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Tuesday, February 3, 2009

Options Technical Update #2009 - 1
Updated Interface Specifications Now Available to Support NASDAQ OMX PHLX System Changes

Markets Impacted:

  • NASDAQ OMX PHLX

Contact Information:

What you need to know:

  • NASDAQ OMX PHLX (PHLX) has posted new interface specifications for its SQF, SOF, RMP and FIX interfaces for the new PHLX system, scheduled to go live in April 2009, pending SEC approval.
  • Additional FIX changes may also be required by Friday, February 20, 2009, to support certain fields for the Options Symbology Initiative.
  • Additional RMP changes must be implemented by Friday, March 20, 2009, to support an expanded trade ID field.
  • Testing will be available for the new PHLX system interfaces in February.

What is changing?

NASDAQ OMX PHLXSM (PHLXSM) has posted new interface specifications for its Specialized Quote Feed (SQF), Specialized Order Feed (SOF), Risk Management Feed (RMP) and FIX interfaces. These interfaces will be used for the re-platformed system scheduled to go live in early April 2009, pending approval by the Securities and Exchange Commission (SEC). These interfaces will be available for testing in February 2009.

In addition, PHLX has made changes to the FIX interface to support the Options Symbology Initiative (OSI) and the RMP interface to support a new version of this interface. These interfaces are currently available in production.

  • Firms must prepare their systems for the FIX changes by Friday, February 20, 2009.
  • Firms must prepare their systems for the RMP changes by Friday, March 20, 2009.

What interface changes are being made for the new system?

  • The FIX interface will have the ability to include order handling designations for routing on inbound orders.
  • RMP interface changes include PHLX symbol and expanded trade ID as well as changes to the content of order TANUM , branch sequence number and branch code.
  • The SOF interface will now include messages where certain volume fields will be zero-filled.
  • SQF interface changes include added support for the different types of sweep handling available in the new PHLX system as well as additional information being sent to firms on notification messages.

What changes have been made to the legacy interfaces?

The FIX interface changes include extra fields in the FIX execution report to support the Options Symbology Initiative. Firms must test these changes by Friday, February 20, 2009, to ensure they are able to consume the messages.

In March 2009, the RMP interface will expand the trade ID number field. Firms must test this change by Friday, March 20, 2009, to ensure that they are able to consume the messages.

Will the legacy system continue to run in a parallel period after the new system goes live?

The legacy PHLX system will remain active concurrently with the re-platformed system for some period of time until all symbols are rolled out. During that time, some symbols will trade on the new platform while others will continue to trade on the existing platform until they are converted. Firms writing to this should be sure not to eliminate the old processes until the re-platforming is completely rolled out.

Will testing be available?

Testing is currently available for the FIX symbology and new version of RMP interface changes and will be available for the new system interfaces later in February. Contact Herman Gottfried at +1 215 496 5678 to sign up for testing.

Where can I get more information?


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