nasdaq daily share volume user guide

1 © Copyright 2010 The NASDAQ OMX Group, Inc. All rights reserved.

NASDAQ Daily Share Volume (DSV) is a product that will help customers make better educated

trading and routing decisions by tracking market participants' trading activity in specific stocks,

sectors and indexes. It is the "gold-source" for volume and ranking information directly from the

NASDAQ OMX Market Center® (trades executed through the NASDAQ Execution System). It gives

credit to both parties involved in a trade and looks through hidden, reserve and anonymous

trades, including odd lot trades. The DSV Reports are available after market close on the same

day a trade is executed and aggregated on a monthly basis.

DSV is an aggregated historical product. On a T+1 and monthly basis, NASDAQ OMX® will

summarize the aggregated share volume at the Market Participant and Issue levels in the

NASDAQ system for all NASDAQ-, New York Stock Exchange (NYSE)- and NYSE Amex-listed

securities. Please note: NASDAQ OMX processes the daily DSV data at 11:00 p.m., Eastern Time

(ET), for the same day’s data. NASDAQ OMX will process monthly DSV data by 8 a.m., ET, on the

fifth day of every month for the prior month’s data.

Daily Share Volume reports are available through two types of subscriptions:

• Web Subscription via the NASDAQ OMX DataStore - Easily access reports through the

web-based query-response system. Customize the data to suit your specific needs.

o Categorize reports by exchange

o Sort by volume or symbol

o Organize by market participant, issue, composite, index or sector

• FTP Subscription - Download the data in a single file for redistribution or firm-wide access.

For more information about the FTP subscription please visit the NASDAQ OMX Trader®

website.

Table of Contents

NASDAQ Daily Share Volume Components .............................................................................................. 2

NASDAQ Daily Share Volume Views ......................................................................................................... 3

NASDAQ Daily Share Volume Frequently Asked Questions (FAQs) .......................................................... 6

Support ..................................................................................................................................................... 7

NASDAQ Daily Share Volume

User Guide

© Copyright 2010 The NASDAQ OMX Group, Inc. All rights reserved.

I. NASDAQ Daily Share Volume Components

1. Report By – Use this field to

• Individual symbol

aggregated by Market Participant

• Individual Market Participant across all issues, sectors

• All Market Participants by different issue groups.

2. Include – Enabled when the Market Participant option in Report By is selected.

the inclusion/exclusion of

Limit To – Allows you to

3. Date Range – Specify date range for which you would like to view volume information.

Please note: To view monthly data, please select the

day of a month. Please note

1, 2010.

4. Sort By and Format – Allows

results in either the web page, PDF or a CSV format.

5. Submit – Select Submit to view results based on the options you

10 The NASDAQ OMX Group, Inc. All rights reserved.

Components

Use this field to select volume by:

from NASDAQ-, NYSE- and NYSE Amex- listed securities

aggregated by Market Participant.

Individual Market Participant across all issues, sectors or select

All Market Participants by different issue groups.

Enabled when the Market Participant option in Report By is selected.

sion of various data elements.

Allows you to include only certain Exchanges.

date range for which you would like to view volume information.

Please note: To view monthly data, please select the first day of a month and the last

Please note that at this time data is available back through

Allows results to be sorted by Volume or Symbol and

results in either the web page, PDF or a CSV format.

Select Submit to view results based on the options you have chosen.

2

listed securities

indexes.

Enabled when the Market Participant option in Report By is selected. Allows

date range for which you would like to view volume information.

of a month and the last

at this time data is available back through September

to be sorted by Volume or Symbol and display the

ve chosen.


II. NASDAQ Daily Share Volume Views

Report By Issue: Displays and ranks volume information for Market Participants trading the

security on the date chosen.

© Copyright 2010 The NASDAQ OMX Group, Inc. All rights reserved.

Report By Market Participant:

Participant chosen by Group.

• In each group, the market participant displays with:

1. Rank (Group Rank)

much volume has been traded for the Market Participant in the Group.

Using the scree

of its volume in the NASDAQ Composite index. Similarly, in the Sectors

Group, MLCO executed most of its

10 The NASDAQ OMX Group, Inc. All rights reserved.

: Displays volume and rank information for the Market

In each group, the market participant displays with:

Rank (Group Rank) – Rank sub groups of each Group according


Using the screenshot above, in the Indexes Group, MLCO executed most


Group, MLCO executed most of its volume in the Information Technology

4

olume and rank information for the Market

according to how


Group, MLCO executed most


volume in the Information Technology


sector.

2. Rank In Issue – Displays Market Participant rank as compared to all

other Market Participants trading in the sub-group. Using the screenshot

above, compared to other market participants trading FAZ, MLCO has

the most volume. Similarly, compared to other market participants

trading QQQQ, MLCO ranks #2 in volume executed for QQQQ. Please

note: by definition, the Rank and Rank in Issue will often not be the

same.

Report by Issue Groups: Displays and ranks volume information for Market Participants

trading in the issue group and date chosen.


III. NASDAQ Daily Share Volume Frequently Asked Questions (FAQs)

What is NASDAQ Daily Share Volume?

NASDAQ Daily Share Volume (DSV) is a historical data product that provides more comprehensive

share volume information for NASDAQ Market Center® liquidity, including trades executed on the

NASDAQ Exchange. Using data that comes straight from the source (NASDAQ) lends additional

credibility to promotional activities and demonstrates trading prominence to customers and

competitors. In addition, these reports increase opportunities for exposure as they are designed

to be a valuable resource to the media.

What data is included in DSV?

DSV is a "gold-source" of data obtaining trades executed on the NASDAQ Market Center. The data

includes hidden, reserve and anonymous trades, routed trades, odd lots and cross trade data.

DSV does NOT include Electronic Communication Networks (ECNs). In addition, DSV excludes

trades with trade status of ‘Break.’

What issue types are is included in DSV?

DSV includes NASDAQ-, NYSE-, NYSE Amex- and other regional-listed securities. These include

securities supported under Reg NMS as well as some select sectors and indexes.

Is DSV real-time?

No. The data is available on a T+1 and on a monthly basis. The data goes back through

September 1, 2010.

Are all Market Participants included in DSV?

For the daily (T+1) data firms must opt-in their MPID allowing NASDAQ OMX to display their

volume information. For monthly data, all firms are included unless they opt-out.

When is data available and how long is it available?

NASDAQ OMX processes daily DSV data at 11:00 p.m., ET, for the same day’s data. NASDAQ

OMX will process monthly DSV data by 8 a.m., ET, on the fifth day of every month for the prior

month’s data.

Can I roll up my MPID in to a master MPID?

Yes, firms are allowed roll up MPIDs in to master MPIDs.

Do both sides of a trade get credit?

Market participants are credited for each execution whether accessing liquidity or taking liquidity.

Since both market participants involved in a trade are counted, the total volume should not be

aggregated to determine actual shares traded.

How is DSV calculated?

We calculated DSV data by:


1. Aggregating trading volume per firm per issue from the NASDAQ Execution System

including all trades (except those with a status of ‘Break’) for those firms that have opted-

in to display their daily volume. For monthly data, all MPIDs are included.

2. DSV then ranks the market participants’ daily volume and rolls up the MPIDs in to the

master MPIDs (based on firm request).

What firms are opted-in to DSV?

In Monthly files, all firms appear unless they specifically opt-out. In Daily files, only those firms

that specifically opt-in are included in the file. View the list of daily report participating firms.

How can I opt-in my MPID?

If your firm is not already included in the product and you would like to add your trading, please

complete the DSV Agreement.

IV. Support

For technical support for NASDAQ Daily Share Volume via the NASDAQ OMX DataStore, please

contact [email protected].

For information for the NASDAQ Daily Share Volume FTP, please see the NASDAQ Daily Share

Volume page on the NASDAQ OMX Trader website or contact NASDAQ OMX Global Data Products

at [email protected].

nasdaq daily share volume user guide

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