Thursday, May 28, 2009

Data News #2009 - 26
REVISED: NASDAQ OMX Releases New Versions of TotalView-ITCH Data Formats for Flash Orders

What are the new flash orders?

As outlined in Equity Trader Alert #2009-35, NASDAQ^® will introduce new NASDAQ Only Flash Orders on Friday, June 5, 2009. After attempting to sweep the NASDAQ book, a NASDAQ Only Flash Order will allow an exchange participant to disseminate an order at the most aggressive price possible that would not result in a trade through via the TotalView-ITCH® data feed for up to one half second. Orders that become non-marketable and that do not execute in the flash period will remain on the book, unless cancelled by the customer. Orders that remain marketable after the flash period will be cancelled.

As outlined in Equity Trader Alert #2009-35, NASDAQ will also introduce flash-enhanced routable orders on Monday, June 8, 2009. After sweeping the NASDAQ book, the flash-enhanced routable order will be displayed via TotalView-ITCH for 20 to 30 milliseconds at the most aggressive price possible that would not result in a trade through before routing to away markets.

Will the flash orders be disseminated via the TotalView-ITCH data feeds?

Yes, NASDAQ OMX^SM will include the NASDAQ Only Flash Orders and flash-enhanced routable orders on the NASDAQ TotalView-ITCH data feed for display and execution.

As part of the order release, NASDAQ OMX will introduce two new "f" versions of the TotalView-ITCH data feed to enable traders and other market data users to differentiate Flash Orders from other orders on its book.

Earlier versions of the TotalView-ITCH service will also carry the Flash Order data without any special identifier.

NASDAQ OMX’s other proprietary data feeds will not include Flash Orders.

How will the "f" version of TotalView-ITCH differ from the current production feeds?

Using the NASDAQ TotalView-ITCH 4.0 and NASDAQ TotalView-ITCH 3.1 data formats as a starting point, NASDAQ OMX is adding several new data elements to the "f" versions to enable firms to clearly differentiate Flash Orders from other orders on the book. Specifically, the "f" versions of TotalView-ITCH will include a Display field within the Add Order (No MPID) and Replace Order message formats in addition to a new Order Display message type.

Under the "f" format processing, NASDAQ OMX will disseminate an Add Order (No MPID) message with a Display code of "S" at the time that a Flash Order is entered by an exchange participant. If the Order is not executed within the flash period, NASDAQ will disseminate an Order Display message type if it is added to the NASDAQ continuous book or NASDAQ will send out an Order Cancel.

For details on the "f" versions, please refer to the following TotalView-ITCH technical interface specifications:

• NASDAQ TotalView-ITCH 4.0f (Binary)
• NASDAQ TotalView-ITCH 3.1f (ASCII)

What protocols will NASDAQ OMX support for the "f" versions of TotalView-ITCH?

As of Monday, June 1, 2009, NASDAQ OMX will offer the TotalView-ITCH 4.0f and TotalView-ITCH 3.1f data formats in the following network protocol options.

Please refer to the NASDAQ OMX Connectivity Providers List for information on how to connect directly to NASDAQ data centers for TotalView-ITCH and other feeds.

When will the "f" versions of the TotalView-ITCH feed be available for connectivity and use?

The NASDAQ TotalView-ITCH 4.0f and NASDAQ TotalView-ITCH 3.1f data feeds will be officially released with the NASDAQ Only Flash Order launch on Friday, June 5, 2009.

In preparation for the launch, NASDAQ OMX will offer connectivity testing of the "f" versions of the TotalView-ITCH feeds beginning Monday, June 1, 2009.

How can I order the “f” versions of the TotalView-ITCH product?

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

• Data Feed Request Form - Required for all firms
• Nasdaq Global Data Agreement - Required for all firms prior to initiation of the first Nasdaq data service only
• System Application - Required for firms only if the data will be displayed or used in a system that is not yet approved by Nasdaq

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

Will TotalView-ITCH subscribers be required to migrate to the new "f" versions of the data formats?

No. NASDAQ OMX will continue to support the standard versions of the NASDAQ TotalView-ITCH 4.0 and NASDAQ TotalView-ITCH 3.1 indefinitely.

Will NASDAQ OMX offer GLIMPSE for the "f" versions of the TotalView-ITCH data feeds?

Yes, NASDAQ OMX intends to introduce "f" versions of the NASDAQ GLIMPSE product within the next month. NASDAQ OMX will post a Data Technical News item as soon as the specification documents for NASDAQ GLIMPSE 4.0f and NASDAQ GLIMPSE 3.1f are posted to the NASDAQ OMX Trader^® website.

Where can I find additional information?

For information on Flash Orders:

• Refer to the Order Types and Routing Strategy Reference Guide.
• Contact Transaction Services U.S. Market Sales at +1 800 846 0477.

For information on the TotalView-ITCH product:

• Refer to the TotalView-ITCH product page on the NASDAQ OMX Trader website.
• Refer to the Market Data Specifications page on the NASDAQ OMX Trader website.
• Contact NASDAQ OMX Global Data Products at +1 301 978 5307.