Chaoqun Ma

2. Data Types

1 Overview NASDAQ OMX PSX accepts limit orders from system participants and executes matching orders when possible. Non-matching orders may be added to the NASDAQ OMX PSX Limit Order Book, a database of available limit orders, where they wait to be matched in price-time priority. OUCH is a simple protocol that allows NASDAQ OMX PSX participants to enter orders, cancel existing orders and receive executions. It is intended to allow participants and their software developers to integrate NASDAQ OMX PSX into their proprietary trading systems or to build custom front ends. OUCH only provides a method for participants to send orders to NASDAQ OMX PSX and receive updates on those orders entered. For information about all orders entered into and executed on the NASDAQ OMX PSX book, refer to the ITCH protocol (available separately). OUCH is the low-level native protocol for connecting to NASDAQ OMX PSX. It is designed to offer the maximum possible performance at the cost of flexibility and ease of use. For applications that do not require this extreme level of performance, NASDAQ OMX PSX offers other, more standard interfaces that may be more suitable and easier to develop to. 1.1 Architecture The OUCH protocol is composed of logical messages passed between the OUCH host and the client application. Each message type has a fixed message length. All messages are composed of non-control ASCII bytes. All messages sent from the OUCH host to the client are assumed to be sequenced, and their delivery must be guaranteed by some lower level protocol. The SoupTCP (available separately) is typically used to guarantee the delivery and sequencing of OUCH messages sent from the host to the client. Messages sent from the OUCH client to the host are inherently non-guaranteed, even if they are carried by a lower level protocol that guarantees delivery (like TCP/IP sockets). Therefore, all host-bound messages are designed so that they can be benignly resent for robust recovery from connection and application failures. Each physical OUCH host port is bound to a NASDAQ OMX PSX-assigned logical OUCH Account. On a given day, every order entered on OUCH is uniquely identified by the combination of the logical OUCH Account and the participant-created Token field. The specifications contain more functionality than what is planned for initial production. Functionality that is not available will be greyed out in the specs. Any changes will be conveyed via the NASDAQ OMX PSX …