Wednesday, December 9, 2020

Equity Trader Alert #2020 - 81
FINRA/Nasdaq TRF Reporting and Nanosecond Timestamp Granularity

Category:

  • Technical change
  • Testing

Markets Impacted:

Contact Information:

Resources:

Effective November 15, 2021, FINRA/Nasdaq TRF1 will support timestamps up to nanosecond (HH:MM:SS.sssssssss) granularity in accordance with recent amendments to FINRA’s equity trade reporting rules. Please refer to FINRA Regulatory Notice 20-41 for additional information on firms’ reporting obligations under the amendments.

Currently, FINRA/Nasdaq TRF supports timestamps up to milliseconds. Starting November 15, 2021, FINRA/Nasdaq TRF will accept messages with up to nanosecond timestamp granularity as well as send all outbound messages, e.g. reject and acknowledgement messages, with nanosecond timestamp granularity, including system derived and appended timestamps.

Timestamp reporting in nanoseconds will be available in Equity Trade Journal (ETJ) reporting, TRF FIX 4.2 Ports Drop Copy, Nasdaq WorkXTM and TradeInfo. Timestamp reporting in nanoseconds will not be available in Legacy TRF FIX 4.2, Nasdaq and ACT Workstations, and CTCI ports.

Key Dates

Nasdaq will publish updates to the FIX trade reporting and ETJ specifications in support of nanosecond timestamps by June 14, 2021. Firms will be able to commence testing for nanosecond timestamps in the FINRA/Nasdaq TRF by August 16, 2021. Additional specification and testing information will be published in a subsequent client notice.

Firms will be able to submit timestamps up to nanoseconds to the FINRA/Nasdaq TRF using TRF FIX 4.2 ports and Nasdaq WorkXTM,2. If a firm will be required to report to the FINRA/Nasdaq TRF in microseconds or nanoseconds pursuant to the FINRA rule amendments, the firm must migrate to TRF FIX 4.2 or Nasdaq WorkXTM prior to November 15, 2021. Legacy TRF FIX 4.2, Nasdaq and ACT Workstations and CTCI ports will not support nanosecond timestamp reporting. Firms not required by FINRA rules to report to the FINRA/Nasdaq TRF in microseconds or nanoseconds will not have to migrate to a supported Nasdaq service(s) by November 15, 2021.

Customers are encouraged to test new Nasdaq service offerings:

  • FIX Testing in the Nasdaq Test Facility: Customers can perform TRF FIX 4.2 tests in the Nasdaq Test Facility at any time. Customers may test free of charge for a 30 consecutive day period in the Nasdaq Test Facility by registering their firm MPID and start date with NTFbilling@nasdaq.com. Please indicate the testing purpose when submitting the fee waiver request.
  • WorkXTM Testing in the Nasdaq Test Facility: Customers can perform WorkXTM tests in the Nasdaq Test Facility starting March 1, 2021. Customers may request access with the Trading Services team via Nasdaq Subscriber Services. There is no fee associated with WorkXTM testing in the Nasdaq Test Facility.
  • Customer may contact Nasdaq Trading Services by email or by phone (212) 231-5180 to set up testing.
  • FINRA/Nasdaq TRF Chicago and FINRA/Nasdaq TRF Carteret production systems will be available for User Acceptance Testing in accordance with the Nasdaq Saturday Testing Policy.

Service Requests

To request a new FIX port - production, test, or disaster recovery - please complete the port request form and return to Nasdaq Subscriber Services. Note: New FIX production ports require new FIX test ports and new disaster recovery ports for compatibility between the production, disaster recovery and test environments, if each service is required.

Starting in Q1 2021, Nasdaq will launch WorkXTM 2, an enriched FINRA/Nasdaq TRF trade reporting and monitoring service to improve supervisory controls, workflow efficiency, and overall product experience. A subsequent technical notice will be published with more details on the production release.

More Information

For technical questions about the nanosecond timestamp implementation on the FINRA/Nasdaq TRFs or impacts to other Nasdaq services, please contact Nasdaq Trading Services at +1 212 231 5180

For regulatory questions, please refer to listed contacts in FINRA’s regulatory notice.

Footnotes:

1: “FINRA/Nasdaq TRF” means the FINRA/Nasdaq TRF Carteret and the FINRA/Nasdaq TRF Chicago, depending on the facility to which the member firm reports.

2: Nasdaq provided a Technical notice announcing WorkX, which will launch in Q1 2021. For more information, please refer to ETA2020-77

FINRATM, Trade Reporting FacilityTM and TRFTM are trademarks of Financial Industry Regulatory Authority, Inc.; FINRA/NASDAQ TRFTM is used under license for Financial Industry Regulatory Authority, Inc.



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