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Tuesday, September 12, 2006

UTP Vendor Alert #2006 - 23
SIP Enhancement Release 10.0 SEC Reg NMS Changes

Please Route To:
  • Direct UTP data feed subscribers
  • NASDAQ market data redistributors

Data feeds impacted:
  • UTP Quotation Data Feed (UQDF)
  • UTP Trade Data Feed (UTDF)

Summary:
  • NASDAQ Securites Information Processor (SIP) is scheduled to implement changes set forth by the Securities and Exchange Commission (SEC) to comply with Regulation National Market System (Reg NMS) requirements.
  • In order to accommodate changes mandated by Reg NMS, the UTP Plan is modifying functionality used for the last sale and quote information and will make the following changes to the UTP data feed products:
    • Expansion of the Sale Condition Field in UTDF
    • Inclusion of a new Trade-Through Exempt Flag in several UTDF trade messages
    • Inclusion of NASD Alternative Display Facility (NASD ADF) best bid and ask Market Maker attribution on UQDF
  • Addition of a new message for submission of Prior Day As-Of trade reporting

Overview of Reg NMS Changes:
The NASDAQ SIP is scheduled to implement changes set forth by the SEC to comply with Reg NMS requirements.

In order to accommodate changes mandated by Reg NMS, the UTP Plan is modifying functionality used for both quote and trade information:

Format Changes on UQDF:
NASD ADF will identify a single participant quotation for its best price for a stock (bid and/or ask) and specify the size that is available.

The NASDAQ SIP has performed the following modifications on the existing UQDF market participant/BBO quote message:

  • Replaced existing messages with new messages that added a new one-byte NASD MPID Appendage Indicator
  • Added a new Appendage, when necessary, that will identify the NASD ADF Best Bid MPID and the NASD ADF Best Ask MPID.

The NASDAQ SIP will continue to conduct minimal validations on the new values and will only pass through these data elements as provided by the NASD ADF inbound message to the SIP as part of their BBO quotation.

Please note that the OTC Montage Data FeedSM (OMDFSM) will not be impacted by this and will continue to exist in its current format.

Use of Trade Identifiers - Last Sale Reporting:
The NASDAQ SIP will restructure the manner in which trade reports will be disseminated by utilizing a new trade-through exempt flag and a new four-byte sale condition field that, when used in a specific order, more fully describe the characteristics of that particular trade.

As part of Reg NMS, UTP participants will be required to identify trade transactions that are exempt from the trade-through rule. In order to do so, the outbound specifications have been modified to include a new one-byte value to identify trade-through exempt prints. In addition, UTP participants will be required to identify trade transactions with specific sale conditions in order to more fully describe the characteristics of that particular trade and to identify the tradethrough exemption details when necessary.

The following SIP outbound message types are affected by this change and will be replaced with the new message formats. These new message formats will be modified to include a trade-through exempt flag as well as to expand the sale condition code to 4 bytes.

  • Trade Report Long Form
  • Trade Correction
  • Trade Cancel

Addition of New Prior Day As-Of Trade Message:
As part of the Reg NMS enhancements, the NASDAQ SIP will begin to disseminate a new Prior Day As-Of trade message on UTDF. The Prior Day As-Of trade message is used to report a trade which occurred earlier than the current day and was not reported or to report the cancellation of a trade that was reported in error from a previous day.

Revised Data Feed Specifications:
The NASDAQ SIP has updated the data feed interface specifications to reflect the Reg NMS enhancement changes. Please click on the View/Print button below to access the updated specifications documents.

UTP Quotation Data Feed (UQDF)
UTP Trade Data Feed (UTDF)

Testing and Implementation:
In advance of the Reg NMS release, the NASDAQ SIP plans to offer at least one month of evening format testing and two Saturday user acceptance test (UATs). NASDAQ will post a UTP Vendor Alert with the testing dates once the schedule has been confirmed.

Contact Information: