Tuesday, May 19, 2009

Equity Trader Alert #2009 - 34
NASDAQ Introduces Enhancements to Existing Order Types and Routing Strategies

What are the enhancements to the NASDAQ Only orders?

Effective Monday, June 1, 2009, NASDAQ^® will introduce a new NASDAQ Only order that will provide additional order exposure for customers. By entering the display code “S” into the display field, NASDAQ Only orders will disseminate the most aggressive price possible that would not result in a trade through via TotalView-ITCH and other NASDAQ OMX^SM proprietary data feed products for up to one half second. Orders that become non-marketable and that do not execute in the time allotted will remain on the book, unless cancelled by the customer. Orders that remain marketable after the time allotted will be cancelled.

What enhancements have been made to routable orders?

Effective Monday, June 8, 2009, NASDAQ will introduce enhancements that make routable orders more efficient and cost effective. After executing any marketable orders on the NASDAQ book, the routable order will be displayed via TotalView-ITCH and other NASDAQ OMX proprietary data feed products at the most aggressive price possible that would not result in a trade through for 20 to 30 milliseconds.

What is the fee schedule for these orders?

These enhancements provide maximum order exposure and opportunities to execute at lower prices.

• Non-routable orders sent with the “S” display code will earn the full liquidity provider credit if executed and receive the liquidity code of “A.”
• Routable orders will now have the opportunity to earn a rebate rather than being charged $0.0026 for routing.
• Firms that add more than an average of 35 million shares per day will receive a rebate of $0.0015 and all other firms will receive a rebate of $0.0010.
• These orders will receive the liquidity code of “J.”

What routing strategies can I use to take advantage of the enhancement to routable orders?

The new enhancement to routable orders is available via STGY, SCAN, DOTA and DOTM.

What routing strategies should I use if I do not wish to utilize the enhanced routable orders?

Customers may opt to use the routing strategies SCNF (for SCAN) and SGNF (for STGY) if they do not want this functionality applied to routable orders. These routing strategies are currently available for customer use.

Do these enhancements create a crossed market?

No, the enhancements do not create a crossed market.

Have the protocol specifications been updated?

Yes, updated protocol specifications have been posted on the NASDAQ OMX Trader^® website. The display code of “S” has been added to OUCH, INET, RASH and all FIX protocols to support the NASDAQ Only order. QIX, RASH, CTCI and all FIX protocols have been updated with the SCNF and SGNF routing strategies to support changes to routable orders. These routing strategies are currently available for customer use.

Where can I get additional information?

• Refer to the Order Types and Routing Strategy Reference Guide.
• Refer to the updated protocol specifications on the NASDAQ OMX Trader website.
• Contact Transaction Services U.S. Market Sales at +1 800 846 0477.