FINRA Data Feeds Protocol and Retransmission Changes

Beginning in early December 2022, FINRA will introduce changes to the Trade Data Dissemination Service (TDDS 2.0).¹ These changes are being made in concert with FINRA’s technical infrastructure upgrade, and TDDS clients should plan to accommodate them.

FINRA has updated the TDDS specification to correspond with these changes and has also included the link to the MOLD/UDP 64 specification in the Protocol and Retransmission section below. FINRA invites clients to utilize its Transparency Services Initiatives page for updates.

Protocol and Retransmissions:

TDDS delivers OTC equity securities transaction data from the FINRA Over-the-Counter Reporting Facility (ORF) and will be the first FINRA data product to use the MOLD/UDP 64 transmission protocol as the communications interface for the data feed. MOLD/UDP 64 will replace the current non-interactive simplex mode using Internet Protocol (IP) and is identical to the protocol employed for the Nasdaq UTP data feeds. Additionally, client retransmission capability to retrieve data packets will be automated via the use of dedicated unicast addresses; this will replace the current manual requests for data retransmission. Once requests are processed, the retransmitted messages will be disseminated via the TDDS multicast connections used for real time messages.

Message Header and Data Content:

Sections 2 and 3 of the TDDS Specification have been modified by eliminating references to network communications. In addition, the TDDS Message Header and data messages have been updated to reflect label and content changes.

Message Header: The Message Header will be modified to 35 bytes.

• In order to accommodate a more granular timestamp, the timestamp will include fractional seconds (nanoseconds). The Date/Time field will increase to 23 bytes.
• The Session Identifier and Retransmission Requester fields commonly included in the Message Header, will be removed from the Message Header and now be included in the MOLD/UDP 64 message protocol layer.
• The Message Sequence Number will now be included in the MOLD/UDP 64 message protocol layer.
• The Message Sequence Number field is renamed "Trade Identifier" and will remain at 8 bytes. The Trade Identifier is used for tracking trades and is unique per session.

Control Messages:

• Line Integrity, Sequence Number Reset, and End of Retransmission Control messages commonly included in the feed will now be included in the MOLD/UDP 64 message protocol layer.
• Start of Day, End of Day, End of Trade Reporting, and End of Transmissions will be disseminated once and not three times.

Data Messages:

• In order to accommodate a more granular timestamp, timestamps in the Trade, Trade Cancel/Error, Trade Correction, and Trading Action messages will include fractional seconds (nanoseconds). The Date/Time field will increase to 23 bytes.
• The Original Message Sequence Number field in the Cancel and Correction messages are renamed to "Original Trade Identifier".

Network Communications:

New Ports and Multicast Addresses will be employed when MOLD/UDP 64 is introduced. FINRA will continue to offer TDDS data via Primary A and Primary B groups (NY Metro; Ashburn), and TDDS clients are encouraged to process both groups.  In addition, FINRA has employed Disaster Recovery groups to be utilized in the event of catastrophic failure encountered at the data centers. FINRA encourages TDDS clients to also be prepared to process the Disaster Recovery groups.

The network interface rendezvous points, addresses, and ports are listed below for each site for production, weeknight test, and NTF test dissemination. Unicast retransmission addresses are listed and should be utilized for retransmission requests for both production and NTF data.

MOLD/UDP 64 Ports/IP Addresses - Production:

Rendezvous Point (RP) is a router in a multicast network domain that acts as a shared root for a multicast shared tree. Any number of routers can be configured to work as RPs and they can be configured to cover different group ranges.

Weekday Production Dissemination:

Weekday Evening Test Transmission Dissemination; only supported via Primary A:

Weekday Production Retransmission Requests; message dissemination will be returned to the corresponding production dissemination multicast site:

MOLD/UDP 64 Ports/IP Addresses - NTF:

Rendezvous Point (RP) is a router in a multicast network domain that acts as a shared root for a multicast shared tree. Any number of routers can be configured to work as RPs and they can be configured to cover different group ranges.

Weekday Test Facility (NTF) Dissemination; only supported via Primary A:

Weekday Test Facility (NTF) Retransmission Requests; only supported via Primary A:

Help Getting Started:

TDDS clients with questions on the MOLD/UDP 64 protocol should contact Trading Services at (212) 231-5180.

TDDS clients needing network assistance for setup for any of the above routes should contact [email protected].

Testing Period:

FINRA will offer testing for the new protocol and other changes listed above. FINRA will furnish a formal test schedule in a separate technical notice. It is expected that all TDDS data clients will accommodate these changes by Monday, December 5, 2022.

Please email FINRA Product Management or call (866) 899-2107 with questions regarding this notice.