The OTC Montage Data FeedSM (OMDFSM) Data Feed Interface Specification Version 14.5 Revised: November 2015 Published by: NASDAQ Market Technology 9600 Blackwell Road, Suite 500 Rockville, Maryland 20850 Phone: (301) 978-5307 Email: [email protected] OTC Montage Data Feed (OMDF) Introduction 1.0 Introduction .................................................................................................... 1-1 1.1 Background ................................................................................................. 1-1 1.2 Upcoming Data Feed Enhancements ............................................................... 1-1 1.2.1 Launch of Investors’ Exchange LLC (IEX) as a New Participant to UTP Plan ... 1-2 1.3 Connectivity Options ..................................................................................... 1-2 1.4 Scope ......................................................................................................... 1-2 2.0 Transmission Characteristics ............................................................................. 2-1 2.1 Bandwidth Allocations ................................................................................... 2-1 2.1.1 Current Bandwidth Allocation Table .......................................................... 2-1 2.2 Transmission Protocol ................................................................................... 2-1 2.2.1 Protocol Overview .................................................................................. 2-1 2.2.2 IP Multicast Addresses ............................................................................ 2-2 2.3 Transmission Block ....................................................................................... 2-2 2.4 UDP/IP Headers ........................................................................................... 2-3 2.5 Field Descriptions ......................................................................................... 2-3 2.5.1 IP Header Fields .................................................................................... 2-3 2.5.2 UDP Header Fields ................................................................................. 2-4 2.5.3 UDP Data Fields ..................................................................................... 2-4 2.6 Retransmission Capability .............................................................................. 2-5 3.0 Message Header .............................................................................................. 3-1 3.1 Message Category ........................................................................................ 3-2 3.2 Message Type .............................................................................................. 3-2 3.3 Message Header Format / Session Identifier .................................................... 3-3 3.4 Retransmission Requester ............................................................................. 3-3 3.5 Message Sequence Number (MSN) ................................................................. 3-4 3.6 Market Center Originator ID ........................................................................... 3-4 3.7 SIP TimeStamp ............................................................................................ 3-5 3.8 Reserved ..................................................................................................... 3-5 3.9 TimeStamp1 ................................................................................................ 3-5 3.10 TimeStamp2 ................................................................................................ 3-6 3.11 Transaction ID ............................................................................................. 3-6 4.0 Data Formats .................................................................................................. 4-1 4.1 FINRA ADF Quotation Messages ..................................................................... 4-1 4.1.1 Short Form FINRA ADF Market Participant Quotation ..................................... 4-1 4.1.2 Long Form FINRA ADF Market Participant Quotation ................................... 4-1 4.1.3 FINRA ADF BBO Appendages ................................................................... 4-2 4.1.4 Short Form FINRA ADF BBO Appendage .................................................... 4-2 4.1.5 Long Form FINRA ADF BBO Appendage .................................................... 4-3 4.2 Administrative Messages ............................................................................... 4-3 4.2.1 General Administrative Message .............................................................. 4-3 4.2.2 Cross SRO Trading Action Message .......................................................... 4-3 4.2.3 Market Center Trading Action .................................................................. 4-4 4.2.4 Issue Symbol Directory Message .............................................................. 4-4 4.2.5 Regulation SHO Short Sale Price Test Restricted Indicator ........................... 4-5 4.2.6 Limit Up-Limit Down Price Band Message .................................................. 4-5 4.3 Control Messages ......................................................................................... 4-6 5.0 Field Occurrences Within Messages .................................................................... 5-1 6.0 Field Descriptions............................................................................................. 6-1 7.0 Quotation Message Processing Guidelines ........................................................... 7-1 7.1 Hours of Operation ....................................................................................... 7-1 7.2 Scope of Data .............................................................................................. 7-1 Version 14.5 1-1 OTC Montage Data Feed (OMDF) Introduction 7.3 Opening Process ........................................................................................... 7-1 7.4 Intra-Day Quote Processing ........................................................................... 7-2 7.4.1 Market Center Originator ID .................................................................... 7-2 7.4.2 Market Participant Quotes ....................................................................... 7-2 7.4.3 Price .................................................................................................... 7-3 7.4.4 Quote Condition ..................................................................................... 7-3 7.4.5 Closing Process...................................................................................... 7-3 7.4.6 FINRA ADF Best Bid and Offer (BBO) Quotations ........................................ 7-4 7.4.7 FINRA BBO Appendage Indicator ............................................................. 7-4 8.0 Administrative Message Processing Guidelines ..................................................... 8-1 8.1 General Administrative Messages ................................................................... 8-1 8.2 Cross SRO Trading Action Messages ................................................................ 8-1 8.3 Market Center Trading Action Messages .......................................................... 8-3 8.4 Issue Symbol Directory ................................................................................. 8-3 8.5 Regulation SHO Short Sale Price Test Restricted Indicator ................................. 8-4 8.6 New Limit Up-Limit Down Functionality ........................................................... 8-5 8.7 Market Wide Circuit Breaker Changes .............................................................. 8-6 8.7.1 Market Wide Circuit Breaker (MWCB) Decline Levels message ..................... 8-7 8.7.2 Market Wide Circuit Breaker Status message ............................................. 8-7 9.0 Control Message Processing Guidelines ............................................................... 9-1 9.1 Overview ..................................................................................................... 9-1 9.2 Control Message Description .......................................................................... 9-2 9.2.1 Start Of Day .......................................................................................... 9-2 9.2.2 End Of Day ........................................................................................... 9-2 9.2.3 Market Session Open .............................................................................. 9-2 9.2.4 Market Session Close ............................................................................. 9-2 9.2.5 End Of Retransmission Requests .............................................................. 9-3 9.2.6 End Of Transmissions ............................................................................. 9-3 9.2.7 Line Integrity ........................................................................................ 9-3 9.2.8 Sequence Number Reset ......................................................................... 9-3 9.2.9 Quote Wipe-Out ..................................................................................... 9-4 10.0 Format Release & Testing Guidelines ................................................................ 10-1 10.1 Release Notification .................................................................................... 10-1 10.2 Release Types ...........................................................................................