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Wednesday, July 1, 2020

Options Technical Update #2020 - 3
REMINDER: Nasdaq Options Markets Update SQF and QUO Technical Specifications in Support of CAT

 

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  • System Impact

Markets Impacted:

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Nasdaq has updated the Quote Using Orders (QUO) technical specifications for The Nasdaq Options Market (NOM), and the Specialized Quote Feed (SQF) technical specifications for all 6 Nasdaq option markets, to support changes required for the Consolidated Audit Trail (CAT) reporting.

These changes introduce new Type/SubType values for all messages containing the new CAT required SentTimestamp field. The addition of a new Type/SubType will allow SQF and QUO users the flexibility to adapt to the new SentTimestamp field at any time between the production implementation date of Monday, May 18, 2020 and the CAT required implementation date of Monday, July 20, 2020. Nasdaq recommends conformance certification. Available testing dates are listed below.

Effective Monday, July 20, 2020, Nasdaq will remove the Type/SubType values which allow the messages to be sent without the new, CAT required SentTimestamp field.

PHLX/NOM/BX Technical Specifications

The SQF 6.5b technical specification document has been updated to add the new Type/SubType values and the SQF 6.5a technical specification document was previously updated to add the SentTimestamp field to the following messages:

  • Short Quote Block
  • Long Quote Block
  • Short Quote Block (Full Symbology)
  • Long Quote Block (Full Symbology)
  • Quote Reply
  • Detailed Quote Reply
  • Underlying Purge
  • Underlying Purge Reply

ISE/GEMX/MRX Technical Specifications

The SQF 8.2b technical specification document has been updated to add the new Type/SubType values and the SQF 8.2a technical specification document was previously updated to add the SentTimestamp field to the following messages:

  • Simple Quote Block (short form)
  • Simple Quote Block (long form)
  • Complex Quote Block
  • Quote Block Reply
  • Detailed Quote Block Reply
  • Underlying Purge Request
  • Underlying Purge Reply

NOM QUO Technical Specifications

The SentTimestamp field will be sent for all cancelled SQF quotes when the cancel was initiated through the QUO Protocol using the Risk Protection Control Message.

    The NOM QUO 1.4e technical specification document has been updated to add the new Type/SubType values and the SentTimestamp field to the following messages:

  • Risk Protection Control Message
  • Risk Protection Control Acknowledgement Message

 

This change is pursuant to the CAT reporting exemption for market maker quotations. Note that market maker IOC orders and auction responses (“SQF Sweeps”), as well as QUO orders, are not included in this exemption, and market makers must still report those events to CAT.  

The timeline below reflects relevant dates for the changes announced above:  

  • NTF Availability: Currently available
  • Saturday UAT: Saturday, May 2
  • Go Live Date: Monday, May 18

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