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Nasdaq Global Data Products - Web Based Reports



Web-Based Data Products for Redistribution

Data Entitlement Name Product Description Specifications and Sample Files
Nasdaq Historical TotalView-ITCH File containing all of the Nasdaq TotalView-ITCH outbound order messages: File containing Nasdaq net order imbalance data (NOII):
  • Standalone NOII data file offered as of January 4, 2010
  • NOII data included in the full TotalView-ITCH data log files as of August 13, 2007

Secured FTP Specifications:

File Translation Specifications:

Data Format Specifications for Raw Data:
BX Historical TotalView-ITCH File containing all of the BX TotalView-ITCH outbound data feed messages:

Secured FTP Specifications:

File Translation Specifications:

Data Format Specifications for Raw Data:
PSX Historical TotalView-ITCH File containing all of the PSX TotalView-ITCH outbound data feed messages:

Secured FTP Specifications:

File Translation Specifications:

Data Format Specifications for Raw Data:
Nasdaq Daily List
  • Advance notification of corporate action information such as new listings, delistings, name/symbol changes, listing market tier changes, and dividend declarations impacting Nasdaq-listed issues
  • Security master changes to Nasdaq Fund Network (NFN) database
  • Files posted and updated intraday
  • Files available via secured website or secured FTP server
  • Subscription includes access to historical Daily List data dating back to 1998

Specifications:

Sample Data Files (with CUSIPs):

Sample Data Files (Without CUSIP):

Nasdaq, BX and PSX Short Sale Volume and Transaction Reports

Nasdaq offers two types of short sale files based on the trading activity on The Nasdaq Stock Market, Nasdaq BX (BX) and Nasdaq PSX (PSX):

  • The Daily Short Sale Volume Files reflects the aggregated number of shares executed on Nasdaq®, BX and PSX during regular trading hours. At the security level, Nasdaq will show the volume for executed short sale trades as well as the total trading volume for Nasdaq, BX and PSX. Because Nasdaq, BX and PSX market participants may trade all U.S. exchange-listed securities, the file will include short sale data for Nasdaq-, NYSE- and regional exchange-listed issues.
  • The Monthly Short Sale Transaction File provides a trade-by-trade record of all short sales executed on the Nasdaq, BX and PSX execution systems and reported to a consolidated tape in Nasdaq-, NYSE- and MKT-listed issues. Within this file, Nasdaq will provide trade details including the transaction time, price and number of share for every short sale transaction.

Specifications:

Sample Data Files:
Nasdaq Short Interest Reports
  • Summary of short interest positions for all Nasdaq-listed issues as reported by FINRA
  • Files available on semi-monthly basis via secured FTP server
  • Subscription includes current month’s data only

Specifications:

Sample Data File:

Complement Product:
Fundamental Data
  • Summary file of the prior day’s trading activity for all Nasdaq-listed issues
  • Summary file also includes key fundamental data elements such as Total Shares Outstanding and Public Float for Nasdaq-listed issues
  • File available on T+1 basis via secured website or secured FTP server
  • Subscription includes current month’s data only

Specifications:

Sample Data Files:
Nasdaq Daily Share Volume Report
  • Daily and monthly summary of aggregated trading volume for Nasdaq exchange participants
  • Provides "gold-source" data obtained from trades executed on the Nasdaq Market Center
  • Highlights Nasdaq liquidity in the full range of U.S. equity securities including NYSE- and NYSE Alternext-listed issues.
  • Files are available on a T+1 and monthly basis via secured website or secured FTP server

Specifications:
Global Index Watch (GIW)
  • GIW is an indispensable tool for investment professionals who track Nasdaq indexes or trade Nasdaq index-related derivative instruments.
  • Provides essential historical index data for all Nasdaq indexes via an easy-to-use web interface or a web service.
    • Tracks daily changes to the composition and weighting of Nasdaq indexes
    • Reports advanced notice of corporate actions
    • Maintains a historical record of the values, composition, weighting and divisors indexes and more

Web Service Specifications:
Historical PHLX Orders
  • File containing all of the PHLX Orders (from TOPO Plus Orders) outbound order data feed messages.

Secured FTP Specifications:

File Translation Specifications:

Data Format Specifications for Raw Data:
Historical ITTO
  • File containing all of the order and trade transaction data from the ITTO data feed on NOM.

Secured FTP Specifications:

File Translation Specifications:

Data Format Specifications for Raw Data:
Nasdaq ISE Open/Close Trade Profile
  • Nasdaq ISE Open/Close Trade Profile provides End-of-Day and Intra-Day data for each option series listed on ISE in which an electronic trade occured during the day. Files are available via Nasdaq Data Link API.
    • End-of-Day files are available on a T+1 basis.
    • Intra-Day files are cumulative and are available every ten minutes throughout the trading day.

Data Field Description:
Nasdaq GEMX Open/Close Trade Profile
  • Nasdaq GEMX provides End-of-Day and Intra-Day data for each option series listed on GEMX in which an electronic trade occured during the day. Files are available via Nasdaq Data Link API.
    • End-of-Day files are available on a T+1 basis.
    • Intra-Day files are cumulative and are available every ten minutes throughout the trading day.

Data Field Description:
Nasdaq ISEE Select XML Data Feed
  • Proprietary put/call value for each underlying security calculated based on trade activity on options traded at the Nasdaq ISE exchange. Files are available via Nasdaq Data Link API.
    • Updated every ten minutes throughout the trading day.

Data Field Description:
PHLX Options Trade Outline (PHOTO)
  • PHOTO provides End-of-Day and Intra-Day data for each option series listed on PHLX in which an electronic trade occurred during the day. Files are available via Nasdaq Data Link API.
    • End-of-Day files are available on a T+1 basis.
    • Intra-Day files are cumulative and are available every ten minutes throughout the trading day.

Data Field Description:
Nasdaq Options Trade Outline (NOTO)
  • NOTO provides End-of-Day and Intra-Day data for each option series listed on NOM in which an electronic trade occured during the day. Files are available via Nasdaq Data Link API.
    • End-of-Day files are available on a T+1 basis.
    • Intra-Day files are cumulative and are available every ten minutes throughout the trading day.

Data Field Description:


Please refer to the Agreements – Nasdaq Data Products page for information on how to subscribe to these Nasdaq web-based products.

In addition to the reports listed above, Nasdaq offers a limited number of monthly FTP products via its Nasdaq DataStore website. Introduced in 2007, Nasdaq DataStore offers such products as Nasdaq Daily Share Volume and Nasdaq Trade Ads for market participant firms and market data vendors. Firms wishing to connect to DataStore should contact Nasdaq Market Data Distribution.