NASDAQ OMX BX TotalView-ITCH 4.1

Transcription

1 NASDAQ OMX BX TtalView-ITCH 4.1 Fr BX Trading Venue and BX Listing Market NASDAQ OMX Glbal Data Prducts 805 King Farm Blvd. Rckville, MD /1/2013 1

2 NASDAQ OMX BX TtalView-ITCH Overview 1.1 Prduct Descriptin NASDAQ OMX BX TtalView-ITCH ( BX TtalView-ITCH ) is a direct data feed prduct ffered by NASDAQ OMX BX. BX TtalView-ITCH 4.1 is being released in assciatin with the equity symblgy initiative and will supprt issue symbls up t 8 characters in ttal length. BX TtalView-ITCH features the fllwing data elements that supprt trading n the BX exchange in all exchange-listed equities securities: Order level data with attributin: The BX TtalView-ITCH 4.1 data feed prvides its full rder depth using the standard ITCH frmat. ITCH uses a series f messages f rder messages t track the life f a custmer rder. 1 As an added feature, the message frmats will supprt market participant attributin. BX TtalView-ITCH 4.1 carries rder level data fr all U.S. exchange-listed equities. Trade messages: T ensure that custmers have cmplete infrmatin abut BX market rder flw, NASDAQ OMX BX TtalView-ITCH 4.1 supprts a trade message t reflect a match f a nn-displayable rder in the BX system. Administrative messages, such trading actins and symbl directry 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. Event cntrls, such as start f day, end f day and emergency market halt/resume. 1.2 Upcming Prduct Enhancements As nted abve, the BX TtalView-ITCH 4.1 feed is designed t supprt the expanded equity symbls up t 8 characters in ttal length. In additin, the BX TtalView-ITCH 4.1 is designed t supprt BX listing market functinality. NASDAQ OMX has filed with the U.S. Securities and Exchange Cmmissin (SEC) t establish listing standards fr the BX exchange. All new values and enhanced functinality t supprt the BX Listing Market is highlighted in blue t assist subscribing custmers in identifying the changes. 1 NASDAQ OMX BX TOTALVIEW-ITCH is an utbund market data feed nly. The ITCH prtcl des nt supprt rder entry. Fr infrmatin n NASDAQ OMX BX rder entry prtcls, please refer t the Trading Services sectin f the NASDAQ OMX Trader website. 2

3 With the intrductin f the BX Listing Market, NASDAQ OMX will enhance the BX trading system t supprt an pening and clsing crss prcess. In additin, NASDAQ OMX will intrduce the fllwing enhancements t the BX TtalView-ITCH 4.1 data feed prduct: Symbl Directry messages: NASDAQ OMX will add a new Market Categry Cde f B t clearly identify securities listed n the BX Listing Market. Net Order Imbalance Indicatr (NOII) messages: In the minutes leading up t the new pening and clsing crsses, BX TtalView-ITCH will disseminate the indicative clearing price and net rder imbalance fr BX-listed securities nly. Because the calculatin includes nn-displayable as well as displayable rder types in the BX market system, the Net Order Imbalance Indicatr (NOII) is the best predictr f the BX pening and clsing prices available t the public fr BX-listed securities. Crss Trade messages: The BX TtalView-ITCH data feed will als supprt a separate Crss Trade message frmat t clearly dente the price and vlume executed during the pening and clsing crss prcess in the BX system fr BX-listed securities nly. 2 Architecture The NASDAQ BX TtalView-ITCH 4.1 feed is made up f a series f sequenced messages. Each message is variable in length based n the message type. The messages that make up the NASDAQ BX TtalView ITCH 4.1 prtcl are typically delivered using a higher level prtcl that takes care f sequencing and delivery guarantees. This data feed will be ffered in three prtcl ptins: SupBINTCP Cmpressed via SupTCP MldUDP64 3 Data s All integer fields are unsigned big-endian (netwrk byte rder) binary encded numbers. All alpha fields are left justified and padded n the right with spaces. Prices are integer fields. When cnverted t a decimal frmat, prices are in fixed pint frmat with 6 whle number places fllwed by 4 decimal digits. The maximum price in NASDAQ BX TtalView- ITCH 4.1 is 200, (decimal, hex). 4 Message Frmats The BX TtalView-ITCH 4.1 feed is cmpsed f a series f messages that describe rders added t, remved frm, and executed n NASDAQ OMX BX as well as disseminate Crss and Stck Directry infrmatin. 4.1 Time Stamp Secnds Fr bandwidth efficiency reasns, NASDAQ OMX BX will separate the BX TtalView-ITCH 4.1 timestamp int tw pieces: Timestamp Prtin Message Ntes Secnds Standalne message n BX TtalView-ITCH 4.1 feed Reflects the number f secnds past midnight that the Timestamp message was generated. 3

4 Field within individual message frmats n BX TtalView-ITCH 4.1 feed Nte: A Timestamp Secnd message will be disseminated fr every secnd fr which there is at least ne paylad message. Reflects the number f nansecnds since the mst recent Timestamp-Secnds message that the paylad message was generated. Fr the standalne Timestamp Secnds message, the message frmat will be as fllws: TIMESTAMP - SECONDS MESSAGE Message 0 1 T Secnds Message. Secnd 1 4 Integer f secnds since midnight. 4.2 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 Message 0 1 S System Event Message. Timestamp 1 4 Integer prtin f the timestamp. Event Cde 5 1 Alpha See System Event Cdes belw. NASDAQ OMX BX supprts the fllwing event cdes n a daily basis n the BX TtalView-ITCH 4.1 data feed. SYSTEM EVENT CODES DAILY Cde Explanatin O Start f Messages. Outside f time stamp messages, the start f day message is the first message sent in any trading day. S Start f System hurs. This message indicates that NASDAQ OMX BX 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 OMX BX is nw clsed and will nt accept any new rders tday. It is still pssible t receive Brken Trade messages and Order Delete messages after the End f Day. C End f Messages. This is always the last message sent in any trading day. In the event f an emergency market cnditin (EMC), NASDAQ OMX BX will als supprt the fllwing event cdes n BX TtalView-ITCH 4.1. SYSTEM EVENT CODES AS NEEDED 4

5 Cde A R B Explanatin Emergency Market Cnditin Halt: This message is sent t infrm NASDAQ OMX BX market participants that the EMC is in effect. N trading is allwed during the EMC. Emergency Market Cnditin Qute Only Perid: This message is sent t infrm NASDAQ OMX BX market participants that the EMC qutatin nly perid is in effect. Emergency Market Cnditin Resumptin: This message is sent t infrm NASDAQ OMX BX market participants that EMC is n lnger in effect. 4.3 Stck Related Messages Stck Directry At the start f each trading day, NASDAQ OMX BX disseminates stck directry messages fr all active symbls in the 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 and BX-listed. STOCK DIRECTORY Message 0 1 R Stck Directry Message Timestamp Integer prtin f the timestamp. Stck 5 8 Alpha Dentes the security symbl fr the issue in the Market Categry feed 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 B = BX-Listing Market Space = Nt available 14 1 Alpha Fr NASDAQ-listed r BX-listed issues, this field indicates when a firm is nt in cmpliance with NASDAQ r BX 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 NASDAQlisted r BX-listed issue 5

6 Fr NYSE, NYSE Amex, NYSE Arca and BATS issues, this field will als be space-filled. Redistributrs shuld refer t SIAC feeds fr cde if needed. Rund Lt Size 15 4 Integer Indicates the number f shares that represent a rund lt fr the issue Rund Lts Only 19 1 Alpha Indicates if NASDAQ r BX 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 OMX BX 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 OMX BX will send ut a Trading Actin spin. In the spin, NASDAQ OMX BX 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 being treated as halted in the NASDAQ OMX BX platfrm at the start f the system hurs. Please nte that securities may be halted in the NASDAQ OMX BX system fr regulatry r peratinal reasns. After the start f system hurs, NASDAQ OMX BX 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 r paused, is released fr qutatin, r is released fr trading. STOCK TRADING ACTION Message 0 1 H Stck Trading Actin Message. Timestamp Integer prtin f the timestamp. Stck 5 8 Alpha Stck symbl right padded with spaces. Trading State 13 1 Alpha Indicates the current trading state fr the stck. Allwable values: H = Halted r paused n acrss all U.S. equity markets Q = Qutatin nly perid fr crss-market halt r pause T = Trading n BX Reserved 14 1 Alpha Reserved. Reasn 15 4 Alpha Trading Actin reasn. Fr the list f reasn cdes, please refer t Appendix C Reg SHO Shrt Sale Price Test Restricted Indicatr In Nvember 2010, 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 In assciatin with the Reg SHO rule change, NASDAQ will intrduce the fllwing Reg SHO Shrt Sale Price Test Restricted Indicatr message frmat. 6

7 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. Fr ther exchange-listed issues, NASDAQ will relay the Reg SHO Shrt Sale Price Test Restricted Indicatr message when it receives an update frm the primary listing exchange. NASDAQ will prcess rders based n the mst updated Reg SHO Restrictin status value. REG SHO RESTRICTION Message 0 1 Y Reg SHO Shrt Sale Price Test Restricted Indicatr Timestamp Integer prtin f the timestamp. Stck 5 8 Alpha Stck symbl right padded with spaces. Reg SHO Actin 13 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: 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 7

8 4.3.4 Market Participant Psitin At the start f each trading day, NASDAQ OMX BX 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 OMX BX market participant firm registered in an issue. Market participant firms may use these fields t cmply with certain marketplace rules. Thrughut the day, NASDAQ OMX BX will send ut this message nly if NASDAQ Operatins changes the status f a market participant firm in an issue. MARKET PARTICIPANT POSITION Message 0 1 L Market Participant Psitin message Timestamp Integer prtin f the timestamp. MPID 5 4 Alphabetic Dentes the market participant identifier fr which the psitin message is being generated Stck 9 8 Alphanumeric Dentes the security symbl fr which the psitin is being generated Primary Market Maker 17 1 Alphanumeric Indicates if the market participant firm qualifies as a Primary Market Maker in accrdance with NASDAQ OMX BX marketplace rules Market Maker Mde Market Participant State Y = primary market maker N = nn-primary market maker 18 1 Alphanumeric 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 L = penalty 19 1 Alphanumeric Indicates the market participant s current registratin status in the issue A = Active E = Excused/Withdrawn W = Withdrawn S = Suspended D = Deleted 4.4 Add Order Message An Add Order Message indicates that a new rder has been accepted by the system and was added t the displayable bk. The message includes a day-unique Order Reference used by NASDAQ OMX BX t track the rder. NASDAQ OMX BX will supprt tw variatins f the Add Order message frmat Add Order N MPID Attributin This message will be generated fr unattributed rders in the NASDAQ OMX BX system. 8

9 ADD ORDER MESSAGE Message 0 1 A Add Order N MPID Attributin Message. Timestamp Integer prtin f the timestamp. Order Reference 5 8 Integer The unique reference number assigned t the new rder. The rder reference number is increasing, but nt necessarily sequential. Buy/Sell Indicatr 13 1 Alpha The type f rder being added. B = buy rder. S = sell rder. Shares 14 4 Integer The ttal number f shares assciated with the rder being added t the bk. Stck 18 8 Alpha The security symbl fr which the rder is being added. Price 26 4 Integer The display price f the new rder. Refer t Data s fr field prcessing ntes Add Order with MPID Attributin This message will be generated fr attributed rders and qutatins entered int the NASDAQ OMX BX system. ADD ORDER MPID ATTRIBUTION MESSAGE Message 0 1 F Add Order with MPID Attributin Message. Timestamp Integer prtin f the timestamp. Order Reference 5 8 Integer The unique reference number assigned t the new rder. The rder reference number is increasing, but nt necessarily sequential. Buy/Sell Indicatr 13 1 Alpha The type f rder being added. B = buy rder. S = sell rder. Shares 14 4 Integer The ttal number f shares assciated with the rder being added t the bk. Stck 18 8 Alpha The security symbl fr which the rder is being added. Price 26 4 Integer The display price f the new rder. Refer t Data s fr field prcessing ntes. Attributin 30 4 Alpha NASDAQ OMX BX market participant identifier assciated with the entered rder. 4.5 Mdify Order Messages Mdify Order messages always include the Order Reference f the Add Order t which the update applies. T determine the current display shares fr an rder, BX TtalView-ITCH 4.1 subscribers must deduct the number f shares stated in the Mdify message frm the riginal number 9

10 f shares stated in the Add Order message with the same reference number. NASDAQ OMX BX may send multiple Mdify Order messages fr the same rder reference number and the effects are cumulative. When the number f display shares fr an rder reaches zer, the rder is dead and shuld be remved frm the bk Order Executed Message This message is sent whenever an rder n the bk is executed in whle r in part. It is pssible t receive several Order Executed Messages fr the same rder reference number if that rder is executed in several parts. The multiple Order Executed Messages n the same rder are cumulative. By cmbining the executins frm bth types f Order Executed Messages and the Trade Message, it is pssible t build a cmplete view f all nn-crss executins that happen n NASDAQ OMX BX. Crss executin infrmatin is available in ne bulk print per symbl via the Crss Trade Message. ORDER EXECUTED MESSAGE Message 0 1 E Order Executed Message. Timestamp Integer prtin f the timestamp. Order The rder reference number assciated with the Reference 5 8 Integer executed rder. Executed Shares 13 4 Integer The number f shares executed. Match 17 8 Integer The BX generated day-unique Match f this executin. The match number is als referenced in the Trade Break Message Order Executed With Price Message This message is sent whenever an rder n the bk is executed in whle r in part at a price different frm the initial display price. Since the executin price is different than the display price f the riginal Add Order, NASDAQ OMX BX includes a price field within this executin message. It is pssible t receive multiple Order Executed and Order Executed With Price messages fr the same rder if that rder is executed in several parts. The multiple Order Executed messages n the same rder are cumulative. These executins may be marked as nn-printable. If the executin is marked as nn-printed, it means that the shares will be included int a later bulk print (e.g., in the case f crss executins). If a firm is lking t use the data in time-and-sales displays r vlume calculatins, NASDAQ OMX BX recmmends that firms ignre messages marked as nn-printable t prevent duble cunting. ORDER EXECUTED WITH PRICE MESSAGE Message 0 1 C Order Executed Message. Timestamp Integer prtin f the timestamp. Order The reference number f the rder that was Reference 5 8 Integer executed. 10

11 Executed Shares Match NASDAQ OMX BX TOTALVIEW-ITCH Integer The number f shares executed Integer The NASDAQ OMX BX generated day-unique Match f this executin. The match number is als referenced in the Trade Break Message. Indicates if the executin shuld be reflected n time and sale displays and vlume calculatins. Printable 25 1 Alpha Executin Price 26 4 Integer N = nn-printable Y = printable The price at which the rder executin ccurred. Refer t Data s fr field prcessing ntes Order Cancel Message This message is sent whenever an rder n the bk is mdified as a result f a partial cancellatin. ORDER CANCEL MESSAGE Message 0 1 X Order Cancel Message. Timestamp Integer prtin f the timestamp. Order Reference 5 8 Integer The reference number f the rder being reduced. Canceled Shares 13 4 Integer The number f shares being remved frm the display size f the rder as the result f a cancellatin Order Delete Message This message is sent whenever an rder n the bk is being cancelled. All remaining shares are n lnger accessible s the rder must be remved frm the bk. ORDER DELETE MESSAGE Message 0 1 D Order Delete Message. Timestamp Integer prtin f the timestamp. Order Reference 5 8 Integer The reference number f the rder being canceled. 11

12 4.5.5 Order Replace Message NASDAQ OMX BX TOTALVIEW-ITCH 4.1 This message is sent whenever an rder n the bk has been cancel-replaced. All remaining shares frm the riginal rder are n lnger accessible, and must be remved. The new rder details are prvided fr the replacement, alng with a new rder reference number which will be used hencefrth. The side, stck, and attributin (if any) remain the same as the riginal rder, s they are nt given in this message. ORDER REPLACE MESSAGE Message 0 1 U Order Replace Message Timestamp Integer prtin f the timestamp. Original Order Reference 5 8 Integer The riginal reference number f the rder being replaced. New Order Reference 13 8 Integer The new reference number fr this rder. Nte that new reference numbers mean new time pririty, s this rder belngs belw ther rders at the same price in pririty. Shares 21 4 Integer The new ttal displayed quantity. Price 25 4 Integer The new display price fr the rder. Refer t Data s fr field prcessing ntes. 4.6 Trade Messages Trade Message (Nn-Crss) The Trade Message is designed t prvide executin details fr nrmal match events invlving nndisplayable rder types. (Nte: There is a separate message fr crss events.) Since n Add Order Message is generated when a nn-displayed rder is initially received, the system cannt use the Order Executed messages fr all matches. Therefre this message indicates when a match ccurs between nn-displayable rder types. A Trade Message is transmitted each time a nn-displayable rder is executed in whle r in part. It is pssible t receive multiple Trade Messages fr the same rder if that rder is executed in several parts. Trade Messages fr the same rder are cumulative. Trade Messages shuld be included in NASDAQ OMX BX time-and-sales displays as well as vlume and ther market statistics. Since Trade Messages d nt affect the bk, hwever, they may be ignred by firms just lking t build and track the NASDAQ OMX BX display. TRADE MESSAGE (NON-CROSS) Message 0 1 P Trade Message Timestamp Integer prtin f the timestamp. Order 5 8 Integer The unique reference number assigned t the Reference rder n the bk being executed. Effective December 6, 2010, NASDAQ OMX will ppulate the Order Reference field 12

13 within the Trade (Nn-Crss) message as zer. Fr the binary versins f the TtalView-ITCH data feeds, the field will be null-filled bytes (which encdes sequence f zer). Buy/Sell Indicatr 13 1 Alpha The type f nn-display rder n the bk being matched. B =buy rder S =sell rder Shares 14 4 Integer The number f shares being matched in this executin. Stck 18 8 Alpha The security symbl assciated with the match executin. Price 26 4 Integer The match price f the rder. Refer t Data s fr field prcessing ntes. Match 30 8 Integer The NASDAQ OMX BX generated sessinunique Match fr this trade. The Match is referenced in the Trade Break Message Crss Trade Message The Crss Trade message is nly applicable fr eligible BX-listed securities and indicates that BX has cmpleted its crss prcess fr a specific BX-listed security. BX sends ut a Crss Trade message fr all active BX-listed issues in the system fllwing the Opening, Clsing and EMC crss events. Firms may use the Crss Trade message t determine when the crss fr each BX-listed security has been cmpleted. (Nte: Fr the halted securities, firms shuld use the Trading Actin message t determine when an issue has been released fr trading.) Fr mst BX-listed securities, the Crss Trade message will indicate the bulk vlume assciated with the crss event. If the rder interest is insufficient t cnduct a crss in a particular issue, hwever, the Crss Trade message may shw the shares as zer. T avid duble cunting f crss vlume, firms shuld nt include transactins marked as nnprintable in time-and-sales displays r market statistic calculatins. CROSS TRADE MESSAGE Message 0 1 Q Crss Trade Message Timestamp Integer prtin f the timestamp. Shares 5 8 Integer The number f shares matched in the BX Crss. Stck 13 8 Alpha The BX-listed security symbl assciated with the crss trade message. Crss Price 21 4 Integer The price at which the crss ccurred. Refer t Data s fr field prcessing ntes. Match 25 8 Integer The BX generated day-unique Match f this executin. Crss 33 1 Alpha The BX crss sessin fr which the message is being generated. O = BX Opening Crss. 13

14 C = BX Clsing Crss. H = Crss fr IPO and halted securities. I = BX Crss Netwrk: Intraday Crss and Pst-Clse Crss Brken Trade / Order Executin Message The Brken Trade Message is sent whenever an executin n NASDAQ OMX BX is brken. An executin may be brken if it is fund t be clearly errneus pursuant t Clearly Errneus Plicy. A trade break is final; nce a trade is brken, it cannt be reinstated. Firms that use the BX TtalView-ITCH 4.1 feed t create time-and-sales displays r calculate market statistics shuld be prepared t prcess the brken trade message. If a firm is nly using the BX TtalView-ITCH feed t build a bk, hwever, it may ignre these messages as they have n impact n the current bk. BROKEN TRADE MESSAGE Message 0 1 B Brken Trade Message. Timestamp Integer prtin f the timestamp. Match 5 8 Integer The NASDAQ OMX BX Match f the executin that was brken. This refers t a Match frm a previusly transmitted Order Executed Message, Order Executed With Price Message, r Trade Message. 4.7 Net Order Imbalance Indicatr (NOII) Message NASDAQ OMX BX disseminates NOII data at 5-secnd intervals in the minutes leading up t the BX Opening Crss and BX Clsing Crss. Fr the BX Opening Crss, NOII messages will be disseminated during the tw minutes leading up t the start f market hurs. Fr the BX IPO and Halt Crsses, NOII messages will be disseminated during the qute nly perid. The first NOII message will be disseminated apprximately five secnds after the Stck Trading Actin message with the B actin value is disseminated. Fr the BX Clsing Crss, NOII messages will be disseminated during the ten minutes leading up t the end f market hurs. Please nte that BX generates this message nly fr thse BX-listed securities that are eligible fr the BX Opening and Clsing Crsses. NOII MESSAGE Message 0 1 I NOII Message Timestamp Integer prtin f the timestamp. Paired Shares 5 8 Integer The ttal number f shares that are eligible t be matched at the Current Reference Price. 14

15 Imbalance Shares Imbalance Directin NASDAQ OMX BX TOTALVIEW-ITCH Integer The number f shares nt paired at the Current Reference Price Alpha The market side f the rder imbalance. B = buy imbalance S = sell imbalance N = n imbalance O = Insufficient rders t calculate Stck 22 8 Alpha The BX-listed security symbl fr which the NOII message is being generated Far Price 30 4 Integer A hypthetical auctin-clearing price fr crss rders nly. Refer t Data s fr field prcessing ntes. Near Price 34 4 Integer A hypthetical auctin-clearing price fr crss rders as well as cntinuus rders. Refer t Data s fr field prcessing ntes. Current Reference Price 38 4 Integer The price at which the NOII shares are being calculated. Refer t Data s fr field prcessing ntes. Crss 42 1 Alpha The type f BX crss fr which the NOII message is being generated. These messages are nly applicable fr BX-listed securities. Price Variatin Indicatr O = BX Opening Crss C = BX Clsing Crss H = Crss fr IPO and halted BX-listed securities 43 1 Alpha This field indicates the abslute value f the percentage f deviatin f the Near Indicative Clearing Price t the nearest Current Reference Price. L = Less than 1% 1 = 1 t 1.99% 2 = 2 t 2.99% 3 = 3 t 3.99% 4 = 4 t 4.99% 5 = 5 t 5.99% 6 = 6 t 6.99% 7 = 7 t 7.99% 8 = 8 t 8.99% 9 = 9 t 9.99% A = 10 t 19.99% B = 20 t 29.99% C = 30% r greater Space = Cannt be calculated 5 Supprt Fr general prduct supprt fr NASDAQ OMX BX data feeds, please cntact NASDAQ OMX Glbal Data Prducts at r dataprducts@nasdaqmx.cm. 15

16 Fr technical supprt fr NASDAQ OMX BX data feeds, please cntact NASDAQ OMX Systems Engineering at 16

17 Appendix A Dcumentatin Revisin Cntrl Lg Nvember 1, 2013: BX TtalView-ITCH Versin 4.1 Released a new versin f the TtalView-ITCH dcumentatin t supprt details f expanded symblgy (Appendix B) March 11, 2013: BX TtalView-ITCH Versin 4.1 NASDAQ OMX 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: BX TtalView-ITCH Versin 4.1 NASDAQ OMX added the fllwing Trading Actin Reasn Cde: MWC0 - Market Wide Circuit Breaker Halt Carry ver frm previus day January 8, 2013: BX TtalView-ITCH Versin 4.1 NASDAQ OMX remved the Trading Actin State, P, frm the Stck Trading Message. Nvember 6, 2012: BX TtalView-ITCH Versin 4.1 Released a new versin f the TtalView-ITCH 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 State, V, related t the Vlatility Guard Prgram. Nvember 1, 2011: BX TtalView-ITCH Versin 4.1 NASDAQ OMX updated the Market Categry message t include the cde Z fr BATS-listed securities. December 3, 2010: BX TtalView-ITCH Versin 4.1 NASDAQ OMX clarifies that the Trade (Nn-Crss) message frmat is accurate and the Timestamp field is applicable t this message. In additin, NASDAQ OMX updated the Regulatin SHO Restrictin message t include a Timestamp field and adjusted all ffsets apprpriately. Octber 27, 2010: BX TtalView-ITCH Versin 4.1 NASDAQ OMX updated the Trade (Nn-Crss) message frmat t remve the Timestamp field as this nt applicable t this message. In additin, all ffsets were updated apprpriately. Octber 6, 2010: BX TtalView-ITCH Versin 4.1 NASDAQ OMX added a nte t Trade (Nn-Crss) message frmat stating that the Order Reference wuld be zer fr all transactins as f December 6, July 14, 2010: BX TtalView-ITCH Versin 4.1 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: BX TtalView-ITCH Versin 4.1 NASDAQ OMX added a new Trading State cde value f V t the Stck Trading Actin message t dente a NASDAQ Vlatility Guard trading pause. May 25, 2010: BX TtalView-ITCH Versin

18 NASDAQ OMX added tw new Trading Actin Reasn cde values (T5 and T7) fr single security trading pause situatins. January 26, 2010 BX TtalView-ITCH Versin 4.1 (New Symblgy) Released a new versin f the BX TtalView-ITCH 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. 18

19 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. 19

20 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 in an issue due t news disseminatin r regulatry reasns. Fr BX-listed issues, NASDAQ OMX BX acts as the primary market and has the authrity t institute a trading halt in an issue due t news disseminatin r regulatry reasns. Fr CQS issues, NASDAQ and BX abide by any regulatry trading halts instituted by the primary r listing market as apprpriate. Fr all issue types, NASDAQ and/r BX may als halt trading fr peratinal reasns. NASDAQ and/r BX will send ut a trading actin message t infrm its market participants when the trading status f an issue changes. Fr infrmatinal purpses, NASDAQ and BX als attempt t prvide the reasn fr each trading actin update. Fr bandwidth efficiency reasns, NASDAQ and BX use 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 O1 Operatins Halt; Cntact Market Operatins 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 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 20

21 R1 R2 IPOQ IPOE Space New Issue Available Issue Available IPO Security Released fr Qutatin (NASDAQ and BX Securities Only) IPO Security Psitining Windw Extensin (NASDAQ and BX Securities Only) Reasn Nt Available 21