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Friday, January 22, 2010

Data Technical News #2010 - 2
NASDAQ OMX PHLX Updates TOPO Plus Orders Technical Specifications to Support Proposed Complex Order Enhancements

Market Impacted:

  • NASDAQ OMX PHLX

Product Impacted:

  • TOPO Plus Orders

Contact Information:

What you need to know:

  • NASDAQ OMX PHLX plans to implement enhancements to the Complex Order System.
  • Proposed enhancements include multi-legged complex orders of up to six legs, as well as complex orders that include a stock component.
  • Updated technical specifications for the PHLX Orders data feed, which is part of the TOPO Plus Orders data product, have been posted to support the proposed enhancements.

What are the proposed Complex Order enhancements?

The NASDAQ OMX PHLXSM (PHLX®) Complex Order System currently supports two-sided order types. The proposed functionality enhancement will allow for order types of up to six legs, as well as a complex order leg that includes a stock component.

When is the additional functionality scheduled to be implemented?

Pending Securities and Exchange Commission approval, the additional complex order functionality is tentatively scheduled to be implemented in the second quarter of 2010.

What updates have been made to the PHLX Orders technical specifications?

To accommodate this enhancement, NASDAQ OMX® has made the following updates to the "X" group of messages for complex order-related information in the PHLX Orders technical specifications:

  • Complex Order Strategy Message - Modified explanation for Option ID, Security Symbol, Expiration Year/Month/Day, Explicit Strike Price and Option Type Leg information fields.
  • Complex Order Message - Modified explanation for Open Close Indicator, Option ID, Security Symbol, Expiration Year/Month/Day, Explicit Price and Option Type Leg information fields.
  • Complex Auction Notification Message - Modified explanation for Auction ID field.

What is TOPO Plus Orders?

As announced in Data Technical News #2009-42, TOPO Plus Orders is a direct, low-latency market data product that is designed to allow subscribers to connect to both the Top of PHLX Options (TOPO) data feed and the new PHLX Orders data feed.

TOPO includes Best Bid and Offer (BBO) and last sale information from PHLX.

PHLX Orders includes the full limit order book and contains a real-time status of simple and complex orders on the PHLX order book for all PHLX-listed options. This includes new orders and changes to orders resting on the PHLX book.

How do I obtain the TOPO Plus Orders data feed?

To initiate this data on a data feed, firms must submit the appropriate documentation and receive prior approval from NASDAQ OMX:

For the complete list of NASDAQ OMX and UTP market data agreements and forms, please refer to the NASDAQ OMX Global Data Products Agreements and Forms page.

In addition, firms need to make arrangements to connect to the NASDAQ OMX New York Metro Area data center via co-location, an authorized extranet or direct connectivity provider.

Is TOPO Plus Orders available for testing?

Yes, NASDAQ OMX currently offers access to both the TOPO and TOPO Plus Orders data products via the NASDAQ Testing Facility.

Pending SEC approval, NASDAQ OMX will announce production and test dates for the enhanced functionality.

Where can I find the TOPO Plus Orders technical interface specifications?

NASDAQ OMX has posted the TOPO Plus Orders documentation to the Market Data Specifications - Data Feeds page on the NASDAQ OMX Trader® website. For your convenience, the links are also provided below.

Data Formats:

Network Support Documentation:

Where can I find additional information?

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