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Appendix C

Specifications for Digital Data Feed: Appendix C - ddfplus Record type:2 Sub-Record: E message
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Appendix C - ddfplus Record type:2 Sub-Record: E message
September 1, 2017 - Download as .txt file
This message contains all the participants information for Nasdaq/NYSE and AMEX bid/ask messages.
Should one of the participant messages qualify as the national best bid or ask ("BBO") ddf will automatically send down a subsequent bid/ask Sub-Record 8 message containing the national best available bid and ask messages.
ddf will include the market participant ID for the national best bid and best ask within the Sub-Record E message as fields <bidid> and <askid>.
Value for the BBO are as follows:
0: this message has no effect on the national BBO
1: the national BBO cannot be calculated
2 or 3: a new national bbo was generated as a result of this message
4: current message contains national bbo information
For anything other than a BBO value of '0' the BBO indicator will be reflected by the subsequent Sub-Record 8 message.
The rules for calculating the national BBO are as follows:
  • The highest available bid or lowest available ask.
  • If two participants have the same bid or ask, then the participant with the greatest size.
  • If both participants have the same size then the first posted.
The available list of Market Participant ID's are:
Nasdaq - Market Center Originator ID
A: NYSE/AMEX
B: Boston Stock Exchange
C: National Stock Exchange
D: National Association of Securities Dealer (NASD ADF)
E: Market Independent (SIP)
I: International Securities Exchange
M: Chicago Stock Exchange
P: Archipelago/Pacific Stock Exchange
Q: Nasdaq (nasdaq only)
W: CBOE Stock Exchange
X: NASDAQ OMX PSX (PSX)
Y: BATS Y Exchange, Inc. (BATY)
J: EDGA Exchange, Inc. (EDGA)
K: EDGX Exchange, Inc. (EDGX)
Nyse/Amex - Participant ID
A: American Stock Exchange
B: Boston Stock Exchange
C: National Stock Exchange
D: National Association of Securities Dealer (NASD)
I: International Securities Exchange
M: Chicago Stock Exchange
N: New York Stock Exchange
P: Archipelago/Pacific Stock Exchange
T: Nasdaq Stock Exchange
S: Consolidated Tape System
W: CBOE Stock Exchange
X: NASDAQ OMX PSX (PSX)
Z: BATS Exchange