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Microsoft Word - Pathfinders Reference Guide
 

Microsoft Word - Pathfinders Reference Guide

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    Microsoft Word - Pathfinders Reference Guide Microsoft Word - Pathfinders Reference Guide Document Transcript

    • Market Pathfinders Data Feed REFERENCE GUIDE NASDAQ Market Pathfinders (Pathfinders) is a market sentiment indicator based on the buying and selling patterns of NASDAQ® market participants. It provides a real-time indication of what the “smart money” is doing in a stock. Offered as a direct data feed product by NASDAQ OMX, Pathfinders covers the full range of issues including NASDAQ-, NYSE- and other U.S. regional exchange-listed securities. Pathfinders provides aggregated real-time, intraday data based on trades from the integrated NASDAQ system. Pathfinders monitors the buying and selling of market participants (“pathfinders”) to identify those that are aggressively taking a position over an extended period of time. Market Pathfinders attempts to replicate the visible activity and audible noise that experienced floor traders use on a physical trading floor to detect changes in buying and selling interest, market direction, momentum and liquidity. Pathfinders are kept anonymous. It is the aggregation of their trading activity that is used to determine if these market participants are bullish or bearish on a particular issue. Table of Contents NASDAQ Market Pathfinders Frequently Asked Questions (FAQs) ................................................................................ 2 NASDAQ Pathfinders Intervals................................................................................................................................................... 3 Support............................................................................................................................................................................................. 5 Appendix A . .................................................................................................................................................................................... 6 © Copyright 2009, The NASDAQ OMX Group, Inc. All rights reserved. NASDAQ OMX, The NASDAQ Stock Market and NASDAQ are registered service/trademarks of The NASDAQ OMX Group, Inc.
    • I. Market Pathfinders Frequently Asked Questions (FAQs) What is Market Pathfinders? NASDAQ Market Pathfinders is a real-time data product that indicates the aggregated sentiment of the market based on the buying and selling patterns of NASDAQ market participants. Using NASDAQ trade data, the Pathfinders data feed constantly monitors the buying and selling of market participants to identify “pathfinders” that are actively buying or selling a large volume of shares in a particular security, in the anticipation of a price increase or decrease over an extended period of time. NASDAQ does not reveal the identities of the Pathfinders but instead captures the sentiment of this group by indicating the number of Pathfinders bullish versus bearish and the total number shares bought versus sold by Pathfinders. Does the NASDAQ Market Pathfinders feed display MPID information? NO. Pathfinders are kept anonymous — it is the aggregation of their trading activity that is used to determine if these market participants are bullish or bearish on a particular issue. Does Market Pathfinders provide real-time data? Yes. Pathfinders disseminates messages "real time". What are the covered time periods in which Pathfinders are calculated and disseminated? Market Pathfinders Indicators are disseminated at one minute intervals for three calculated time periods: 1 minute, 5 minutes and 60 minutes. For example, the 10:40 a.m. 60-minute report includes 9:40:00:000-10:39:59:999 a.m. Are all Market Participants included in the data? No. A market participant must have at least 75% of traded volume in a stock on the buy OR 75% of traded volume on the sell side during the covered time period in order to be included in the data. Is there a minimum dollar threshold that must be met for a MPID to be included the calculation? Yes. Once a market participant is designated as a “pathfinder”, the market participant must trade a minimum dollar volume of the following: 1 minute calculation - $5,000; 5 minute calculation - $25,000; 60 minute calculation - $300,000. The dollar volume threshold is a total for the market participant (total buy and sell) during the interval. If the MP did not trade at least the total dollar volume within the associated period, their volume is removed from the calculation. Will all securities have messages disseminated? Not necessarily. After the dollar volume and percentage trading thresholds have been met, an issue must have at least three market pathfinders on both the buy side and sell side in order for the issue to be included in the feed for the time period (1 minute, 5 minutes, and 60 minutes). If there are not, the issue will be omitted until there are a minimum of three pathfinders during a time period. If a message for an issue is the same as a previous message, will the message disseminate? If there are no calculation changes since the last message, the message will not disseminate. In situations where there are no Pathfinders for an issue in a given an interval, a message with values of zero will be disseminated. There will not be subsequent messages for the issue unless there is an update to the calculation. What if there is only one MPID trading in a security – will Pathfinders disseminate the information? No. An issue must have at least three market pathfinders on both the buy side and sell side in order the issue to be included in the feed for the time period (1 minute, 5 minutes, and 60 minutes). © Copyright 2009, The NASDAQ OMX Group, Inc. All rights reserved. NASDAQ OMX, The NASDAQ Stock Market and NASDAQ are registered service/trademarks of The NASDAQ OMX Group, Inc.
    • How are cancel/corrections handled in the NASDAQ Market Pathfinder data feed? Cancel/Corrections are handled as follows: • Cancellations: Cancelled trades are never included in Pathfinder calculations. The underlying trades will be removed from the calculation in the following circumstances: If a cancelation occurs within the time interval (1 minute, 5 minutes or 60 minutes) that the original trade occurred, the original and cancelation trades will not be included in the calculation. • Volume Corrections: If a volume correction occurs during a time interval (1 minute, 5 minutes or 60 minutes), the original trade is corrected and included in the calculation. • Price Corrections are not applicable to Pathfinders. Where can I access the Data Feed Specification and Sample files? Please see the NASDAQ OMX Data Feed Specifications page for the specifications and sample files. II. NASDAQ Market Pathfinder Intervals To economize on bandwidth, per interval, messages will only be disseminated if there are changes since the last update. To separate interval messages: • 1 minute snapshot is disseminated one second after the time period has elapsed. • 5 minute snapshot is disseminated five seconds after the time period has elapsed. • 60 minute snapshot is disseminated ten seconds after the time period has elapsed. Data Type Time Interval Message Dissemination Time First Message Last Message M One minute Top of the minute 09:31:00 16:01:00 (:01, :02, :03…) F Five minute Five seconds after the minute 09:35:05 16:01:05 HH:MM:05(HH:06:05, HH:11:05…) H Sixty minute 10 seconds after the minute (HH:MM:10) 10:30:10 16:01:10 Calculations are performed on a rolling interval; therefore messages will go out every minute for every interval. Time Message Data Issue Buy-side Sell-side Actual Buy Actual Sell Time Period Stamp Type Type Market Market Volume Volume Used in Participants Participants Calculations* 09:30:00:000 - 10:30:10 D H MSFT 7 2 10000 5000 10:29:59.999 10:30:00:000 - 10:31:00 D M MSFT 7 2 10000 5000 10:30:59.999 10:26:00:000 - 10:31:05 D F MSFT 28 7 20000 10000 10:30:59.999 09:31:00:000 - 10:31:10 D H MSFT 46 8 200000 12000 10:30:59.999 10:31:00:000 - 10:32:00 D M MSFT 6 2 11000 6000 10:31:59.999 10:27:00:000 - 10:32:05 D F MSFT 28 7 21000 11000 10:31:59.999 09:32:00:000 - 10:32:10 D H MSFT 46 8 210000 13000 10:31:59.999 *This column is for informational purposes only and NOT included in the data feed © Copyright 2009, The NASDAQ OMX Group, Inc. All rights reserved. NASDAQ OMX, The NASDAQ Stock Market and NASDAQ are registered service/trademarks of The NASDAQ OMX Group, Inc.
    • Example: Market Participant Transaction Inclusion/Exclusion in Pathfinders Time Stamp MPID Issue Buy Buy Sell Sell Total Buy Total Sell Volume Price Volume Price Price Price 11:15:01.003 MLCO MSFT 2000 20 $40,000 $0 11:15:01.088 FBCO MSFT 20.14 $0 $10,070 500 11:15:01.555 BOFA MSFT 4000 20.11 $80,440 $0 11:15:02.298 MLCO MSFT 2000 20.44 $40,880 $0 11:15:04.873 MSCO MSFT 1500 20.2 $30,300 $0 11:15:27.715 UBSS MSFT 800 20.2 $16,160 $0 11:15:27.812 UBSS MSFT 800 20.25 $0 $16,200 11:15:32.217 SBSM MSFT 300 20.25 $0 $6,075 11:15:44.099 DBAB MSFT 400 20.2 $0 $8,080 11:15:44.099 GSCO MSFT 100 20.40 $2,040 $0 11:16:32.815 MLCO MSFT 5000 20.2 $101,000 $0 11:17:15.212 BOFA MSFT 5000 20.2 $101,000 $0 11:17:20.217 SBSM MSFT 4000 20.2 $80,800 $0 11:17:32.212 BOFA MSFT 700 20.25 $0 $14,175 11:17:32.217 SBSM MSFT 500 20.25 $0 $10,125 11:18:33.444 MLCO F 1000 20.25 $20,250 $0 11:18:33.456 MSCO MSFT 500 20.25 $10,125 $0 11:18:33.550 MLCO F 900 20.3 $0 $18,270 11:19:35.002 MLCO MSFT 1000 20.35 $20,350 $0 11:19:44.087 MLCO MSFT 1000 20.4 $0 $20,400 11:19:44.099 MLCO MSFT 4000 20.2 $80,800 $0 11:19:46.222 MLCO MSFT 2500 20.21 $50,525 $0 11:19:46.422 FBCO MSFT 700 20.22 $0 $14,154 © Copyright 2009, The NASDAQ OMX Group, Inc. All rights reserved. NASDAQ OMX, The NASDAQ Stock Market and NASDAQ are registered service/trademarks of The NASDAQ OMX Group, Inc.
    • MLCO, BOFA, MSCO, FBCO, SBSH and DBAB would be considered a Pathfinder for issues during the intervals where the values below are ‘YES’ (b/c the volume and price thresholds based on the above table have been met). UBSS for wouldn’t be considered a Pathfinder for any interval b/c of the ratio is 800/800. GSCO does not meet the pricing threshold (1 minute calculation, $5,000; 5 minute calculation, $25,000; 1 hour calculation, $300,000) for any interval and therefore will not be included in the calculation. MLCO 11:15 11:16 11:17 11:18 11:19 1 min 5 min 1 hour 1 min 5 min 1 hour 1 min 5 min 1 hour 1 min 5 min 1 hour 1 min 5 min 1 hour MSFT YES YES NO YES YES NO NO YES NO NO YES NO YES YES YES F NO NO NO NO NO NO NO NO NO NO NO NO NO NO NO FBCO 11:15 11:16 11:17 11:18 11:19 1 min 5 min 1 hour 1 min 5 min 1 hour 1 min 5 min 1 hour 1 min 5 min 1 hour 1 min 5 min 1 hour MSFT YES NO NO NO NO NO NO NO NO NO NO NO YES NO NO BOFA 11:15 11:16 11:17 11:18 11:19 1 min 5 min 1 hour 1 min 5 min 1 hour 1 min 5 min 1 hour 1 min 5 min 1 hour 1 min 5 min 1 hour MSFT YES YES NO NO YES NO YES YES NO NO YES NO NO YES NO MSCO 11:15 11:16 11:17 11:18 11:19 1 min 5 min 1 hour 1 min 5 min 1 hour 1 min 5 min 1 hour 1 min 5 min 1 hour 1 min 5 min 1 hour MSFT YES YES NO NO YES NO NO YES NO YES YES NO NO YES NO SBSH 11:15 11:16 11:17 11:18 11:19 1 min 5 min 1 hour 1 min 5 min 1 hour 1 min 5 min 1 hour 1 min 5 min 1 hour 1 min 5 min 1 hour MSFT YES NO NO NO NO NO YES YES NO NO YES NO NO YES NO DBAB 11:15 11:16 11:17 11:18 11:19 1 min 5 min 1 hour 1 min 5 min 1 hour 1 min 5 min 1 hour 1 min 5 min 1 hour 1 min 5 min 1 hour MSFT YES NO NO NO NO NO NO NO NO NO NO NO NO NO NO MLCO, BOFA, MSCO, FBCO, DBAB and GSCO are Pathfinders for MSFT at the 11:15 - 1 minute interval. Therefore only meets the requirement for at least three pathfinders identified on each side for a given issue during certain time intervals. As such, messages are disseminated as follows: Time Message Type Data Issue Buy-side Market Sell-side Market Actual Buy Actual Sell Stamp Type Participants Participants Volume Volume 11:16:00 D M MSFT 3 3 9500 1200 Notice that there are no other messages disseminated between 11:16 - 11:20 a.m. While MLCO, BOFA, MSCO, FBCO or SBSH are pathfinders in other time intervals, the aggregated combination of these MPs are less than three during all other intervals and as a result, the message are not disseminated. III. Support For general product support for the NASDAQ Market Pathfinder data feed, please see the NASDAQ Market Pathfinders Product Page or contact NASDAQ OMX Global Data Products dataproducts@nasdaqomx.com. For technical support for the NASDAQ Market Pathfinder data feed, please contact NASDAQ OMX Systems Engineering at devsupport@nasdaqomx.com. © Copyright 2009, The NASDAQ OMX Group, Inc. All rights reserved. NASDAQ OMX, The NASDAQ Stock Market and NASDAQ are registered service/trademarks of The NASDAQ OMX Group, Inc.
    • Appendix A: Pathfinders Data Feed Message Format Data Message Name Offset Len Value Notes Time Stamp 0 8 Numeric The system time at which the message was disseminated. Time is in milliseconds since 12:00 a.m., Eastern Time Message Type 8 1 “D” Data Message Data Type 9 1 Alpha Indicates the dissemination interval for Pathfinder message being disseminated. Allowable values are: “M” = 1 minute interval “F” = 5 minute interval “H” = 60 minute interval Issue 10 6 Alpha Denotes the security symbol for the issue in the NASDAQ Single Book. Buy-side Market 16 10 Numeric Total # number of market participants with at least 75% of Participants traded volume in a stock on the buy-side during the stated time interval. First message is disseminate at 09:31:00 and the last message at 16:01:10. Sell-side Market 26 10 Numeric Total # number of market participants with at least 75% of Participants traded volume in a stock on the sell-side during the stated time interval. Actual Buy Volume 36 10 Numeric Total # of shares in buy orders executed during the stated time interval. Actual Sell Volume 46 10 Numeric Total # of shares in sell orders executed during the stated time interval. © Copyright 2009, The NASDAQ OMX Group, Inc. All rights reserved. NASDAQ OMX, The NASDAQ Stock Market and NASDAQ are registered service/trademarks of The NASDAQ OMX Group, Inc.