NFI Overview

The NASDAQ Fixed Income (NFI) electronic trading platform (formerly eSpeed) provides real-time institutional trading of benchmark U.S. Treasury Securities, one of the largest and most liquid fixed-income cash markets in the world. The NFI trading business further diversifies NASDAQ OMX’s revenue stream by expanding substantially into the U.S. Fixed Income Markets.

Matching Algorithms

NFI provides First-in, First-out (FIFO) matching for all products.

NFI Exchange APIs

TT connects to the following NFI APIs:

• Prices connectivity:
  • ITCH — A direct data feed that contains data for all public orders and trades that occur on the NFI US Treasury alternative trading system (ATS or System) and includes Reference Data, Event Controls, Order Level Messages, and Trade Messages.
  • GLIMPSE — A point-to-point data feed connection that provides direct data feed customers with a snapshot of the current state of NFI order books. GLIMPSE can be used to quickly sync up with the NFI-UST ITCH feed.
• Orders connectivity: FIX 4.4.

Supported Products

NFI currently offers 2, 3, 5, 7, 10 and 30 year On-the-Run (OTR) US Treasury Notes and Bonds.

In addition, the exchange also provides WI (When-Issued), OLD (Off-The-Runs), FRNs (Floating Rate Notes) and WI-OTR Rolls.

Supported Exchange Functionality

TT supports most NFI functionality including:

• Real-Time Market Data Feed
• Order Add
• Order Cancel
• Order Replace
• Changes to Quantity, Price, FFT2, Iceberg disclose quantity and total quantity

  Note: Increases to quantity results in the extra quantity being placed at the end of the queue. The order will still have one single orderID even if there is size at multiple positions in the queue.

• Fill Processing
• Fill Recovery

Unsupported Exchange Functionality

TT does not support the following:

• Limit Peg order type
• Discretionary orders

NFI Trading Hours

The new NFI platform provides the following trading hours:

• Market Open — 18:30 EST/ 19:30 EDT
• Market Close — 17:30 EST

Connectivity Options

The TT® platform provides connectivity to the exchange, so you do not have to contact the exchange regarding connectivity options. Refer to TT Access for more details about your connectivity options for connecting to TT.