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Friday, November 10, 2023

Equity Technical Update #2023 - 8
Updates to AIQ Cancel Messaging

Category:

  • New Functionality

Markets Impacted:

Contact Information:

Resources:

The Nasdaq Stock Market, Nasdaq BX, and Nasdaq PSX will introduce the option for customers to receive the AIQ Cancelled message (Type D) for all AIQ strategies. Currently, customers will only receive this message when electing a strategy of ‘D’ - Decrement both (MPID) or ‘d’ – Decrement both (Org ID).

The exchange will provide an option to receive this message regardless of the elected AIQ strategy, and customers can contact Trading Services to enable this feature on their session. The implementation date for each exchange is as follows:

Nasdaq PSX: November 28th

Nasdaq BX: December 4th

Nasdaq: December 11th


Additionally, Nasdaq BX and Nasdaq PSX plan to roll out the AIQ Strategy field on the AIQ Cancelled message, similar to what was implemented on Nasdaq via ETU 2023-5. The implementation dates for this change will follow the same schedule as above.

AIQ Strategy provides the strategy that was used on the cancelled order and will be added as a new field on all OUCH protocols. AIQ Strategy can contain the following values:

Strategy Level Value
Cancel Oldest MPID O
Cancel Newest MPID W
Decrement both MPID D
Decrement both (no details) MPID Y
Cancel Oldest Org ID O
Cancel Newest Org ID w
Decrement both Org ID d
Decrement both (no details) Org ID y

Please refer to the Specifications Page for more information.

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