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Thursday, October 19, 2006

Data News #2006 - 69
NASDAQ to Introduce a New Level 2 Depth Feed as Part of Systems Integration

Please Route To:
  • Direct NASDAQ data feed recipients
  • Market data redistributors

Summary:
  • As part of systems integration, NASDAQ is introducing a new Level 2 data feed that will feature NASDAQ market participant top-of-file quotations with actual share size for New York Stock Exchange (NYSE)- and American Stock Exchange (Amex)-listed issues as well as for NASDAQ-listed issues.
  • Since Level 2 service is built on the integrated platform, it will offer better speed and efficiency compared to the legacy NQDS product.

Background:
Traditionally, the Level 2SM entitlement has offered top-of-file quotation data for NASDAQ® market participants, which traders and investors have relied on to see market depth and trading activity in NASDAQ issues.

In addition, NASDAQ’s competitive pricing model and state-of-the-art systems have promoted rapid growth in its trading activity in NYSE- and Amex-listed securities. In the last year, NASDAQ’s share volume in NYSE- and Amex-listed securities more than doubled. In some NYSE securities, NASDAQ’s share volume now tops 30%. And, as NASDAQ’s market share continues to grow, it is becoming increasingly important that firms have access to NASDAQ participant depth data for securities listed on other markets. For more information on NASDAQ’s share volume, please refer to the Tradelisted page on the NASDAQ Trader® website.

Level 2 Direct Data Feed Options:
In conjunction with NASDAQ systems integration, NASDAQ is introducing a new Level 2 feed that features NASDAQ market participant top-of-file bid and ask quotations for NYSE- and Amex-listed securities as well as for NASDAQ-listed issues. In addition, Level 2 displays market participant quotes in actual shares, providing greater market transparency than the traditional NQDSSM and OpenView BasicSM formats. Built on the NASDAQ TotalView® dissemination model, the Level 2 feed is also designed to be more network and bandwidth efficient than the legacy NQDS feed. Due to system platform and format changes, the new NASDAQ Level 2 data feed offers better processing speed and data throughput rates than the legacy NQDS product.

In response to customer networking needs, NASDAQ will offer Level 2 in TCP/IP protocol as well as IP multicast. The Level 2 bandwidth recommendation will be 9.6 Megabits (Mb) for the TCP/IP protocol version and 9.9 Mb for the IP multicast version of the feed. For firms looking to save on networking costs, NASDAQ will also offer a compressed TCP/IP version of the Level 2 feed that will require 75% less bandwidth.

Technical Specifications:
Direct data formats:

Network protocol support documents::

Ordering Information:
Firms may order direct access to NASDAQ Level 2 via one of NASDAQ’s approved extranet providers.

Contact Information:
For more information on the Level 2 entitlement and data feed product changes, please contact: