NQTV Itch V4 - 1

NASDAQ TotalView-ITCH 4.
1 Overview
NASDAQ TotalView-ITCHSM is a direct data feed product offered by The NASDAQ Stock Market,
LLC.
NASDAQ TotalView-ITCH 4.1 is being released in association of the equity symbology initiative and
will support issue symbols up to 8 characters in total length.
NASDAQ TotalView-ITCH 4.1 features the following data elements (in binary number format) for all
exchange-listed equities securities traded via the NASDAQ execution system:
o Order level data with attribution: For NASDAQ execution system, NASDAQ will provide
its full order depth using the standard ITCH format. TotalView-ITCH uses a series of
messages of order messages to track the life of a customer order. 1 As an added feature,
the TotalView-ITCH message formats will support NASDAQ market participant attribution.
TotalView-ITCH carries order level data for NYSE-, NYSE Amex- and NYSE Arca-listed
securities as well as for NASDAQ-listed securities.
o Trade messages: To ensure that customers have complete information about NASDAQ
order flow, TotalView-ITCH 4.1 supports a trade message to reflect a match of a non-
displayable order in the NASDAQ system. TotalView-ITCH 4.1 also supports a separate
trade message to reflect NASDAQ cross transactions.
o Net Order Imbalance Data: In the minutes leading up to the NASDAQ Opening and
Closing Crosses as well as the NASDAQ Crosses for IPO or halted/paused securities,
NASDAQ disseminates the indicative clearing price and net order imbalance on NASDAQ.
Because the calculation includes non-displayable as well as displayable order types, the
Net Order Imbalance Indicator (NOII) is the best predictor of the NASDAQ opening and
closing prices available to the public.
o Administrative messages, such trading actions and symbol directory messages:
o Trading action messages are used to inform market participants when a security is
halted/paused or released for trading.
o Symbol Directory messages provide basic security data such as the market tier
and Financial Status Indicator.
o Market participant position message carries the Primary Market Maker status,
Market Participant status and Market Maker mode fields used by some firms to
comply with market regulations.
o Event controls, such as start of day, end of day and emergency market halt/resume.
2 Architecture
The TotalView-ITCH 4.1 feed is made up of a series of sequenced messages. Each message is
variable in length based on the message type. The messages that make up the TotalView–ITCH 4.1
1
TOTALVIEW-ITCH is an outbound market data feed only. The ITCH protocol does not support
order entry. For information on NASDAQ order entry protocols, please refer to the Trading Products
section of the NASDAQ OMX Trader® website.
TOTALVIEW-ITCH 4.1 INTERFACE SPECIFICATION
protocol are typically delivered using a higher level protocol that takes care of sequencing and
delivery guarantees.
NASDAQ offers the TotalView–ITCH 4.1 data feed in three protocol options:.
o SoupBinTCP
o Compressed via SoupBinTCP
o MoldUDP64
3 Data Types
All integer fields are unsigned big-endian (network byte order) binary encoded numbers.
All alpha fields are left justified and padded on the right with spaces.
Prices are integer fields. When converted to a decimal format, prices are in fixed point format with 6
whole number places followed by 4 decimal digits. The maximum price in TotalView-ITCH is
200,000.0000 (decimal, 77359400 hex).
4 Message Formats
The TotalView-ITCH feed is composed of a series of messages that describe orders added to,
removed from, and executed on NASDAQ as well as disseminate Cross and Stock Directory
information.
4.1 Time Stamp – Seconds

For bandwidth efficiency reasons, NASDAQ will separate the TotalView-ITCH 4.1 timestamp into
two pieces:
Timestamp Portion Message Type Notes

Seconds Standalone message on Reflects the number of seconds
TotalView-ITCH 4.1 feed past midnight that the
Timestamp message was
generated.
Note: A Timestamp – Second

message will be disseminated
for every second for which there
is at least one payload
message.
Nanoseconds Field within individual message Reflects the number of
formats on TotalView-ITCH 4.1 nanoseconds since the most
feed recent Timestamp-Seconds
message that the payload
message was generated.
For the standalone Timestamp – Seconds message, the message format will be as follows:
TIMESTAMP - SECONDS MESSAGE

Name Offset Length Value Notes
Message 0 1 ―T‖ Seconds Message.
Type
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Second 1 4 Integer Number of seconds since midnight.
4.2 System Event Message

The system event message type is used to signal a market or data feed handler event. The format is
as follows:
SYSTEM EVENT MESSAGE

Message 0 1 ―S‖ System Event Message.
Type
Timestamp 1 4 Integer Nanoseconds portion of the timestamp.
Event Code 5 1 Alpha See System Event Codes below.
NASDAQ supports the following event codes on a daily basis on the TotalView-ITCH 4.1 data feed.
SYSTEM EVENT CODES – DAILY

Code Explanation
―O‖ Start of Messages. Outside of time stamp messages, the start of day
message is the first message sent in any trading day.
―S‖ Start of System hours. This message indicates that NASDAQ is open and
ready to start accepting orders.
―Q‖ Start of Market hours. This message is intended to indicate that Market
Hours orders are available for execution.
―M‖ End of Market hours. This message is intended to indicate that Market
Hours orders are no longer available for execution.
―E‖ End of System hours. It indicates that NASDAQ is now closed and will
not accept any new orders today. It is still possible to receive Broken
Trade messages and Order Delete messages after the End of Day.
―C‖ End of Messages. This is always the last message sent in any trading
day.
In the event of an emergency market condition (EMC), NASDAQ will also support the following event
codes on TotalView-ITCH 4.1.
SYSTEM EVENT CODES – AS NEEDED

Code Explanation
―A‖ Emergency Market Condition – Halt: This message is sent to inform
NASDAQ market participants that the EMC is in effect. No trading is
allowed during the EMC.
―R‖ Emergency Market Condition – Quote Only Period: This message is sent
to inform NASDAQ market participants that the EMC quotation only
period is in effect.
―B‖ Emergency Market Condition – Resumption: This message is sent to
inform NASDAQ market participants that EMC is no longer in effect.
4.3 Stock Related Messages

4.3.1 Stock Directory
At the start of each trading day, NASDAQ disseminates stock directory messages for all active
symbols in the NASDAQ execution system.
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Market data redistributors should process this message to populate the Financial Status Indicator
(required display field) and the Market Category (recommended display field) for NASDAQ-listed
issues.
STOCK DIRECTORY
Message Type 0 1 ―R‖ Stock Directory Message
Timestamp - 1 4 Integer Nanoseconds portion of the timestamp.
Nanoseconds
Stock 5 8 Alpha Denotes the security symbol for the issue in the
NASDAQ execution system. Refer to Appendix
B for stock symbol convention information.
Market 13 1 Alpha Indicates Listing market or listing market tier for
Category the issue
―N‖ = New York Stock Exchange (NYSE)

―A‖ = NYSE Amex
―P‖ = NYSE Arca
―Q‖ = NASDAQ Global Select MarketSM
―G‖ = NASDAQ Global MarketSM
―S‖ = NASDAQ Capital Market®
Financial Status 14 1 Alpha For NASDAQ-listed issues, this field indicates
Indicator when a firm is not in compliance with NASDAQ
continued 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 = Company is in compliance, if NASDAQ-

listed issue
For NYSE, NYSE Amex and NYSE Arca issues,

this field will also be space-filled. Redistributors
should refer to SIAC feeds for code if needed.
Round Lot Size 15 4 Integer Indicates the number of shares that represent a
round lot for the issue
Round Lots 19 1 Alpha Indicates if NASDAQ system limits order entry
Only for issue
―Y‖ = only round lots are accepted in this stock

―N‖ = odd/mixed lots are allowed
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4.3.2 Stock Trading Action

NASDAQ uses this administrative message to indicate the current trading status of a security to the
trading community.
Prior to the start of system hours, NASDAQ will send out a Trading Action spin. In the spin, NASDAQ
will send out a Stock Trading Action message with the ―T‖ (Trading Resumption) for all NASDAQ- and
other exchange-listed securities that are eligible for trading at the start of the system hours. If a
security is absent from the pre-opening Trading Action spin, firms should assume that the security is
being treated as halted in the NASDAQ platform at the start of the system hours. Please note that
securities may be halted in the NASDAQ system for regulatory or operational reasons.
After the start of system hours, NASDAQ will use the Trading Action message to relay changes in
trading status for an individual security. Messages will be sent when a stock is:
Halted / paused
Released for quotation
Released for trading.
STOCK TRADING ACTION

Message 0 1 ―H‖ Stock Trading Action Message.
Type
Nanoseconds
Stock 5 8 Alpha Stock symbol right padded with spaces.
Trading State 13 1 Alpha Indicates the current trading state for the stock.
Allowable values:
―H‖ = Halted or paused across all U.S. equity

markets / SROs
―V‖ = Halted or paused on NASDAQ only
―Q‖ = Quotation only period for cross-SRO halt
or pause
―R‖ = Quotation only period for NASDAQ only
halt or pause
―T‖ = Trading on NASDAQ
Reserved 14 1 Alpha Reserved.
Reason 15 4 Alpha Trading Action reason.
4.3.3 Reg SHO Short Sale Price Test Restricted Indicator

In November 2010, the Securities and Exchange Commission (SEC) will implement changes to Rule
201 of the Regulation SHO (Reg SHO). For details, please refer to SEC Release Number 34-61595.
In association with the Reg SHO rule change, NASDAQ will introduce the following Reg SHO Short
Sale Price Test Restricted Indicator message format.
For NASDAQ-listed issues, NASDAQ will support a full pre-opening spin of Reg SHO Short Sale Price
Test Restricted Indicator messages indicating the Rule 201 status for all active issues. NASDAQ will
also send the Reg SHO Short Sale Price Test Restricted Indicator message in the event of an intraday
status change.
For other exchange-listed issues, NASDAQ will relay the Reg SHO Short Sale Price Test Restricted
Indicator message when it receives an update from the primary listing exchange.
NASDAQ will process orders based on the most Reg SHO Restriction status value.
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REG SHO RESTRICTION

Message 0 1 ―Y‖ Reg SHO Short Sale Price Test Restricted
Type Indicator
Nanoseconds
Stock 5 8 Alpha Stock symbol right padded with spaces.
Reg SHO 13 1 Alpha Denotes the Reg SHO Short Sale Price Test
Action Restriction status for the issue at the time of the
message dissemination. Allowable values are:
―0‖ = No price test in place
―1‖ = Reg SHO Short Sale Price Test Restriction

in effect due to an intra-day price drop in
security
―2‖ = Reg SHO Short Sale Price Test Restriction

remains in effect
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4.3.4 Market Participant Position

At the start of each trading day, NASDAQ disseminates a spin of market participant position
messages. The message provides the Primary Market Maker status, Market Maker mode and Market
Participant state for each NASDAQ market participant firm registered in an issue. Market participant
firms may use these fields to comply with certain marketplace rules.
Throughout the day, NASDAQ will send out this message only if NASDAQ Operations changes the
status of a market participant firm in an issue.
MARKET PARTICIPANT POSITION

Message 0 1 ―L‖ Market Participant Position message
Type
Timestamp - 1 4 Integer Nanoseconds portion of the
Nanoseconds timestamp.
MPID 5 4 Alphabetic Denotes the market participant
identifier for which the position
message is being generated
Stock 9 8 Alphanumeric Denotes the security symbol for which
the position is being generated
Primary 17 1 Alphanumeric Indicates if the market participant firm
Market Maker qualifies as a Primary Market Maker in
accordance with NASDAQ
marketplace rules
―Y‖ = primary market maker

―N‖ = non-primary market maker
Market Maker 18 1 Alphanumeric Indicates the quoting participant’s
Mode registration status in relation to SEC
Rules 101 and 104 of Regulation M
―N‖ = normal
―P‖ = passive
―S‖ = syndicate
―R‖ = pre-syndicate
―L‖ = penalty
Market 19 1 Alphanumeric Indicates the market participant’s
Participant current registration status in the issue
State
―A‖ = Active
―E‖ = Excused/Withdrawn
―W‖ = Withdrawn
―S‖ = Suspended
―D‖ = Deleted
4.4 Add Order Message

An Add Order Message indicates that a new order has been accepted by the NASDAQ
system and was added to the displayable book. The message includes a day-unique
Order Reference Number used by NASDAQ to track the order.
NASDAQ will support two variations of the Add Order message format.
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4.4.1 Add Order – No MPID Attribution

This message will be generated for unattributed orders accepted by the NASDAQ system. (Note: If a
firm wants to display a MPID for unattributed orders, NASDAQ recommends that it use the MPID of
―NSDQ‖.)
ADD ORDER MESSAGE

Message 0 1 ―A‖ Add Order – No MPID Attribution Message.
Type
Nanoseconds
Order 5 8 Integer The unique reference number assigned to the
Reference new order at the time of receipt.
Number
Buy/Sell 13 1 Alpha The type of order being added.
Indicator
―B‖ = buy order.
―S‖ = sell order.
Shares 14 4 Integer The total number of shares associated with the
order being added to the book.
The security symbol for which the order is being
Stock 18 8 Alpha
added.
The display price of the new order. Refer to
Price 26 4 Integer
Data Types for field processing notes.
4.4.2 Add Order with MPID Attribution

This message will be generated for attributed orders and quotations accepted by the NASDAQ system.
ADD ORDER – MPID ATTRIBUTION MESSAGE

Message 0 1 ―F‖ Add Order with MPID Attribution Message.
Type
Nanoseconds
Reference new order at the time of receipt.
Number
Buy/Sell 13 1 Alpha The type of order being added.
Indicator
―B‖ = buy order.
―S‖ = sell order.
Shares 14 4 Integer The total number of shares associated with the
order being added to the book.
The security symbol for which the order is being
Stock 18 8 Alpha
added.
The display price of the new order. Refer to
Price 26 4 Integer
Attribution 30 4 Alpha NASDAQ market participant identifier associated
with the entered order.
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4.5 Modify Order Messages

Modify Order messages always include the Order Reference Number of the Add Order to which the
update applies. To determine the current display shares for an order, ITCH 4.1 subscribers must
deduct the number of shares stated in the Modify message from the original number of shares stated
in the Add Order message with the same reference number. NASDAQ may send multiple Modify
Order messages for the same order reference number and the effects are cumulative. When the
number of display shares for an order reaches zero, the order is dead and should be removed from the
book.
4.5.1 Order Executed Message

This message is sent whenever an order on the book is executed in whole or in part. It is possible to
receive several Order Executed Messages for the same order reference number if that order is
executed in several parts. The multiple Order Executed Messages on the same order are
cumulative.
By combining the executions from both types of Order Executed Messages and the Trade Message, it
is possible to build a complete view of all non-cross executions that happen on NASDAQ. Cross
execution information is available in one bulk print per symbol via the Cross Trade Message.
ORDER EXECUTED MESSAGE

Message 0 1 ―E‖ Order Executed Message.
Type
Nanoseconds
Order
The order reference number associated with the
Reference 5 8 Integer
executed order.
Number
Executed 13 4 Integer The number of shares executed.
Shares
Match 17 8 Integer The NASDAQ generated day-unique Match
Number Number of this execution. The match number is
also referenced in the Trade Break Message.
4.5.2 Order Executed With Price Message

This message is sent whenever an order on the book is executed in whole or in part at a price
different from the initial display price. Since the execution price is different than the display price of
the original Add Order, NASDAQ includes a price field within this execution message.
It is possible to receive multiple Order Executed and Order Executed With Price messages for the
same order if that order is executed in several parts. The multiple Order Executed messages on the
same order are cumulative.
These executions may be marked as non-printable. If the execution is marked as non-printed, it

means that the shares will be included into a later bulk print (e.g., in the case of cross executions).
If a firm is looking to use the data in time-and-sales displays or volume calculations, NASDAQ
recommends that firms ignore messages marked as non-printable to prevent double counting.
ORDER EXECUTED WITH PRICE MESSAGE

Message 0 1 ―C‖ Order Executed Message.
Type
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Nanoseconds
Order
The reference number of the order that was
Reference 5 8 Integer
executed.
Number
Executed 13 4 Integer The number of shares executed.
Shares
Match 17 8 Integer The NASDAQ generated day-unique Match
Number Number of this execution. The match number is
also referenced in the Trade Break Message.
Indicates if the execution should be reflected on
time and sale displays and volume calculations.
Printable 25 1 Alpha
―N‖ = non-printable
―Y‖ = printable
Execution The price at which the order execution occurred.
26 4 Integer
Price Refer to Data Types for field processing notes.
4.5.3 Order Cancel Message

This message is sent whenever an order on the book is modified as a result of a partial cancellation.
ORDER CANCEL MESSAGE

Message 0 1 ―X‖ Order Cancel Message.
Type
Nanoseconds
Order 5 8 Integer The reference number of the order being
Reference reduced.
Number
Canceled 13 4 Integer The number of shares being removed from the
Shares display size of the order as the result of a
cancellation.
4.5.4 Order Delete Message

This message is sent whenever an order on the book is being cancelled. All remaining shares are no
longer accessible so the order must be removed from the book.
ORDER DELETE MESSAGE

Message 0 1 ―D‖ Order Delete Message.
Type
Nanoseconds
Order 5 8 Integer The reference number of the order being
Reference canceled.
Number
4.5.5 Order Replace Message

This message is sent whenever an order on the book has been cancel-replaced. All remaining shares
from the original order are no longer accessible, and must be removed. The new order details are
provided for the replacement, along with a new order reference number which will be used henceforth.
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Since the side, stock symbol and attribution (if any) cannot be changed by an Order Replace event,
these fields are not included in the message. Firms should retain the side, stock symbol and MPID
from the original Add Order message.
ORDER REPLACE MESSAGE

Message 0 1 ―U‖ Order Replace Message
Type
Nanoseconds
Original Order 5 8 Integer The original reference number of the order
Reference being replaced.
Number
New Order 13 8 Integer The new reference number for this order at
Reference time of replacement.
Number
Please note that the NASDAQ system will use
this new order reference number for all
subsequent updates.
Shares 21 4 Integer The new total displayed quantity.
Price 25 4 Integer The new display price for the order. Refer to
4.6 Trade Messages

4.6.1 Trade Message (Non-Cross)
The Trade Message is designed to provide execution details for normal match events involving non-
displayable order types. (Note: There is a separate message for NASDAQ cross events.)
Since no Add Order Message is generated when a non-displayed order is initially received,
NASDAQ cannot use the Order Executed messages for all matches. Therefore this message
indicates when a match occurs between non-displayable order types. A Trade Message is
transmitted each time a non-displayable order is executed in whole or in part. It is possible to
receive multiple Trade Messages for the same order if that order is executed in several parts. Trade
Messages for the same order are cumulative.
Trade Messages should be included in NASDAQ time-and-sales displays as well as volume and
other market statistics. Since Trade Messages do not affect the book, however, they may be
ignored by firms just looking to build and track the NASDAQ execution system display.
TRADE MESSAGE (NON-CROSS)

Message 0 1 ―P‖ Trade Message
Type
Nanoseconds
Reference order on the book being executed.
Number
Effective December 6, 2010, NASDAQ OMX will
populate the Order Reference Number field
within the Trade (Non-Cross) message as zero.
For the binary versions of the TotalView-ITCH
data feeds, the field will be null-filled bytes
VERSION 4.1 10/06/2010 PAGE 11

(which encodes sequence of zero).
Buy/Sell 13 1 Alpha The type of non-display order on the book being

Indicator matched.
―B‖ =buy order
―S‖ =sell order
Shares 14 4 Integer The number of shares being matched in this
execution.
Stock 18 8 Alpha The security symbol associated with the match
execution.
Price 26 4 Integer The match price of the order. Refer to Data
Types for field processing notes.
Match 30 8 Integer The NASDAQ generated session-unique Match
Number Number for this trade. The Match Number is
referenced in the Trade Break Message.
4.6.2 Cross Trade Message

Cross Trade message indicates that NASDAQ has completed its cross process for a specific security.
NASDAQ sends out a Cross Trade message for all active issues in the system following the Opening,
Closing and EMC cross events. Firms may use the Cross Trade message to determine when the
cross for each security has been completed. (Note: For the halted / paused securities, firms should
use the Trading Action message to determine when an issue has been released for trading.)
For most issues, the Cross Trade message will indicate the bulk volume associated with the cross
event. If the order interest is insufficient to conduct a cross in a particular issue, however, the Cross
Trade message may show the shares as zero.
To avoid double counting of cross volume, firms should not include transactions marked as non-
printable in time-and-sales displays or market statistic calculations.
CROSS TRADE MESSAGE

Message 0 1 ―Q‖ Cross Trade Message
Type
Nanoseconds
Shares 5 8 Integer The number of shares matched in the
NASDAQ Cross.
Stock 13 8 Alpha The security symbol associated with the
cross trade message.
Cross Price 21 4 Integer The price at which the cross occurred.
Refer to Data Types for field processing
notes.
Match 25 8 Integer The NASDAQ generated day-unique
Number Match Number of this execution.
Cross Type 33 1 Alpha The NASDAQ cross session for which
the message is being generated.
―O‖ = NASDAQ Opening Cross.
―C‖ = NASDAQ Closing Cross.
―H‖ = Cross for IPO and halted / paused
securities.
―I‖ = NASDAQ Cross Network: Intraday
Cross and Post-Close Cross
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4.6.3 Broken Trade / Order Execution Message

The Broken Trade Message is sent whenever an execution on NASDAQ is broken. An execution may
be broken if it is found to be ―clearly erroneous‖ pursuant to NASDAQ’s Clearly Erroneous Policy. A
trade break is final; once a trade is broken, it cannot be reinstated.
Firms that use the ITCH feed to create time-and-sales displays or calculate market statistics should
be prepared to process the broken trade message. If a firm is only using the ITCH feed to build a
book, however, it may ignore these messages as they have no impact on the current book.
BROKEN TRADE MESSAGE

Message 0 1 ―B‖ Broken Trade Message.
Type
Nanoseconds
Match 5 8 Integer The NASDAQ Match Number of the execution
Number that was broken. This refers to a Match Number
from a previously transmitted Order Executed
Message, Order Executed With Price Message,
or Trade Message.
4.7 Net Order Imbalance Indicator (NOII) Message

NASDAQ disseminates NOII data at 5-second intervals in the minutes leading up to the NASDAQ
Opening Cross and NASDAQ Closing Cross.
o For the NASDAQ Opening Cross, NOII messages will be disseminated during the two
minutes leading up to the start of market hours.
o For the NASDAQ IPO, Halt and Imbalance Crosses, NOII messages will be disseminated
during the quote only period. The first NOII message will be disseminated approximately five
seconds after the Stock Trading Action message with the ―Q‖ or ―R‖ action value is
disseminated.
o For the NASDAQ Closing Cross, NOII messages will be disseminated during the ten minutes
leading up to the end of market hours.
NOII MESSAGE
Message 0 1 ―I‖ NOII Message
Type
Nanoseconds
Paired Shares 5 8 Integer The total number of shares that are eligible to
be matched at the Current Reference Price.
Imbalance 13 8 Integer The number of shares not paired at the
Shares Current Reference Price.
Imbalance 21 1 Alpha The market side of the order imbalance.
Direction
―B‖ = buy imbalance
―S‖ = sell imbalance
―N‖ = no imbalance
―O‖ = Insufficient orders to calculate
Stock 22 8 Alpha The security symbol for which the NOII
VERSION 4.1 10/06/2010 PAGE 13


Far Price 30 4 Integer A hypothetical auction-clearing price for cross
orders only. Refer to Data Types for field
processing notes.
Near Price 34 4 Integer A hypothetical auction-clearing price for cross
orders as well as continuous orders. Refer to
Current 38 4 Integer The price at which the NOII shares are being
Reference calculated. Refer to Data Types for field
Price processing notes.
Cross Type 42 1 Alpha The type of NASDAQ cross for which the NOII
―O‖ = NASDAQ Opening Cross

―C‖ = NASDAQ Closing Cross
―H‖ = Cross for IPO and halted / paused
securities
Price 43 1 Alpha This field indicates the absolute value of the
Variation percentage of deviation of the Near
Indicator Indicative Clearing Price to the nearest
Current Reference Price.
“L” = Less than 1%

“1” = 1 to 1.99%
“2” = 2 to 2.99%
“3” = 3 to 3.99%
“4” = 4 to 4.99%
“5” = 5 to 5.99%
“6” = 6 to 6.99%
“7” = 7 to 7.99%
“8” = 8 to 8.99%
“9” = 9 to 9.99%
“A” = 10 to 19.99%
“B” = 20 to 29.99%
“C” = 30% or greater
Space = Cannot be calculated
5 Support
o For general product support for NASDAQ data feeds, please contact NASDAQ OMX
Global Data Products at +1 301 978 5307 or [email protected].
o For technical support for NASDAQ data feeds, please contact NASDAQ OMX Global
Software Development at [email protected].
VERSION 4.1 10/06/2010 PAGE 14

Appendix A
Documentation Revision Control Log
October 6, 2010: NASDAQ TotalView-ITCH Version 4.10
NASDAQ OMX added a note to Trade (Non-Cross) message format stating that the Order Reference
Number would be zero for all transactions as of December 6, 2010.
July 14, 2010: NASDAQ TotalView-ITCH Version 4.10

NASDAQ OMX added a new Regulation SHO Short Sale Price Test Restricted Indicator message
format to be introduced in the fourth quarter of 2010.

NASDAQ OMX added new Action Trading code(s) to the Stock Trading Action message for the
NASDAQ Volatility Guard trading pause.
May 25, 2010: NASDAQ TotalView-ITCH Version 4.10

NASDAQ added two new Trading Action Reason code values (T5 and T7) for single security trading
pause situations.
January 26, 2010: NASDAQ TotalView-ITCH Version 4.10

Released a new version of the TotalView-ITCH documentation to support the following changes:
Increased length of the symbol field from 6 characters to 8 characters in multiple message
formats in support of the equity symbology initiative.
Modified the values for the Market Catetgory field in Symbol Directory messages to delineate
among NYSE-, NYSE Amex- and NYSE Arca-listed issues.
Added note to Appendix B to reflect that NASDAQ OMX is reviewing its stock symbol
conventions to determine if changes are needed.
February 3, 2009: NASDAQ TotalView-ITCH Version 4.00

NASDAQ revised Order Reference Number field definition for the Add Order messages to remove the
following statement: ―The order reference number is increasing, but not necessarily sequential.‖

NASDAQ releases TotalView-ITCH 4.0 specifications to public. This document includes the following
format modifications from earlier versions of the ITCH feed.
o Numeric fields modified to support binary integers

o Time stamp granularity changed to nanoseconds past midnight
o Added Order Replace message
o Updated protocol references to reflect new SoupBinTCP protocol associated with ITCH 4.0
feed.

NASDAQ releases TotalView-ITCH 3.1 specifications to the public. This document included the
following format modifications from earlier versions of the ITCH feed.
o Expanded Order Reference Number and Match ID field size in all Order and Trade related
messages to 12 bytes (from 9 bytes)
o Added Order Replace message
o Updated protocol references to reflect new network support documentation associated with
ITCH 3.1
September 16, 2008: NASDAQ TotalView-ITCH Version 3.00
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NASDAQ corrected a few corporate references in the TotalView-ITCH 3.0 specifications document.
No material changes were made.
June 10, 2008: NASDAQ TotalView-ITCH Version 3.00

NASDAQ modified the TotalView-ITCH 3.0 specifications document to add new codes for emergency
market condition (EMC) situations:
o Section 4.2 – System Event Message. Added the following three codes for EMC situations.
A = Emergency market condition – halt
R = Emergency market condition – quote only period
B = Emergency market condition – resumption
o Section 4.6.2 – Cross Trade message: Added cross type of ―E‖ for EMC situations. Also added
processing note to indicate that NASDAQ will begin to generate a cross trade message for all
active issues in the system beginning in the third quarter of 2008.
March 5, 2008: NASDAQ TotalView-ITCH Version 3.00

NASDAQ modified the TotalView-ITCH 3.0 specifications document to reflect a change in the Message
Type value for the new Market Participant Position message format to be added to data stream on or
about April 21, 2008:
o Section 4.3.3 – Market Participant Position. The message type value for this message should be
―L‖.
January 16, 2008: NASDAQ TotalView-ITCH Version 3.00

NASDAQ modified the TotalView-ITCH 3.0 specifications document to reflect the following new
message format to be added to data stream on or about April 21, 2008:
o Section 4.3.3 – Market Participant Position. This message is designed to provide Primary Market
Maker status, Market Participant status and Market Maker mode fields used by some firms to
comply with market regulations.
April 30, 2007: NASDAQ TotalView-ITCH Version 3.00
NASDAQ modified the TotalView-ITCH 3.0 specifications document to reflect the following changes:
o Section 4 – For clarity reasons, the Data Type field was updated for all formats to delineate
between alphabetic and alphanumeric fields.
o Section 4.3.1 – Within the Issue Directory message format, NASDAQ updated the code list for the
Market Category field to denote that space is an allowable value. The Market Category field may
be space filled if the security symbol is associated with a test issue OR if NASDAQ Operations
adds a production issue to its online systems intra-day.
February 15, 2007: NASDAQ TotalView-ITCH Version 3.00

o 4.3.2 – Stock Trading Action. Updated document to reflect actual system processing rules for pre-
opening trading action spin.
o Appendix B – Stock Symbol Convention. Updated document to reflect the most current URL links
to NASDAQ symbology matrices.

o Section 4.1 – Timestamp. Added sentence to address sequencing of second and millisecond
timestamps.
o Corrected the numbering in remainder of section 4.
August 22, 2006: NASDAQ TotalView-ITCH Version 3.00

NASDAQ modified the TotalView-ITCH 3.0 specification document to reflect the following changes:
VERSION 4.1 10/06/2010 PAGE 16

o Section 4.2 – System Events: Updated the explanations for the ―O‖, ―Q‖, ―M‖ and ―M‖ events to
more accurately reflect the feed processing.
o Appendix B – Stock Symbol Conversion: Please contact NASDAQ Systems Engineering for up-
to-date symbol suffix matrix.

NASDAQ releases TotalView-ITCH 3.0 specifications to the public. This document included the
following format modifications from earlier versions of the ITCH feed.
o Moved the timestamp from the individual messages to separate seconds and milliseconds
messages for bandwidth and processing efficiency reasons.
o Added the following new messages to be consistent with TotalView-Aggregated feed:
 Stock Directory
 Net Order Imbalance Indicator
o Replaced Halt/Resume message with Stock Trading Action message to be more consistent
with other NASDAQ data feeds.
o Updated Add Order messages in the following ways:
 Updated Add Order (A) message to remove the display field. Firms should process
all orders for NASDAQ quotation displays.
 Added new Add Order – MPID Attribution (F) message as NASDAQ execution
system will support market participant attribution at the order level.
o Updated Modify Order messages in the following ways:
 Updated Order Executed message to support Printable field. Printable field will be
used to denote cross transactions.
 Added new Order Executed With Price Message (C) for situations where the
execution price is different from the display price of an order. This message is
intended to reflect situations where there was price improvement with the NASDAQ
system.
 Added new Order Delete (D) message format to reflect when an order is cancelled in
full. This change was done for bandwidth efficiency reasons.
o Added Cross Trade (Q) message to reflect bulk transactions such as the NASDAQ Crosses.
VERSION 4.1 10/06/2010 PAGE 17

February 24, 2006: NASDAQ TotalView-ITCH Version 2.0a

o Replaced all references to INET to NASDAQ.
o Added attribution to ―Add Order’. This will is the first variable length message in ITCH. It was
done to save bandwidth by not sending MMIDs for non-attributed orders.
o Added Halt/Resume message.
March 17, 2004: ITCH Version 2.00

o Replaced all references to Island (ISLD) with Inet ATS (INET).
December 21, 2000: ITCH Version 2.00

o Corrected the definition for price fields in the spec to match the actual behavior. Price fields
are padded on the left with spaces, not zeros.
November 5, 2001 – ITCH Version 2.0

o Changed price field format to 6 whole number digits followed immediately by 4 decimal digits.
The decimal point was no longer included in the field but implied by position. This reduced the
bandwidth of the stream significantly and makes for much easier parsing and processing of
price values.
o Changed timestamps to be stated as milliseconds past midnight rather than hundredths of
seconds past midnight.
o Replaced the End of Session System event with the End of Day System Event. Although the
messages looked identical, the semantics were different. The old End of Session System
Event told subscribers that there would be no more messages during that session. The new
End of Day System Event indicated that there are no more orders today, but there may still be
more messages like Cancels on open orders and Breaks on previously executed orders.
o Removed language about any orders remaining on the book at the end of the session being
dead. INET automatically cancels all open orders at the end of the day, so firms should not
have any left-over orders on the book at the end of the session.
o Reduced the size of all shares fields from 9 digits to 6 digits.
o Removed Contra Broker Code from the Order Executed and Trade messages.
January 19, 2000 – ITCH Version 1.00

o Removed implementation ideas from document.
o Moved all session management to a higher-level protocol. ITCH now only specifies the actual
messages concerning orders added and executed on the INET book.
o Added the Broken Trade Message to let you know when an execution is broken.
o Added the Print Message to enable people to build INET time-and-sales, INET last trade, and
INET volume services.
o Removed the Timeout ―why‖ for canceled orders.
o Removed the Text Message type.
o Increased the precision of timestamps to hundredths of seconds.
o Added Match Number to all executions.
May 12, 1998 – ITCH Version 0.22

o Added the Display field to the Add Order Message. This field denotes if the order is
displayable in INET quote to the NASDAQ SIP under the SEC order handling rules.
November 20, 1997 – ITCH Version 0.21

o Changed documentation to show that the Fixed Rewind Request Message type is "W" .
Earlier document should the type as "R" in error.
o Changed documentation for Login Request Message to note that a firm’s connection would
expire if it failed to log in within 30 seconds of initial login.
o Fixed the description of the Sequence Number field in the Heartbeat Message. The Sequence
number should be the next expected sequence number, even during a rewind.
October 1, 1997 – ITCH Version 0.20

o Released initial product specification, in draft format, to a few developers for comment.
VERSION 4.1 10/06/2010 PAGE 18

Appendix B
Stock Symbol Convention
NASDAQ OMX is in the process of revising its stock symbol suffix plan to accommodate root symbols
of up to 5 characters across U.S. equity exchanges. Once the new plan is confirmed, NASDAQ OMX
will post a Data Technical News item on the NASDAQ OMX Trader website with details.
Until further notice, NASDAQ OMX will follow its current practice.
For NYSE-, NYSE Amex- and NYSE Arca-listed securities with subordinate issue types, please refer
to the Ticker Symbol Conversion for CQS Securities page on the NASDAQ OMX Trader website.
For NASDAQ-listed issues, NASDAQ OMX currently restrict its symbol length to a maximum of 5
characters. For common stock issuances, NASDAQ and BX will assign a symbol of 1 to 4 characters
in length. For subordinate securities, NASDAQ and BX will assign a 5 character symbol for which the
last character relays information about the issue class or issue type. For the current list of fifth
character symbol suffixes, please refer to Current List of Fifth Character Symbol Suffixes for NASDAQ-
listed Issues on the NASDAQ OMX Trader website.
VERSION 4.1 10/06/2010 PAGE 19

Appendix C
Trading Action – Reason Codes
For NASDAQ-listed issues, NASDAQ acts as the primary market and has the authority to institute a
trading halt or trading pause in an issue due to news dissemination or regulatory reasons.
For CQS issues, NASDAQ abides by any regulatory trading halts and trading pauses instituted by the
primary or listing market as appropriate.
For both issue types, NASDAQ may also halt trading for operational reasons.
NASDAQ will send out a trading action message to inform its market participants when the trading
status of an issue changes. For informational purposes, NASDAQ also attempts to provide the reason
for each trading action update. For bandwidth efficiency reasons, NASDAQ uses a 4-byte code for the
reason on its outbound data feeds.
REASON CODES FOR TRADING HALT ACTIONS

Code Value
T1 Halt News Pending
T2 Halt News Disseminated
T5 Single Security Trading Pause In Effect
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 IPO Issue Not Yet Trading
M1 Corporate Action
M2 Quotation Not Available
Space Reason Not Available
REASON CODES FOR QUOTATION/TRADING RESUMPTION ACTIONS

Code Value
T3 News and Resumption Times
T7 Single Security Trading Pause / Quotation Only Period
R4 Qualifications Issues Reviewed/Resolved; Quotations/Trading to Resume
R9 Filing Requirements Satisfied/Resolved; Quotations/Trading To Resume
C3 Issuer News Not Forthcoming; Quotations/Trading To Resume
C4 Qualifications Halt ended; Maintenance Requirements Met; Resume
C9 Qualifications Halt Concluded; Filings Met; Quotes/Trades To Resume
C11 Trade Halt Concluded By Other Regulatory Auth.; Quotes/Trades Resume
R1 New Issue Available
R2 Issue Available
IPOQ IPO Security Released for Quotation (NASDAQ Securities Only)
IPOE IPO Security — Positioning Window Extension (NASDAQ Securities Only)
Space Reason Not Available
VERSION 4.1 10/06/2010 PAGE 20

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NASDAQ TotalView-ITCH 4.

o Administrative messages, such trading actions and symbol directory messages:

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4.1 Time Stamp – Seconds

Timestamp Portion Message Type Notes

Note: A Timestamp – Second

TIMESTAMP - SECONDS MESSAGE

VERSION 4.1 10/06/2010 PAGE 2

Second 1 4 Integer Number of seconds since midnight.

4.2 System Event Message

SYSTEM EVENT MESSAGE

SYSTEM EVENT CODES – DAILY

SYSTEM EVENT CODES – AS NEEDED

4.3 Stock Related Messages

VERSION 4.1 10/06/2010 PAGE 3

―N‖ = New York Stock Exchange (NYSE)

Space = Company is in compliance, if NASDAQ-

For NYSE, NYSE Amex and NYSE Arca issues,

―Y‖ = only round lots are accepted in this stock

VERSION 4.1 10/06/2010 PAGE 4

4.3.2 Stock Trading Action

STOCK TRADING ACTION

―H‖ = Halted or paused across all U.S. equity

4.3.3 Reg SHO Short Sale Price Test Restricted Indicator

VERSION 4.1 10/06/2010 PAGE 5

REG SHO RESTRICTION

―0‖ = No price test in place

―1‖ = Reg SHO Short Sale Price Test Restriction

―2‖ = Reg SHO Short Sale Price Test Restriction

VERSION 4.1 10/06/2010 PAGE 6

4.3.4 Market Participant Position

MARKET PARTICIPANT POSITION

―Y‖ = primary market maker

4.4 Add Order Message

VERSION 4.1 10/06/2010 PAGE 7

4.4.1 Add Order – No MPID Attribution

ADD ORDER MESSAGE

4.4.2 Add Order with MPID Attribution

ADD ORDER – MPID ATTRIBUTION MESSAGE

VERSION 4.1 10/06/2010 PAGE 8

4.5 Modify Order Messages

4.5.1 Order Executed Message

ORDER EXECUTED MESSAGE

4.5.2 Order Executed With Price Message

These executions may be marked as non-printable. If the execution is marked as non-printed, it

ORDER EXECUTED WITH PRICE MESSAGE

VERSION 4.1 10/06/2010 PAGE 9

4.5.3 Order Cancel Message

ORDER CANCEL MESSAGE

4.5.4 Order Delete Message

ORDER DELETE MESSAGE

4.5.5 Order Replace Message

VERSION 4.1 10/06/2010 PAGE 10

ORDER REPLACE MESSAGE

4.6 Trade Messages

TRADE MESSAGE (NON-CROSS)

VERSION 4.1 10/06/2010 PAGE 11

(which encodes sequence of zero).

Buy/Sell 13 1 Alpha The type of non-display order on the book being