In response to requests from market participants, NASDAQ will introduce a proprietary NASDAQ ITCH to Trade Options data feed that features the following data elements:
NASDAQ’s order level data with attribution in The NASDAQ Options Market system.
NASDAQ's last sale data for the NASDAQ Options Market.
Net order imbalance information for NASDAQ-trade option contracts in the minutes leading up to the Opening and Closing Auctions.
Overview:
As announced in Head Trader Alert #2007-086, The NASDAQ Stock Market® will launch an equity and index options market, pending SEC approval. In developing The NASDAQ Options Market, NASDAQ® has leveraged its core strengths of high performance technology and far-reaching connectivity to operate a fully electronic trading system developed to trade options. The NASDAQ Options Market system will provide for the electronic display and execution of orders in price/time priority without regard to the types of entities entering orders and will offer immediate and automatic price improvement to orders. All NASDAQ members will be eligible to participate in The NASDAQ Options Market system, either as order-entry firms or market makers. The system will also provide a routing service for orders when trading interest is not present on The NASDAQ Options Market and will link with and comply with the obligations of the Options InterMarket Linkage.
Market Data Impact:
NASDAQ has received several requests from industry and market participants to develop a proprietary data feed that would provide order level data available within The NASDAQ Options Market. NASDAQ plans to introduce, NASDAQ ITCH to Trade OptionsSM (ITTOSM), providing order level data with market participant attribution. The ITTO product will feature:
NASDAQ will provide its full order depth using a series of order messages to track the life of a customer order and will support market participant attribution.
NASDAQ’s trade data for option contract executions that occur within The NASDAQ Options Market. Net order imbalance information for NASDAQ-trade option contracts in the minutes leading up to the Opening and Closing Auctions.
Administrative messages that summarize the eligible contract information and trading status information for The NASDAQ Options Market system.
In response to customer networking needs, NASDAQ will offer the ITTO data feed in TCP/IP protocol as well as IP multicast. The DAP bandwidth recommendation will be 100 Megabits (Mb) per data center connection. For firms looking to save on networking costs, NASDAQ will also offer a compressed TCP/IP version of the DAP feed that will require 75% less bandwidth. For information on how to access the proprietary data feeds, please refer to the NASDAQ Connectivity Providers document.
Beta Testing Details:
NASDAQ will offer a beta version of the NASDAQ ITCH to Trade OptionsSM (ITTOSM) data feed at both of its data centers for testing purposes. NASDAQ will run the beta data feed in both TCP/IP and MoldUDP network protocol options until March 28, 2008, at which time NASDAQ will deem the feed production ready. For information on how to access the NASDAQ data centers, please refer to the NASDAQ Connectivity Providers document. For technical support during the beta period, please contact NASDAQ Development Support.
Ordering Information:
Distributors must submit the appropriate documentation and receive approval from NASDAQ in order to receive the DAP data feed:
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NASDAQ is the largest U.S. electronic equities exchange. With approximately 3,200 companies, it lists more companies and, on average, trades more shares per day than any other U.S. electronic market. It is home to companies that are leaders across all areas of business including technology, retail, communications, financial services, transportation, media and biotechnology. NASDAQ is the primary market for trading NASDAQ-listed stocks as well as a leading liquidity pool for trading NYSE-listed stocks. For more information about NASDAQ, visit the NASDAQ Trader website at www.NASDAQTrader.com.
