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?
1 Answer
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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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$\begingroup$ nasdaqtrader.com/content/technicalsupport/specifications/… Page 11 $\endgroup$– Alex CCommented Dec 12, 2018 at 4:07