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Friday, July 31, 2020

Equity Trader Alert #2020 - 46
Nasdaq & BX Pricing Updates Effective August 3, 2020

Category:

  • Pricing

Markets Impacted:

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Pending filing with the SEC, the following pricing changes will be effective Monday, August 3, 2020, for Nasdaq.

Amended Rebates to Add Displayed Liquidity

The current display add tier requiring firms add “Greater than 0.75% add and 5M ADV of non-display” will be updated to:

Per Share Executed Liquidity Code
  1. Add greater than 1.00% TCV; and
  2. Add greater than 0.25% TCV of non-displayed liquidity
 $0.0030 A, 7, 8, a, x or y

The current display add tier providing firms a $0.0030 will be updated to:

Per Share Executed Liquidity Code
0.625% or greater added of which 0.15% or greater are Tape B securities $0.0029 A, 7, 8, a, x or y

New Rebates to Add Displayed Liquidity

The following new display rebates will be added:

Per Share Executed Liquidity Code
  1. Add 0.70% or more TCV; and
  2. Add greater than 0.20% of TCV using midpoint orders (midpoint add + MELO); and
  3. Remove 1.10% or more TCV
 $0.00295 A, 7, 8, a, x or y
1.30% or greater added of which 0.40% or greater are Tape B securities $0.0030 A, 7, 8, a, x or y

Rebate to Add Other Non-Displayed Liquidity

Per Share Executed Liquidity Code
  1. Add 0.90% TCV; and
  2. Add 0.20% non-display; and
  3. Grows add non-display (other than midpoint orders) by 10% over a July 2020 baseline
 $0.00075 for Tape C securities J or N

Amended Nasdaq Closing Cross Tier Requirements

The current cross tier providing firms an execution fee of $0.0008 will be updated to:

Fee for Closing Cross Per Share Executed Liquidity Code
Shares of added liquidity provided in all Tapes through one or more of its MPIDs that represent above 1.75% of Consolidated Volume or MOC/LOC volume above 0.50% Consolidated Volume $0.0008 C

Amended Nasdaq Qualified Market Maker (QMM) Program

The current QMM criteria providing firms a discounted remove fee of $0.00295 or $0.0029 will be updated to:

QMMs that execute shares of liquidity provided in all securities through one or more of its Nasdaq Market Center MPIDs that represent 0.85% 1.00% or more of Consolidated Volume during the month will be assessed a discounted remove fee of $0.00295 in Tapes A and B for shares executed (in securities priced at or greater than $1). QMMs that meet the criteria of Tier 2 and 1) have a combined Consolidated Volume (adding and removing liquidity) of at least 3.7%; 2) execute 0.25% 0.35% MOC/LOC during the month; and 3) provides 0.15% liquidity using midpoint orders will be assessed a discounted remove fee of $0.0029 in Tapes A and B for shares executed (in securities priced at or greater than $1).

The current QMM criteria providing firms an additional rebate of $0.00005 will be updated to:

A Member’s MPID may qualify for an additional rebate of $0.00005 in all Tapes in addition to the Tier 2 QMM incentive by 1. MPID adds greater than 1.25% TCV; 2. MPID maintains a one- or two-sided quote, of at least one round lot at the NBBO in an average of at least 2,700 securities for at least 25% 50% of market hours each month of which at least 1,200 securities are in Tape A securities; and 3. MPID increases add volume as a percentage of TCV in Tape A securities by 0.50% versus the firm’s MPID’s May 2020 baseline.

New fee for removing liquidity using the RFTY routing strategy (Retail Order Process):

Per Share Executed Liquidity Code
Firm’s Ratio of RFTY Add to Total RFTY Volume is < 75% $0.0020 D, B, P,X, Y, T,F, E, G,U, or S
Firm’s Ratio of RFTY Add to Total RFTY Volume is < 75% $0.0020 R or m

Pending filing with the SEC, the following pricing changes will be effective Monday, August 3, 2020, for Nasdaq BX.

New Rebate to Remove Liquidity

The following new rebate will be added:

Tape A and B Per Share Executed Tape C Per Share Executed Liquidity Code
  1. Increases remove volume as a percentage of TCV by 35% versus the firm’s July 2020 remove volume; and
  2. Removes at least 0.01% TCV; and
  3. Adds at least 50,000 shares ADV
 $0.0018 $0.0017 R

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