Nordic Equity – ITCH for Reported Trades
Version 3.00.3
December 1, 2015
Overview
Confidentiality/Disclaimer
This specification is being forwarded to you strictly for informational purposes
and solely for the purpose of developing or operating systems for your use that
interact with systems of Nasdaq, Inc. and its affiliates (collectively,
Nasdaq). This specification is proprietary to Nasdaq.
Nasdaq reserves the right to withdraw, modify, or replace this specification at
any time, without prior notice. No obligation is made by Nasdaq regarding the
level, scope or timing of Nasdaq's implementation of the functions or features
discussed in this specification. The specification is provided "AS IS," "WITH
ALL FAULTS". Nasdaq makes no warranties to this specification or its
accuracy, and disclaims all warranties, whether express, implied, or statutory
related to the specification or its accuracy. This document is not intended to
represent an offer of any terms by Nasdaq. Whilst all reasonable care has
been taken to ensure that the details contained herein are true and not
misleading at the time of publication, no liability whatsoever is assumed by
Nasdaq for any incompleteness or inaccuracies. By using this specification
you agree that you will not, without prior written permission from Nasdaq, copy
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Nasdaq® is a registered trademark, or service mark, of Nasdaq, Inc. in the
United States and other countries.
Contents
1
OVERVIEW ................................................................... 1
2
ARCHITECTURE ............................................................ 2
3
DATA TYPES ................................................................. 3
4
MESSAGE FORMATS...................................................... 4
4.1 Trade Messages ....................................................................................... 4
4.1.1 Reported Trade Message (Exchange Trade) ............................. 4
4.1.2 Reported Trade Message (Off-Exchange Trade) ...................... 4
4.2 Broken Trade ........................................................................................... 5
5
SUPPORT ..................................................................... 6
6
REVISION HISTORY ..................................................... 7
APPENDIX A, TRADE TYPES ................................................ 8
Copyright © 2015. Nasdaq, Inc. All rights reserved
v
Overview
1 Overview
Nordic Equity – ITCH for Reported Trades is a direct data feed product offered by
Nasdaq Nordic1, which features the following data elements:
o
Reported Trade messages: Trades reported to the marketplace. Both
for instruments traded on the exchange and trades for non-listed
instruments.
1
NasdaqCopenhagen,NasdaqHelsinki,NasdaqIceland,NasdaqRiga,Nasdaq
Stockholm,NasdaqTallinnandNasdaqVilniusarerespectivelybrandnamesfor
NasdaqCopenhagenA/S,NasdaqHelsinkiLtd,NasdaqIcelandhf.,NasdaqRigaAS,
NasdaqStockholmAB,NasdaqTallinnASandABNasdaqVilnius.NasdaqNordic
representsthecommonofferingbyNasdaqCopenhagen,NasdaqHelsinki,Nasdaq
IcelandandNasdaqStockholm.NasdaqBalticrepresentsthecommonofferingby
NasdaqTallinn,NasdaqRigaandNasdaqVilnius.
Copyright © 2015. Nasdaq, Inc. All rights reserved
1
Architecture
2 Architecture
The ITCH feed is made up of a series of sequenced messages. Each message is
variable in length based on the message type and is composed of non-control
ASCII bytes. The messages that make up the ITCH protocol are typically delivered
using a higher level protocol that takes care of sequencing and delivery
guarantees.
Nasdaq Nordic offers the ITCH data feed in three protocol options:
Protocol Option
SoupTCP
Number of Outbound Channels
Single outbound channel for all securities.
Nasdaq Nordic can add new message fields and message types to this
specification. New message fields will be added to the end of the message.
Participants should use decoders that ignore unknown message types and
messages that expand in length.
2
Copyright © 2015. Nasdaq, Inc. All rights reserved
Data Types
3 Data Types
All numeric fields are composed of a string of ASCII coded digits, right justified and
space filled on the left.
All alpha and alpha.numeric fields are left justified and padded on the right with
spaces.
Prices are given in two different decimal formats. The format is decided by the
Trade Price Format field.
1. With 6 whole number places followed by 6 decimal digits. The whole
number portion is padded on the left with spaces; the decimal portion is
padded on the right with zeros. The decimal point is implied by position; it
does not appear inside the price field.
2. With 10 whole number places followed by 2 decimal digits.
The DateTime data type is given in CET (Central European Time) and the
YYYYMMDDHHMMSS.sssssssss format.
Copyright © 2015. Nasdaq, Inc. All rights reserved
3
Message Formats
4 Message Formats
The Nordic Equity – ITCH for Reported Trades feed is composed of a series of
messages that describe Trades reported to the Nasdaq Nordic marketplace.
NOTE: Only confirmed (locked-in) trades are published in this feed.
4.1
Trade Messages
4.1.1
Reported Trade Message (Exchange Trade)
The Reported Trade Message (Exchange Trade) is used to publish reported trades
in instruments listed by the exchange.
REPORTED TRADE MESSAGE (EXCHANGE TRADE)
Name
Offset
Length Value
Notes
Message
0
1
“Y”
‘Y’ – Exchange Trade
Type
Order Book
1
6
Numeric
Orderbook ID.
Executed
Quantity
Match
Number
Time of trade
execution
Time of trade
agreement
Time of trade
dissemination
Trade Price
7
12
Numeric
Traded Quantity
19
10
VILI Match Number
29
24
Alphanumeric
Datetime
53
24
Datetime
77
24
Datetime
Time when the trade was published
101
12
Numeric
Trade Price
Trade Price
Format
113
1
Alpha
Security
Description
Trade type
114
1
Alpha
115
1
Participant
ID, buyer
Participant
ID, seller
116
4
Alphanumeric
Alpha
Values:
A – Unit Price 6x6
B – Contract Price 10x2
Values:
R – Regulated Market
For valid values, see Appendix A
120
4
Alpha
4.1.2
MPID of buyer
MPID of seller
Reported Trade Message (Off-Exchange Trade)
The Reported Trade Message (Off-Exchange Trade) is used to publish reported
OTC or SI trades in any instruments, whether listed on the exchange or not, using
the ISIN-Currency-Venue (Market) combination.
REPORTED TRADE MESSAGE (OFF-EXCHANGE TRADE)
Name
Offset
Length
Value
Notes
Message
0
1
“Z”
‘Z’ – Off-Exchange Trade
Type
4
Copyright © 2015. Nasdaq, Inc. All rights reserved
Message Formats
ISIN Code
1
12
Currency
13
3
Alphanumeric
Alpha
Venue
16
4
Alpha
Side
20
1
Alpha
Executed
Quantity
Match
Number
Time of trade
execution
Time of trade
agreement
Time of trade
dissemination
Trade Price
21
12
Numeric
33
10
43
24
Alphanumeric
Datetime
67
24
Datetime
91
24
Datetime
Time when the trade was published
115
12
Numeric
Trade Price
Trade Price
Format
127
1
Alpha
Security
Description
128
1
Alpha
Trade type
129
1
Reporting
Party MPID
130
4
Alphanumeric
Alpha
Values:
A – Unit Price 6x6
B – Contract Price 10x2
Values:
‘O’ = Over The Counter (OTC)
‘S’ = Systematic Internalizer (SI)
For valid values, see Appendix A
4.2
Values:
‘B’ – Buy
‘S’ – Sell
‘X’ - Cross
Traded Quantity
VILI Match Number
MPID of reporting party
Broken Trade
The Broken Trade Message is sent whenever a reported trade is canceled.
BROKEN TRADE MESSAGE
Name
Offset
Length
Message
0
1
Type
Match
1
10
Number
Time of
trade break
11
24
Value
“B”
Notes
Broken Trade Message.
Alphanumeric
The Match Number of the Trade Report
that was broken.
Datetime
Time when trade was broken.
Copyright © 2015. Nasdaq, Inc. All rights reserved
5
Support
5
Support
Specification documents can be located at:
http://www.nasdaqomx.com/transactions/technicalinformation
6
Copyright © 2015. Nasdaq, Inc. All rights reserved
Revision History
6 Revision History
Date
February 19,
2010
March 15, 2010
March 22, 2010
May 26, 2011
September 13,
2012
Revisio
n
1.0
1.01
1.02
1.03
1.03
March 8, 2013
1.04
September 25,
2013
February 10,
2014
May 20, 2014
January 19,
2015
June 22, 2015
1.10
September 22,
2015
3.00.1
October 8, 2015
3.00.2
December 1,
2015
3.00.3
1.10.1
2.00
2.00.1
3.0
Change Description
Initialversion.
Specificationrenamed.
Specificationnamechangedagain.
AddedOXRoutedTrades
Removed“draft”from
Confidentiality/Disclaimer.ReplacedURLin
Section5.
TradeTypedescriptivenamesharmonizedwith
otherdocumentation.Removedtablecolumns
forvaluesthatarenotexternallyexposed.
RemovedTradetype4asitisnotsupported.
(AppendixA,Tradetypes).
AddedsupportforLiquidnetrouting
• Addednewtradetype(E)toAppendixA.
ModifiedthedocumentationURLinsection5.
Addedparagraphtotheendofsection2.
Rebranded,changed“NASDAQOMX”to
“Nasdaq”.
ExtendedtheDatetimedatatypeandassociated
fieldstosupportnanosecondtimestamps
CorrectedtheSideenumerationsofthe
ReportedTrade(Off-ExchangeTrade)message,
adding“X”thatisusedforcross-trades.Referto
section4.1.2.
ClarifiedthattheTimestampdatatypeusesCET
time.
Brandnamechanges,noactualprotocol
changes.
Copyright © 2015. Nasdaq, Inc. All rights reserved
7
Appendix A, Trade types
Appendix A, Trade types
Trade type
Description
1
Standard Trade
2
Non-Standard Settlement
3
Exchange Granted Trade 5
Portfolio Trade
6
Volume Weighted Average Price Trade
7
Derivative Related Transaction
8
Pre-Opening Trade
9
OTC Standard Trade
A
OTC Non-Standard Trade
B
SI Standard Trade
C
SI Non-Standard Trade
D
Standard Routed Trade
E
Standard Routed Dark Trade
8
Copyright © 2015. Nasdaq, Inc. All rights reserved