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Friday, October 23, 2009

Equity Technical Update #2009 - 22
NASDAQ ACT Technology Modifications to Support FINRA Rule Changes, Effective January 11, 2010

Markets Impacted:

  • The NASDAQ Stock Market
  • Post Trade

Contact Information:

What you need to know:

  • NASDAQ OMX will implement changes to the ACT System to support new rules as announced in FINRA Notice 09-52.
  • NASDAQ OMX will implement changes to the ACT System to accommodate FINRA/NASDAQ TRF and FINRA ORF process changes as designated by FINRA on January 11, 2010.
  • NASDAQ OMX reminds firms of FINRA rule changes effective March 1, 2010, as announced in FINRA Notice 09-54, which may require ACT message version changes.

What is changing regarding trade reporting rules?

The Financial Industry Regulatory Authority (FINRATM) has announced Securities and Exchange Commission (SEC) approval of new trade reporting rules that will become effective on January 11, 2010. Based on the new rules, the following modifications will be made to trade reporting via NASDAQ ACTSM technology:

  • Trades executed outside of the hours of operation of both the FINRA/NASDAQ Trade Reporting FacilityTM (TRFTM) and FINRA Over-the-Counter Reporting Facility (ORF) — collectively the ACT System — must be reported within 15 minutes of system open (i.e. 8:15 a.m., Eastern Time) or they will be considered late.
  • The ACT System will now allow Form T trades to be reported during market hours for both Trade Date and As-of reported trades. Form T trades will no longer be restricted to reporting only during Form T (pre-market and post-market) sessions.

What is changing regarding TRF and ORF processing?

Modifications are being made at the request of FINRA in order to standardize TRF and ORF processing and to systemically enforce certain reporting rules:

  • Prior Reference Price (PRP) trades may now be reported throughout the ACT System hours of operation and will no longer be restricted to be reported by 5:15 p.m., ET on trade date or else next day As-of. PRP trades will now be allowed after 5:15 p.m., ET on trade date.
  • Byte 2 may only be populated for trades with an execution time during market hours. Non-market hours trades reported with Byte 2 populated will now be rejected.
  • Byte 2 may not be populated in conjunction with T or U in Byte 3 and will now be rejected.
Sale Condition
DescriptionByte 1Byte 2Byte 3Byte 4Execution TimeReport Time
Byte 2   Populated     Must be Within Normal Market Hours Throughout ACT Hours of Operation
Byte 2 and 3 Restrictions   Populated Cannot be T or U     Throughout ACT Hours of Operation
Byte 3     T or U   Outside Normal Market Hours Throughout ACT Hours of Operation
Byte 4         P   Throughout ACT Hours of Operation

Will ACT support the upcoming FINRA rule changes for March 2010?

Yes. As announced in Equity Trader Alert #2008-084 and corresponding Equity Trader Update #2008-009, ACT technology was previously enhanced to reflect FINRA changes specific to the Related Market Center field as described below. This field is only contained in the "Function G" version of the message to which all firms MUST upgrade in order to comply with the March rule change.

The field is available for use on a voluntary basis until the rule becomes effective March 1, 2010.

CTCI Field NameFIX TagDescription
Related Market CenterTag 9277 – “MDMkt”Designates the market where the underlying execution was reported.

Will NASDAQ offer testing opportunities?

Yes. Firms can test the new message formats within the NASDAQ Testing Facility (NTF). The rule-based modifications to ACT will be available in the NTF beginning in mid-November. NASDAQ will announce availability in the coming weeks.

In addition, per the currently published schedule, Saturday testing will be available on:

  • December 12, 2009
  • January 9, 2010

Where can I find additional information?

  • Refer to the trading specifications on the NASDAQ OMX Trader® website.
  • Refer to the 09-52 regarding trades executed outside normal system hours
  • Refer to FINRA Notice 09-54 regarding the Related Market Center field.
  • Contact Legal Section, FINRA Market Regulation Department, at + 1 240 386 5126, or FINRA Office of General Counsel at +1 202 728 8071 for questions relating to FINRA rules.
  • Contact Subscriber Services at +1 212 231 5180 to upgrade to the new "Function G" message format.
  • Contact NASDAQ OMX Technical Support +1 212 231 5180.

FINRA™, “Trade Reporting Facility™ and TRF™ are trademarks of Financial Industry Regulatory Authority, Inc.


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