NASDAQ OMX BX TotalView-ITCH 4.0f

Transcription

1 NASDAQ OMX BX TtalView-ITCH 4.0f Please nte items within this dcument that have been grayed ut, althugh supprted technlgically, will nt be implemented n initial launch f the NASDAQ OMX BX ( BX ). 1 Overview NASDAQ OMX BX TtalView-ITCH ( BX TtalView ) is a direct data feed prduct ffered by NASDAQ OMX BX, which features the fllwing data elements: Order level data with attributin: The NASDAQ OMX BX TtalView-ITCH data feeds prvide 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 BX TtalView-ITCH 4.0f message frmats will supprt Display fields t differentiate Flash Orders frm ther rder types n the bk. BX TtalView-ITCH carries rder level data fr NYSE- and Amex-listed securities as well as fr NASDAQ-listed securities. Trade messages: T ensure that custmers have cmplete infrmatin abut BX rder flw, BX TtalView-ITCH 4.0f supprts a trade message t reflect a match f a nndisplayable rder in the BX system. BX TtalView-ITCH 4.0f als supprts a separate trade message t reflect crss transactins. Net Order Imbalance Data: In the minutes leading up t the NASDAQ Opening and Clsing Crsses, NASDAQ disseminates the indicative clearing price and net rder imbalance n NASDAQ. Because the calculatin includes nn-displayable as well as displayable rder types, the Net Order Imbalance Indicatr (NOII) is the best predictr f the NASDAQ pening and clsing prices available t the public. 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. 2 Architecture The BX TtalView-ITCH 4.0f 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 BX TtalView ITCH 4.0f 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: 1 BX TOTALVIEW-ITCH is an utbund market data feed nly. The ITCH prtcl des nt supprt rder entry. Fr infrmatin n BX rder entry prtcls, please refer t the Trading Services sectin f the NASDAQ OMX Trader website. * - The availability f the functinality reflected in these specificatins is subject t Securities and Exchange Cmmissin ( SEC ) apprval f the revised rules gverning equity trading thrugh BSE. The specificatins cntain mre functinality than what is planned fr initial prductin. Functinality that is nt available will be grayed ut in the specs. Any changes will be cnveyed via the NASDAQ Vendr Alerts. VERSION 4.0f 06/18/2009 1

2 SupBINTCP 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 4.0f is 200, (decimal, hex). 4 Message Frmats The BX TtalView-ITCH 4.0f feed is cmpsed f a series f messages that describe rders added t, remved frm, and executed n the BX market as well as disseminate Crss and Stck Directry infrmatin. 4.1 Time Stamp Secnds Fr bandwidth efficiency reasns, BX will separate the BX TtalView-ITCH 4.0f timestamp int tw pieces: Timestamp Prtin Message Ntes Secnds Standalne message n BX TtalView-ITCH 4.0f feed Reflects the number f secnds past midnight that the Timestamp message was generated. Nansecnds Field within individual message frmats n BX TtalView-ITCH 4.0f 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 Name Offset Length Value Ntes Message 0 1 T Secnds Message. Secnd 1 4 Integer f secnds since midnight. * - The availability f the functinality reflected in these specificatins is subject t Securities and Exchange Cmmissin ( SEC ) apprval f the revised rules gverning equity trading thrugh BSE. The specificatins cntain mre functinality than what is planned fr initial prductin. Functinality that is nt available will be grayed ut in the specs. Any changes will be cnveyed via the NASDAQ OMX News VERSION 4.0F 06/18/2009 PAGE 2

3 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 Name Offset Length Value Ntes Message 0 1 S System Event Message. Timestamp 1 4 Integer Nansecnds prtin f the timestamp. Event Cde 5 1 Alpha See System Event Cdes belw. BX supprts the fllwing event cdes n a daily basis n the BX TtalView-ITCH 4.0f 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 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 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), BX will als supprt the fllwing event cdes n BX TtalView-ITCH 4.0f. SYSTEM EVENT CODES AS NEEDED Cde Explanatin A Emergency Market Cnditin Halt: This message is sent t infrm BX 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 BX market participants that the EMC qutatin nly perid is in effect. B Emergency Market Cnditin Resumptin: This message is sent t infrm BX market participants that EMC is n lnger in effect. 4.3 Stck Related Messages Stck Directry At the start f each trading day, BX disseminates stck directry messages fr all active symbls in the system. * - The availability f the functinality reflected in these specificatins is subject t Securities and Exchange Cmmissin ( SEC ) apprval f the revised rules gverning equity trading thrugh BSE. The specificatins cntain mre functinality than what is planned fr initial prductin. Functinality that is nt available will be grayed ut in the specs. Any changes will be cnveyed via the NASDAQ OMX News VERSION 4.0F 06/18/2009 PAGE 3

4 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 Message 0 1 R Stck Directry Message Timestamp Integer Nansecnds prtin f the timestamp. Nansecnds Stck 5 6 Alpha Dentes the security symbl fr the issue in NASDAQ Single Bk. Refer t Appendix NASDAQ Single Bk stck symbl cnventin infrmatin. Market Categry 11 1 Alpha Indicates Listing market r listing market tier fr the issue Financial Status Indicatr T = CQS (NYSE, Amex r reginal exchange) Q = NASDAQ Glbal Select Market SM G = NASDAQ Glbal Market SM S = NASDAQ Capital Market 12 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 NASDAQlisted issue Fr CQS issues, this field will als be spacefilled. Redistributrs shuld refer t SIAC feeds fr cde if needed. Rund Lt Size 13 4 Integer Indicates the number f shares that represent a rund lt fr the issue Rund Lts Only 17 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 * - The availability f the functinality reflected in these specificatins is subject t Securities and Exchange Cmmissin ( SEC ) apprval f the revised rules gverning equity trading thrugh BSE. The specificatins cntain mre functinality than what is planned fr initial prductin. Functinality that is nt available will be grayed ut in the specs. Any changes will be cnveyed via the NASDAQ OMX News VERSION 4.0F 06/18/2009 PAGE 4

5 4.3.2 Stck Trading Actin 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, BX will send ut a Trading Actin spin. In the spin, 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 BX platfrm at the start f the system hurs. Please nte that securities may be halted in the BX system fr regulatry r peratinal reasns. After the start f system hurs, 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, is released fr qutatin, r is released fr trading. STOCK TRADING ACTION Name Offset Length Value Ntes Message 0 1 H Stck Trading Actin Message. Timestamp Integer Nansecnds prtin f the timestamp. Nansecnds Stck 5 6 Alpha Stck symbl right padded with spaces. Trading State 11 1 Alpha H = Halted Q = Qutatin nly perid T = Trading n BX Reserved 12 1 Alpha Reserved. Reasn 13 4 Alpha Trading Actin reasn. * - The availability f the functinality reflected in these specificatins is subject t Securities and Exchange Cmmissin ( SEC ) apprval f the revised rules gverning equity trading thrugh BSE. The specificatins cntain mre functinality than what is planned fr initial prductin. Functinality that is nt available will be grayed ut in the specs. Any changes will be cnveyed via the NASDAQ OMX News VERSION 4.0F 06/18/2009 PAGE 5

6 4.3.3 Market Participant Psitin At the start f each trading day, 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 BX market participant firm registered in an issue. Market participant firms may use these fields t cmply with certain marketplace rules. Thrughut the day, BX will send ut this message nly if NASDAQ Operatins changes the status f a market participant firm in an issue. MARKET PARTICIPANT POSITION Name Offset Length Value Ntes Message 0 1 L Market Participant Psitin message Timestamp - Nansecnds 1 4 Integer Nansecnds prtin f the timestamp. MPID 5 4 Alphabetic Dentes the market participant identifier fr which the psitin message is being generated Stck 9 6 Alphanumeric Dentes the security symbl fr which the psitin is being generated Primary Market Maker 15 1 Alphanumeric Indicates if the market participant firm qualifies as a Primary Market Maker in accrdance with BX marketplace rules Market Maker Mde Market Participant State Y = primary market maker N = nn-primary market maker 16 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 17 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 used by BX t track the rder. BX will supprt tw variatins f the Add Order message frmat. * - The availability f the functinality reflected in these specificatins is subject t Securities and Exchange Cmmissin ( SEC ) apprval f the revised rules gverning equity trading thrugh BSE. The specificatins cntain mre functinality than what is planned fr initial prductin. Functinality that is nt available will be grayed ut in the specs. Any changes will be cnveyed via the NASDAQ OMX News VERSION 4.0F 06/18/2009 PAGE 6

7 4.4.1 Add Order N MPID Attributin This message will be generated fr unattributed rders accepted by the BX system. ADD ORDER MESSAGE Name Offset Length Value Ntes Message 0 1 A Add Order N MPID Attributin Message. Timestamp Integer Nansecnds prtin f the timestamp. Nansecnds Order 5 8 Integer The unique reference number assigned t the new rder. 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 6 Alpha The security symbl fr which the rder is being added. Price 24 4 Integer The display price f the new rder. Refer t Data s fr field prcessing ntes. Indicates the Display cde fr the rder. Display 28 1 Alpha Y = Displayable rder type n all BX data feeds S = Flash rder displayable n BX TtalView- ITCH nly Add Order with MPID Attributin This message will be generated fr attributed rders and qutatins accepted by the BX system. ADD ORDER MPID ATTRIBUTION MESSAGE Name Offset Length Value Ntes Message 0 1 F Add Order with MPID Attributin Message. Timestamp Integer Nansecnds prtin f the timestamp. Nansecnds Order 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 6 Alpha The security symbl fr which the rder is being added. * - The availability f the functinality reflected in these specificatins is subject t Securities and Exchange Cmmissin ( SEC ) apprval f the revised rules gverning equity trading thrugh BSE. The specificatins cntain mre functinality than what is planned fr initial prductin. Functinality that is nt available will be grayed ut in the specs. Any changes will be cnveyed via the NASDAQ OMX News VERSION 4.0F 06/18/2009 PAGE 7

8 The display price f the new rder. Refer t Price 24 4 Integer Data s fr field prcessing ntes. Attributin 28 4 Alpha BX market participant identifier assciated with the entered rder. 4.5 Mdify Order Messages Mdify Order messages always include the Order f the Add Order t which the update applies. T determine the current display shares fr an rder, BX TtalView-ITCH 4.0f subscribers must deduct the number f shares stated in the Mdify message frm the riginal number f shares stated in the Add Order message with the same reference number. 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 BX. Crss executin infrmatin is available in ne bulk print per symbl via the Crss Trade Message. ORDER EXECUTED MESSAGE Name Offset Length Value Ntes Message 0 1 E Order Executed Message. Timestamp - Nansecnds 1 4 Integer Nansecnds prtin f the timestamp. Order The rder reference number assciated with the 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, 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. * - The availability f the functinality reflected in these specificatins is subject t Securities and Exchange Cmmissin ( SEC ) apprval f the revised rules gverning equity trading thrugh BSE. The specificatins cntain mre functinality than what is planned fr initial prductin. Functinality that is nt available will be grayed ut in the specs. Any changes will be cnveyed via the NASDAQ OMX News VERSION 4.0F 06/18/2009 PAGE 8

9 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, BX recmmends that firms ignre messages marked as nn-printable t prevent duble cunting. ORDER EXECUTED WITH PRICE MESSAGE Name Offset Length Value Ntes Message 0 1 C Order Executed Message. Timestamp - Nansecnds 1 4 Integer Nansecnds prtin f the timestamp. Order The reference number f the rder that was 5 8 Integer executed. 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. 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 Name Offset Length Value Ntes Message 0 1 X Order Cancel Message. Timestamp Integer Nansecnds prtin f the timestamp. Nansecnds Order 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 Name Offset Length Value Ntes * - The availability f the functinality reflected in these specificatins is subject t Securities and Exchange Cmmissin ( SEC ) apprval f the revised rules gverning equity trading thrugh BSE. The specificatins cntain mre functinality than what is planned fr initial prductin. Functinality that is nt available will be grayed ut in the specs. Any changes will be cnveyed via the NASDAQ OMX News VERSION 4.0F 06/18/2009 PAGE 9

10 Message Timestamp - Nansecnds Order 0 1 D Order Delete Message. 1 4 Integer Nansecnds prtin f the timestamp. 5 8 Integer The reference number f the rder being canceled Order Replace Message 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. Since the side, stck, and attributin (if any) cannt be changed by an Order Replace event, these fields are nt included in the message. Firms shuld retain the side, stck symbl and MPID frm the riginal Add Order Message. ORDER REPLACE MESSAGE Name Offset Length Value Ntes Message 0 1 U Order Replace Message Timestamp Integer Nansecnds prtin f the timestamp. Nansecnds Original Order 5 8 Integer The riginal reference number f the rder being replaced. New Order 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. Display 29 1 Alpha Indicates the Display cde fr the rder. Y = Displayable rder type n all BX data feeds S = Flash rder displayable n BX TtalView- ITCH nly Order Display Message This message is disseminated t alert the BX TtalView-ITCH 4.0f users that a Flash rder has been added t the cntinuus rder bk fr display n all BX data feeds. ORDER REPLACE MESSAGE Name Offset Length Value Ntes Message 0 1 V Order Display Message Timestamp - Nansecnds 1 4 Integer Nansecnds prtin f the timestamp. * - The availability f the functinality reflected in these specificatins is subject t Securities and Exchange Cmmissin ( SEC ) apprval f the revised rules gverning equity trading thrugh BSE. The specificatins cntain mre functinality than what is planned fr initial prductin. Functinality that is nt available will be grayed ut in the specs. Any changes will be cnveyed via the NASDAQ OMX News VERSION 4.0F 06/18/2009 PAGE 10

11 Order 5 8 Integer The reference number f the flash rder being mdified t make it displayable n all BX data feeds. 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 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 BX display. TRADE MESSAGE (NON-CROSS) Name Offset Length Value Ntes Message 0 1 P Trade Message Timestamp Integer Nansecnds prtin f the timestamp. Nansecnds Order 5 8 Integer The unique reference number assigned t the rder n the bk being executed. 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 6 Alpha The security symbl assciated with the match executin. Price 24 4 Integer The match price f the rder. Refer t Data s fr field prcessing ntes. Match 28 8 Integer The BX generated sessin-unique Match fr this trade. The Match is referenced in the Trade Break Message Crss Trade Message Crss Trade message indicates that NASDAQ has cmpleted its crss prcess fr a specific security. NASDAQ sends ut a Crss Trade message fr all active 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 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.) * - The availability f the functinality reflected in these specificatins is subject t Securities and Exchange Cmmissin ( SEC ) apprval f the revised rules gverning equity trading thrugh BSE. The specificatins cntain mre functinality than what is planned fr initial prductin. Functinality that is nt available will be grayed ut in the specs. Any changes will be cnveyed via the NASDAQ OMX News VERSION 4.0F 06/18/2009 PAGE 11

12 Fr mst issues, 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 Name Offset Length Value Ntes Message 0 1 Q Crss Trade Message Timestamp Integer Nansecnds prtin f the timestamp. Nansecnds Shares 5 8 Integer The number f shares matched in the NASDAQ Crss. Stck 13 6 Alpha The security symbl assciated with the crss trade message. Crss Price 19 4 Integer The price at which the crss ccurred. Refer t Data s fr field prcessing ntes. Match 23 8 Integer The NASDAQ generated day-unique Match f this executin. Crss 31 1 Alpha The NASDAQ crss sessin fr which the message is being generated. O = NASDAQ Opening Crss. C = NASDAQ Clsing Crss. H = Crss fr IPO and halted securities. I = NASDAQ Crss Netwrk: Intraday Crss and Pst-Clse Crss Brken Trade / Order Executin Message The Brken Trade Message is sent whenever an executin n BX is brken. An executin may be brken if it is fund t be clearly errneus pursuant t the Clearly Errneus Plicy. A trade break is final; nce a trade is brken, it cannt be reinstated. Firms that use the BX TtalView-ITCH 4.0f 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 Name Offset Length Value Ntes Message 0 1 B Brken Trade Message. Timestamp Integer Nansecnds prtin f the timestamp. Nansecnds Match 5 8 Integer The 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, * - The availability f the functinality reflected in these specificatins is subject t Securities and Exchange Cmmissin ( SEC ) apprval f the revised rules gverning equity trading thrugh BSE. The specificatins cntain mre functinality than what is planned fr initial prductin. Functinality that is nt available will be grayed ut in the specs. Any changes will be cnveyed via the NASDAQ OMX News VERSION 4.0F 06/18/2009 PAGE 12

13 r Trade Message. 4.7 Net Order Imbalance Indicatr (NOII) Message NASDAQ disseminates NOII data at 5-secnd intervals in the minutes leading up t the NASDAQ Opening Crss and NASDAQ Clsing Crss. Fr the NASDAQ Opening Crss, NOII messages will be disseminated during the tw minutes leading up t the start f market hurs. Fr the NASDAQ 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 Q actin value is disseminated. Fr the NASDAQ Clsing Crss, NOII messages will be disseminated during the ten minutes leading up t the end f market hurs. Please nte that NASDAQ generates this message nly fr Opening and Clsing Crsses-eligible issues nly. NOII MESSAGE Name Offset Length Value Ntes Message 0 1 I NOII Message Timestamp - Nansecnds 1 4 Integer Nansecnds prtin f the timestamp. Paired Shares 5 8 Integer The ttal number f shares that are eligible t be matched at the Current Price. Imbalance Shares 13 8 Integer The number f shares nt paired at the Current Price. Imbalance Directin 21 1 Alpha The market side f the rder imbalance. B = buy imbalance S = sell imbalance N = n imbalance O = Insufficient rders t calculate Stck 22 6 Alpha The security symbl fr which the NOII message is being generated Far Price 28 4 Integer A hypthetical auctin-clearing price fr crss rders nly. Refer t Data s fr field prcessing ntes. Near Price 32 4 Integer A hypthetical auctin-clearing price fr crss rders as well as cntinuus rders. Refer t Data s fr field prcessing ntes. Current Price 36 4 Integer The price at which the NOII shares are being calculated. Refer t Data s fr field prcessing ntes. Crss 40 1 Alpha The type f NASDAQ crss fr which the NOII message is being generated O = NASDAQ Opening Crss * - The availability f the functinality reflected in these specificatins is subject t Securities and Exchange Cmmissin ( SEC ) apprval f the revised rules gverning equity trading thrugh BSE. The specificatins cntain mre functinality than what is planned fr initial prductin. Functinality that is nt available will be grayed ut in the specs. Any changes will be cnveyed via the NASDAQ OMX News VERSION 4.0F 06/18/2009 PAGE 13

14 Price Variatin Indicatr C = NASDAQ Clsing Crss H = Crss fr IPO and halted securities 41 1 Alpha This field indicates the abslute value f the percentage f deviatin f the Near Indicative Clearing Price t the nearest Current 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 BX data feeds, please cntact NASDAQ OMX Glbal Data Prducts at r dataprducts@nasdaqmx.cm. Fr technical supprt fr BX data feeds, please cntact NASDAQ OMX Systems Engineering at devsupprt@nasdaqmx.cm. * - The availability f the functinality reflected in these specificatins is subject t Securities and Exchange Cmmissin ( SEC ) apprval f the revised rules gverning equity trading thrugh BSE. The specificatins cntain mre functinality than what is planned fr initial prductin. Functinality that is nt available will be grayed ut in the specs. Any changes will be cnveyed via the NASDAQ OMX News VERSION 4.0F 06/18/2009 PAGE 14

15 Appendix A Dcumentatin Revisin Cntrl Lg June 18, 2009: BX TtalView-ITCH 4.0f NASDAQ OMX made the fllwing changes t the BX TtalView-ITCH 4.0 feed frmats t accmmdate Flash Orders. Please nte that the fllwing changes apply t the BX TtalView-ITCH 4.0f data feed versin nly: Added a Display field t the Add Order Annymus message frmat. Added a Display field ( Display ) t the Order Replace message frmat. Intrduced a new Order Display ( V) message frmat t dente when a Flash rder becmes displayable n all BX data feeds Revised the Order field definitin fr the Add Order messages t remve the fllwing statement: The rder reference number is increasing, but nt necessarily sequential. Nvember 13, 2008: BX TtalView-ITCH 4.0 Final release f the initial specificatin. This dcument included the fllwing frmat mdificatins frm earlier versins f the BX ITCH feed. Numeric fields mdified t supprt binary integers Time stamp granularity changed t nansecnds past midnight Added Order Replace message * - The availability f the functinality reflected in these specificatins is subject t Securities and Exchange Cmmissin ( SEC ) apprval f the revised rules gverning equity trading thrugh BSE. The specificatins cntain mre functinality than what is planned fr initial prductin. Functinality that is nt available will be grayed ut in the specs. Any changes will be cnveyed via the NASDAQ OMX News VERSION 4.0F 06/18/2009 PAGE 15

16 Appendix B Stck Symbl Cnventin Fr bandwidth efficiency reasns, BX supprts a 6-byte symbl field n its prprietary rder, qutatin and trade data feed prducts. Fr mst classes f securities, this field length is sufficient t supprt the exchange-assigned symbl. Fr NYSE- and Amex-listed securities with subrdinate issue types, hwever, NASDAQ may mdify the trading symbl t fit the alltted field size n the data feeds. Fr the current symbl cnventin matrix, please refer t the Ticker Symbl Cnversin fr CQS Securities page n the NASDAQ OMX Trader website. Fr NASDAQ-listed issues, NASDAQ currently restricts its symbl length t a maximum f 5 characters. Fr cmmn stck issuances, NASDAQ will assign a symbl f 1 t 4 characters in length. Fr subrdinate securities, NASDAQ 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 character symbl suffixes, please refer t Current List f Fifth Character Symbl Suffixes fr NASDAQ-listed Issues n the NASDAQ OMX Trader website. * - The availability f the functinality reflected in these specificatins is subject t Securities and Exchange Cmmissin ( SEC ) apprval f the revised rules gverning equity trading thrugh BSE. The specificatins cntain mre functinality than what is planned fr initial prductin. Functinality that is nt available will be grayed ut in the specs. Any changes will be cnveyed via the NASDAQ OMX News VERSION 4.0F 06/18/2009 PAGE 16

17 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 CQS issues, NASDAQ abides by any regulatry trading halts 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 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 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 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 R1 New Issue Available R2 Issue Available IPOQ IPO Security Released fr Qutatin (NASDAQ Securities Only) IPOE IPO Security Psitining Windw Extensin (NASDAQ Securities Only) Space Reasn Nt Available * - The availability f the functinality reflected in these specificatins is subject t Securities and Exchange Cmmissin ( SEC ) apprval f the revised rules gverning equity trading thrugh BSE. The specificatins cntain mre functinality than what is planned fr initial prductin. Functinality that is nt available will be grayed ut in the specs. Any changes will be cnveyed via the NASDAQ OMX News VERSION 4.0F 06/18/2009 PAGE 17