NASDAQ^®, in its role as the security information processor (SIP) for the Unlisted Trading Privileges (UTP) plan, will be implementing the following two format changes to the UTP Trade Data Feed^SM (UTDF^SM) in 2003:

• Addition of a new Sale Condition Modifier “M” to denote the official Market Center Closing Price from UTP participants; and
• Addition of a Total Consolidated Volume message to reflect the cumulative volume for UTP participants in all NASDAQ listed issues.

In association with the Market Center Closing Price change, NASDAQ plans to change the initial dissemination time of the UTDF Closing Trade Summary Report from 5:20 p.m. to 4:35 p.m., Eastern Time (ET).

Market Center Close Sale Condition Modifier

In accordance with the UTP plan, the SIP populates the consolidated closing price in the UTDF Closing Trade Summary to reflect the final last sale eligible transaction received from a UTP participant. Currently, the SIP also populates the closing price for each market center using the same process.

Pending regulatory approval, the SIP will add a new sale condition modifier value of “M” to denote the official market center close price transaction. Trade messages with the “M” sale condition will update the market center high, low, and last sale prices, but will not impact the current consolidated trade processing rules or the individual market center close of any participant that chooses not to use the .M modifier. UTDF subscribers will need to revise their data processing code to accept and process the new “M” code accordingly.

Pending SEC approval, NASDAQ plans to use the “M” sale condition modifier. To prevent double counting of share volume, NASDAQ and other Market Centers could report their official closing price messages with zero volumes. Once available, the other UTP participants may also use the “M” sale condition modifier in accordance with their marketplace rules.

Total Consolidated Volume for UTP Trades

At the request of the media, the SIP will add a Total Consolidated Volume (Category V – Type C) message to UTDF. This new message format, which reflects the cumulative volume from UTP participants in all NASDAQ-listed issues, will be disseminated at half-hour intervals beginning at 9:45 a.m., ET. The final Total Consolidated Volume message will be disseminated immediately before the UTDF Closing Trade Summary Report at 6:40 p.m., ET.

UTDF Specification Changes

NASDAQ has outlined these data format changes in version 2.1 of the UTDF Subscriber Interface Specifications. Please click on the View/Print button below to access the updated specification document.

UTDF Subscriber Interface SpecificationsVersion 2.1

Conclusion

NASDAQ is still finalizing its schedule for this UTDF release. As soon as the testing and implementation dates are established, it will post a Vendor Alert to the NASDAQ Trader^SM Web site.

Thank you for your attention to this matter. Questions about UTDF should be directed to NASDAQ Market Data Distribution at (301) 978-5307 or MKTDATASVC@nasdaq.com.