Wednesday, December 05, 2012

Equity Technical Update #2012 - 32
NASDAQ to Discontinue AQR on January 15, 2013

Markets Impacted:

Contact Information:

What you need to know:

  • Market Maker Peg Orders are now available on NASDAQ.
  • Automated Quote Refresh (AQR) functionality will be discontinued on January 15, 2013, pending filing with the SEC.

What has NASDAQ filed?

The NASDAQ Stock Market® (NASDAQ®) will file a rule change with the Securities and Exchange Commission (SEC) to discontinue its AQR functionality, effective January 15, 2013.

In seeking approval of the Market Maker Peg Order, the functionality that is replacing AQR, NASDAQ committed to retire AQR after a three month transition period. NASDAQ completed the rollout of the Market Maker Peg Order on October 15, 2012, the date NASDAQ began offering the functionality to QIX protocol users.

What are Market Maker Peg Orders?

The Market Maker Peg Order is a one-sided, attributable limit order supported via the FIX, RASH, and QIX order entry protocols. The Market Maker Peg Order price is automatically adjusted, helping NASDAQ market makers comply with the Exchange's rules regarding market maker quotation requirements and obligations in their registered securities.

What is being discontinued?

AQR functionality will be discontinued on January 15, 2013, pending filing with the SEC. It was originally anticipated that AQR would be retired by the end of 2012, as announced in ETU #2012-31. However, the rollout of the Market Maker Peg Order was completed on October 15, 2012, when QIX protocol support was launched. In order to afford QIX protocol users the benefit of the full three month transition period, NASDAQ is now retiring AQR on January 15, 2013.

Can my firm begin to transition off of AQR and manage our own quotes?

Yes. Using AQR is not mandatory for market makers, and firms can begin to manage their own quotes immediately. Firms can manage their own quotes through the use of Market Maker Peg Orders, other attributable orders or a combination of the two.

Where can I find additional information?

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