As announced in Vendor Alert #2002-161, NASDAQ^®, in its role as the security information processor (SIP) for the Unlisted Trading Privileges (UTP) plan, will implement the following format changes to the UTP Trade Data Feed^SM (UTDF^SM) in 2003:

At the request of the vendor community and industry participants, NASDAQ will release a new Closing Trade Summary Report (Category A – Type Z) as part of the market center official closing price release. Once released, the new format will replace the existing Category A – Type R message. While similar to the existing message format, the enhanced message contains a new “Market Center Close Indicator “ field in each attachment.

The Closing Trade Summary Report will be disseminated twice during the normal operational day, approximately at 5:20 p.m. Eastern Time (ET) and 6:35 p.m. 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.

UTDF Specification Changes

NASDAQ has outlined these data format changes in version 2.2 of the UTDF Subscriber Interface Specifications. Please click on the View/Print button below to access the updated specification document. Please note that this document contains an appendix providing detailed version control information.

UTDF Subscriber Interface Specifications Version 2.2

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.