REMINDER: Enhancements to Daily TAQ Quotes and NBBO Files for LULD
Posted on February 01, 2013 at 00:00 AM EST
NYSE Technologies would like to remind clients of planned changes to the Daily TAQ Quotes and NBBO files to include a set of new fields, comprising indicators for Limit-up/Limit-down, Short Sales Restriction and FINRA ADF MPID.  Planned Changes The Daily TAQ Quotes file and NBBO file will be updated with additional fields as follows: Daily TAQ Quotes file: Short Sale Restriction (SSR) Indicator Limit-Up/Limit-Down BBO (UTP) Indicator Limit-Up/Limit-Down BBO (CQS) Indicator FINRA ADF MPID Indicator Daily TAQ NBBO file: Limit-Up/Limit-Down NBBO (UTP) Indicator Limit-Up/Limit-Down NBBO (CQS) Indicator The new file layouts are described in detail in an updated Client Specification document here . Implementation Approach The changes were applied to a set of daily files, appended with a ‘.new’ suffix, which have been delivered in parallel to the current daily files since December 2012. With effect from files dated Monday February 4, 2013, the new format files will be renamed to remove the ‘.new’ suffix and will become the standard format going forward. The current format files will be delivered in parallel for a period of one month, until Monday March 4, 2013, appended with a ‘.old’ suffix, after which delivery will cease. This approach has been designed to enable any clients who have yet to make the necessary changes the opportunity to do so whilst still providing access to the old formats. Population of New Fields The SSR Indicator and FINRA ADF MPID Indicator fields will be populated with valid values in files dated Monday December 17, 2012 forwards. The LULD fields are now expected to start population on April 8, 2013, in a phased approach. Help and Support For further information on these planned changes, please refer to the respective CTA or UTP websites.   Best regards, Global Market Data NYSE Technologies www.nyxdata.com
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