THE NASDAQ STOCK MARKET SYSTEM SETTINGS

NASDAQ OPENING AND CLOSING CROSS

  • Thresholds – 10% or $0.50 - Utilized to calculate the threshold price range for the cross. Rule 4752(d)(2)(E), Rule 4754(b)(2)(E)
  • Opening Price Validation Parameters

    Checks performed sequentially in each security to validate the calculated opening cross price. If the cross price fails the opening price validation parameters, all orders in the opening cross book for that given symbol will be cancelled back to customers. This includes Limit On Open (LOO), Market On Open (MOO), Imbalance Only open orders and Market Day orders (MDAY) that were calculated to participate in the cancelled opening cross. Any orders that are already acknowledged on the continuous book will remain on the book and closing cross orders will not be cancelled. Pending approval by the SEC

    • Check A: The opening cross price must be within the greater of $0.50 or 10% of the close from the previous night (NOCP for Nasdaq listed stocks and consolidated close for non-Nasdaq listed stocks)
    • Check B: The opening cross price must be within the greater of $0.50 or 10% of the last Nasdaq trade (round or odd lot) after 9:15 am
    • Check C: The opening cross price must be within the greater of $0.50 or 10% of the Nasdaq Best Bid for Opening Cross prices higher than previous close or the Nasdaq Best Offer for Opening Cross prices lower than previous close (for purposes of this test, if a security does not have a NOCP or consolidated closing price, as applicable, for the previous trading day Nasdaq will use a price of $0)

ORDER UPDATE LIMITER

The Order Update Limiter limits the number of changes that may occur to each Order (e.g. system generated child orders, reserve updates, replaces, cancellations of system generated child orders and Trade Now requests).

  • Limit on the number of changes that may occur to a Market Maker Peg Order – 1,000 times – If a Market Maker Peg Order is updated 1,000 times, the Order will be cancelled.
  • Limit on the number of changes that may occur to an Order with Primary Pegging – 1,000 times – if an Order with Primary Pegging is updated 1,000 times, the Order will be cancelled.
  • Limit on the number of changes that may occur to an Order with Midpoint Pegging during a crossed market – 10 times – If an Order with Midpoint Pegging is reentered 10 times in an attempt to reprice to a new midpoint price, but the market remains crossed, the Order will be cancelled. Will be effective mid to late April 2017.