From March 23, 2015, Nasdaq will introduce a Commodities ITCH feed, a Glimpse re-request service for equities, derivatives, and commodities, an Auxiliary Market Data feed for derivatives and commodities.
Commodities ITCH Feed
Commodities ITCH TotalView will be the top product for professional investors and traders trading on Nasdaq Commodities Europe’s financial market comprised of Nordic, UK, German and Dutch power Derivatives. Commodities ITCH TotalView feed also include market data for Nasdaq Commodities Europe’s freight, fuel oil, carbon and UK natural gas derivatives.
Commodities ITCH data comes directly from the trading platform with full depth of market-by-order and is an ultra-low latency feed with no holdback timers.
Commodities ITCH feed use the multicast protocol (MoldUDP64).
Auxiliary Market Data Feed (AMD)
Nordic Derivatives and Commodities Auxiliary Data (AMD) Feeds are ITCH-like data feeds with complementary market data not included in the regular ITCH feeds.
Nordic Derivatives and Commodities AMD feeds feature the following data elements:
- Reference Data Messages: AMD includes the same Order Book Directory messages as ITCH, but will have additional information available in the messages.
- Reported Trade Messages: AMD supports trade messages to reflect trades that were negotiated privately and reported to the marketplace.
- Broken Trade Messages: To inform users of trade breaks. Note, this also includes broken trades generated from auto-matched orders published via ITCH
- Quote Request Messages
- Open Interest Messages: Open Interest information.
- Price Messages: Settlement, Indicative Price and Margin Price
- Market By Level: Publish Market By Level during the index derivatives open and closing auction
- Underlying Price: Commodities Area prices
AMD feeds use the multicast protocol (MoldUDP64).
Glimpse
As complements to the Nasdaq TotalView-ITCH real-time data feed products, Nasdaq Glimpse is a point-to-point data feed connection, which provides direct data feed customers with the current state of the Nasdaq execution systems with full market participant attribution.
Nasdaq Glimpse is a new retransmission facility for Nordic & Baltic Equity, Commodities and Derivatives TotalView direct data feed subscribers. Using the Nasdaq Glimpse facility, Nasdaq TotalView-ITCH data feed subscribers may obtain a snapshot of an order book in a trading source system at any point during the trading day. Firms may use the Nasdaq Glimpse service to validate order book displays or to recover from major data gaps during the trading day.
Nasdaq Glimpse is an add-on service for Nasdaq TotalView-ITCH direct data feed subscribers.
The Glimpse products use the same data formats as the corresponding TotalView-ITCH data feed products.
The new feeds are anticipated to be available for testing from mid-December, 2014.
For further information: http://www.nasdaqomx.com/transactions/marketdata/europeanproducts/data-feeds or please contact:
DataProducts@nasdaq.com or by telephone + 45 33 93 33 66