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Friday, October 13, 2006

UTP Vendor Alert #2006 - 29
Revised: SIP Enhancement Release 10.0 SEC Regulation 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:
  • As announced in UTP Vendor Alert #2006-023, NASDAQ Securities 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 response to feedback from direct data recipients and the UTP Operating committee, the SIP will make additional modifications to the UTP Data Feed Specifications.

Overview of Reg NMS Changes:
As announced in UTP Vendor Alert #2006-023, NASDAQ SIP is scheduled to implement changes set forth by the SEC to comply with Reg NMS requirements.

In response to feedback from direct data recipients and the UTP Operating committee, the SIP will make additional modifications to the UTP Data Feed Specifications:

UQDF:

  • Added a new allowable value for the NASD ADF Appendage indicator. Value to be used when the quote is from a participant other than the ADF.
UTDF:
  • Removed sale condition Next Day “N” from byte 4 of the sale condition matrix. This should be allowable in byte 1 only.
  • Removed "space" as an allowable value for byte 1 of the sale condition matrix. UTP Participants are required to provide a settlement value in byte 1.
  • Modified section 4.1.5 the Prior Day As-Of Message to reflect a prior day date and time field instead of date only. Message format increased by one byte from original specification publication.
  • Added to section 7.9, As-Of processing, additional language on processing guidelines for As-Of transactions.
  • Revised the Sale Condition update rules for derivatively priced condition “4”. Value will be allowed to update High/Low.
Revised Data Feed Specifications:
The NASDAQ SIP has updated the data feed interface specifications to reflect the above modifications. Please click on the View/Print button below to access the most current updated specifications documents.

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

Testing and Implementation:
Prior to 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: