Tuesday, September 04, 2012

Data Technical News #2012 - 25
NASDAQ OMX to Correct Select Data Fields in NLS and NLS Plus

Markets Impacted:

  • The NASDAQ Stock Market

Products Impacted:

Contact Information:

What you need to know:

  • Effective Monday, October 1, 2012, NASDAQ OMX® will modify the NASDAQ Last Sale (NLS) and NLS Plus data feeds.
  • The Original Sale Condition Modifier field in the Trade Cancel / Error Message (Message Type = X) will be modified to include sale condition modifiers 'Q' (NASDAQ Official Opening Price) and 'M' (NASDAQ Official Close Price).
  • The Sale Condition Modifier – Level 1 in the Trade Report Message (Message Type = T) will be populated with '@' to indicate regular settlement trades. (NLS Plus Only)
  • Please Note: There are no message format changes to the NLS and NLS Plus data feeds.

What is changing?

Effective Monday, October 1, 2012, NASDAQ OMX will be making changes to the NLS and NLS Plus data feeds. There will be no message format changes to the NLS and NLS Plus data feeds, the technical specifications are available on the NASDAQ Trader® website.


Trade Cancel / Error Message (Message Type X)

The Trade Cancel / Error Message will be modified to include sale condition codes 'Q' (NASDAQ Official Opening Price) and 'M' (NASDAQ Official Close Price) in the Original Sale Condition Modifier field. No other sale condition modifiers (See Appendix A in the technical specifications) will change with this release.

Below is the Original Sale Condition Modifier field as indicated in the NLS and NLS Plus technical specifications:

Name Offset Len Type Value/Description
Original Sale Condition Modifier 48 (NLS)
33 (NLS Plus)		 4 Alphanumeric Defines the sale condition modifiers as reported on the original trade transaction.

Trade Report Message (Message Type T)

The Sale Condition Modifier – Level 1 field in the Trade Report Message will be modified to populate the field with '@' for all regular trades. Currently, regular trades are indicated with a in this field.

Please note: The population of the sale condition modifier only applies to the NLS Plus data feed as NLS currently populates regular trades with the '@', as expected.

Below is the Sale Condition Modifier – Level 1 as detailed in the NLS Plus technical specifications:

Name Offset Len Type Value/Description
Sale Condition Modifier – Level 1 33 1 Alphanumeric Used for Settlement Type information. Allowable values are:
Code Value
@ Regular Settlement
C Cash Settlement
N Next Day Settlement
R Seller Settlement

What must firms do to prepare for this change?

NASDAQ OMX advises that NLS or NLS Plus subscribers, that have workarounds to handle the current state of the data feeds, code to the data feeds as detailed in the technical specifications starting October 1, 2012.

Will testing opportunities be available?

Yes, NASDAQ OMX will offer a User Acceptance Test (UAT) on Saturday, September 15, 2012. Firms that would like to participate in the UAT should contact NASDAQ Trading Services or call +1 212 231 5180.

Where can I find additional information?


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About the NASDAQ OMX Group:
The NASDAQ OMX Group, Inc. is the world's largest exchange company. It delivers trading, exchange technology and public company services across six continents, with more than 3,600 listed companies. NASDAQ OMX offers multiple capital raising solutions to companies around the globe, including its U.S. listings market, NASDAQ OMX Nordic, NASDAQ OMX Baltic, NASDAQ OMX First North, and the U.S. 144A sector. The company offers trading across multiple asset classes including equities, derivatives, debt, commodities, structured products and exchange-traded funds. NASDAQ OMX technology supports the operations of over 70 exchanges, clearing organizations and central securities depositories in more than 50 countries. NASDAQ OMX Nordic and NASDAQ OMX Baltic are not legal entities but describe the common offering from NASDAQ OMX exchanges in Helsinki, Copenhagen, Stockholm, Iceland, Tallinn, Riga, and Vilnius. For more information about NASDAQ OMX, visit www.nasdaqomx.com.

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