messages to confirm the consolidated High, Low, Last Price, and Volume Totals.

    • These products provide customers with a comprehensive, yet affordable data set to use in display products.

    What is Nasdaq Last Sale FilterView?

    Nasdaq Last Sale FilterView provides connectivity for separate Nasdaq Last Sale data streams for the Nasdaq execution system and the FINRA/Nasdaq TRF system.

    NASDAQ offers two NLS FilterView options:

  • NASDAQ Trades FilterView will carry the NLS messages from the NASDAQ Execution System for NASDAQ-, NYSE- and NYSE Amex-listed securities.
  • TRF Trades FilterView will carry the NLS messages from the FINRA/NASDAQ TRF for the full range of NASDAQ-, NYSE- and NYSE Amex-listed issues.

    What is being introduced?

    Nasdaq Last Sale and its iterations are currently written in hexadecimal format. The maximum allowable value in this structure is $429,496.7295. In order to accommodate the pricing of all reg NMS securities, Nasdaq is releasing an 8-byte long form trade message and accompanying messaging that allow for reporting above the current limits. 8 byte long form messages will only be used if the maximum allowable value is breached.

    What are the messages being introduced?

    Nasdaq Last Sale Plus

  • Long Form Trade Report for Non-NextShares
  • Long Form Trade Cancel/Error for Non-NextShares Trades
  • Long Form Trade Correction for Non-NextShares Trades
  • Long Form Adjusted Closing Price
  • Long Form End of Day Trade Summary


    • Nasdaq Last Sale / Nasdaq Last Sale FilterView

  • Long Form Trade Report for Non-NextShares
  • Long Form Trade Cancel/Error for Non-NextShares Trades
  • Long Form Trade Correction for Non-NextShares Trades
  • Long Form Adjusted Closing Price

    • What is the scheduled date for deployment?

    Thirty days following the publication of this Data News Item, pursuant to Section 3 of the Global Data Agreement (GDA).

    Is there testing available?

    Yes, a list of weekend testing dates can be found here.

    Will Specifications be provided?

    Specification changes have been outlined and made available at the following link via Nasdaq Trader.

    Who should I contact for additional information?

  • Contact Investment Intelligence at +1 301 978 5307 (Option #1) or +45 33 93 33 66