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Wednesday, June 13, 2007

UTP Vendor Alert #2007 - 32
NASD Requests Minor UTDF Sale Condition Processing Change

Please route to:
  • Direct UTP data feed subscribers
Data Feed Impacted:
  • UTP Trade Data Feed (UTDF)
Summary:
  • At NASD's request, the UTP Operating Committee (UTPOC) has decided to modify the processing rules for the Settlement Type byte of the Sale Condition field on the UTP Trade Data Feed (UTDF).
  • Under the revised process, the NASDAQ Securities Information Processor (SIP) will allow UTP participants to enter the full range of Settlement Type codes for all transactions.
  • The NASDAQ SIP will support the new Settlement Type processing rules on UTDF beginning Monday, July 9, 2007.

Overview:
As outlined in UTP Vendor Alert #2007-011, the NASDAQ SIP modified its UTP Trade Data FeedSM (UTDFSM) long-form trade messages to support an expanded sale condition modifier in February of 2007. The new sale condition modifier consists of four bytes or levels:

Sale Condition Byte Purpose
Level 1 Settlement Type
Level 2 Reason Code for Trade-Through Exempt Transactions
Level 3 Extended Hours or Sold Trade Codes
Level 4 Self Regulatory Organization (SRO) Trade Details

At the time of the UTDF format change, the NASDAQ SIP rules provided for different validation rules for the Level 1 – Settlement Type field based on whether or not the reported transaction was Trade-Through Exempt.

Since the implementation of the new formats, it has come to the attention of the UTP Operating Committee (UTPOC) that the Level 1 – Settlement Type validations were more stringent for UTDF than for the Consolidated Tape System (CTS) operated by Securities Information Automation Corporation (SIAC). In the interest of cross-platform consistency, the UTPOC decided to relax the Level 1 price validation rules to allow the full range of settlement values for all trade transactions on UTDF. As a reminder, the allowable values for the Level 1 – Settlement Type byte are:

Level 1-Sale Condition Code Definition
@ Regular settlement
C Cash settlement
N Next Day settlement
R Seller sales day settlement
Y Regular settlement under yellow flag trading situation

Testing and implementation Schedule:
The NASDAQ SIP will implement the revised Level 1 – Settlement Type byte validation rules for UTDF on Monday, July 9, 2007 and will provide the following testing opportunities:

Type of Testing Scheduled Dates Description
Evening Test Transmissions Monday, June 25, 2007, through Friday, July 6, 2007 A test file will be recorded to be replayed in the evenings from 9:00 p.m. to 10:30 p.m., Eastern Time (ET), to all UTP data feed subscribers. No registration is required to participate in evening testing.
Saturday User Acceptance Test (UAT) Saturday, June 30, 2007 UTP participants will be invited to enter data to test the new functionality. As it is generated, the NASDAQ SIP will disseminate the test data via the UTP data feeds. Advance registration is requested for the UAT.
Production Date Monday, July 9, 2007 Enhancement release goes live into production.
Contact Information: