Wednesday, March 13, 2013

Data Technical News #2013 - 13
NASDAQ OMX Announces New LULD Reason Code

Markets Impacted:

Contact Information:

What you need to know:

    • As announced in Data Technical News #2012-30, NASDAQ updated several proprietary data feeds to support new values for the Action and Reason Code fields in the Trading Action message in support of Limit Up/Limit Down (LULD) and Market Wide Circuit Breaker (MWCB) rules.
    • NASDAQ OMX will also support another LULD-related reason code, "LUDS" Volatility Trading Pause - Straddle Condition.
    • The technical changes to the NASDAQ proprietary data feeds for LULD are currently in production. As previously announced, the regulatory implementation date for Phase 1 of the LULD rule is Monday, April 8, 2013.

What is being announced?

NASDAQ OMX® has added a new Reason Code value for the Trading Action (Type H) message in support the Limit-Up Limit-Down (LULD) regulation. In addition to the previously announced reason codes, NASDAQ OMX will support another LULD-related reason code, "LUDS" Volatility Trading Pause - Straddle Condition.

How will this reason code be used?

The new "LUDS" reason code reflects when the National Best Bid is below the lower price band and/or the National Best Offer is above the upper price band and the NMS Stock is not in a Limit State, and trading in the NASDAQ listed security deviates from normal trading characteristics such that declaring a Trading Pause would support the Limit Up Limit Down Plan's goal to address extraordinary market volatility.

The code will be disseminated in conjunction with a "P" action code, which is used to indicate when a security is subject to a single stock trading pause under the new Limit-Up Limit-Down (LULD) rules. NASDAQ OMX will send out the "P" action code (rather than the "H" and "Q" action codes) for LULD- trading pauses in NASDAQ-listed securities on select proprietary data feeds.

The new LUDS reason code will be supported on the following NASDAQ OMX data feeds:

  • NASDAQ TotalView-ITCH 4.1
  • NASDAQ TotalView-ITCH FPGA 4.1
  • NASDAQ TotalView-ITCH 3.2
  • NASDAQ TotalView-Aggregated 1.1
  • NASDAQ NOIView 2.1
  • NASDAQ Level 2-Version 1.1
  • NASDAQ Best Bid and Offer (QBBO) 1.1
  • NASDAQ Last Sale (NLS)
  • NLS Plus
  • NASDAQ Net Order Imbalance Snapshot (NOIS) 2.1

Please refer to the data feed specifications for the actual message format.

When will NASDAQ OMX support the new reason code on its proprietary data feed products?

NASDAQ OMX is currently supporting the new reason code value for the Trading Action message for test symbols (ZVZZT and ZWZZT). The reason code has been successfully disseminated in production since Monday, March 11, 2013.

Please note: Although the NASDAQ OMX proprietary data feeds are currently supporting the new Trading Action message, the regulatory implementation for the Phase 1 of the LULD is Monday, April 8, 2013.

Where can I find additional information?

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