Differentiate between Nasdaq Exchange Executions and OTC Executions

, ,
1

Imported from previous forum

2

With NASDAQ becoming an exchange firms will need to identify the difference btw a Nasdaq Exchange execution (XNAS) and one that will still be considered OTC (tag 30 LstMarket). Looking at the FIX specs the existing values for NASDAQ are “O” for fix versions <= 4.2 and to use MIC codes of “XNAS” for >= 4.3 (based on using “MIC” code - ISO 10383 Market Identifier Code).

Per Nasdaq - “XNAS” is value that should be used for Nasdaq exchange executions.

What should the two sets of values be?
OTC executions: “0” for versions <=4.2 What for versions >=4.3
NASDAQ Exchange Executions: What for versions <=4.2 (OQ??) “XNAS” for versions >=4.3

3

[ original email was from Michael Tsafas - Michael.Tsafas@nasdaq.com ]
> With NASDAQ becoming an exchange firms will need to identify the

difference btw a Nasdaq Exchange execution (XNAS) and one that will
still be considered OTC (tag 30 LstMarket). Looking at the FIX specs the
existing values for NASDAQ are “O” for fix versions <= 4.2 and to use
MIC codes of “XNAS” for >= 4.3 (based on using “MIC” code - ISO 10383
Market Identifier Code).

Per Nasdaq - “XNAS” is value that should be used for Nasdaq exchange
executions.

What should the two sets of values be? OTC executions: “0” for versions
<=4.2 What for versions >=4.3 NASDAQ Exchange Executions: What for
versions <=4.2 (OQ??) “XNAS” for versions >=4.3

We at NASDAQ would welcome “OQ” to stay compatible with our friends at Reuters. We would much rather have “NQ” but are very comfortable with “OQ” for <=4.2. For versions => 4.3 we welcome “XNAS”.

Thank you, Michael Tsafas, NASDAQ

4

[ original email was from Corwin Yu - cyu@sasiny.com ]
> > With NASDAQ becoming an exchange firms will need to identify the

difference btw a Nasdaq Exchange execution (XNAS) and one that will
still be considered OTC (tag 30 LstMarket). Looking at the FIX specs
the existing values for NASDAQ are “O” for fix versions <= 4.2 and to
use MIC codes of “XNAS” for >= 4.3 (based on using “MIC” code - ISO
10383 Market Identifier Code).

Per Nasdaq - “XNAS” is value that should be used for Nasdaq exchange
executions.

What should the two sets of values be? OTC executions: “0” for
versions <=4.2 What for versions >=4.3 NASDAQ Exchange Executions:
What for versions <=4.2 (OQ??) “XNAS” for versions >=4.3

We at NASDAQ would welcome “OQ” to stay compatible with our friends at
Reuters. We would much rather have “NQ” but are very comfortable with
“OQ” for <=4.2. For versions => 4.3 we welcome “XNAS”.

Thank you, Michael Tsafas, NASDAQ

Thanks for the information Michael, but I’m curious what the scenario would be if we routed to a NASDAQ market maker, would it still be appropriate to indicate OQ? (I assume it is)

Regards,
Corwin Yu

5

[ original email was from Michael Tsafas - Michael.Tsafas@nasdaq.com ]
> > > With NASDAQ becoming an exchange firms will need to identify the

difference btw a Nasdaq Exchange execution (XNAS) and one that will
still be considered OTC (tag 30 LstMarket). Looking at the FIX specs
the existing values for NASDAQ are “O” for fix versions <= 4.2 and
to use MIC codes of “XNAS” for >= 4.3 (based on using “MIC” code -
ISO 10383 Market Identifier Code).

Per Nasdaq - “XNAS” is value that should be used for Nasdaq exchange
executions.

What should the two sets of values be? OTC executions: “0” for
versions <=4.2 What for versions >=4.3 NASDAQ Exchange Executions:
What for versions <=4.2 (OQ??) “XNAS” for versions >=4.3

We at NASDAQ would welcome “OQ” to stay compatible with our friends at
Reuters. We would much rather have “NQ” but are very comfortable with
“OQ” for <=4.2. For versions => 4.3 we welcome “XNAS”.

Thank you, Michael Tsafas, NASDAQ

Thanks for the information Michael, but I’m curious what the scenario
would be if we routed to a NASDAQ market maker, would it still be
appropriate to indicate OQ? (I assume it is)

Regards, Corwin Yu

Thank you for the question. We are scheduling a conference call to discuss this, please look for the announcement.
Regards, Michael Tsafas, NASDAQ.

6

All,

A subgroup of industry participants including representation from NASDAQ, Reuters, broker dealers and the FPL Program Office, discussed a number of distinct alternatives to respond to the discussion below. Please review these alternatives which are included in the following document: http://www.fixprotocol.org/documents/2790/Differentiating%20NASDAQ%20Exchange%20Executions%20vs%20OTC.doc. Please respond to this thread as soon as possible and let us know which of these would be your firm’s preferred approach.

Thanks,
Tom Jordan

With NASDAQ becoming an exchange firms will need to identify the
difference btw a Nasdaq Exchange execution (XNAS) and one that
will still be considered OTC (tag 30 LstMarket). Looking at the
FIX specs the existing values for NASDAQ are “O” for fix versions
<= 4.2 and to use MIC codes of “XNAS” for >= 4.3 (based on using
“MIC” code - ISO 10383 Market Identifier Code).

Per Nasdaq - “XNAS” is value that should be used for Nasdaq
exchange executions.

What should the two sets of values be? OTC executions: “0” for
versions <=4.2 What for versions >=4.3 NASDAQ Exchange Executions:
What for versions <=4.2 (OQ??) “XNAS” for versions >=4.3

We at NASDAQ would welcome “OQ” to stay compatible with our friends
at Reuters. We would much rather have “NQ” but are very comfortable
with “OQ” for <=4.2. For versions => 4.3 we welcome “XNAS”.

Thank you, Michael Tsafas, NASDAQ

Thanks for the information Michael, but I’m curious what the scenario
would be if we routed to a NASDAQ market maker, would it still be
appropriate to indicate OQ? (I assume it is)

Regards, Corwin Yu

Thank you for the question. We are scheduling a conference call to
discuss this, please look for the announcement. Regards, Michael
Tsafas, NASDAQ.

7

Please see feedback received on the below from Matt Lavicka of Goldman Sachs:

We think that alternative #1 is a hybrid option that will make things more confusing in the market place and would be more work for us to support. We much prefer either alternative #2 or alternative #3.

Between #2 and #3, alternative #3 is more consistent with what is actually happening in the market place (i.e. Nasdaq is the new exchange and therefore it should be the one that gets assigned a new code). However, we could also live with alternative #2 if needed.

Thanks,
Matt Lavicka
Goldman Sachs

All,

A subgroup of industry participants including representation from
NASDAQ, Reuters, broker dealers and the FPL Program Office, discussed a
number of distinct alternatives to respond to the discussion below.
Please review these alternatives which are included in the following
document: http://www.fixprotocol.org/documents/2790/Differentiating%20N-
ASDAQ%20Exchange%20Executions%20vs%20OTC.doc. Please respond to this
thread as soon as possible and let us know which of these would be your
firm’s preferred approach.

Thanks, Tom Jordan

With NASDAQ becoming an exchange firms will need to identify the
difference btw a Nasdaq Exchange execution (XNAS) and one that
will still be considered OTC (tag 30 LstMarket). Looking at the
FIX specs the existing values for NASDAQ are “O” for fix
versions <= 4.2 and to use MIC codes of “XNAS” for >= 4.3 (based
on using “MIC” code - ISO 10383 Market Identifier Code).

Per Nasdaq - “XNAS” is value that should be used for Nasdaq
exchange executions.

What should the two sets of values be? OTC executions: “0” for
versions <=4.2 What for versions >=4.3 NASDAQ Exchange
Executions: What for versions <=4.2 (OQ??) “XNAS” for versions

=4.3

We at NASDAQ would welcome “OQ” to stay compatible with our
friends at Reuters. We would much rather have “NQ” but are very
comfortable with “OQ” for <=4.2. For versions => 4.3 we welcome
“XNAS”.

Thank you, Michael Tsafas, NASDAQ

Thanks for the information Michael, but I’m curious what the
scenario would be if we routed to a NASDAQ market maker, would it
still be appropriate to indicate OQ? (I assume it is)

Regards, Corwin Yu

Thank you for the question. We are scheduling a conference call to
discuss this, please look for the announcement. Regards, Michael
Tsafas, NASDAQ.

8

[ original email was from Steve Wilkinson - steve.wilkinson@solutionforge.com ]
All,

In our analysis of MICs and Reuters exchange codes, we identified a similar issue with the following markets and their respective codes:

  • XASE (American) - A, 1
  • XKOR (Korean) - KS, KQ
  • XMOO (Montreal) - M, 6
  • XPSE (Pacific) - P, 8
  • XTAI (Taiwan) - TW, TWO

(Apologies if any of these are now defunct).

It would be interesting to know if others have a good working solution to this problem - for example, have new MICs been proposed for some of these markets?

Thx in advance,

Steve Wilkinson, Solutionforge.

All,

A subgroup of industry participants including representation from
NASDAQ, Reuters, broker dealers and the FPL Program Office, discussed a
number of distinct alternatives to respond to the discussion below.
Please review these alternatives which are included in the following
document: http://www.fixprotocol.org/documents/2790/Differentiating%20N-
ASDAQ%20Exchange%20Executions%20vs%20OTC.doc. Please respond to this
thread as soon as possible and let us know which of these would be your
firm’s preferred approach.

Thanks, Tom Jordan

With NASDAQ becoming an exchange firms will need to identify the
difference btw a Nasdaq Exchange execution (XNAS) and one that
will still be considered OTC (tag 30 LstMarket). Looking at the
FIX specs the existing values for NASDAQ are “O” for fix
versions <= 4.2 and to use MIC codes of “XNAS” for >= 4.3 (based
on using “MIC” code - ISO 10383 Market Identifier Code).

Per Nasdaq - “XNAS” is value that should be used for Nasdaq
exchange executions.

What should the two sets of values be? OTC executions: “0” for
versions <=4.2 What for versions >=4.3 NASDAQ Exchange
Executions: What for versions <=4.2 (OQ??) “XNAS” for versions

=4.3

We at NASDAQ would welcome “OQ” to stay compatible with our
friends at Reuters. We would much rather have “NQ” but are very
comfortable with “OQ” for <=4.2. For versions => 4.3 we welcome
“XNAS”.

Thank you, Michael Tsafas, NASDAQ

Thanks for the information Michael, but I’m curious what the
scenario would be if we routed to a NASDAQ market maker, would it
still be appropriate to indicate OQ? (I assume it is)

Regards, Corwin Yu

Thank you for the question. We are scheduling a conference call to
discuss this, please look for the announcement. Regards, Michael
Tsafas, NASDAQ.

9

All,
For version 4.2 and lower we agree with alternative 3 from a trade capture perspective, because we want to maintain the legacy “O” and use the new “OQ” for the new exchange. At this point we could use “DF” for the NASD ADF (Alternative Display Facility) since these will need to be segregated from other OTC for Blue Sheet purposes by 12/31/06.

Mike Turner, Pershing

All,

In our analysis of MICs and Reuters exchange codes, we identified a
similar issue with the following markets and their respective codes:

  • XASE (American) - A, 1
  • XKOR (Korean) - KS, KQ
  • XMOO (Montreal) - M, 6
  • XPSE (Pacific) - P, 8
  • XTAI (Taiwan) - TW, TWO

(Apologies if any of these are now defunct).

It would be interesting to know if others have a good working solution
to this problem - for example, have new MICs been proposed for some of
these markets?

Thx in advance,

Steve Wilkinson, Solutionforge.

All,

A subgroup of industry participants including representation from
NASDAQ, Reuters, broker dealers and the FPL Program Office, discussed
a number of distinct alternatives to respond to the discussion below.
Please review these alternatives which are included in the following
document: http://www.fixprotocol.org/documents/2790/Differentiating%20N-
ASDAQ%20Exchange%20Executions%20vs%20OTC.doc. Please respond to this
thread as soon as possible and let us know which of these would be
your firm’s preferred approach.

Thanks, Tom Jordan

With NASDAQ becoming an exchange firms will need to identify
the difference btw a Nasdaq Exchange execution (XNAS) and one
that will still be considered OTC (tag 30 LstMarket). Looking
at the FIX specs the existing values for NASDAQ are “O” for
fix versions <= 4.2 and to use MIC codes of “XNAS” for >= 4.3
(based on using “MIC” code - ISO 10383 Market Identifier
Code).

Per Nasdaq - “XNAS” is value that should be used for Nasdaq
exchange executions.

What should the two sets of values be? OTC executions: “0” for
versions <=4.2 What for versions >=4.3 NASDAQ Exchange
Executions: What for versions <=4.2 (OQ??) “XNAS” for versions

=4.3

We at NASDAQ would welcome “OQ” to stay compatible with our
friends at Reuters. We would much rather have “NQ” but are very
comfortable with “OQ” for <=4.2. For versions => 4.3 we welcome
“XNAS”.

Thank you, Michael Tsafas, NASDAQ

Thanks for the information Michael, but I’m curious what the
scenario would be if we routed to a NASDAQ market maker, would it
still be appropriate to indicate OQ? (I assume it is)

Regards, Corwin Yu

Thank you for the question. We are scheduling a conference call to
discuss this, please look for the announcement. Regards, Michael
Tsafas, NASDAQ.

10

[ original email was from Michael Tsafas - Michael.Tsafas@nasdaq.com ]
From NASDAQ’s point of view we think alternatives 2 and 3 are better solutions and we support either. If we had to chose one we would lean toward 3. It makes more sense given that it will represent our new exchange designation.
Michael Tsafas - NASDAQ

All, For version 4.2 and lower we agree with alternative 3 from a trade
capture perspective, because we want to maintain the legacy “O” and use
the new “OQ” for the new exchange. At this point we could use “DF” for
the NASD ADF (Alternative Display Facility) since these will need to be
segregated from other OTC for Blue Sheet purposes by 12/31/06.

Mike Turner, Pershing

All,

In our analysis of MICs and Reuters exchange codes, we identified a
similar issue with the following markets and their respective codes:

  • XASE (American) - A, 1
  • XKOR (Korean) - KS, KQ
  • XMOO (Montreal) - M, 6
  • XPSE (Pacific) - P, 8
  • XTAI (Taiwan) - TW, TWO

(Apologies if any of these are now defunct).

It would be interesting to know if others have a good working solution
to this problem - for example, have new MICs been proposed for some of
these markets?

Thx in advance,

Steve Wilkinson, Solutionforge.

All,

A subgroup of industry participants including representation from
NASDAQ, Reuters, broker dealers and the FPL Program Office,
discussed a number of distinct alternatives to respond to the
discussion below. Please review these alternatives which are
included in the following document: http://www.fixprotocol.org/documents/2790/Differentiating%20N-
ASDAQ%20Exchange%20Executions%20vs%20OTC.doc. Please respond to this
thread as soon as possible and let us know which of these would be
your firm’s preferred approach.

Thanks, Tom Jordan

With NASDAQ becoming an exchange firms will need to identify
the difference btw a Nasdaq Exchange execution (XNAS) and
one that will still be considered OTC (tag 30 LstMarket).
Looking at the FIX specs the existing values for NASDAQ are
“O” for fix versions <= 4.2 and to use MIC codes of “XNAS”
for >= 4.3 (based on using “MIC” code - ISO 10383 Market
Identifier Code).

Per Nasdaq - “XNAS” is value that should be used for Nasdaq
exchange executions.

What should the two sets of values be? OTC executions: “0”
for versions <=4.2 What for versions >=4.3 NASDAQ Exchange
Executions: What for versions <=4.2 (OQ??) “XNAS” for
versions

=4.3

We at NASDAQ would welcome “OQ” to stay compatible with our
friends at Reuters. We would much rather have “NQ” but are
very comfortable with “OQ” for <=4.2. For versions => 4.3 we
welcome “XNAS”.

Thank you, Michael Tsafas, NASDAQ

Thanks for the information Michael, but I’m curious what the
scenario would be if we routed to a NASDAQ market maker, would
it still be appropriate to indicate OQ? (I assume it is)

Regards, Corwin Yu

Thank you for the question. We are scheduling a conference call to
discuss this, please look for the announcement. Regards, Michael
Tsafas, NASDAQ.

11

Tom,

The major industry utilities, the Nasdaq UTP SIP and SIAC, now use the letter code “D” to identify over-the-counter trades for NMS securities reported through the NASD ADF. Reuters equivalent of that is the exchange ID “DF”. We use the exchange ID “OQ” to identify trades attributable to the Nasdaq Stock Exchange. Thus we would prefer the solution that designates the Nasdaq Stock Exchange as “OQ” and designates over-the-counter trades as “DF”.

Some have asked why not retain “O” for Nasdaq. Reuters uses the exchange ID “O” to designate the record containing the consolidated last sale information and the NBBO. Since the NASD ADF is represented in the consolidated last sale and the NBBO, we believe this would potentially muddy the waters of what was an exchange trade vs. an OTC trade.

So we would not like to see “O” continue to be used.

Thanks,
Brian McNelis
Reuters

All,

A subgroup of industry participants including representation from
NASDAQ, Reuters, broker dealers and the FPL Program Office, discussed a
number of distinct alternatives to respond to the discussion below.
Please review these alternatives which are included in the following
document: http://www.fixprotocol.org/documents/2790/Differentiating%20N-
ASDAQ%20Exchange%20Executions%20vs%20OTC.doc. Please respond to this
thread as soon as possible and let us know which of these would be your
firm’s preferred approach.

Thanks, Tom Jordan

With NASDAQ becoming an exchange firms will need to identify the
difference btw a Nasdaq Exchange execution (XNAS) and one that
will still be considered OTC (tag 30 LstMarket). Looking at the
FIX specs the existing values for NASDAQ are “O” for fix
versions <= 4.2 and to use MIC codes of “XNAS” for >= 4.3 (based
on using “MIC” code - ISO 10383 Market Identifier Code).

Per Nasdaq - “XNAS” is value that should be used for Nasdaq
exchange executions.

What should the two sets of values be? OTC executions: “0” for
versions <=4.2 What for versions >=4.3 NASDAQ Exchange
Executions: What for versions <=4.2 (OQ??) “XNAS” for versions

=4.3

We at NASDAQ would welcome “OQ” to stay compatible with our
friends at Reuters. We would much rather have “NQ” but are very
comfortable with “OQ” for <=4.2. For versions => 4.3 we welcome
“XNAS”.

Thank you, Michael Tsafas, NASDAQ

Thanks for the information Michael, but I’m curious what the
scenario would be if we routed to a NASDAQ market maker, would it
still be appropriate to indicate OQ? (I assume it is)

Regards, Corwin Yu

Thank you for the question. We are scheduling a conference call to
discuss this, please look for the announcement. Regards, Michael
Tsafas, NASDAQ.

12

All,

Based on this feedback received in this discussion forum, the consensus solution on this issue is as follows: http://www.fixprotocol.org/documents/2825/Nasdaq%20Exchange%20Executions%20and%20OTC%20Executions_20060822.doc. Three alternatives were posted on this discussion forum for wider input and although some preferred different solutions, all of the responding firms can live with and are satisfied with this approach. Since there will probably be some implementations where firms still use O, the FPL Global Technical Committee will monitor discussion boards and industry feedback to determine what the impact is and to make further postings as appropriate.

Regards,

Tom Jordan
Jordan & Jordan

Tom,

The major industry utilities, the Nasdaq UTP SIP and SIAC, now use the
letter code “D” to identify over-the-counter trades for NMS securities
reported through the NASD ADF. Reuters equivalent of that is the
exchange ID “DF”. We use the exchange ID “OQ” to identify trades
attributable to the Nasdaq Stock Exchange. Thus we would prefer the
solution that designates the Nasdaq Stock Exchange as “OQ” and
designates over-the-counter trades as “DF”.

Some have asked why not retain “O” for Nasdaq. Reuters uses the exchange
ID “O” to designate the record containing the consolidated last sale
information and the NBBO. Since the NASD ADF is represented in the
consolidated last sale and the NBBO, we believe this would potentially
muddy the waters of what was an exchange trade vs. an OTC trade.

So we would not like to see “O” continue to be used.

Thanks, Brian McNelis Reuters

All,

A subgroup of industry participants including representation from
NASDAQ, Reuters, broker dealers and the FPL Program Office, discussed
a number of distinct alternatives to respond to the discussion below.
Please review these alternatives which are included in the following
document: http://www.fixprotocol.org/documents/2790/Differentiating%20N-
ASDAQ%20Exchange%20Executions%20vs%20OTC.doc. Please respond to this
thread as soon as possible and let us know which of these would be
your firm’s preferred approach.

Thanks, Tom Jordan

With NASDAQ becoming an exchange firms will need to identify
the difference btw a Nasdaq Exchange execution (XNAS) and one
that will still be considered OTC (tag 30 LstMarket). Looking
at the FIX specs the existing values for NASDAQ are “O” for
fix versions <= 4.2 and to use MIC codes of “XNAS” for >= 4.3
(based on using “MIC” code - ISO 10383 Market Identifier
Code).

Per Nasdaq - “XNAS” is value that should be used for Nasdaq
exchange executions.

What should the two sets of values be? OTC executions: “0” for
versions <=4.2 What for versions >=4.3 NASDAQ Exchange
Executions: What for versions <=4.2 (OQ??) “XNAS” for versions

=4.3

We at NASDAQ would welcome “OQ” to stay compatible with our
friends at Reuters. We would much rather have “NQ” but are very
comfortable with “OQ” for <=4.2. For versions => 4.3 we welcome
“XNAS”.

Thank you, Michael Tsafas, NASDAQ

Thanks for the information Michael, but I’m curious what the
scenario would be if we routed to a NASDAQ market maker, would it
still be appropriate to indicate OQ? (I assume it is)

Regards, Corwin Yu

Thank you for the question. We are scheduling a conference call to
discuss this, please look for the announcement. Regards, Michael
Tsafas, NASDAQ.