NASDAQ Level 2 Version 1.10

Transcription

1 NASDAQ Level 2 Versin Overview NASDAQ Level 2 is a direct data feed prduct ffered by The NASDAQ Stck Market, LLC. NASDAQ Level 2 Versin 1.10 is being released in assciatin f the equity symblgy initiative and will supprt issue symbls up t 8 characters in ttal length. The NASDAQ Level 2 SM prduct features the fllwing data elements: Tp-f-File Qutatins: Fr registered NASDAQ market participants in NASDAQ and CQS issues, NASDAQ calculates and disseminates a tp f file psitin based n attributed rders and qutatins entered by the firm. Level 2 will prvide nly the best bid and ask psitin fr each NASDAQ market participant registered in an issue. Fr the unattributed rders in the NASDAQ system, Level 2 will reflect nly the tp buy and sell prices under the MPID f NSDQ. Fr bandwidth efficiency reasns, NASDAQ will prcess bid qutatin updates as separate events than ask qute updates n the Level 2 data feed. Administrative messages, such trading actins, symbl directry, and market participant psitin messages: Trading actin messages are used t infrm market participants when a security is halted r released fr trading. Symbl Directry messages prvide basic security data such as the market tier and Financial Status Indicatr. Market participant psitin message carries the Primary market maker status, Market participant status, and market maker mde fields used by sme firms t cmply with market regulatins. Nte: Fr greater depth infrmatin, please refer t NASDAQ TtalView Aggregated SM and/r TtalView ITCH SM prducts. 2. Architecture The Level 2 feed is made up f a series f sequenced messages. Each message is variable in length based n the message type and is cmpsed f nn-cntrl ASCII bytes. The messages that make up the Level 2 prtcl are typically delivered using a higher level prtcl that takes care f sequencing and delivery guarantees. NASDAQ ffers the Level 2 data feed in three prtcl ptins:

2 Prtcl Optin SupTCP Cmpressed via SupTCP MldUDP Number f Outbund Channels Single utbund channel fr all securities Single utbund channel fr all securities Three utbund data channels using alphabetic split (See Appendix A) 3. Data Types All numeric fields are represented in ASCII digits and are right-justified. Padding spaces appear n the left as necessary. Prices are given in decimal frmat with 6 whle number places fllwed by 4 decimal digits. The whle number prtin is padded n the left with spaces; the decimal prtin is padded n the right with zers. The decimal pint is implied by psitin; it des nt appear inside the price field. Timestamp reflects the NASDAQ system time at which the utbund message was generated. NASDAQ states time as the number f millisecnds past midnight. The time zne is U.S. Eastern Time. All alpha fields are left-justified. Padding spaces appear n the right as necessary. 4. Message Frmats NASDAQ Level 2 supprts three basic types f messages: System Events NASDAQ market participant tp-f-file bid/ask update Administrative Data Within the system event and administrative types, NASDAQ may supprt multiple message frmats as utlined belw. 4.1 System Event Message The system event message type is used t signal a market r data feed handler event. The frmat is as fllws: SYSTEM EVENT MESSAGE Name Offset Length Value Ntes Timestamp 0 8 Numeric Time at which the system event was generated. Time is represented as number f secnds and millisecnds past midnight, Eastern Time (ET). Message 8 1 S System Event Message VERSION /1/2013 PAGE 2

3 Type Event Cde 9 1 Alpha Refer t System Event Cdes belw NASDAQ supprts the fllwing event cdes n a daily basis. SYSTEM EVENT CODES - DAILY Cde Explanatin O Start f Messages. This is always the first message sent in any trading day. S Start f System Hurs. This message indicates that NASDAQ is pen and ready t start accepting rders. Q Start f Market Hurs. This message is intended t indicate that Market Hurs rders are available fr executin. M End f Market Hurs. This message is intended t indicate that Market Hurs rders are n lnger available fr executin. E End f System Hurs. It indicates that NASDAQ is nw clsed and will nt accept any new rders. C End f Messages. This is always the last message sent in any trading day. Fr initial implementatin f the NASDAQ executin system, this message will be disseminated between 8:00 and 9:00 p.m., ET. Beginning the third quarter f 2008, NASDAQ will be capable f supprting the fllwing event cdes fr an emergency market situatin n NASDAQ Level 2. These messages will be disseminated if NASDAQ needs t evke an emergency market cnditin (EMC) as the result f circuit breaker rules r ther majr market emergency. SYSTEM EVENT CODES AS NEEDED Cde Explanatin A Emergency Market Cnditin Halt: This message is sent t infrm NASDAQ market participants that the EMC is in effect. N trading is allwed during the EMC. R Emergency Market Cnditin Qute Only Perid: This message is sent t infrm NASDAQ market participants that the EMC qutatin nly perid is in effect. B Emergency Market Cnditin Resumptin: This message is sent t infrm NASDAQ market participants that EMC is n lnger in effect. 4.2 Administrative Messages Stck Directry At the start f each trading day, NASDAQ disseminates stck directry messages fr all active symbls in the NASDAQ executin system. Market data redistributrs shuld prcess this message t ppulate the Financial Status Indicatr (required display field) and the Market Categry (recmmended display field) fr NASDAQ-listed issues. STOCK DIRECTORY Name Offset Length Value Ntes VERSION /1/2013 PAGE 3

4 Timestamp 0 8 Numeric Time at which the directry message was generated. Refer t Data Types fr field prcessing ntes. Message Type 8 1 R Stck Directry Message Stck 9 8 Alpha Dentes the security symbl fr the issue in the NASDAQ executin system. Market Categry 17 1 Alpha Indicates Listing market r listing market tier fr the issue Financial Status Indicatr N = New Yrk Stck Exchange (NYSE) A = NYSE Amex P = NYSE Arca Q = NASDAQ Glbal Select Market SM G = NASDAQ Glbal Market SM S = NASDAQ Capital Market Z = BATS BZX Exchange 18 1 Alpha Fr NASDAQ-listed issues, this field indicates when a firm is nt in cmpliance with NASDAQ cntinued listing requirements. D = Deficient E = Delinquent Q = Bankrupt S = Suspended G = Deficient and Bankrupt H = Deficient and Delinquent J = Delinquent and Bankrupt K = Deficient, Delinquent and Bankrupt Space = Cmpany is in cmpliance, if NASDAQ-listed issue Rund Lt Size Rund Lts Only Fr NYSE, NYSE Amex, NYSE Arca and BATS issues, this field will be space-filled. Redistributrs shuld refer t SIAC feeds fr cde if needed Numeric Indicates the number f shares that represent a rund lt fr the issue 25 1 Alpha Indicates if NASDAQ system limits rder entry fr issue Y = nly rund lts are accepted in this stck N = dd/mixed lts are allwed Stck Trading Actin NASDAQ uses this administrative message t indicate the current trading status f a security t the trading cmmunity. Prir t the start f system hurs, NASDAQ will send ut a Trading Actin spin. In the spin, NASDAQ will send ut a Stck Trading Actin message with the T (Trading Resumptin) fr all NASDAQ- and ther exchange-listed securities that are eligible fr trading at the start f the system hurs. If a security is absent frm the pre-pening Trading Actin spin, firms shuld assume that the security is VERSION /1/2013 PAGE 4

5 being treated as halted in the NASDAQ platfrm at the start f the system hurs. Please nte that securities may be halted in the NASDAQ system fr regulatry r peratinal reasns. After the start f system hurs, NASDAQ will use the Trading Actin message t relay changes in trading status fr an individual security. Messages will be sent when a stck is: Halted Paused* Released fr qutatin Released fr trading * The paused status will be disseminated fr NASDAQ-listed securities nly. Trading pauses n nn- NASDAQ listed securities will be treated simply as a halt. STOCK TRADING ACTION Name Offset Length Value Ntes Timestamp 0 8 Numeric Time at which the stck trading actin message was generated Message 8 1 H Stck Trading Actin Message Type Stck 9 8 Alpha Dentes the security symbl fr the issue in the NASDAQ Single Bk. Current Trading State 17 1 Alpha Indicates the current trading state fr the stck. Allwable values: H = Halted acrss all U.S. equity markets / SROs P = Paused acrss all U.S. equity markets / SROs (NASDAQ-listed securities nly) Q = Qutatin nly perid fr crss- SRO halt r pause T = Trading n NASDAQ Reasn 18 4 Alpha Reflects the Market Ops r MarketWatch cde fr the trading state change. Refer t Appendix C fr values. Nte: Fr NASDAQ-listed securities, NASDAQ cnducts a crss when it releases an IPO security r when it re-pens a seasned security after a trading halt r trading pause. T facilitate price transparency fr its crsses, NASDAQ disseminates a Net Order Imbalance Indicatr (NOII) message via the NASDAQ TtalView prduct suite at 5-secnd intervals during the qutatin nly perid f the Trading Actin release. The NOII data is especially valuable because it includes all rder types (displayable and nn-displayable) in its calculatin Reg SHO Shrt Sale Price Test Restricted Indicatr In February 2011, the Securities and Exchange Cmmissin (SEC) will implement changes t Rule 201 f the Regulatin SHO (Reg SHO). Fr details, please refer t SEC Release Number In assciatin with the Reg SHO rule change, NASDAQ will intrduce the fllwing Reg SHO Shrt Sale Price Test Restricted Indicatr message frmat. Fr NASDAQ-listed issues, NASDAQ will supprt a full pre-pening spin f Reg SHO Shrt Sale Price Test Restricted Indicatr messages indicating the Rule 201 status fr all active issues. NASDAQ will als send the Reg SHO Shrt Sale Price Test Restricted Indicatr message in the event f an intraday status change. NASDAQ will prcess rders based n the mst Reg SHO Restrictin status value. VERSION /1/2013 PAGE 5

6 REG SHO RESTRICTION Name Offset Length Value Ntes Timestamp 0 8 Numeric Time at which the market participant psitin message was generated Message Type 9 1 Y Reg SHO Shrt Sale Price Test Restricted Indicatr Stck 10 8 Alpha Stck symbl right padded with spaces. Reg SHO Actin 18 1 Alpha Dentes the Reg SHO Shrt Sale Price Test Restrictin status fr the issue at the time f the message disseminatin. Allwable values are: Market Participant Psitin 0 = N price test in place 1 = Reg SHO Shrt Sale Price Test Restrictin in effect due t an intra-day price drp in security 2 = Reg SHO Shrt Sale Price Test Restrictin remains in effect At the start f each trading day, NASDAQ disseminates a spin f market participant psitin messages. The message prvides the Primary Market Maker status, Market Maker mde and Market Participant state fr each NASDAQ market participant firm registered in an issue. Market participant firms may use these fields t cmply with certain marketplace rules. Thrughut the day, NASDAQ will send ut this message nly if NASDAQ Operatins changes the status f a market participant firm in an issue. PARTICIPANT POSITION SUMMARY Name Offset Length Value Ntes Timestamp 0 8 Numeric Time at which the market participant psitin message was generated Message Type 8 1 P Stck Directry Message MPID 9 4 Alpha Dentes the market participant identifier fr which the psitin message is being generated Stck 13 8 Alpha Dentes the security symbl fr which the psitin is being generated Primary Market Maker 21 1 Alpha Indicates if the market participant firm qualifies as a Primary Market Maker in accrdance with NASDAQ marketplace rules Market Maker Mde Y = primary market maker N = nn-primary market maker 22 1 Alpha Indicates the quting participant s registratin status in relatin t SEC Rules 101 and 104 f Regulatin M N = nrmal P = passive S = syndicate R = pre-syndicate VERSION /1/2013 PAGE 6

7 Market Participant State L = penalty 23 1 Alpha Indicates the market participant s current registratin status in the issue A = Active E = Excused/Withdrawn W = Withdrawn S = Suspended D = Deleted 4.3 Market Participant Tp-f-File Bid/Ask Updates Fr each registered NASDAQ market participant, NASDAQ calculates a tp-f-file psitin based n the firm s attributed rder and qutatin data. The tp-f-file psitin reflects the market participant s highest bid price and lwest ask price. Fr bandwidth efficiency reasns, NASDAQ will treat the market participant s bid and ask updates as separate events. Upn receipt f a Level 2 update, the data feed recipient firm shuld adjust the qutatin price fr the market side indicated in the message. If the size field within the message is zer, the data feed recipient shuld remve the market participant s price level frm its qutatin mntage. MARKET PARTICIPANT BID/ASK UPDATE Name Offset Length Value Ntes Timestamp 0 8 Numeric Time at which the price level update was generated Message Type 8 1 U Participant Price Level Update Message Market Side 9 1 Alpha Dentes the side f the market assciated with the price level update B = bid update S = ffer/ask update Participant Shares 10 9 Numeric Reflects the current number f shares displayed by this participant at this price level Stck 19 8 Alpha Dentes the security symbl fr which the price level is being generated Price Price Reflects the price assciated with the update. Refer t Data Types fr field prcessing ntes. MPID 37 4 Alpha Dentes the market participant identifier assciated with the price level update VERSION /1/2013 PAGE 7

8 4.9 Retail Price Interest Indicatr (RPII) Identifies a retail interest indicatin f the Bid, Ask r bth the Bid and Ask fr NASDAQ-listed securities. Retail Interest Message Name Offset Length Value Ntes Timestamp 0 8 Numeric Time at which the price level update was generated Message 8 1 N Retail Interest message Type Stck 9 8 Alpha Dentes the security symbl fr the issue in the NASDAQ executin system. Refer t Appendix B fr stck symbl cnventin infrmatin. Interest Flag 17 1 Alpha B = RPI rders available n the buy side S = RPI rders available n the sell side A = RPI rders available n bth sides (buy and sell) N = N RPI rders available 5. Supprt Fr general prduct supprt fr NASDAQ data feeds, please cntact NASDAQ OMX Glbal Data Prducts at r dataprducts@nasdaqmx.cm. Fr technical supprt fr NASDAQ data feeds, please cntact NASDAQ OMX Glbal Sftware Develpment at devsupprt@nasdaqmx.cm. VERSION /1/2013 PAGE 8

9 Appendix A Data Channel Assignment MldUDP Versin Only Fr initial implementatin f the Level 2 data feed, NASDAQ will disseminate the utbund messages via three lgical channels. Market participant bid/ask updates and administrative messages will be split based n the initial letter f the stck symbl within the message. Each data channel will cntain bth CQS- and NASDAQ-listed security data. The symbl assignment will be: Data Feed Channel NASDAQ Level 2 Channel #1 NASDAQ Level 2 Channel #2 NASDAQ Level 2 Channel #3 Symbl Alphabetic Range A t E F t N O t Z System event messages, hwever, will be disseminated acrss all data channels. Fr the MldUDP prtcl, the packet sequencing schema will be unique t each data channel. Fr the addressing infrmatin, please refer t the MldUDP Data Feed Addressing Infrmatin page f the NASDAQ OMX Trader website. VERSION /1/2013 PAGE 9

10 Appendix B Stck Symbl Cnventin Fr NASDAQ-listed issues, NASDAQ OMX currently restricts its symbl length t a maximum f 8 characters. Fr cmmn stck issuances, NASDAQ, PSX and BX will nly assign rt symbls f 1 t 4 characters in length with pssible fifth and r sixth character denting a suffix. In certain instances, a dt. delimiter may be applied t symbls after the rt and between the suffix eg., XXXX.A. Fr subrdinate securities, NASDAQ and BX will assign a 5 character symbl fr which the last character relays infrmatin abut the issue class r issue type. Fr the current list f fifth and r six character symbl suffixes, please refer t Ticker Symbl Cnventin page n the NASDAQ OMX Trader website. Fr NYSE-, NYSE MKT- and NYSE Arca-listed securities with subrdinate issue types, please refer t Ticker Symbl Cnventin page n the NASDAQ OMX Trader website. VERSION /1/2013 PAGE 10

11 Appendix C Trading Actin Reasn Cdes Fr NASDAQ-listed issues, NASDAQ acts as the primary market and has the authrity t institute a trading halt r trading pause in an issue due t news disseminatin r regulatry reasns. Fr CQS issues, NASDAQ abides by any regulatry trading halts and trading pauses instituted by the primary r listing market as apprpriate. Fr bth issue types, NASDAQ may als halt trading fr peratinal reasns. NASDAQ will send ut a trading actin message t infrm its market participants when the trading status f an issue changes. Fr infrmatinal purpses, NASDAQ als attempts t prvide the reasn fr each trading actin update. Fr bandwidth efficiency reasns, NASDAQ uses a 4-byte cde fr the reasn n its utbund data feeds. REASON CODES FOR TRADING HALT ACTIONS Cde Value T1 Halt News Pending T2 Halt News Disseminated T5 Single Security Trading Pause In Affect T6 Regulatry Halt Extrardinary Market Activity T8 Halt ETF T12 Trading Halted; Fr Infrmatin Requested by Listing Market H4 Halt Nn-Cmpliance H9 Halt Filings Nt Current H10 Halt SEC Trading Suspensin H11 Halt Regulatry Cncern LUDP Vlatility Trading Pause LUDS Vlatility Trading Pause Straddle Cnditin MWC1 Market Wide Circuit Breaker Halt Level 1 MWC2 Market Wide Circuit Breaker Halt Level 2 MWC3 Market Wide Circuit Breaker Halt Level 3 MWC0 Market Wide Circuit Breaker Halt Carry ver frm previus day O1 Operatins Halt; Cntact Market Operatins IPO1 IPO Issue Nt Yet Trading M1 Crprate Actin M2 Qutatin Nt Available Space Reasn Nt Available REASON CODES FOR QUOTATION/TRADING RESUMPTION ACTIONS Cde Value T3 News and Resumptin Times T7 Single Security Trading Pause / Qutatin Only Perid R4 Qualificatins Issues Reviewed/Reslved; Qutatins/Trading t Resume R9 Filing Requirements Satisfied/Reslved; Qutatins/Trading T Resume C3 Issuer News Nt Frthcming; Qutatins/Trading T Resume C4 Qualificatins Halt ended; Maintenance Requirements Met; Resume C9 Qualificatins Halt Cncluded; Filings Met; Qutes/Trades T Resume C11 Trade Halt Cncluded By Other Regulatry Auth.; Qutes/Trades Resume MWCQ Market Wide Circuit Breaker Resumptin R1 New Issue Available R2 Issue Available VERSION /1/2013 PAGE 11

12 IPOQ IPOE Space IPO Security Released fr Qutatin (NASDAQ Securities Only) IPO Security Psitining Windw Extensin (NASDAQ Securities Only) Reasn Nt Available VERSION /1/2013 PAGE 12

13 Appendix D Dcumentatin Revisin Cntrl Lg Nvember 1, 2013: NASDAQ Level 2 Versin 1.10 Released a new versin f the Level 2 dcumentatin t supprt details f expanded symblgy (Appendix B). March 9, 2013: NASDAQ Level 2 Versin 1.10 Released a new versin f the Level 2 dcumentatin t supprt the fllwing changes: Added the fllwing Trading Actin Reasn Cde fr LULD t reflect when the Natinal Best Bid is belw the lwer price band and/r the Natinal Best Offer is abve than the upper price band and the NMS Stck is nt in a Limit State. LUDS - Vlatility Trading Pause Straddle Cnditin January 9, 2013: NASDAQ Level 2 Versin 1.10 Released a new versin f the Level 2 dcumentatin t supprt the fllwing changes: NASDAQ OMX added the fllwing Trading Actin Reasn Cde: MWC0 - Market Wide Circuit Breaker Halt Carry ver frm previus day Remved the Trading State, R, frm the Stck Trading Actin message. January 8, 2013: NASDAQ Level 2 Versin 1.10 Released a new versin f the Level 2 dcumentatin t supprt the fllwing changes: Mdified the Retail Price Interest Indicatr Message. Changed the message type frm G t N. Nvember 6, 2012: NASDAQ Level 2 Versin 1.10 Released a new versin f the Level 2 dcumentatin t supprt the fllwing changes: Added the P value t the Trading State in the Stck Trading Message. Mdified the values fr the Trading Actin Reasn Cdes. Added the fllwing cdes: LUDP - Vlatility Trading Pause MWC1 - Market Wide Circuit Breaker Halt Level 1 MWC2 - Market Wide Circuit Breaker Halt Level 2 MWC3 - Market Wide Circuit Breaker Halt Level 3 MWCQ - Market Wide Circuit Breaker Resumptin Remved the Trading Actin values related t the Vlatility Guard Prgram. Remved Trading State, V. Eliminated Trading Actin Reasn Cdes, V1 and V2. Added Retail Price Interest Indicatr Message Nvember 1, 2011: NASDAQ Level 2 Versin 1.10 NASDAQ OMX updated the Market Categry message t include the cde Z fr BATSlisted securities. April 6, 2011: NASDAQ Level 2 Versin 1.10 NASDAQ OMX added tw new Trading Actin Reasn cdes t Appendix C fr the NASDAQ Vlatility Guard pilt prgram. New Reasn cdes were V1 and V2. Nvember 11, 2010: NASDAQ Level 2 Versin 1.10 NASDAQ OMX als fixed an errr in the Stck Trading Actin message frmat intrduced t the dcument in July Nvember 4, 2010: NASDAQ Level 2 Versin 1.10

14 NASDAQ OMX updated the Regulatin SHO message definitin t reflect the new SEC implementatin date. July 14, 2010: NASDAQ Level 2 Versin 1.10 NASDAQ OMX added a new Regulatin SHO Shrt Sale Price Test Restricted Indicatr message frmat t be intrduced in the furth quarter f July 2, 2010: NASDAQ Level 2 Versin 1.10 NASDAQ OMX added new Actin Trading cde(s) t the Stck Trading Actin message fr the NASDAQ Vlatility Guard trading pause. May 25, 2010: NASDAQ Level 2 Versin 1.10 NASDAQ added tw new Trading Actin Reasn cde values (T5 and T7) fr single security trading pause situatins. January 26, 2010: NASDAQ Level 2 - Versin 1.10 Released a new versin f the NASDAQ Level 2 dcumentatin t supprt the fllwing changes: Increased length f the symbl field frm 6 characters t 8 characters in multiple message frmats in supprt f the equity symblgy initiative. Mdified the values fr the Market Catetgry field in Symbl Directry messages t delineate amng NYSE-, NYSE Amex- and NYSE Arca-listed issues. Added nte t Appendix B t reflect that NASDAQ OMX is reviewing its stck symbl cnventins t determine if changes are needed. June 10, 2008: NASDAQ Level 2 - Versin 1.00 NASDAQ mdified the Level 2 specificatins dcument t add new cdes fr emergency market cnditin (EMC) situatins.: Sectin 4.2 System Event Message. Added the fllwing three cdes fr EMC situatins. A = Emergency market cnditin halt R = Emergency market cnditin qute nly perid B = Emergency market cnditin resumptin May 1, 2008: NASDAQ Level 2 - Versin 1.00 NASDAQ mdified the Level 2 specificatins dcument t reflect the fllwing changes: 4.3 Market Participant Tp-f-File Bid/Ask Updates. Updated dcument t clarify that hw firms shuld handle zer size updates n the Level 2 prduct. 5.0 Supprt: Updated the addresses t reflect the new nasdaqmx.cm web server name. Appendix B: Remved reference t phase 2 f the NASDAQ symblgy initiative. April 3, 2007: NASDAQ Level 2 - Versin 1.00 NASDAQ mdified the Level 2 specificatins dcument t reflect the fllwing changes: 2.0 Architecture and Appendix A - Data Channel Assignment. Updated dcument t clarify that nly the MldUDP data feed ptin is available in a split alphabet frmat. VERSION /1/2013 PAGE 14

15 February 15, 2007: NASDAQ Level 2 - Versin 1.00 NASDAQ mdified the Level 2 specificatins dcument t reflect the fllwing changes: Stck Trading Actin. Updated dcument t reflect actual system prcessing rules fr pre-pening trading actin spin. Appendix B Stck Symbl Cnventin. Updated dcument t reflect the mst current URL links t NASDAQ symblgy matrices. February 9, 2007: NASDAQ Level 2 - Versin 1.00 NASDAQ mdified the Level 2 specificatins dcument t reflect the fllwing changes: Market Participant Psitin. Crrected MPID field size and ffsets in the Market Participant (MP) Psitin message frmat. Octber 18, 2006: NASDAQ Level 2 - Versin 1.00 NASDAQ released the initial Level 2 data feed specificatin dcument t the public. VERSION /1/2013 PAGE 15