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Tuesday, March 5, 2019

Equity Trader Alert #2019 - 20
Nasdaq to Disseminate Early Closing Auction Imbalance Information

Category:

  • New Functionality

Markets Impacted:

Contact Information:

Subject to SEC approval, on April 15, 2019, Nasdaq will begin disseminating early closing auction imbalance information beginning at 3:50 p.m. ET. Nasdaq is making this change to increase the transparency and flexibility for firms participating in the closing auction price discovery process. The early auction information will use the existing Net Order Imbalance Indicator (NOII) format. The information disseminated will consist of Paired Shares, Imbalance Shares, Imbalance Direction, and the Current Reference Price. The Near and Far Price information will not be published during this period and instead will be populated with “0”. The frequency of dissemination will be every 10 seconds. Beginning at 3:55 p.m. ET, Nasdaq will publish the NOII as it does today, including the near and far reference prices, with the frequency of dissemination being every second. Firms will be allowed to enter all on-close order types including MOC and LOC without any restrictions during the period when early auction information is being disseminated.

NOII and Auction Cutoff times will be:

Eastern Time (ET)

3:50 p.m. Early Dissemination of closing information begins.
  • Nasdaq continues accepting Market-On-Close, Limit-On-Close, and Imbalance-Only orders at any time prior to the cutoff time.
3:55 p.m. Full Dissemination of closing information begins.
  • Nasdaq stops accepting entry, cancellation or modification of Market-On-Close orders.
  • Limit-On-Close orders may be entered until 3:58 p.m., but may not be cancelled or modified
  • Imbalance-Only orders may be entered until 4:00 p.m. but may not be cancelled or modified
3:58 p.m. Nasdaq stops accepting entry of Limit-On-Close orders.
4:00 p.m. Closing process begins.

Testing Opportunities

Production testing will be available during the April 6 User Acceptance Tests (UAT).

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Nasdaq (Nasdaq: NDAQ) is a leading global provider of trading, clearing, exchange technology, listing, information and public company services. Through its diverse portfolio of solutions, Nasdaq enables customers to plan, optimize and execute their business vision with confidence, using proven technologies that provide transparency and insight for navigating today's global capital markets. As the creator of the world's first electronic stock market, its technology powers more than 90 marketplaces in 50 countries, and 1 in 10 of the world's securities transactions. Nasdaq is home to approximately 3,900 total listings with a market value of approximately $13 trillion. To learn more, visit: business.nasdaq.com.

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