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Monday, March 30, 2020

Equity Trader Alert #2020 - 17
Nasdaq to Introduce Market-Wide Circuit Breaker Re-Opening Protections

Category:

  • New Functionality

Markets Impacted:

Contact Information:

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The Nasdaq Stock Market (Nasdaq) will be implementing changes relating to how trading reopens following a Market-Wide Circuit Breaker (MWCB) Level 1 and 2 halt by introducing reopening procedures similar to those under the Limit Up/Limit Down Plan in early Q2 2020. More information on the exact date will be forthcoming.

Display Only Period

Currently, the initial Display Only Period, with respect to a MWCB Level 1 or 2 halt, commences 5 minutes prior to the MWCB halt cross. Nasdaq will update the initial Display Only Period to begin quoting and disseminating the Net Order Imbalance Indicator (NOII) for the full 15 minutes duration of a MWCB Level 1 or 2 halt.

MWCB Auction Collars

Nasdaq will be introducing MWCB Auction Collars (Auction Collars), which are calculated by taking 5% of the Nasdaq last sale price and adding and subtracting the calculated value from the Nasdaq last sale price to determine the upper and lower collar prices, respectively. The MWCB Level 1 or Level 2 halt period will be extended by an additional 5 minutes if at least one of the following two conditions exists:

  • The auction price at which the most shares would be traded is outside the range of the pre-defined Auction Collars; or
  • There is a market order share imbalance.

At the start of each 5 minute halt extension, the Auction Collars will be widened by an additional 5%, but only in the direction of the expected auction price or in the direction of the imbalance. Opposite side Auction Collars will remain unchanged.

For additional information regarding MWCB, please refer to the Market Wide Circuit Breaker FAQ.

Testing Opportunities

Testing is currently available in the Nasdaq Testing Facility (NTF). Production testing will be available during the April 4th 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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