NASDAQ Market Velocity and Forces

Overview

NASDAQ Market Velocity and Forces (also referred to as Market Analytix or MAX) is a direct data feed product offered by The NASDAQ OMX Stock Market®. Market Velocity and Forces measure pre-trade order activity in The NASDAQ Stock Market trading system for NASDAQ, NYSE- and MKT- listed securities. Velocity and Forces indicates intensity, momentum and direction of trading interest prior to price movements.

Market Velocity measures the current activity in a particular stock using order messages entering the NASDAQ trading system. It includes displayable orders and non-display orders, providing unique data that doesn’t show up in a traditional quote feed. Market Velocity then compares the current order activity to the expected order activity to determine surges in trading interest.

Market Forces categorizes those order messages by whether they are buy or sell orders to provide an indication of direction. Together, they provide pre-trade analysis to predict market movements.

Velocity and Forces is more effective than physical activity or audible noise on a trading floor because it can be precisely measured and benchmarked. Additionally, it filters out irrelevant messages (such as orders priced far from the inside market). The data feed uses 21-days of historical data to calculate an expected value for Market Velocity for each stock at each time of day.

Benefits and Features

NASDAQ Market Velocity and Forces is designed to provide real-time, intraday pre-trade data from the NASDAQ market center:

  • Traders can execute their trading strategy by comparing the expected order activity in a security with the current activity to detect surges in trading interest before trades occur.
  • Traders can determine which stocks are hot and when to place buy or sell orders to secure the best prices.
  • Velocity and Forces data is combined into one single message for dissemination, allowing for an easy to integrate, low latency feed.
  • Velocity and Forces offers the perfect pairing of market intensity and trend awareness to arm traders with the insight necessary to predict the most effective trading times.
  • Traders can determine the direction of the market by indicating whether pre-trade interest is surging in buy or sell orders.

With its simple data formats, NASDAQ OMX is able to use the same message structure for all of the equity exchanges.

Data Description

The NASDAQ Market Velocity and Forces data feed supports the following data elements for the full range of U.S. exchange-listed equities:

  • Market Velocity and Forces Indictors – disseminated at one second intervals – based on displayable orders and non-displayable such as routed orders and Immediate-or-Cancel orders for NASDAQ-, NYSE- and MKT-listed issues entered into the NASDAQ trading system.
  • NASDAQ exchange event messages to signal specific events including but not limited to market open, market close and halts.
  • Expected order volume based on 21 days of historical data.
  • Messages disseminated once a second, for each issue covered.

For the complete message layout for the NASDAQ Market Velocity and Forces feeds, please refer to the NASDAQ Market Velocity and Forces 2.0 specification .

Data Delivery Options

To receive the NASDAQ Market Velocity and Forces data feed, firms may connect directly to NASDAQ OMX data centers via a dedicated circuit or extranet provider. Please refer to the NASDAQ OMX Connectivity Provider List for details.

NASDAQ Market Velocity and Forces is offered in UDP/IP protocol only. For network capacity recommendations for the Market Velocity and Forces direct feed, please refer to the NASDAQ OMX – U.S. Data Feed Bandwidth Report.

Pricing

Please refer to the U.S Equities Price List for pricing information.

Agreements & Forms

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.


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