Nasdaq Expands Market Replay Tool

The display, which can be downloaded and populated with files of historical data from Nasdaq's DataStore Web site, currently enables users to identify quotes in Nasdaq's order book or on Nasdaq-listed securities traded on other venues, and the National Best Bid and Offer price, and to replay activity during specific time segments to monitor market movements (IMD, March 3). The new version will also enable users-including traders, investor support staff and compliance staff-to incorporate trade prices, as well as quotes and trades for stocks listed on the New York and American stock exchanges.

Each trade data point on the display will include last sale price, volume, and details of which exchange the trade was executed on, says Claude Courbois, associate vice president of market data management at Nasdaq OMX.

"We started off with the product focusing on quotes for compliance with Reg NMS," he says. "For compliance, a quote should be the important factor. But people also want to see trade data for all sorts of reasons. Quotes matter for the rule, but people also care about the trade print."

Users can then export the trade data from the system into other applications, such as Microsoft Excel spreadsheets, in order to perform separate calculations, such as deriving volume-weighted average price, or to filter out large or small trades to only follow the market activity they are most interested in, Courbois says.

The new version also allows users to analyze data intra-day, since Nasdaq now uploads files of quote and trade data with a 20-minute delay, whereas before, the service only contained data from previous days' trading, while in future releases, Nasdaq will expand the quote data available to include market depth, and ultimately full depth of book, Courbois says.

A Nasdaq spokesperson says the exchange will not increase the price of the product-currently $2,000 per month plus an additional $50 per user-to reflect the additional data.