Nasdaq Launches Replay Tool

The tool initially allows replays of the national best bid and offer price, quotes in the Nasdaq order book, and bid and offer prices across all exchanges trading a stock.

The exchange will also add other data to the replay tool in future, such as full depth-of-book data including market-maker IDs to provide a greater level of detail. Other additions could include trade prices, or enabling users to load their own trade data into the interface to match with quotes, whereas users currently request the quote replays based on their own trade data.

The service comprises two key components: compact data files and a lightweight analysis user interface that users download to their desktops from the exchange's DataStore portal, which they use to request 10-minute segments of data for individual stocks around specific dates and times.

Users can request longer periods, but "most customers just want [every quote update from] a small timeframe around a trade," says Claude Courbois, head of new product development at Nasdaq.

Users can then drill down to millisecond intervals within those segments using a zoom tool.

The data is provided in light text files that the application rebuilds into a replay of price movements. By storing the data in efficient flat files, "we can store unlimited amounts... and we have made a commitment to customers that we will never delete it," Courbois says.

The display application contains a montage of five screens-the first for requesting replays; the second for displaying a list of replays downloaded; the third is a time chart for navigation, the fourth is an order book viewer with controls for replaying the market; while the fifth panel is a timespan analysis tool that calculates the minimum and maximum best bid and offer for each exchange and for the NBBO.

The replay tool costs $2,000 per month per firm plus $50 per user-though the exchange will also assist vendors to integrate the tool with their own applications.