WIXLIB

UTP Data Feed Services SpecificationBinary Version 1.5Revised May 2020

Table of Contents12Overview . 41.1Introduction . 41.2Data Types . 41.2.1 Table of Types.41.2.2 Numeric Types . 41.2.3 Alpha Types . 41.3Message Table . 5Messages . 62.1Message Header . 62.2UTP Quotation Messages (UQDF) . 82.2.1 UTP Quote Message Short-form (QE) .82.2.2 UTP Quote Message Long-form (QF). 92.2.3 National BBO Appendage . 102.2.3.12.2.3.2National BBO Appendage Short-form . 11National BBO Appendage Long-form . 72.4.1.82.4.1.9General Administrative Message (AA). 20CROSS SRO Trading Action Message (AH) . 20Market Center Trading Action Message (AK) . 21Issue Symbol Directory Message (AB) . 22Regulation SHO Short Sale Price Test Restricted Indicator Message (AV) . 23Limit Up – Limit Down Price Band Message (AP) . 24Market Wide Circuit Breaker Decline Level Message (AC). 25Market Wide Circuit Breaker Status Message (AD) . 25Auction Collar Message (AE) .262.2.4 FINRA ADF MPID Appendage. 122.2.5 FINRA ADF Market Participant Quotation Message (QM). 132.3Trade Messages (UTDF) . 142.3.1 Trade Report Message Short-form (TA) . 152.3.2 Trade Report Message Long-form (TW). 162.3.3 Trade Cancel/Error Message (TZ) . 172.3.4 Trade Correction Message (TY). 182.3.5 Prior Day As-Of Trade Message (TH) . 192.4Administrative Messages. 202.4.1 Trade and Quote Services (UQDF & UTDF) . 202.4.2Trade Services Only (UTDF only) . 272.4.2.12.4.2.22.4.3Closing Trade Summary Report Message (AZ) . 27Total Consolidated & Market Center Volume Message (VM) . 29Quote Services Only (UQDF only) . 302.4.3.1Session Close Recap Message (AR). 302.5Control Messages . 312.5.1 Trade and Quote Services (UQDF & UTDF) . 312.5.1.12.5.1.22.5.1.32.5.1.42.5.1.52.5.2Start Of Day (CI) .31End Of Day (CJ) .31Market Session Open (CO) .32Market Session Close (CC) .32End of Transmissions (CZ) .33Trade Services Only (UTDF only) . 342.5.2.12.5.2.2End Of Trade Reporting (CX) .34End of Consolidated Last Sale Eligibility (CS). 34Nasdaq Market Technology all rights reserved2

32.5.3Quote Services Only (UQDF only) . 352.5.3.1Quote Wipe-Out (CP) .35Code Definitions . 363.1Market Center Originator ID . 363.2Sub-Market Center ID . 373.3Quote Condition Code . 383.4SIP Generated Update . 383.5LULD BBO Indicator. 393.6LULD National BBO Indicator. 393.7Retail Interest Code . 393.8NBBO Appendage Indicator . 403.9FINRA ADF MPID Appendage Indicator . 403.10 Consolidated Price Change Indicator . 413.11 Participant Price Change Indicator. 413.12 Reg SHO Action Code . 413.13 Trade Through Exempt Code . 413.14 Sale Condition . 423.14.1Sale Condition Modifiers . 423.14.2UTP Sale Condition Matrix . 433.14.3Sale Condition Combination Table. 453.14.4Sale Condition and Trade Through Exempt Combinations . 463.14.5Sale Condition Notes . 463.15 Trade Cancel Type Code. 483.16 As-Of Action . 483.17 Trading Action Reason Code . 493.18 Trading Action Code . 503.19 Market Center Close Indicator. 503.20 Trading Action Indicator . 503.21 Special Condition . 503.22 Authenticity . 503.23 Issue Type . 513.24 Issue Subtype . 523.25 Market Tier . 533.26 Short Sale Threshold Indicator . 533.27 Financial Status Indicator . 533.28 LULD Price Band Indicator. 533.29 Market Wide Circuit Breaker Status Level Indicator . 544Binary and ASCII Protocol Differences and Notes . 555Revision History . 56Nasdaq Market Technology all rights reserved3

1Overview1.1IntroductionAll messages sent from the SIP host to the client are sequenced, and their delivery isguaranteed by the lower level INET MoldUdp64 pdf1.2Data Types1.2.1 Table of nSingle digit Alpha FieldBig-Endian Unsigned 16-Bit IntegerBig-Endian Unsigned 32-Bit IntegerBig-Endian Unsigned 64-Bit IntegerFixed Width Alpha FieldVariable Width Alpha Field - Length contained in the prior field within thesame message1.2.2 Numeric TypesUnsigned big-endian (network byte order) binary valuesNumeric types include short, int, longPrices represented by long fields have implied 6 decimal places.Prices represented by short fields have implied 2 decimal places.Timestamps are long and represent nanoseconds since Epoch.1.2.3 Alpha TypesASCII encodedLeft justified and padded on the right with spacesAlpha fields include byte, byte[], and varbyte[]Nasdaq Market Technology all rights reserved4

1.3Message TableCategoryQuote MessagesQQQTrade trol MessagesCCCCCCCCType AllowedQuote TradeMessage DescriptionParticipant FeedFeedEFMAllAllFINRAYYYNNNUTP Quote Short-formUTP Quote Long-formFINRA ADF Market Participant QuoteAWZYHAllAllAllAllAllNNNNNYYYYYTrade Report Message Short-formTrade Report Message Long-formTrade Cancel/ErrorTrade CorrectionPrior Day As-Of AllAllNasdaqYYYYYYYYNNYYYYYYYYYYYYNYGeneral AdministrativeCROSS SRO Trading ActionMarket Center Trading ActionIssue Symbol DirectoryReg SHO Short Sale Restrict IndicatorLimit Up – Limit Down Price BandMarket Wide Circuit Breaker DeclineMarket Wide Circuit Breaker StatusClosing Trade Summary ReportTotal Consolidated and Market VolumeSession Close RecapAuction Collar YYYYNStart Of DayEnd Of DayMarket Session OpenMarket Session CloseEnd Of TransmissionsEnd Of Trade ReportingEnd Of Consolidated Last Sale EligibleQuote Wipe-OutNasdaq Market Technology all rights reserved5

22.1MessagesMessage HeaderAll outbound data feed messages will precede each message specific data section with amessage otocol VersionMessage CategoryMessage TypeMarket Center Originator IDSub Market Center IDSIP TimestampParticipant TimestampParticipant TokenThe message header contains a one-byte alpha version field to allow for each messageformat to be updated, while still supporting previous versions of a message duringtransition.The orig field (Market Center Originator ID) is a 1 byte, alphanumeric character thatindicates the UTP participant or system that originated the message. Refer to Section3.1The subMarketId (Sub-Market Center Identifier) is a one-byte alphanumeric field thatwill be used for reporting trades originated by FINRA ADF or a FINRA Trade ReportingFacility (TRF). FINRA, as the regulator of the over-the- counter market, is responsible forreporting internalized trades of its member firms. FINRA may however, align with otherUTP participant exchanges to facilitate the collection, verification, and reporting ofinternalized trade transactions to the UTP SIP through a trade reporting facility (TRF).Since FINRA acts as the regulator for all over-the-counter transactions, the MarketCenter Originator ID field will carry the value of “D” for FINRA. When the transaction iscollected as part of a joint Trade Reporting Facility (TRF), the UTP SIP will indicate in theSub-Market Center field the TRF responsible for the trade.Refer to Section 3.2The sipTime is the time the outbound message is produced by the SIP.The field timestamp1 is a participant-provided timestamp representing the number ofnanoseconds since Epoch. The value is a long numeric. The SIP will simply pass throughthe value provided by the participant where applicable.Nasdaq Market Technology all rights reserved6

If from an Exchange: denotes the Exchange Matching Engine Publicationtimestamp for a transaction. Exchanges use a clock sync methodology ensuringthat timestamps are accurate within tolerances of 100 microseconds or less. If from the FINRA Alternative Display Facility (ADF) and/or a FINRA TradeReporting Facility (TRF): denotes the time of execution that a FINRA memberreports to the FINRA ADF or a FINRA TRF. FINRA shall convert times that itsmembers report to it in seconds or milliseconds to nanoseconds and shallprovide such times to the Processor in nanoseconds since Epoch.The partToken (Participant Token) is a long value. The Participant Token field isintended for UTP SIP internal use only and Data Recipients should ignore/disregard thisfield to the extent that it does not impact their normal data processing.Nasdaq Market Technology all rights reserved7

2.2UTP Quotation Messages (UQDF)The following message formats are used to disseminate quotation data for NASDAQlisted securities.2.2.1 UTP Quote Message Short-form (QE)NameOffset Length 43638404243444546471188852222111111Notes1 – Protocol VersionQ – Quote Messages (UTP QuoteFeed Only)byteE – Short-format UTP QuotationMessagebyteMarket Center Originator IDbyteSub Market Center IDlongSIP TimestamplongParticipant TimestamplongParticipant Tokenbyte[] Security Identifiershort Bid Priceshort Bid Sizeshort Ask Priceshort Ask SizebyteQuote ConditionbyteSIP Generated Update FlagbyteLULD BBO IndicatorbyteRetail Interest IndicatorbyteNBBO Appendage IndicatorbyteLULD National BBO IndicatorThe SIP will use the short form of this message format only if the UTP participant’squotation meets the following criteria: The Issue Symbol is 5 characters or less Both Bid and Ask Prices have a maximum price of 655.35 Both Bid and Ask Prices only use 2 decimal precision Both Bid and Ask Sizes are less than 65535 Quote is not a FINRA quote.Nasdaq Market Technology all rights reserved8

2.2.2 UTP Quote Message Long-form (QF)NameOffset Length otes1 – Protocol VersionQ – Quote Messages (UTP QuoteFeed Only)F – Long-format UTP QuotationMessageMarket Center Originator IDSub Market Center IDSIP TimestampParticipant TimestampParticipant TokenFINRA TimestampSecurity IdentifierBid PriceBid SizeAsk PriceAsk SizeQuote ConditionSIP Generated Update FlagLULD BBO IndicatorRetail Interest IndicatorNBBO Appendage IndicatorLULD National BBO IndicatorFINRA ADF MPID AppendageIndicator If from an Exchange: timestamp2 will be set to 0 If from the FINRA Alternative Display Facility (ADF):If the FINRA ADF provides a proprietary feed of its quotation information, thenthe FINRA ADF will publish the time of the quotations as also published on thefacility’s proprietary feed. The ADF shall convert times that it reports quotations on itsproprietary feed in seconds or milliseconds to nanoseconds and shall provide such timesto the Processor in nanoseconds since Epoch in the timestamp2 field.If the FINRA ADF does not have a proprietary quotation feed, timestamp2 willbe set to 0.Nasdaq Market Technology all rights reserved9

2.2.3 National BBO AppendageIf the UTP participant’s quotation impacts the national best bid and offer of the issue, aNational BBO Appendage will be added to the original short- or long-form message. Theappendage will include all relevant information concerning the Best Bid and Best Ask ofthe issue and the originating market center.Within the Quotation message, the National BBO Indicator will denote the type ofappendage to be included. The allowable National BBO Indicator values are as follows:Code01234ValueNo National BBO Change – The UTP participant’s quote does not affectthe National BBO. Vendors should continue to show the existing NationalBBO. No appendage is

Center Originator ID field will carry the value of “D” for FINRA. When the transa ction is collected as part of a joint Trade Reporting Facility (TRF), the UTP SIP will indicate in the Sub-Market Center field the TRF responsible for the trade. Refer to Section. 3.2. The . sipTime. is the