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Nasdaq Totalview ITCH 5.0Product OverviewNasdaq TotalView ITCH is a direct data feed product offered by The Nasdaq Stock Market, LLC. NasdaqTotalView ITCH features the following data elements (in binary number format) for all exchange listedequities securities traded via the Nasdaq execution system: Order level data with attribution: For Nasdaq execution system, Nasdaq will provide its full orderdepth using the standard ITCH format. TotalView- -ITCH uses a series of messages to track the lifeof a customer order. As an added feature, the TotalView ITCH message formats will supportNasdaq market participant attribution. TotalView- -ITCH carries order level data for NYSE, NYSEAmerican, NYSE Arca and BATS-- listed securities as well as for Nasdaq listed securities.Trade Messages: To ensure that customers have complete information about Nasdaq order flow,TotalView-- ITCH supports a trade message to reflect a match of a non- -displayable order in theNasdaq system. TotalView- - ITCH also supports a separate trade message to reflect Nasdaq crosstransactions.Net Order Imbalance Data: In the minutes leading up to the Nasdaq Opening and ClosingCrosses as well as the Nasdaq Crosses for IPO or halted/paused securities, Nasdaq disseminatesthe indicative clearing price and net order imbalance on Nasdaq. Because the calculation includesnon- -displayable as well as displayable order types, the Net Order Imbalance Indicator (NOII) is thebest predictor of the Nasdaq opening and closing prices available to the public.Administrative messages: Trading action messages are used to inform market participants when asecurity is halted/paused or released for trading. Symbol Directory messages provide basic securitydata such as the market tier and Financial Status Indicator. Market participant position messagecarries the Primary Market Maker status, Market Participant status and Market Maker mode fieldsused by some firms to comply with market regulations.PublisherNasdaq Investment Intelligence equips investors with the tools to make informed decisions by providinginnovative real-time and historical analytic products and intelligent solutions designed to tap new datasets and meet new industry challenges. Nasdaq Data Cloud Services via Quandl eliminates infrastructureand resource obstacles from collecting and storing large data sets, providing tools with industry adoptedopen standards to ingest and analyze market data and other financial information. To learn more aboutthe company, technology solutions and career opportunities, visit us on LinkedIn, on Twitter @Nasdaq, orat www.nasdaq.com.Data TypesAll integer fields are big-endian (network byte order) binary encoded numbers. Unless otherwise noted, they are unsigned.All alpha fields are ASCII fields which are left justified and padded on the right with spaces.Prices are integer fields, supplied with an associated precision. When converted to a decimal format, prices are in fixed pointformat, where the precision defines the number of decimal places. For example, a field flagged as Price (4) has an implied 4decimal places. The maximum value of price (4) in TotalView ITCH is 200,000.0000 (decimal, 77359400 hex).

Timestamps are represented as nanoseconds since midnight.DeliveryNasdaq Cloud Data Service (NCDS) provides a modern and efficient method of delivery for realtimeexchange data and other financial information. Data is made available through a suite of APIs, allowing foreffortless integration of data from disparate sources, and a dramatic reduction in time to market forcustomer-designed applications. The API is highly scalable, and robust enough to support the delivery ofreal-time exchange data.This repository provides an SDK for developing applications to access the NCDS API. While the SDK is opensource, connecting to the API does require credentials, which are provided by Nasdaq during an onboarding process.For more information please use the link- https://github.com/Nasdaq/CloudDataService

Table of ContentsProduct Overview .1Publisher .1Data Types.1Delivery .2Message Formats . 5System Event Message . 5Stock Related Messages . 6Stock Directory .6Stock Trading Action .9Reg SHO Short Sale Price Test Restricted Indicator . 10Market Participant Position . 11Market-- Wide Circuit Breaker (MWCB) Messaging . 12MWCB Decline Level Message . 12MWCB Status Message. 13IPO Quoting Period Update . 13Limit Up – Limit Down (LULD) Auction Collar . 14Operational Halt . 15Add Order Message . 16Add Order – No MPID Attribution . 16Add Order with MPID Attribution . 17Modify Order Messages . 17Order Executed Message . 17Order Executed With Price Message . 18Order Cancel Message . 19Order Delete Message . 20Order Replace Message . 20Trade Messages . 21Trade Message (Non---Cross) . 21Cross Trade Message . 22Broken Trade / Order Execution Message . 23Net Order Imbalance Indicator (NOII) Message . 24Retail Price Improvement Indicator (RPII) . 25

Appendix A - Documentation and Revision Control Log . 27Appendix B – Stock Symbol Convention . 28Appendix C – Trading Action Reason Codes . 29Appendix D – Issue Classification Values . 31Appendix E – Issue Sub Type Values . 30

Message FormatsThe TotalView ITCH feed is composed of a series of messages that describe orders added to, removed from,and executed on Nasdaq as well as disseminate Cross and Stock Directory information.System Event MessageThe system event message type is used to signal a market or data feed handler event.Details:FieldNameTypeNotesSOUP PartitionSoupPartitionintMessage partition identifier. Ignore.SOUP SequenceSoupSequencelongAuto-incrementing message sequence number.Message TypemsgTypestring“S” System Event MessageStock LocatesymbolLocateintAlways 0TrackingNumber TimestampuniqueTimestamplongMessage Tracking number, compound key containing: bytes 0-1 Nasdaq internal tracking number bytes 2-7 Timestamp in nanoseconds from midnightSee the TrackingID class in thecom.nasdaq.ncdsclient.internal.utils packagewithin the SDK.

Event CodeeventstringNasdaq supports the following event codes on a daily basis onthe TotalView-ITCH data ationStart of Messages. Outside of time stamp messages,the start of day message is the first message sent inany trading dayStart of System hours. This message indicates thatNASDAQ is open and ready to start accepting ordersStart of Market hours. This message is intended toindicate that Market Hours orders are available forexecutionEnd of Market hours. This message is intended toindicate that Market Hours orders are no longerAvailable for executionEnd of System hours. It indicates that Nasdaq is nowclosed and will not accept any new orders today.It is still possible to receive Broken Trade messagesand Order Delete messages after the End of Day“C”End of Messages. This is always the last messagesent in any trading day.Stock Related MessagesStock DirectoryAt the start of each trading day, Nasdaq disseminates stock directory messages for all active symbols inthe Nasdaq execution system.Market data redistributors should process this message to populate the Financial Status Indicator(required display field) and the Market Category (recommended display field) for Nasdaq listed issues.Details:FieldNameTypeValue/DescriptionSOUP PartitionSoupPartitionintMessage partition identifier. Ignore.SOUP SequenceSoupSequencelongAuto-incrementing message sequence number.Message TypemsgTypestring“R” Stock Directory MessageStock LocatesymbolLocateintLocate Code uniquely assigned to the security symbol for the day.TrackingNumber TimestampuniqueTimestamplongMessage Tracking number, compound key containing: bytes 0-1 Nasdaq internal tracking number bytes 2-7 Timestamp in nanoseconds from midnight

See the TrackingID class in thecom.nasdaq.ncdsclient.internal.utils packagewithin the SDK.StocksymbolstringDenotes the security symbol for the issue in the Nasdaqexecution system.MarketCategorymarketCategorystringIndicates Listing market or listing market tier for the issue.CodeDefinitionNasdaq Listed InstrumentsQNasdaq Global Select MarketSMGNasdaq Global MarketSMSNasdaq Capital Market Non-Nasdaq Listed InstrumentsFinancial Status fsiIndicatorstringNNew York Stock Exchange (NYSE)ANYSE AmericanPNYSE ArcaZBATS Z ExchangeVInvestors’ Exchange, LLC space Not availableFor Nasdaq listed issues, this field indicates when a firm is not incompliance with Nasdaq continued listing requirements.CodeDefinitionNasdaq Listed dGDeficient and BankruptHDeficient and DelinquentJDelinquent and BankruptKDeficient, Delinquent and BankruptCCreations and/or Redemptions Suspendedfor Exchange Traded ProductNNormal (Default): Issuer Is NOT Deficient,Delinquent, or BankruptNon-Nasdaq Listed Instruments space Not available. Firms should refer to SIACfeeds for code if needed

Round Lot SizeroundLotSizeintDenotes the number of shares that represent a round lot forthe issue.Round LotsOnlyroundLotOnlystringIndicates if Nasdaq system limits order entry for issue.CodeYNDefinitionNasdaq system only accepts round lotsNasdaq system does not have any ordersize restrictions for this security. Odd andmixed lot orders are ngIdentifies the security class for the issue as assigned by Nasdaq.See Appendix for allowable values.Issue Sub- -TypeissueSubtypestringIdentifies the security sub- -type for the issue as assigned byNasdaq. See Appendix for allowable values.AuthenticityauthenticitystringDenotes if an issue or quoting participant record is set up inNasdaq systems in a live/production, test, or demo state.Please note that firms should only show live issues and quotingparticipants on public quotation displays.CodeShort SaleThresholdIndicatorIPO onLive/ProductionTTestIndicates if a security is subject to mandatory close- -out of shortsales under SEC Rule 203(b)(3).CodeDefinitionYIssue is restricted under SEC Rule 203(b)(3)NIssue is not restricted space Threshold Indicator not availableIndicates if the Nasdaq security is set up for IPO release. Thisfield is intended to help Nasdaq market participant firmscomply with FINRA Rule 5131(b).CodeDefinitionNasdaq-Listed InstrumentsYNasdaq listed instrument is set up as a newIPO securityNNasdaq listed instrument is not set up as anew IPO securityNon-Nasdaq Listed Instruments space Notavailable

luldPriceTierstringLULDReferencePrice TierETP FlagETP icates which Limit Up / Limit Down price band calculationparameter is to be used for the instrument. Refer to LULD Rulefor details.CodeDefinition1Tier 1 NMS Stocks and select ETPs2Tier 2 NMS Stocks space Not availableIndicates whether the security is an exchange traded product(ETP).CodeDefinitionYInstrument is an ETPNInstrument is not an ETP space Not availableTracks the integral relationship of the ETP to the underlyingindex.Example: If the underlying Index increases by a value of 1 andthe ETP’s Leverage factor is 3, indicates the ETF willincrease/decrease (see Inverse) by 3.Leverage Factor is rounded to the nearest integer below, e.g.leverage factor 1 would represent leverage factors of 1 to 1.99.This field is used for LULD Tier I price band calculationpurposes.ETP Leverage Factor currently not supported for Non-Nasdaq es the directional relationship between the ETP andUnderlying index.CodeDefinitionYETP is an inverse ETPNETP is not an inverse ETPExample: An ETP Leverage Factor of 3 andan Inverse value of ‘Y’ indicates the ETP willdecrease by a value of 3.Stock Trading ActionNasdaq uses this administrative message to indicate the current trading status of a security to thetrading community.Prior to the start of system hours, Nasdaq will send out a Trading Action spin. In the spin, Nasdaq willsend out a Stock Trading Action message with the “T” (Trading Resumption) for all Nasdaq--- andother exchange- -listed securities that are eligible for trading at the start of the system hours. If a

security is absent from the pre- -opening Trading Action spin, firms should assume that the security isbeing treated as halted in the Nasdaq platform at the start of the system hours. Please note thatsecurities may be halted in the Nasdaq system for regulatory or operational reasons.After the start of system hours, Nasdaq will use the Trading Action message to relay changes in tradingstatus for an individual security. Messages will be sent when a stock is: Halted Paused* Released for quotation Released for trading* The paused status will be disseminated for NASDAQ---listed securities only. Trading pauses onnon---NASDAQ listed securities will be treated simply as a halt.Details:FieldNameTypeNotesSOUP PartitionSoupPartitionintMessage partition identifier. Ignore.SOUP SequenceSoupSequencelongAuto-incrementing message sequence number.Message TypemsgTypestring“H” Stock Trading Action Message.Stock LocatesymbolLocateintLocate code identifying the securityTrackingNumber TimestampuniqueTimestamplongMessage Tracking number, compound key containing: bytes 0-1 Nasdaq internal tracking number bytes 2-7 Timestamp in nanoseconds from midnightSee the TrackingID class in thecom.nasdaq.ncdsclient.internal.utils packagewithin the SDK.StocksymbolstringStock symbol, right padded with spacesTrading StatetradingStatestringIndicates the current trading state for the stock. Allowablevalues:“H” Halted across all U.S. equity markets / SROs“P” Paused across all U.S. equity markets / SROs (Nasdaq--listed securities only)“Q” Quotation only period for cross- -SRO halt or pause“T” Trading on rved.Trading Action reason.Reg SHO Short Sale Price Test Restricted IndicatorIn February 2011, the Securities and Exchange Commission (SEC) implemented changes to Rule201 of the Regulation SHO (Reg SHO). For details, please refer to SEC Release Number 34-61595.In association with the Reg SHO rule change, Nasdaq will introduce the following Reg SHO ShortSale Price Test Restricted Indicator message format.

For Nasdaq- -listed issues, Nasdaq supports a full pre- -opening spin of Reg SHO Short Sale Price TestRestricted Indicator messages indicating the Rule 201 status for all active issues. Nasdaq alsosends the Reg SHO Short Sale Price Test Restricted Indicator message in the event of an intradaystatus change.For other exchange- -listed issues, Nasdaq relays the Reg SHO Short Sale Price Test RestrictedIndicator message when it receives an update from the primary listing exchange.Nasdaq processes orders based on the most Reg SHO Restriction status value.Details:FieldNameValueNotesSOUP PartitionSoupPartitionintMessage partition identifier. Ignore.SOUP SequenceSoupSequencelongAuto-incrementing message sequence number.Message TypemsgTypestring“Y” Reg SHO Short Sale Price Test Restricted IndicatorLocate CodesymbolLocateintLocate code identifying the securityTrackingNumber TimestampuniqueTimestamplongMessage Tracking number, compound key containing: bytes 0-1 Nasdaq internal tracking number bytes 2-7 Timestamp in nanoseconds from midnightSee the TrackingID class in thecom.nasdaq.ncdsclient.internal.utils packagewithin the SDK.StocksymbolstringStock symbol, right padded with spacesReg SHO ActionstatestringDenotes the Reg SHO Short Sale Price Test Restriction status forthe issue at the time of the message dissemination.Allowable values are:“0” No price test in place“1” Reg SHO Short Sale Price Test Restriction in effect due toan intra- -day price drop in security“2” Reg SHO Short Sale Price Test Restriction remains in effectMarket Participant PositionAt the start of each trading day, Nasdaq disseminates a spin of market participant positionmessages. The message provides the Primary Market Maker status, Market Maker mode andMarket Participant state for each Nasdaq market participant firm registered in an issue. Marketparticipant firms may use these fields to comply with certain marketplace rules.Throughout the day, Nasdaq will send out this message only if Nasdaq Operations changes thestatus of a market participant firm in an issue.Details:FieldNameTypeNotesSOUP PartitionSoupPartitionintMessage partition identifier. Ignore.SOUP SequenceSoupSequencelongAuto-incrementing message sequence number.

Message TypemsgTypestring“L” Market Participant Position messageStock LocatesymbolLocateintLocate code identifying the securityTracking Number TimestampuniqueTimestamplongMessage Tracking number, compound key containing: bytes 0-1 Nasdaq internal tracking number bytes 2-7 Timestamp in nanoseconds frommidnightSee the TrackingID class in thecom.nasdaq.ncdsclient.internal.utilspackage within the SDK.MPIDmpidstringDenotes the market participant identifier for which theposition message is being generatedStocksymbolstringStock symbol, right padded with spacesPrimary MarketMakerpmmstringIndicates if the market participant firm qualifies as aPrimary Market Maker in accordance with Nasdaqmarketplace rules:“Y” primary market maker “N” non- -primary market makerMarket MakerModemmmstringIndicates the quoting participant’s registration status inrelation to SEC Rules 101 and 104 of Regulation M“N” normal“P” passive“S” syndicate“R” pre- -syndicate“L” penaltyMarketParticipant StatempsstringIndicates the market participant’s current registrationstatus in the issue“A” Active“E” Excused/Withdrawn“W” Withdrawn“S” Suspended“D” DeletedMarket---Wide Circuit Breaker (MWCB) MessagingMWCB Decline Level MessageInforms data recipients what the daily MWCB breach points are set to for the current trading day.Details:FieldSOUP PartitionNameTypeSoupPartitionintNotesMessage partition identifier. Ignore.

SOUP SequenceAuto-incrementing message sequence number.SoupSequencelongMessage TypemsgTypestring“V” Market wide circuit breaker Decline Level Message.Stock LocatesymbolLocateintAlways set to 0Tracking Number TimestampuniqueTimestamplongMessage Tracking number, compound key containing: bytes 0-1 Nasdaq internal tracking number bytes 2-7 Timestamp in nanoseconds from midnightSee the TrackingID class in thecom.nasdaq.ncdsclient.internal.utils packagewithin the SDK.Level 1level1longDenotes the MWCB Level 1 Value.Level 2level2longDenotes the MWCB Level 2 Value.Level 3level3longDenotes the MWCB Level 3 Value.MWCB Status MessageInforms data recipients when a MWCB has breached one of the established levels.Details:FieldNameTypeNotesSOUP PartitionSoupPartitionintMessage partition identifier. Ignore.SOUP SequenceSoupSequencelongAuto-incrementing message sequence number.Message TypemsgTypestring“W” Market- -Wide Circuit Breaker Status messageStock LocatesymbolLocateintAlways set to 0TrackingNumber TimestampuniqueTimestamplongMessage Tracking number, compound key containing: bytes 0-1 Nasdaq internal tracking number bytes 2-7 Timestamp in nanoseconds from midnightSee the TrackingID class in thecom.nasdaq.ncdsclient.internal.utils packagewithin the SDK.Breached LevelbreachedLevelstringDenotes the MWCB Level that was breached.“1” Level 1“2” Level 2“3” Level 3IPO Quoting Period UpdateIndicates the anticipated IPO quotation release time of a security.Details:FieldSOUP PartitionNameTypeNotesSoupPartitionintMessage partition identifier. Ignore.

SOUP SequenceSoupSequencelongAuto-incrementing message sequence number.Message TypemsgTypeint“K” IPO Quoting Period Update MessageStock LocatesymbolLocateintAlways set to 0TrackingNumber TimestampuniqueTimestamplongMessage Tracking number, compound key containing: bytes 0-1 Nasdaq internal tracking number bytes 2-7 Timestamp in nanoseconds from midnightSee the TrackingID class in thecom.nasdaq.ncdsclient.internal.utils packagewithin the SDK.StocksymbolstringStock symbol, right padded with spacesIPO QuotationRelease TimequoteReleaseTimeintDenotes the IPO release time, in seconds since midnight, forquotation to the nearest second.NOTE: If the quotation period is being canceled/postponed, weshould state that:1.2.IPO O Quotation Time will be set to 02. IPO Price will be set to 0“A” Anticipated Quotation Release Time:This value would be used when Nasdaq Market Operations initiallyenters the IPO instrument for release“C” IPO Release Canceled/Postponed:This value would be sued when Nasdaq Market Operations cancelsor postpones the release of the new IPO instrumentIPO PriceipoPricelongDenotes the IPO Price to be used for intraday net changecalculationsPrices are given in decimal format with 6 whole number placesfollowed by 4 decimal digits. The whole number portion ispadded on the left with spaces; the decimal portion is paddedon the right with zeroes. The decimal point is implied byposition, it does not appear inside the price fieldLimit Up – Limit Down (LULD) Auction CollarIndicates the auction collar thresholds within which a paused security can reopen following a LULDTrading Pause.Details:FieldNameTypeNotesSOUP PartitionSoupPartitionintMessage partition identifier. Ignore.SOUP SequenceSoupSequencelongAuto-incrementing message sequence number.Message TypemsgTypestring“J” LULD Auction CollarStock LocatesymbolLocateintLocate code identifying the security

Tracking Number TimestampuniqueTimestamplongMessage Tracking number, compound key containing: bytes 0-1 Nasdaq internal tracking number bytes 2-7 Timestamp in nanoseconds from midnightSee the TrackingID class in thecom.nasdaq.ncdsclient.internal.utils package withinthe SDK.StocksymbolstringStock symbol, right padded with spacesAuction CollarReference PricerefPricelongReference price used to set the Auction CollarsUpper AuctionCollar PriceupperPricelongIndicates the price of the Upper Auction Collar ThresholdLower AuctionCollar PricelowerPricelongIndicates the price of the Lower Auction Collar ThresholdAuction CollarExtensionextensionsintIndicates the number of the extensions to the Reopening AuctionOperational HaltThe Exchange uses this message to indicate the current Operational Status of a security to the tradingcommunity. An Operational Halt means that there has been an interruption of service on the identifiedsecurity impacting only the designated Market Center. These Halts differ from the “Stock Trading Action”message types since an Operational Halt is specific to the exchange for which it is declared, and does notinterrupt the ability of the trading community to trade the identified instrument on any other marketplace.Nasdaq uses this administrative message to indicate the current trading status of the three marketcenters operated by Nasdaq.Details:FieldNameTypeValue/DescriptionSOUP PartitionSoupPartitionintMessage partition identifier. Ignore.SOUP SequenceSoupSequencelongAuto-incrementing message sequence number.Message TypemsgTypestring“h” Operational HaltStock LocatesymbolLocateintLocate code uniquely assigned to the security symbol for theday.Tracking Number TimestampuniqueTimestamplongMessage Tracking number, compound key containing: bytes 0-1 Nasdaq internal tracking number bytes 2-7 Timestamp in nanoseconds from midnightSee the TrackingID class in thecom.nasdaq.ncdsclient.internal.utils packagewithin the SDK.StocksymbolstringDenotes the security symbol for the issue in Nasdaq executionsystem

Market CodemarketCenterstring“Q”: Nasdaq“B”: BX“X”: PSXOperationalactionstring“H”: Operationally Halted on the identified Market“T”: Operational Halt has been lifted and Trading resumedHalt ActionAdd Order MessageAn Add Order Message indicates that a new order has been accepted by the Nasdaq system and wasadded to the displayable book. The message includes a day- -unique Order Reference Number used byNasdaq to track the order.Nasdaq will support two variations of the Add Order message format.Add Order – No MPID AttributionThis message will be generated for unattributed orders accepted by the Nasdaq system. (Note: If afirm wants to display a MPID for unattributed orders, Nasdaq recommends that it use the MPID of“NSDQ”.)Details:NameTypeNotesSOUP PartitionSoupPartitionintMessage partition identifier. Ignore.SOUP SequenceSoupSequencelongAuto-incrementing message sequence number.Message TypemsgTypestring“A” Add Order – No MPID Attribution Message.Stock LocatesymbolLocateintLocate code identifying the securityTracking Number TimestampuniqueTimestamplongMessage Tracking number, compound key containing: bytes 0-1 Nasdaq internal tracking number bytes 2-7 Timestamp in nanoseconds from midnightFieldSee the TrackingID class in thecom.nasdaq.ncdsclient.internal.utils packagewithin the SDK.Order ReferenceNumberorderIdlongThe unique reference number assigned to the new order at thetime of receipt.Buy/Sell IndicatorsidestringThe type of order being added. “B” Buy Order.Order.SharesquantityintThe total number of shares associated with the order beingadded to the bo

TotalView- ITCH carries order level data for NYSE, NYSE American, NYSE Arca and BATS- listed securities as well as for Nasdaqlisted securities. Trade Messages: To ensure that customers have complete information about Nasdaq order flow, TotalView- ITCH supports a trade message to reflect a match of a non- displayable order in the