The NASDAQ Opening and Closing Crosses

Overview

TIMELINESS | TRUST | LIQUIDITY | TRANSPARENCY | RELIABILITY

 

The NASDAQ Opening and Closing Crosses are price discovery facilities that cross orders at a single price. The crosses enable market participants to execute on-open and on-close interest and provide unparalleled transparency. Market makers and other industry professionals have repeatedly demonstrated their willingness and ability to offset imbalances that are entered into the cross. The crosses generate opening and closing prices that are widely used by industry professionals including Russell Investments, Standard & Poor’s and Dow Jones.

 

 


2010 Russell Reconstitution Highlights

On June 25, 2010, Russell Investments used the NASDAQ Closing Cross to price NASDAQ-listed securities for the annual Reconstitution of all their U.S. equity indexes. This resulted in a record 1.04 billion shares worth $11.2 billion being executed in 0.855 seconds on the NASDAQ Closing Cross. Here are some other highlights:

  • A total of 2,065 NASDAQ-listed securities had a cross on Friday executing a record of 1,042,122,408 shares.
  • 630 NASDAQ-listed stocks executed more than their average daily volume in the Closing Cross.
  • 232 NASDAQ-listed stocks executed more than a whole week's volume in the Closing Cross.
  • 222 NASDAQ-listed stocks had crosses of more than one million shares.
For more information about this year’s Russell Reconstitution, refer to our press release.

 

Share Volume in the NASDAQ Crossing Network
Date Total Opening Cross Total Closing Cross
09/01/2010 18,882,563 61,860,988
08/31/2010 14,777,177 129,301,754
08/30/2010 14,497,532 40,837,375
08/27/2010 15,455,805 42,659,634
08/26/2010 13,085,584 38,845,734

 

Visit our FTP for historical data.

 

NASDAQ Opening and Closing Cross Times
(all times Eastern)
Opening Cross Closing Cross
7:00 a.m. Trading and order entry begins 3:50 p.m. Dissemination of imbalance information begins
9:25 a.m. NASDAQ opens/enters quotes for participants with no open interest 4:00 p.m. The Closing Cross occurs
9:28 a.m. Dissemination of imbalance information begins    
9:30 a.m. The Opening Cross occurs    

 

Security Eligibility

All nationally-listed securities are eligible for the Crosses. All new listings on NASDAQ are added to the Opening and Closing Crosses on the first day of trading.

On Monday, November 5, 2007, NASDAQ completed its roll-out by adding approximately 5,000 additional securities into the NASDAQ Opening and Closing Crosses. Please refer to Head Trader Alert #2007-220 for complete details.

Order Types

Highlighted below are the order types accepted during the NASDAQ Opening and Closing Crosses. Please refer to the NASDAQ Order Entry Reference Guide for a breakdown of order type by OUCH, RASHport, FIX and QIX connectivity protocols.

ON-OPEN ORDERS Specifically request an execution at the opening price. Can be limit-on-open (LOO) or market-on open (MOO).
IMBALANCE-ONLY OPEN ORDERS Provides liquidity intended to offset on-open orders during the Opening Cross.
  • Must be priced (limit), no market IO orders.
  • IO buy/sell orders only execute at or above/below the 9:30 a.m., ET, offer/bid.
ON-CLOSE ORDERS Specifically request an execution at the closing price.
  • Can be limit-on-close (LOC) or market-on-close (MOC).
IMBALANCE-ONLY CLOSE ORDERS Provides liquidity intended to offset on-close orders during the Closing Cross.
  • Must be priced (limit), no market IO orders.
  • IO buy/sell orders only execute at or above/below the 4:00 p.m., ET, bid/ask.

Imbalance Data

NASDAQ disseminates Opening Cross Net Order Imbalance information every five seconds between 9:28 and 9:30 a.m., Eastern Time (ET), and Closing Cross Net Order Imbalance information between 3:50 and 4:00 p.m., ET. This data is available by subscription only via:

The Net Order Imbalance Indicator (NOII) makes information available that allows for increased liquidity and better trade performance. NOII can have a very positive impact on traders’ ability to perform effectively in a highly competitive environment. It provides users with invaluable details about the opening and closing orders and the likely opening and closing prices of a security, insight that can help reveal new trading opportunities.

Firms should contact their market data vendors and service bureaus directly regarding the availability of NASDAQ Net Order Imbalance information.