NASDAQ OpenView BasicSMNASDAQ OpenView BasicSM Data Feed Interface Specifications Version 2006-1c Updated: September 12, 2006 . NASDAQ OMX is scheduled to retire the OpenView Basic

NASDAQ OpenView BasicSM

Data Feed Interface Specifications Version 2006-1c

Updated: September 12, 2006

NASDAQ OMX Global Data Products

Note

NASDAQ OMX is scheduled to retire the OpenView Basic data formats at the close of business on Wednesday, December 31, 2008. Please refer to NASDAQ Vendor Alert #2008-29 for customer migration information.

NASDAQ OpenView Basic Interface Specifications

Table of Contents

1 Introduction ..................................................................................1 1.1 Product Background..................................................................1 1.2 OpenView Basic Product Description............................................2 1.3 Networking Information ............................................................2

1.3.1 Transmission Protocol .........................................................2 1.3.2 Connectivity Options...........................................................3 1.3.3 Contact Information............................................................3

2 OpenView Basic Message Formats ....................................................4 2.1 OpenView Basic Message Header ................................................4 2.2 OpenView Basic – Market Participant Quotation Messages ..............5

2.2.1 NASDAQ Market Participant Quotation – Short Form................6 2.2.2 NASDAQ Market Participant Quotation – Long Form.................8

2.3 OpenView Basic – NASDAQ Inside Quote Appendages..................11 2.3.1 Inside Quote Appendage – Short Form ................................12 2.3.2 NASDAQ Inside Quote Appendage – Long Form ....................13

2.4 OpenView Basic – Administrative Messages................................15 2.4.1 Issue Symbol Directory .....................................................15 2.4.2 Trading Action .................................................................16

2.5 OpenView Basic – Control Events..............................................16 2.5.1 Start of Day ....................................................................17 2.5.2 End of Day ......................................................................17 2.5.3 Market Session Open ........................................................17 2.5.4 Market Session Close ........................................................17 2.5.5 Line Integrity...................................................................17

3 Transmission Characteristics ........................................................19 3.1 OpenView bandwidth allocation ................................................19

3.1.1 Network Bandwidth Allocations...........................................19 3.2 Processing of Original Transmissions .........................................19

3.2.1 Protocol Overview ............................................................19 3.2.2 IP Multicast Addresses ......................................................20 3.2.3 Transmission Block...........................................................21

3.3 Processing of Retransmissions..................................................21 3.3.1 Transmission Characteristics for Retransmissions..................21 3.3.2 Retransmission Requests...................................................21 3.3.3 Retransmission Response ..................................................22

3.4 UDP/IP Headers .....................................................................23 3.5 Field Descriptions ...................................................................23

3.5.1 IP Header Fields...............................................................23 3.5.2 UDP Header Fields............................................................24 3.5.3 UDP Data Fields ...............................................................25

Appendix A: Documentation Version Control Log....................................25


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1 Introduction

1.1 Product Background

Liquidity is moving off the floor at a rapid rate, and NASDAQ® customers have access to even deeper pools of liquidity for New York Stock Exchange (NYSE) and American Stock Exchange (Amex) listed stocks. Over the past year, NASDAQ market share in NYSE- and Amex-listed issues has grown dramatically with the launch of our routing service and innovative pricing. This is not surprising since NASDAQ’s faster, more efficient, transparent system represents a better way to trade NYSE- and Amex-listed securities.

NASDAQ market share in NYSE- and Amex-listed issues will continue to grow in the months and years ahead. NASDAQ pricing structure features a liquidity provider credit for all NYSE- and Amex-listed securities. In addition, NASDAQ will soon integrate its trading applications onto a single system platform that will support new order types and enhanced trading functionality. For more information on the NASDAQ exchange-listed program, please refer to the NASDAQ Transaction Services section of the NASDAQ Trader® website.

Given the changing marketplace, traders and investors have an increasing need to access NASDAQ market depth data for NYSE- and Amex-listed securities. As outlined in NASDAQ Vendor Alert #2006-002, the U.S. Securities and Exchange Commission (SEC) recently approved NASDAQ’s application to become an exchange. Once NASDAQ becomes operational as an exchange, NASDAQ will only be allowed to provide its best bid and offer quotation to SIAC for inclusion in the Consolidated Quotation System (CQS) data feed. Firms will need to process one of NASDAQ’s new proprietary data feeds to access attributed quotation and order depth for NYSE- and Amex-listed issues.

As part of the NASDAQ system integration initiative, NASDAQ will introduce several new proprietary data feeds that will feature NASDAQ market participant quotations for NYSE- and Amex-listed issues.

• Top of File Data: For customers interested only in the NASDAQ

market participant top-of-file data for NYSE- and Amex-listed issues, NASDAQ will offer OpenView Basic. OpenView Basic is designed for firms that need NASDAQ market participant data for display or regulatory systems. Based on the NQDSSM legacy data feed formats, NASDAQ OpenView Basic requires less bandwidth and internal process power to process than NASDAQ’s full depth data feed offerings.

• Full Market Depth Data: For firms looking for maximum market

transparency, NASDAQ will broadcast its full order depth with MPID attribution for NASDAQ-, NYSE-, and Amex-listed issues via the

http://www.nasdaqtrader.com/tradelisted/

http://www.nasdaqtrader.com/Trader/News/2006/vendoralerts/nva2006-002.stm


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TotalView-ITCH 2.0a, TotalView-ITCH 3.0, and TotalView-Aggregated data feeds.

1.2 OpenView Basic Product Description NASDAQ OpenView Basic will provide the best-priced quotations for market participants using the NASDAQ Market Center system to trade issues listed on the NYSE, Amex, and US regional exchanges. Market data distributors may use the OpenView Basic feed to create a Level 2 quote montage display for NYSE-, Amex-, and regional exchange-listed securities.1 NASDAQ OpenView Basic features:

• Best Bid and Offer (BBO) Quotations for NASDAQ Market Participants and ECNs in the NASDAQ Market Center. BBO quotations will be supported for each MPID that a NASDAQ market participant or ECN has registered.

• Top-of-File Quotation from the NASDAQ limit order book.

NASDAQ calculates the top-of-file based on unattributed buy and sell orders in the NASDAQ integrated system and displays the aggregated order depth at the top level under the MPID of “SIZE” or “NSDQ”.

• NASDAQ Inside Quote as message appendage. NASDAQ will

calculate the aggregated depth available at the top price level in the NASDAQ Market Center system. Whenever a market participant impacts the top NASDAQ Market Center price level, NASDAQ will disseminate the new NASDAQ Inside Quote as a message appendage on OpenView Basic.

• Administrative messages, such as directory messages and trading

action events.

1.3 Networking Information

1.3.1 Transmission Protocol NASDAQ will offer the OpenView Basic product in UDP/IP format only. Please see section 3 of this document for details on NASDAQ deployment of UDP/IP for this product.

1 Please note firms would need to process the SIAC Consolidated Quotation System (CQS) for the data for the other CTA participant exchanges.


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1.3.2 Connectivity Options NASDAQ currently offers direct access to its data feed products via select extranet providers. To obtain the current list of authorized extranet providers, please refer to the NASDAQ Trader website. If a firm prefers to manage its own network connections, it may contact the NASDAQ Tier One Support Desk at 800.243.4284 (Option #3) to discuss alternate direct connection options to the NASDAQ data centers.

1.3.3 Contact Information

Questions about the OpenView Basic product specifications, pricing, or contractual issues should be directed to NASDAQ Market Data Distribution at 301.978.5307 or [email protected].

http://www.nasdaqtrader.com/trader/tradingservices/productservices/productdescriptions/extranets.pdf


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2 OpenView Basic Message Formats This section outlines the field layout for each message format disseminated via the OpenView Basic data feed. Please note that Alphabetic and Alphanumeric fields are left justified and space filled unless otherwise specified. Numeric fields are right justified and zero filled unless otherwise specified.

2.1 OpenView Basic Message Header Within the data block, each OpenView Basic message will begin with a 24-byte header. The Message Header defines the type of data and message format to follow. The Message Header includes the following fields: Field Name Format Description Message Category

1 byte, Alphanumeric.

This field defines category of the OpenView Basic message to follow the header. The allowable values are:

Code Value R NASDAQ Quotation A Administrative C Event Control

Message Type 1 byte, Alphanumeric.

Used together with Message Category, this field indicates the actual OpenView Basic message format to follow the message header. The allowable combinations are: Within Category R (NASDAQ Quotation):

Code Value A NASDAQ Market participant Quotation

(Short Form) B NASDAQ Market Participant Quotation

(Long Form) Within Category A (Administrative):

Code Value B Issue Symbol Directory Message H Trading Action

Within Category C (Event Control):

Code Value I Start Of Day J End Of Day O Market Session Open C Market Session Close T Line Integrity/Heartbeat


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Field Name Format Description Session Identifier


This field identifies the market session for which the message is valid. In its initial implement, all OpenView Basic messages will contain the following value:

Code Value U U.S. market session

Retransmission Requester

2 bytes, Alphanumeric.

NASDAQ will indicate original transmissions on the OpenView Basic data feed by sending the following code:

Code Value O (space) Original transmission

message to all R (space) Retransmissions

Message Sequence Number

8 bytes, Numeric.

This field indicates the sequential number for each original message in the OpenView Basic transmission for the given data channel. Please note that the start of day message will contain the value of zero. With the exception of the line integrity/heartbeat messages, the message sequence number for all original transmissions will increment by one.

Market Center Originator ID


This field indicates the NASDAQ system that generated the message. For OpenView Basic, all message will contain the following value:

Code Value T NASDAQ Market Center system for

exchange-listed trading Time Stamp 9 bytes,

Alphanumeric. Since OpenView Basic only disseminates the current day’s data, the data feed header shows a Time only field. The Time Stamp field denotes the military time (to the nearest millisecond) that the original OpenView Basic message was generated by the given NASDAQ system. The time format is HHMMSSCCC.

Reserved 1 byte, Alphanumeric.

This one-byte field will be reserved for future use.

2.2 OpenView Basic – Market Participant Quotation Messages The following message formats are used to disseminate individual NASDAQ market participant and NASDAQ Inside quotations for NYSE, Amex, and regional stock exchange-listed issues. As with NQDS, NASDAQ plans to support a full pre-opening quote spin of market participant quotes each business day. The primary purpose of the OpenView Basic pre-opening spin is to provide the market participant state and market maker mode values for each market participant in an issue as some firms need these data elements for regulatory compliance purposes. In


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the OpenView Basic pre-opening spin, NASDAQ will display stub quotes (e.g., 0.01 bid price by 199,999.99 ask price) for market participants as necessary. During NASDAQ operational hours (7 a.m. to 8 p.m., ET), NASDAQ will disseminate quote records as market participants update the positions in an issue. On quotation montages, firms should display the most recent OpenView Basic update for active market participant and issues. As market participants close their positions, NASDAQ will generate stub quotes to reflect that the firm’s quote is no longer accessible via its automated execution system.

2.2.1 NASDAQ Market Participant Quotation – Short Form (Category R – Type A)

NASDAQ will use the short version for market participant and ECN quotations that meet all of the following criteria:

• Issue Symbol is 5 bytes or less; • Bid and Ask Prices are stated in US currency and do not exceed 6

bytes in length (excluding decimal point); • Bid and Ask Sizes do not exceed 99 round lots; and • No special Market Maker Mode exists.

If the quotation does not meet any one of these criteria, the long version of the NASDAQ Market Participant Quotation will be used. The NASDAQ Market Participant Quotation – Short Form is 31 bytes in length and comprised of the following fields: Field Name Format Description Issue Symbol 5 bytes,

Alphanumeric. Denotes the stock identifier for the issue being quoted. Note: For issue symbol assignments, firms may use the Issue Symbol Directory administrative message described below.

Market Participant Identifier (MPID)


Denotes the NASDAQ-assigned identifier for registered market participant. Note: For MPID assignments, firms should refer to the NASDAQ Directory available on the NASDAQ Trader website.


In the initial release, this field will be space-filled.

Primary Market Maker


Indicates if the market participant is qualified as a Primary Market Maker (PMM) under NASDAQ Rule 4612. The allowable values are:

http://www.nasdaqtrader.com/trader/symboldirectory/symbol.stm


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Field Name Format Description Code Value

Y Firm is a PMM N Firm is not a PMM

(Space) Not applicable Market Participant State


Indicates the current system status for market participant position for the issue. The allowable values are as follows:

Code Value O Open C Closed E Excused/Withdrawn W Withdrawn S Suspended D Deleted

(space) Not available Bid Price Denominator


Indicates the decimal placement in the bid price in the next field. The allowable values are as follows:

Code Denominator Value

Bid Price Format

B 100 $$$$dd C 1000 $$$ddd D 10,000 $$dddd

(space) 1 $$$$$$

Bid Price 6 bytes, Numeric.

Denotes the highest display price (exclusive of decimal point) that the market participant is willing to buy one round lot worth of shares in the issue. See Bid Price Denominator definition above for information on whole dollar and decimal digit composition of this price field.

Bid Size 2 bytes, Numeric.

Denotes the number of round lots that the market participant is willing to display at the bid price.

Ask Price Denominator


Indicates the decimal placement in the ask price in the next field. The allowable values are as follows:


Ask Price Format

B 100 $$$$dd C 1000 $$$ddd D 10,000 $$dddd

(space) 1 $$$$$$ Ask Price 6 bytes,

Numeric. Denotes the lowest display price (exclusive of decimal point) that the market participant is willing to sell one round lot worth of shares in the issue. See Ask Price Denominator definition above for information on whole dollar and decimal digit composition of this price field.

Ask Size 2 bytes, Numeric.

Denotes the number of round lots that the market participant is willing to display at the ask price.

Inside Appendage

1 byte, Numeric.

Indicates the impact of the market participant quote update on the NASDAQ Inside Quote for the issue.


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Field Name Format Description Indicator If NASDAQ Inside Quote is affected, this field

indicates the type of NASDAQ Inside Appendage that will follow. The allowable values are: Code Value

0 No NASDAQ Inside Change – Current MP quote does not affect the NASDAQ Inside. Vendors should continue to

show the existing NASDAQ Inside. No appendage required.

1 No NASDAQ Inside Exists – NASDAQ is unable to calculate an Inside quote for the issue at the present time. Vendors should show any NASDAQ Inside fields as

blank. No appendage required. 2 NASDAQ Inside Short Form Appendage

Attached – A new NASDAQ Inside was generated and the new information is contained in the attached short form

appendage. 3 NASDAQ Inside Long Form Appendage

Attached – A new NASDAQ Inside was generated and the new information is contained in the attached long form

appendage. Note: To economize on bandwidth, the simplest form of the NASDAQ Inside Appendage will be used whenever possible.

2.2.2 NASDAQ Market Participant Quotation – Long Form (Category R – Type B)

For NASDAQ market participant quotations that do not meet the criteria listed above, the long version of the message will be used. The NASDAQ Market Participant Quotation – Long Form message is 63 bytes in length and contains the following fields: Field Name Format Description Issue Symbol 11 bytes,

Alphanumeric. Denotes the stock identifier for the issue being quoted. Note: For issue symbol assignments, firms may use the Issue Symbol Directory administrative message described below.

Market Participant Identifier (MPID)


Denotes the NASDAQ-assigned identifier for registered market participant. Note: For MPID assignments, firms should refer to the NASDAQ Directory available on the NASDAQ

http://www.nasdaqtrader.com/trader/symboldirectory/symbol.stm


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Field Name Format Description Trader website.


In the initial release, this field will be space filled.

Reserved 4 bytes, Alphanumeric.


Primary Market Maker


Indicates if the market participant is qualified as a Primary Market Maker (PMM) under NASDAQ Rule 4612. The allowable values are:

Code Value Y Firm is a PMM N Firm is not a PMM

(Space) Not Applicable Market Maker Mode


Indicates if the quoting participant has entered a one-sided (bid only) quote in relation to SEC Rules 101 and 104 of Regulation M. The allowable values are as follows:

Code Value 0 No Market Maker Mode (Normal) 1 Passive quote 3 Syndicate quote 4 Pre-Syndicate quote 5 Penalty quote

(Space) Not Available Market Participant State


Indicates the current system status for market participant position for the issue. The allowable values are as follows:

Code Value O Open C Closed E Excused/Withdrawn W Withdrawn S Suspended D Deleted

(Space) Not Available Bid Price Denominator




Bid Price Format

B 100 $$$$$$$$dd C 1000 $$$$$$$ddd D 10,000 $$$$$$dddd

(space) 1 $$$$$$$$$$ Bid Price 10 bytes,

Numeric. Denotes the highest display price (exclusive of decimal point) that the market participant is willing to buy one round lot worth of shares in the issue. See Bid Price Denominator definition above for information on whole dollar and decimal digit composition of this price field.

Bid Size 7 bytes, Numeric.

Denotes the number of round lots that the market participant is willing to buy at the bid price.


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Field Name Format Description Please note that a firm must at least one round lot of attributable interest to be included in the OpenView Basic data stream. If a firm has a mixed lot order, NASDAQ will round the display size down to the nearest round lot for OpenView Basic dissemination.

Ask Price Denominator




Ask Price Format

B 100 $$$$$$$$dd C 1000 $$$$$$$ddd D 10,000 $$$$$$dddd

(space) 1 $$$$$$$$$$

Ask Price 10 bytes, Numeric.

Denotes the lowest display price (exclusive of decimal point) that the market participant is willing to sell one round lot worth of shares in the issue. See Ask Price Denominator definition above for information on whole dollar and decimal digit composition of this price field.

Ask Size 7 bytes, Numeric.

Denotes the number of round lots that the market participant is willing to sell at the ask price. Please note that a firm must at least one round lot of displayable interest to be included in the OpenView Basic data stream. If a firm has a mixed lot order, NASDAQ will round the display size down to the nearest round lot for OpenView Basic dissemination.

Currency 3 bytes, Alphanumeric.

Denotes the currency for the bid and ask prices. The allowable value is:

Code Value USD US Dollars

Inside Appendage Indicator

1 byte, Numeric. Indicates the impact of the market participant quote update on the NASDAQ Inside Quote for the issue. If NASDAQ Inside Quote is affected, this field indicates the type of NASDAQ Inside Appendage that will follow. The allowable values are as follows:

Code Value 0 No NASDAQ Inside Change – Current

MP quote does not affect the NASDAQ Inside. Vendors should continue to show the existing NASDAQ Inside.

No appendage required.


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Field Name Format Description 1 No NASDAQ Inside Exists – NASDAQ

is unable to calculate an Inside quote for the issue at the present time.

Vendors should show any NASDAQ Inside fields as blank. No appendage required.

2 NASDAQ Inside Short Form Appendage Attached – A new

NASDAQ Inside was generated and the new information is contained in the attached short form appendage.

3 NASDAQ Inside Long Form Appendage Attached – A new

NASDAQ Inside was generated and the new information is contained in the attached long form appendage.

Note: To economize on bandwidth, the simplest form of the NASDAQ Inside Appendage will be used whenever possible.

2.3 OpenView Basic – NASDAQ Inside Quote Appendages If a market participant quotation update effects the Inside for the issue, NASDAQ will include the Inside change as a quotation appendage. As with the NASDAQ market participant message, NASDAQ will support several forms of the Inside Appendage. Within the NASDAQ Market Participant Quotation message, the “Inside Appendage Indicator” field will denote the type of appendage to be attached to the message. The allowable values for this field are as follows:

Code Value 0 No NASDAQ Inside Change – Current MP quote does not affect the NASDAQ

Inside. Vendors should continue to show the existing NASDAQ Inside. No appendage required.

1 No NASDAQ Inside Exists – NASDAQ is unable to calculate an Inside quote for the issue at the present time. Vendors should show any NASDAQ Inside fields as blank. No appendage required. NASDAQ would not be able to generate an NASDAQ Inside quote under the following situations:

(1) Issue is subject to a trading halt. (2) OpenView Basic quotation message is being generated outside normal

trading system hours (7 a.m. to 8 p.m., ET).

2 NASDAQ Inside Short Form Appendage Attached – A new NASDAQ Inside was generated and the new information is contained in the attached short form appendage.

3 NASDAQ Inside Long Form Appendage Attached – A new NASDAQ Inside was generated and the new information is contained in the attached long form appendage.


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Note: The two versions (short form and long form) of the NASDAQ Inside Appendage are outlined below. To economize bandwidth, the simplest form of the Inside Quote Appendage will be used whenever possible.

2.3.1 Inside Quote Appendage – Short Form The Inside Appendage – Short Form may be used to relay one-sided or two-sided quotation information. This format is sent as an attachment to Market Participant Quotation messages (Category R – Types A, B) if the Inside Appendage Indicator field has a code of “2”. The short version of the Inside Quote Appendage will be used only if the following criteria are met:

• The Inside Quote is stated in US dollars; • Both the Inside bid and the Inside ask prices can be stated in 6 bytes

or less; and • Both the Inside bid size and the Inside ask size are 99 round lots or

less The NASDAQ Inside Quote Appendage – Short Form is 20 bytes in length and contains the following fields: Field Name Format Description Inside Status 1 byte,

Alphanumeric. Indicates status of the current NASDAQ Inside Quote. On OpenView Basic, all appendages will contain the following values:

Code Value O Open

Inside Bid Denominator


Indicates the decimal placement in the Inside bid price in the next field. The allowable values are as follows:


Inside Bid Price Format

B 100 $$$$dd C 1000 $$$ddd D 10,000 $$dddd

(space) 1 $$$$$$ Inside Bid Price 6 bytes,

Numeric. Denotes the highest bid price (exclusive of decimal point) that any NASDAQ market participant is willing to buy shares in the issue. See Inside Bid Denominator definition above for information on whole dollar and decimal digit composition of this price field.

Inside Bid Size 2 bytes, Numeric.

Denotes the aggregate number of round lots available in the NASDAQ market system at the Inside Bid price. Please note that the aggregate number of round lots may be larger than the sum of the market participant display quotes at the Inside Bid price due to the OpenView Basic odd and mixed lot


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Field Name Format Description processing rules.

Inside Ask Denominator


Indicates the decimal placement in the Inside ask price in the next field. The allowable values are as follows:


Inside Ask Price Format

B 100 $$$$dd C 1000 $$$ddd D 10,000 $$dddd

(space) 1 $$$$$$ Inside Ask Price 6 bytes,

Numeric. Denotes the lowest ask price (exclusive of decimal point) that any NASDAQ market participant is willing to sell shares in the issue. See Inside Ask Denominator definition above for information on whole dollar and decimal digit composition of this price field.

Inside Ask Size 2 bytes, Numeric.

Denotes the aggregate number of round lots available in the NASDAQ market system at the Inside Ask price. Please note that the aggregate number of round lots may be larger than the sum of the market participant display quotes at the Inside Ask price due to the OpenView Basic odd and mixed lot processing rules.



2.3.2 NASDAQ Inside Quote Appendage – Long Form The NASDAQ Inside Quote Appendage – Long Form may be used to relay one-sided or two-sided quotation information. This format is sent as an attachment to Market Participant Quotation messages (Category R – Types A, B) if the Inside Appendage Indicator field has a code of “3”. The long version of the NASDAQ Inside Quote appendage will be used if a Market Participant Quotation impacts the NASDAQ Inside and the criteria listed for the short form appendage above are not been met. The NASDAQ Inside Quote Appendage – Long Form is 42 bytes in length and contains the following fields: Field Name Format Description Inside Status 1 byte,

Alphanumeric. Indicates status of the current NASDAQ Inside Quote. On OpenView Basic, all appendages will contain the following values:

Code Value O Open




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Field Name Format Description Inside Bid Denominator




Inside Bid Price Format

B 100 $$$$$$$$dd C 1000 $$$$$$$ddd D 10,000 $$$$$$dddd

(space) 1 $$$$$$$$$$

Inside Bid Price 10 bytes, Numeric.

Denotes the price (exclusive of decimal point) that the market participant is willing to buy shares in the issue. See Inside Bid Denominator definition above for information on whole dollar and decimal digit composition of this price field.

Inside Bid Size 7 bytes, Numeric.

Denotes the aggregate number of round lots available in the NASDAQ market system at the Inside Bid price. Please note that the aggregate number of round lots may be larger than the sum of the market participant display quotes at the Inside Bid price due to the OpenView Basic odd and mixed lot processing rules.

Inside Ask Denominator




Inside Ask Price Format

B 100 $$$$$$$$dd C 1000 $$$$$$$ddd D 10,000 $$$$$$dddd

(space) 1 $$$$$$$$$$

Inside Ask Price 10 bytes, Numeric.

Denotes the price (exclusive of decimal point) that the market participant is willing to sell shares in the issue. See Inside Ask Denominator definition above for information on whole dollar and decimal digit composition of this price field.

Inside Ask Size 7 bytes, Numeric.

Denotes the aggregate number of round lots displayed available in the NASDAQ market center system at the Inside Ask price. Please note that the aggregate number of round lots may be larger than the sum of the market participant display quotes at the Inside Ask price due to the OpenView Basic odd and mixed lot processing rules.

Currency 3 bytes, Alphanumeric.

Denotes the currency for the bid and ask prices. The allowable value is:

Code Value


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Field Name Format Description USD US Dollars



2.4 OpenView Basic – Administrative Messages On the OpenView Basic data feed, NASDAQ will support the following two administrative messages in the initial release.

2.4.1 Issue Symbol Directory (Category A – Type B) The Issue Symbol Directory message is used to provide general security information for OpenView Basic users as part of the pre-opening spin process. The Issue Symbol Directory Message is 62 bytes in length and contains the following fields: Field Name Format Description Issue Symbol 11 bytes,

Alphanumeric. Denotes the stock identifier for the issue represented in the directory message.

Reserved 11 bytes, Alphanumeric.


Issue Name 30 bytes, Alphanumeric.

Denotes the current firm name for the issue in the NASDAQ system. Please note that NASDAQ may need to abbreviate name due to the field size limitation.

Reserved 1 byte, Alphanumeric


Market Category

1 byte, Alphanumeric

Denotes the listing market classification within the NASDAQ Trading System for the given security. For OpenView Basic, all directory messages should contain the following value:

Code Value T Exchange-listed security governed by

the Consolidated Tape Authority (CTA) plan. This category includes NYSE, Amex, and regional exchange listed

issues. Authenticity 1 byte,

Alphanumeric Denotes if the issue record is set-up in NASDAQ systems in a live/production or test state. The allowable values are as follows: Code Value P Live/Production T Test X Deleted – Supported only for

Market Category correction situations.



Round Lot Size

5 bytes, Numeric

Indicates the number of shares that make up a round lot for the given security. The allowable values are 00001


16

Field Name Format Description to 99999.



2.4.2 Trading Action (Category A – Type H) This fixed format message will inform subscribers of regulatory or operational trading halts status changes that impact all market centers. The Trading Action message is 25 bytes in length and contains the following fields: Field Name Format Description Issue Symbol 11 bytes,

Alphanumeric. Denotes the stock identifier of the issue for which the trading Action message applies.

Action 1 byte, Alphanumeric.

Indicates the current trading status for the stated issue. The allowable values are as follows:

Code Value H Trading Halt T Trading Resumption

Reserve 7 bytes, Alphanumeric.


Reason Code 6 bytes, Alphanumeric.

Indicates the reason for the current trading action status. The allowable values are as follows:

Code Value T1 Halt News Pending T2 Halt News Dissemination T6 Regulatory Halt Extraordinary Market

Activity T8 Halt ETF T12 Trading Halted; For information

requested by listing market H4 Halt Non Compliance H9 Halt Filings Not Current H10 Halt SEC Trading Suspension H11 Halt Regulatory Concern O1 Operations Halt, Contact Market

Operations IPO1 Pending IPO , Not Yet Trading M1 Corporate Action M2 Quotation Not Available

(Space) Reason Not Available

2.5 OpenView Basic – Control Events NASDAQ will support the following five control events on the OpenView Basic data feed. As with NASDAQ’s other data feeds, control events are disseminated using the OpenView Basic message header only.


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2.5.1 Start of Day (Category C – Type I) The Start of Day control message signifies the beginning of each operational cycle for OpenView Basic processing. Upon initial implementation, NASDAQ expects to send out the Start of Day message between 6 a.m. and 7 a.m., ET. Please note that the Start of Day control event will contain a Message Sequence Number of 00000000. To ensure receipt, NASDAQ will disseminated this event control message three times at 10-second intervals at the beginning of each operational day.

2.5.2 End of Day (Category C – Type J) The End of Day control message signals the end of active message dissemination for the OpenView Basic operational cycle. NASDAQ will disseminate the End of Day event only after it completes the system closing process for its trading application. Upon initial implementation, NASDAQ expects that the End of Day event will go out between 8 and 9 p.m., ET. To ensure receipt, NASDAQ will disseminated this event control message three times at 10-second intervals at the end of each operational day.

2.5.3 Market Session Open (Category C – Type O) The Market Session Open message will signal the start of the traditional US market session at 9:30 a.m., Eastern Time (ET).

2.5.4 Market Session Close (Category C – Type C) The Session Close Control Message signals the closing of the traditional US market session at 4:00 p.m., ET. Please note that NASDAQ will disseminate OpenView quotation data outside the traditional US market session hours. NASDAQ supports both pre-market and post-market trading sessions.

2.5.5 Line Integrity (Category C – Type T) The Line Integrity Control Message will be transmitted at approximately one minute intervals to verify the operational integrity of the OpenView Basic message transmission. Line Integrity messages may be intermixed with other data formats in the message block. The Message Sequence Number will not be incremented for the Line Integrity Message; the Message Sequence Number will be equal to the message sequence number of the last message sent.


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3 Transmission Characteristics

3.1 OpenView bandwidth allocation As noted below, NASDAQ broadcasts two (a primary and a back-up) multicast groups for its data feeds.

3.1.1 Network Bandwidth Allocations For load balancing reasons, NASDAQ plans to split the OpenView Basic messages across three outbound data channels based on the first letter of the issue symbol. Upon initial product implementation, the OpenView Basic bandwidth allocation for each multicast group will be as follows: Data Channel Security symbol

range Bandwidth allocation

OpenView Basic #1 A – E 1.370 Megabits (Mb) OpenView Basic #2 F – N 1.365 Mb OpenView Basic #3 O – Z 1.365 Mb Total bandwidth per multicast group 4.1 Mb Please note that NASDAQ reserves the right to modify the bandwidth allocation for its IP calls as system capacity dictates. Extranet customers are required to maintain sufficient network capacity to handle the NASDAQ data feed products ordered.

3.2 Processing of Original Transmissions

3.2.1 Protocol Overview Regardless of network provider, NASDAQ data feed transmissions will be transmitted in a non-interactive simplex mode using Internet Protocol (IP) multicast. A broadcast transmission with no answer back will be employed. A version of Cisco’s Protocol Independent Multicast (PIM) routing protocol will be used to route multicast packets through the network. All transmissions will be in standard ASCII code with 7 data bits (8th bit is zero). NASDAQ outbound data stream is designed to adhere to Request for Comment (RFC) 1112 standard from The NIC Group for IP multicast protocol. This RFC states:

IP multicasting is the transmission of an IP datagram to a “host group”, a set of zero or more hosts identified by a single IP destination address. A multicast datagram is delivered to all members of its destination host group with the same “best-efforts” reliability as regular unicast IP datagrams, i.e., the datagram is not guaranteed to


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arrive intact at all members of the destination group or in the same order relative to other datagrams.

To minimize data loss, NASDAQ provides primary and back-up groups for its data feed services. NASDAQ strongly recommends that all direct data feed subscribers program their systems to process both the primary and back-up groups. The data messages are identical for two groups with the exception of the following UDP message header field values: Source IP Address, Destination IP Address, UDP Source Port Number, and UDP Destination Port Number. The purpose of two host groups is to provide an extra layer of data redundancy within the extranet and end-user networks. By reading and utilizing both multicast groups into their production environment, IP multicast customers can help to protect themselves against network anomalies which could cause interruptions in data flow. To minimize data loss, NASDAQ strongly recommends that data feed customers process both the primary and back-up groups within their networks.

3.2.2 IP Multicast Addresses Each NASDAQ IP multicast stream will be assigned a unique Class D host group address for transmission via the extranets. The Class D addresses have been registered by NASDAQ with The NIC Group. Please contact NASDAQ Market Data Distribution for the IP multicast addresses and port assignments for the OpenView Basic data feed.


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3.2.3 Transmission Block Messages sent to data feed recipients are blocked to provide more efficient line utilization. Each block contains a maximum of 1000 data characters. Messages may not span blocks. Each message in a block ends in a Unit Separator (US) except the last message, which ends in an End of Text (ETX). With the exception of certain messages (e.g. Control messages), each message sent over OpenView contains a fixed format header and a text section that has a format and length that varies for each message type.

DATA BLOCK FORMAT

UDP/IP Headers

S O H

Message 1 header and

text

U S

Message 2 header and

text

U S

Message n header

and text

E T X

1000 Byte Block (Max) from SOH to ETX

3.3 Processing of Retransmissions

3.3.1 Transmission Characteristics for Retransmissions The OpenView Basic retransmission process is different from NASDAQ’s other data feed products. For efficiency reasons, NASDAQ plans to support an automated retransmission facility for OpenView Basic subscribers only. As is the current practice, OpenView Basic subscribers will be allowed to request retransmissions by message sequence number only. NASDAQ will utilize unicast for retransmission request and reply. Unicast is point-to-point communication between NASDAQ and a single data feed subscriber utilizing the UDP/IP protocol.

3.3.2 Retransmission Requests OpenView subscribers will need to request missing data by sending a inbound message to the NASDAQ Retransmission IP Address using the UDP/IP protocol. In the request message to NASDAQ, the OpenView subscriber should indicate the first message sequence number that it needs to have resent. The inbound data packet should be as follows:

UDP/IP Headers

S O H

Message Sequence Number (8 bytes)

ETX


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Please note that, due to network security concerns, NASDAQ will provide the Destination IP Address for the retransmission request to authorized OpenView Basic subscribers only.

3.3.3 Retransmission Response Upon receipt of the retransmission request, NASDAQ will reply by sending a retransmission data packet via unicast to the requesting firm only. NASDAQ will use the data from the inbound request to populate the Destination IP Address in the UDP/IP header for its outbound retransmission packet. In the retransmission packet, NASDAQ will send out as many messages in order, beginning with the requested message sequence number, as it can fit into the standard 1000 byte block size. In each of the messages, NASDAQ will populate the Retransmission Requester ID with the value of “R (space)” to help with database management on the recipient’s end. As a reminder, the standard OpenView Basic data block format is:

DATA BLOCK FORMAT UDP/IP Headers

S O H

Message Requested

U S

Next Message in sequence number order

U S

Message N in

sequence number order

E T X

1000 Byte Block (Max) from SOH to ETX

Depending on the size of the data loss, a firm may need to repeat the retransmission process until it receives all of the missing messages.


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3.4 UDP/IP Headers

Each IP datagram (original transmissions and retransmissions) includes the IP and UDP headers as well as the block text data. The datagram fields can be read left to right starting at the top and working your way down through the datagram.

0 16 32

VERSION 4 bits

HEADER LENGTH 4 bits

TYPE OF SERVICE

8 bits

TOTAL LENGTH (in bytes) 16 bits

IDENTIFICATION 16 bits

FLAGS 3 bits

FRAGMENT OFFSET 13 bits

TIME TO LIVE 8 bits

PROTOCOL 8 bits

IP HEADER CHECKSUM 16 bits

SOURCE IP ADDRESS 32 bits

DESTINATION IP ADDRESS 32 bits

UDP SOURCE PORT NUMBER 16 bits

UDP DESTINATION PORT NUMBER 16 bits

UDP LENGTH 16 bits

UDP CHECKSUM 16 bits

UDP Data (BLOCK DATA < 1000 BYTES)

3.5 Field Descriptions

3.5.1 IP Header Fields The following field descriptions pertain to the IP header:

• VERSION – 4 bit field used to define the current version of the IP protocol for transmission. The value will be set to 4.

• HEADER LENGTH – 4 bit field to define the number of 32 bit words in the IP header portion of the datagram. For multicast packets being generated by NASDAQ, the value will be set to 5.

• TYPE OF SERVICE – 8 bit field with the first 3 bits generally ignored by most network equipment. The next 5 bits are set to zero. Based on this description this field will always have the value of zero (0) for all multicast packets.

• TOTAL LENGTH – 16 bit field contains the length in bytes of the entire IP datagram (including UDP header). Since the maximum length of the block text is 1000 bytes, the maximum value for this field is 1028.

• IDENTIFICATION FIELD – 16 bit field contains a value that is incremented by one for each packet sent by the system. Not supported for UDP/IP packets.


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• FLAGS AND FRAGMENT OFFSET – Combined 16 bit field is only used when an IP datagram is fragmented. Not supported for UDP/IP packets.

• TIME TO LIVE (TTL) – 8 bit field contains a value that determines the number of routers that a datagram can pass through. Each router that forwards the datagram will decrement this value by one; when it reaches zero, the router throws it away. It is initially set to 32 by the multicast source systems.

• PROTOCOL – 8 bit field contains a value representing the next level encapsulated protocol. Since multicast uses UDP, the value is set to 0x17, which is 23 decimals.

• HEADER CHECKSUM – 16 bit field contains a checksum made up of the IP header fields only. The calculation is based on the one’s complement sum of the header broken into 16 bit words.

• IP SOURCE ADDRESS – 32 bit field contains the Registered Class C address of the multicast datagram source system. For outbound messages, the address may vary depending on origin (system and location) of NASDAQ data. Please contact NASDAQ Market Data Distribution for the addresses for the OpenView Basic feed.

• IP DESTINATION ADDRESS – 32 bit field contains the Registered Class D address for the intended data recipient. For original outbound messages, NASDAQ will use the standard IP Multicast Group addresses for all customers. Please contact NASDAQ Market Data Distribution for the addresses for the OpenView Basic feed. For retransmitted data packets, NASDAQ will populate the IP Destination Address based on the inbound retransmission request from the OpenView Basic subscriber.

3.5.2 UDP Header Fields The following field descriptions pertain to the UDP header:

• UDP SOURCE PORT NUMBER – 16 bit field identifies the Port16 address of the source system. Please contact NASDAQ Market Data Distribution for the addresses for the OpenView Basic feed.

• UDP DESTINATION PORT NUMBER – 16 bit field identifies the Port10 address of the source system. Please contact NASDAQ Market Data Distribution for the addresses for the OpenView Basic feed.

• UDP LENGTH – 16 bit field contains the length in bytes of the UDP headers plus the Data Block. The maximum value is 1008.

• UDP CHECKSUM – 16 bit field contains a checksum made up of the UDP header plus the Data Block. In addition, it includes the UDP pseudo header, which is made up of selected fields from the IP headers such as Source Address, IP Destination Address, Protocol, and UDP Length. The calculation is based on the one’s complement sum of the datagram broken into 16 bit words.


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3.5.3 UDP Data Fields The following field descriptions pertain to the Data Block transmission:

• SOH AND ETX – The start of a block of data will be indicated by the Start of Header (SOH) control character. The end of the block will be signified by an End of Text (ETX) control character.

• US – The Unit Separator (US) character is utilized in message blocks with multiple messages to signify the end of the preceding message but not the end of the block.

• BLOCK TEXT – The block text may consist of one or more messages. A message may not span block boundaries. A message shall consist of a Message Header and a Message Text. Each message in a block shall be delimited by a US character except the last message, which will be delimited by an ETX character.

• DATA FORMAT – Alphanumeric fields will be left justified and space (hex 20) filled unless otherwise noted. Numeric fields will be right justified and zero (hex 30) filled unless otherwise noted.


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Appendix A: Documentation Version Control Log Version Number

Posting Date Description of Documentation Change

2006-1 March 27, 2006 Initial posting of the document. 2006-1a April 10, 2006 Added transmission protocol section to

document. See section 3. Added quote spin processing information

to section 2.2. Updated definition for the Inside Quote

Appendage Indicator value of “1” (No Inside Exists).

Updated processing time for End of Day message.

2006-1b May 1, 2006 Updated allowable values for the Retransmission Requester field in message header.

Updated Market Participant Quote Processing section to denote how the size field will work on OpenView Basic.

Added retransmission processing section to document. See section 3.3.

2006-1c September 12, 2006

Updated the introduction section to reflect new product options for full NASDAQ market depth.

Updated OpenView Basic product description to reflect the new MPID of “NSDQ” to be used for unattributed orders in the integrated NASDAQ system.

Removed IP address information from the OpenView Basic data feed specification. Please contact NASDAQ Market Data Distribution for the current addressing information.

Documents

NASDAQ OpenView BasicSMNASDAQ OpenView BasicSM Data Feed Interface Specifications Version 2006-1c Updated: September 12, 2006 . NASDAQ OMX is scheduled to retire the OpenView Basic