paul I think i read where Nasdaq is flagging all closing session trades with a "C"... you might want to ck Nasdaq Trader site...Nasdaq Vendor Technical Notices
Head Trader Alerts Market Ops News Subscriber Bulletin Technical Updates Buy-Side Alerts Buy-Side Bulletins ----------------------------
Vendor Alerts Admin. Notices Tech. Notices Release Schedule ----------------------------
Calendars Daily Lists General News NDX Updates Notices to Mbrs. UPC Notices ---------------------------- Nasdaq Vendor Technical Notice #2000-5 - February 8, 2000
Clarification of Inside Quote Data Processing Rules for Extended Trading Hours
The Nasdaq Stock Market© instituted Phase 2 of the Extended Trading Hours pilot program yesterday, February 7, 2000. Although the data format changes were posted as Vendor Alert #1999-15, Nasdaq© would like to clarify the data processing rules for the Closing Reports on the Level 1 ServiceSM and Nasdaq Trade Dissemination ServiceSM (NTDSSM) data feeds. In addition, Nasdaq would like to clarify the use of the quote condition field for real-time inside quote messages during the extended trading hours session.
Level 1 Closing Report/Recap Processing
The Level 1 Closing Report/Recap is disseminated at 4:15 p.m., Eastern Time (ET), with the inside bid and ask data for Nasdaq issues. As noted in Vendor Alert #1999-15, Nasdaq uses this batch transmission process to disseminate the inside bid and ask data as of the US market close at 4 p.m., ET. The Closing Report/Recap is identified in the Level 1 message header by a Message Category "A," Message Type "C."
Within the Closing Report/Recap message format itself, there is a Condition field. Under Phase 2 of the Extended Trading Hours pilot, Nasdaq systems recognize the inside bid and ask as open until 6:30 p.m., ET. As a result, Nasdaq disseminated in yesterday?s 4:15 p.m., ET, transmission a value of "R" in the Condition field of the Closing Report/Recap message if the inside quote was still open as of 4 p.m., ET. Prior to this release, most Closing Report/Recap messages were disseminated with a Condition value of "C" to signify the inside quote was closed as of 4p.m., ET. In response to overwhelming customer demand, Nasdaq will change the system processing to set a Condition Value of "C" in all Level 1 Closing Report/Recap messages beginning with today?s transmission.
NTDS Closing Report Processing
Nasdaq also supports an NTDS Closing Report, which is disseminated at 6:40 p.m., ET. The Closing Report message format is identified within the NTDS message header by a Message Category "A," Type "C" for Nasdaq-listed securities, and Message Category "A," Type "c" for OTC Bulletin Board© (OTCBB) and other over-the-counter (OTC) securities. Within the NTDS Closing Report message format, Nasdaq includes several fields to show the closing inside bid and ask data. Like the Level 1 Closing Report/Recap, the NTDS Closing Report contains the inside quote data for the US market session close as of 4 p.m., ET. Within the NTDS Closing Report, only the Share Volume field is reflective of the 6:30 p.m., ET, extended trading hours session close.
Based on this information, Nasdaq strongly recommends that Level 1 and NTDS data feed recipients check their internal systems to make sure that they are properly processing the Closing Report messages. External redistributors should notify Nasdaq Trading and Market Services and/or their customers if they do not process the closing report messages as outlined above.
Inside Bid/Ask Updates for Extended Trading Hours Session
With the implementation of Phase 2, Nasdaq now supports real-time updates to the inside bid and ask from 4 to 6:30 p.m., ET, on Level 1 and the Nasdaq Quotation Dissemination ServiceSM (NQDSSM). Since the extended session is voluntary, Market Makers are not required to stay open after 4 p.m., ET. To generate an inside quotation message, Nasdaq requires that at least one open market participant show a bid and ask price in the security. If the there are no active market participants or if the only active market participants are electronic communication networks (ECNs)/alternative trading systems (ATSs) displaying quotes on one-side of the market during the extended session, Nasdaq will disseminate an "M" value in the Condition field of the Inside Quotation message. It should be noted that "M" is not, and has never been, a trading halt condition. The "M" condition is used only to signify that bid and ask are zero. Again, external distributors should take the necessary precautions to make sure that they are correctly displaying this inside quote condition to their customers.
Thank you for your attention to this matter. Questions about Nasdaq data feed formats should be directed to Nasdaq Trading and Market Services at (202) 728-8480.
|
