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Friday, March 13, 2015

Equity Trader Alert #2015 - 32
Reminder and Update: Nasdaq Changes the Processing of Orders Around the Market Close Event

Category:

  • New Functionality

Markets Impacted:

Contact Information:

Resources:

The changes related to the processing of orders around the market close event that were announced in Equity Trader Alert #2015-17 are outlined in more detail below and will become effective April 13, 2015.

Effective Monday, April 13, 2015, Nasdaq will make two changes related to the way orders are handled around the close event:

  1. Nasdaq will stop accepting orders and cancels between the time the closing cross is initiated and the time it is completed for each security. During this time, new orders and cancels will not be accepted. New orders will be canceled immediately and cancels will be pended until the cross completes for a given security.

    Currently, orders and cancels in the continuous market are accepted and processed during this period. 

  2. Nasdaq will no longer accept Market Hours Day (MDAY) or Good till Market Close (GTMC) orders after initiation of the close. MDAY and GTMC orders received after the close will be canceled immediately.

    Currently, orders with a Time in Force (TIF) of Good till Market Close sent after the closing cross in a particular security are converted to System Hours Immediate or Cancel orders.

    Orders with a Time in Force (TIF) of Market Day (defined as orders good until the end of regular market hours trading) sent after the closing cross in a particular security are not always rejected or cancelled.  Instead, depending on the type of port used to enter the order, they are either modified or rejected:

                       OUCH, FLITE, and RASHPort: converted into an IOC order
                       INET FIX: Converted into System Hours Day order
                       QIX and SUMO FIX: Rejected

Nasdaq is making no changes to how the closing cross price is calculated.

As a result of the changes above participants may receive new cancel codes “E” and “X” in the following instances:

TIF
 CLQ to Cross
 After cross is complete
New MDAY
 Cancel reason E
 Cancel reason E
Resting MDAY
 N/A - order is resting on the book
 Cancel reason Z or T
MGTC and SGTC
 Cancel reason X
 Will be accepted
Any other time in force
 Cancel reason X
 Will be accepted

CLQ = event which is triggered at 16:00 that begins the closing process

Cancel reason “E” = closed

Cancel reason “X” = closing


Testing Opportunities
  • Currently available in the Nasdaq Testing Facility (NTF)
  • Will be available for the April 11th UAT
   

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