OATS Route Matching to the NASDAQ Single Book

October 12, 2006

On July 17, 2006, NASDAQ published Head Trader Alert #2006-105 announcing that the SEC had approved NASDAQ's System Integration proposal allowing NASDAQ® to integrate the NASDAQ Market Center®, Brut and INET into a single platform.(http://www.nasdaqtrader.com/TraderNews.aspx?id=hta2006-105). On August 16, 2006, NASDAQ announced in head trader Alert #2006-116 that the single platform integration will begin on September 18, 2006, in NASDAQ-listed issues through a security-by-security phase-in approach. (http://www.nasdaqtrader.com/TraderNews.aspx?id=hta2006-116). On September 13, 2006 NASDAQ announced that the integration will commence on October 16, 2006. (http://www.nasdaqtrader.com/TraderNews.aspx?id=hta2006-131)

NASD recognizes a phase-in approach raises significant programming challenges with respect to members' OATS reporting obligations. NASD therefore will not require a phase-in approach with respect to OATS reporting. Guidance for orders routed to INET, BRUT and SuperMontage during the phase-in period is outlined below:

INET

Firms may continue to identify orders routed to the INET platform as orders routed to an ECN with a Destination Code of "E" until the last NASDAQ security has been transitioned. Firms may also choose to follow the transition schedule and report routes of transitioned securities to the Single Book with the Destination Code of "U". Once the last NASDAQ security is transitioned, all orders routed to the NASDAQ Single Book via the INET platform should be coded with a Destination Code of "U".

NASDAQ's SuperMontage

Firms routing orders to NASDAQ's SuperMontage system should continue to use the Destination Code of "U".

Brut

Firms must continue to identify orders routed to the Brut platform as orders routed to an ECN with a Destination Code of "E" until the final transition of all NASDAQ and CQS listed securities is complete. Upon final implementation of the integrated platform for all securities, firms must report orders routed to the NASDAQ Single Book via the Brut platform with a Destination Code of "U".

Firms that route orders electronically to the NASDAQ Market System's Single Book will have an obligation to pass a Routed Order ID to NASDAQ for matching purposes, such as they do today when routing an order electronically to INET, Brut or SuperMontage. (Please note: orders received over the telephone and manually entered into a NASDAQ Workstation for transmission to the NASDAQ Exchange are considered to be manual routes and no Routed Order ID is required to be passed to the NASDAQ Market Center or recorded in the OATS Route Report.)

Matching Criteria

Below please find a matrix of fields OATS will use to match OATS Route and Combined Order/Route Reports to the related order in the NASDAQ Single Book:

Current SuperMontage Field NASDAQ Single Book OATS Report Field
Order Entry MPID Firm ID / Client ID Order Receiving Firm MPID
User Order ID
  • QIX Users: "User Order ID"
  • CTCI Users:".UID" (i.e., Line 3a)
  • FIX Users: the "ClOrdID" (i.e., FIX Tag 11)
  • OUCH Users: the "Order Token"
  • RASH Users: the "Order Token/Client Order ID"
 - Routed Order ID (Route Report)
- Sent to Routed Order ID (Combined Order/Route Report)
Issue Symbol ID Stock Symbol Issue Symbol ID
Order Entry Date Order Entry Date Order Sent Timestamp (date portion)
Order Entry Time Order Entry Timestamp Order Sent Timestamp (timestamp portion)

Order Modifications in the Single Book

When a customer modifies an existing order, OATS Rules require firms to submit a Cancel/Replace report to reflect the modification. If the order being modified had previously been routed to the NASDAQ Single Book, the member also must update the NASDAQ Single Book order to reflect the new terms and conditions of the order. When the member updates the corresponding NASDAQ Single Book order, a new Route Report must be submitted to OATS.

The NASDAQ Single Book requires the member to enter a new Order ID1 when using the NASDAQ Single Book Cancel/Replace functionality; therefore, the new OATS Route Report that reflects the NASDAQ Single Book Cancel/Replace event from the customer also must include a new Routed Order Id that matches the new NASDAQ Single Book Order ID. This requirement is to ensure that OATS can match the subsequent Route Report to the NASDAQ Single Book record. This guidance supersedes all previous OATS Reporting guidance related to customer order modifications in SuperMontage.

Firms using intelligent order routing systems to route orders to the NASDAQ Single Book should continue to report only the initial Route as they do today. System and trader generated modifications and reroutes to the NASDAQ Single Book that are not at the request of a customer need not be reported to OATS.

Matching statistics related to orders routed to the NASDAQ Market Center Single Book will be available under the "Route/NMC Matching Statistics" link on the OATS Web Interface.

Should you have any questions or concerns related to OATS, please contact the OATS Helpdesk at (800) 321-NASD.

1 Depending on the access protocol the firm employs, the Order ID generically refers to: the "User Order ID" in QIX; the ".UID" in CTCI; the "ClOrdID" in FIX; the "Order Token" in OUCH and to the "Order Token/Client Order ID" in RASH.