Monday, November 24, 2008

Data News #2008 - 91
NASDAQ OMX Offers Sample Data Files for New TotalView-ITCH Data Feeds

Please Route to:

• Direct NASDAQ OMX data feed subscribers
• NASDAQ OMX market data redistributors

Data Feeds Impacted:

• TotalView-ITCH 4.0
• TotalView-ITCH 3.1

What you need to know:

• As outlined in NASDAQ Vendor Alert #2008-77, NASDAQ OMX recently released new versions of the TotalView-ITCH data feed to address a critical field size limitation related to Order Reference Number.
• NASDAQ OMX has advised direct data feed subscribers to migrate to TotalView-ITCH 4.0 or TotalView-ITCH 3.1 by no later than Tuesday, March 31, 2009.
• To facilitate the customer conversion, NASDAQ OMX has recorded a day’s worth of data in the new TotalView-ITCH 4.0 and TotalView-ITCH 3.1 formats for customers to use for testing purposes.
• The sample data files are now available on NASDAQ OMX public FTP server located at ftp://emi.nasdaq.com/ITCH.

Why is NASDAQ OMX posting sample data files?

As outlined in NASDAQ Vendor Alert #2008-77, NASDAQ OMX^SM recently released new versions of the TotalView-ITCH data feed to address a critical field size limitation related to Order Reference Number.

NASDAQ OMX has advised direct data feed subscribers to migrate to one of the following two new versions of TotalView-ITCH message formats by Tuesday, March 31, 2009:

• TotalView-ITCH 4.0 — This new feed will use binary characters for key numeric fields such as Order Reference Number, Trade Control Number, Price and Size. In addition, the TotalView-ITCH 4.0 feed is designed to support new data enhancements such as more granular timestamps. Please refer to NASDAQ Vendor Alert #2008-76 for additional details.
• TotalView-ITCH 3.1 — This new feed will support the Order Reference Number, Trade Control Number, Price, Size and other numeric fields in the current ASCII text format. Closely based on the TotalView-ITCH 3.0 standard, this new feed supports an expanded Order Reference Number field that is capable of handling order rates of up to one trillion messages in a single trading day. While this feed will support the same range of message formats as the TotalView-ITCH 4.0 feed, it will only support timestamps to the millisecond.

To facilitate the customer conversion, NASDAQ OMX has recorded one day worth of data in the new TotalView-ITCH data formats for customers to use for internal testing purposes.

Where can I locate the sample TotalView files?

The sample data files are now available on NASDAQ OMX public FTP server located at ftp://emi.nasdaq.com/ITCH.

NASDAQ OMX will leave the sample TotalView-ITCH files on a public FTP server through March 31, 2009.

When does NASDAQ OMX plan to upgrade the Historical TotalView-ITCH product to reflect the new TotalView-ITCH formats?

Due to system limitations, NASDAQ OMX is only able to retain one version of the TotalView-ITCH data formats on the Historical TotalView-ITCH product. NASDAQ OMX tentatively plans to migrate the Historical TotalView-ITCH product to the TotalView-ITCH 3.1 data formats in December of 2008. Once plans are finalized, NASDAQ OMX will post a vendor alert with details on the Historical TotalView-ITCH product changes.

Where can I find additional information on the TotalView-ITCH product changes?

• Refer to NASDAQ Vendor Alert #2008-77
• Contact NASDAQ OMX Global Data Products at +1 301 978 5307