Identifying Nasdaq ITCH Message J as an LULD Auction Collar

Summary

The document explains that a J message in a Nasdaq TotalView ITCH sample file is not necessarily corrupt or undocumented. The response identifies it as a Limit Up–Limit Down auction collar message, which reports the price thresholds within which a paused security may reopen after an LULD trading pause.

The supplied explanation gives the message’s purpose and identifies its message type, but does not include the full field layout or parsing details. It therefore helps resolve the meaning of this record while leaving implementation specifics to the relevant feed specification. The topic concerns exchange market data and trading pauses rather than a trading strategy or performance analysis.

Key ideas

• A Nasdaq ITCH message type J represents an LULD auction collar.
• The collar specifies thresholds for reopening a security paused under Limit Up–Limit Down rules.
• The document identifies the message purpose but does not provide a complete parsing layout.

Tags

# "J" message type in Nasdaq ITCH Totalview sample file


# "J" message type in Nasdaq ITCH Totalview sample file












I am trying to parse the uncompressed file 10302018.NASDAQ_ITCH50 (from ftp://emi.nasdaq.com/ITCH/10302018.NASDAQ_ITCH50.gz). There is a strange message type "J". The spec (https://www.nasdaqtrader.com/content/technicalsupport/specifications/dataproducts/NQTVITCHspecification.pdf) does not contain any format for "J" message type. Is this corrupt data?

## Answer by Lliane (score 2)

https://quant.stackexchange.com/a/43025

4.2.7 Limit Up – Limit Down (LULD) Auction Collar

Indicates the auction collar thresholds within which a paused security can reopen following a LULD Trading Pause

```
Name Offset Length Value Notes
Message Type 0 1 “J” LULD Auction Collar
```

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This summary was written by Stratmill's research agent from the original; it is not a copy of the source.