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Monday, January 22, 2007

Data News #2007 - 4
NASDAQ Introduces New Level 2 Data Feed

Please Route To:
  • Direct NASDAQ data feed subscribers
  • NASDAQ market data distributors

Summary:
  • As announced in NASDAQ Vendor Alert #2006-069, NASDAQ is introducing a new Level 2 data feed product.
    • The new Level 2 will feature NASDAQ market participant top-of-file quotations with actual share size for non-NASDAQ listed issues as well as for NASDAQ-listed issues.
    • Since Level 2 is built on the integrated platform, it will offer better speed and efficiency as compared to the legacy NQDS product.
  • Beginning today, NASDAQ is operating the new Level 2 in beta mode for customer connectivity and testing purposes.
  • NASDAQ will officially release Level 2 in production mode on February 12, 2007.

Background:
Traditionally, Level 2SM 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-listed issues.

In addition, NASDAQ’s competitive pricing model and state-of-the-art systems have promoted rapid growth in its trading activity in non-NASDAQ listed securities. In the last year, NASDAQ’s share volume in NYSE- and Amex-listed securities has more than doubled. NASDAQ’s share volume in NYSE-listed securities 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 Trading NYSE-Listed Securities on NASDAQ page on the NASDAQ Trader® website.

Level 2 Direct Data Feed Options:
NASDAQ is introducing a new Level 2 data feed that features NASDAQ market participant top-of-file bid and ask quotations for non-NASDAQ listed issues as well as for NASDAQ-listed issues. In addition, Level 2 displays market participant quotes in actual shares, providing greater market transparency than NQDSSM and OpenView BasicSM. Built on the NASDAQ TotalView® dissemination model, the Level 2 feed is 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 also 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 TCP/IP protocol
  • 9.9 Mb for IP multicast protocol
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:

Implementation Schedule:
Level 2 is now operating in beta mode. Direct connect data feed subscribers should be able to connect to and begin testing the new Level 2 data feed.

Upon connection, Level 2 customers will be able to see real-time market participant top-of-file quotation data for all NASDAQ-listed securities. Firms should also receive market participant top-of-file quotations for the non-NASDAQ listed test securities (ZZT and ZVV). However, Level 2 subscribers will initially only see the top-of-file position from unattributed INET order book for non-NASDAQ listed securities.

On February 12, 2007, NASDAQ will consider Level 2 to be production-ready. On that date, Level 2 will reflect market participant top-of-file quotations for the full range of NASDAQ- and non-NASDAQ listed securities.

Ordering Information:
Contact Information:
For more information on Level 2 or on other data feed products, please contact:


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