Hello,

I recently began working with the NASDAQ Level II feed available on DTN RealTime and noticed a discrepancy between DTN's data and the data available via other providers. DTN appears to distribute Level II data on a per-market maker basis rather than a per-price level basis. If a market maker is active at multiple price levels, I will only see the closest price at which the market maker is bidding/offering the stock. This makes it very difficult/impossible to determine market depth using the DTN data.

I found a similar thread elsewhere in the forums (http://forums.dtnma.com/index.cfm?page=topic&topicID=76), but Natalie's response did not indicate whether it was possible to tell if a Level II quote update message was merely updating/removing a price level for a market marker, or was reporting an entirely new price level for that market maker.

Is there some way to get this information? The ability to view the depth for a stock is what NASDAQ Level II is all about, but it is not immediately obvious how to determine market depth information with the DTN data feed.

Thank you for your help,

Michael Alyn Miller

Based on the information I found on NASDAQ's web site (http://www.nasdaqtrader.com/trader/mds/mdsoverview/vshome.stm), I may have answered my own question. It appears that DTN offers the NQDS data service instead of TotalView:

• NQDS - NQDS is used in conventional Level 2 displays. NQDS provides only the top-of-file market participant quotations from the NASDAQ Market Center.


• TotalView - TotalView is the new standard in NASDAQ Level 2 displays. TotalView vendors provide the full depth of quotation and order interest available for execution in the NASDAQ Market Center.

If this is the case, are there any plans to upgrade the DTN feed to provide TotalView?

Thanks again,

Michael Alyn Miller

Your research is correct. At this time, we don't have plans to provide the TotalView products from Nasdaq due to lack of demand which currently isn't enough to justify the increased costs it would incurr.

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Jay Froscheiser
DTN Market Access, LLC.