Nasdaq data & overall architecture

Discussion in 'Data Sets and Feeds' started by tharnett, Mar 18, 2004.

  1. tharnett


    Does anyone have any good suggestions where you can learn more about how Nasdaq and ECN data is aggregated and then distributed? For instance, if you subscribe to the Nasdaq through a quote vendor, what kind of data are you getting? ECN's incluced? Are we just getting trades from all these regional liquidity pools or are we getting thier quotes as well?
    Also, if you know of a great place to learn how all this fits together I would be interested in your thoughts.
  2. I was hoping to see some response to this thread. I am also interested in any info. on this subject. In the least techno-jargon laden way would be helpful:D

  3. OHR


    It depends on what data feed(s) the quote vendor is giving. Nasdaq's main feed is called "NQDS", which gives you each the best quotes of each firm in SuperMontage (whether a market maker or an ECN). "Nasdaq Prime" has all the quotes of each firm in SuperMontage (some post quotes at multiple price levels and NQDS only shows the best one from each firm).

    Remember though, BRUT is the only major ECN in SuperMontage, so these feeds do not show the quotes of INET and ARCA. It also only shows the top of BRUT's book, as BRUT does not post quotes at multiple levels in SuperMontage.

    You can get the full "depth of book" from each of BRUT, ARCA and INET directly. They all call this their "ITCH feed" (ITCH is the software protocol used for this). These feeds are given away directly to brokers/customers as well as vendors. These feeds typically include last trade info, but only for that particular ECN.

    Nasdaq also sells a feed to quote vendors called UTDF, which contains last trade info for all trades, regardless of where they happen. INET trades show up as done on the NSX, ARCA trades show up as the PCX, and BRUT trades show up as the BSE. These are all the regional exchanges each firm uses to report transactions to the "tape".

    Long story short - with the NQDS feed and the ITCH feeds from all the big ECNs for quotes, and the UTDF feed for trades, you have all the info you need. Make sure your broker/vendor gives you access to all of it.

    For more information, take a look at the Nasdaq's website at
    For more info on ECN ITCH feeds, take a look at INET's web-site at
  4. alanm


    What a great post, OHR. Do you work for NASDAQ, or maybe a data vendor?

    Can there also be other trades on the UTDF tape from, for example, the BSE, representing trades that actually happen at the BSE? Do most data vendors simply use the UTDF tape, and ignore the prints that come in on the ITCH feeds to avoid reconciling them and removing the dups?
  5. tharnett


    Thanks for your answer to my question. That gives me the best explanation I have heard on how everything is put together and disseminated. The motivating reason for asking this question was to call into question whether I am actually seeing the best bid or best offer across all the places a particular stock trades, including ECN's. It appears from you answer that I really can't be sure of it unless I know my quote vendor is subscribing to all the different data feeds from Nasdaq and the ECN's individually. Does this seem correct? Thanks again for your insight.
  6. Thanks for the response OHR
  7. OHR


    Thanks for the kind words re my post. To answer the follow up questions:

    1. Yes, the UTDF feed (even the prints of the regional exchanges) can contain trades that don't relate to the activity on the ECN that uses them. Currently that only really applies with respect to NYSE stocks, as currently there is little to no non-ECN activity in Nasdaq stocks on these exchanges.

    2. Some vendors (and brokers) do rely on UTDF and ignore ECN ITCH feed last sale info. Others, however, prefer to use the ITCH feeds because they can be slightly quicker. We're talking milliseconds here, but it matters to some more than others.

    3. Tharnett - your summary is correct. You should make sure your vendor (or your broker) is telling you what Nasdaq and ECN ITCH feeds are showing up on the application your using. If you have NQDS, UTDF and the ITCH feeds of ARCA, INET and BRUT, you're in good shape.

  8. tharnett


    Thanks OHR. You insight is really appreciated.