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Tuesday, August 1, 2017

Equity Trader Alert #2017 - 176
Nasdaq To Implement Enhancements to the Closing Cross Process

Category:

  • New Functionality

Markets Impacted:

Contact Information:

Resources:

Subject to SEC approval, The Nasdaq Stock Market (“Nasdaq”) will be enhancing the Nasdaq Closing Cross process by allowing customers to enter Limit-On-Close (“LOC”) orders after the first Net Order Imbalance Indicator (“NOII”) is disseminated. The enhancements are designed to encourage greater participation and interaction opportunities within the Nasdaq Closing Cross process and support stability in the price discovery process. The changes will be phased in with groups of symbols beginning October 2017. More information on exact rollout dates will be forthcoming.

Nasdaq will allow LOC orders to be entered up until 3:55 p.m. ET. A LOC order entered between 3:50 p.m. to 3:55 p.m. ET will be accepted at its limit price, unless its limit price is more aggressive than the 3:50 p.m. Reference Price, in which case the LOC order will be re-priced to the 3:50 p.m. Reference Price. Both buy and sell LOC orders will be accepted between 3:50 p.m. to 3:55 p.m. ET, regardless of the side of the order imbalance. If there is no Reference Price in the first NOII dissemination, for example when there are no paired shares in the auction, LOC orders received after 3:50 p.m. will not be accepted. With this change, Nasdaq will also no longer accept LOC orders entered after 3:55 p.m. Please see additional details here.

As announced in Equity Technical Update #2017 - 3, Nasdaq has added one new reject order reason for LOC orders that are rejected because there is no Reference Price in the first NOII dissemination:

Reason Explanation
o There is no reference price in the first NOII dissemination and so no LOC orders can be accepted in this stock at this time.

Testing Opportunities

Testing is currently available in the Nasdaq Testing Facility (NTF). Production testing will be available during the August 5th and September 23rd UAT.


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