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Tuesday, October 19, 2010

Equity Technical Update #2010 - 20
Testing for Reg SHO Changes Available Saturday, October 23, 2010

Markets Impacted:

Contact Information:

What you need to know:

  • NASDAQ OMX® will offer testing this Saturday, October 23, 2010, for its support of the Reg SHO short sale circuit breaker on The NASDAQ Stock Market® (NASDAQ®), NASDAQ OMX BXSM (BXSM) and NASDAQ OMX PSXSM (PSXSM).
  • Firms should email NASDAQ OMX Trading Services to register for the test.

What will be offered?

On Saturday, October 23, 2010, NASDAQ OMX will offer testing for the Regulation SHO short sale circuit breaker on NASDAQ, BX and PSX, as announced in Equity Technical Update #2010-13.

Firms should email NASDAQ OMX Trading Services to register for the test.

When is testing available?

NASDAQ OMX production systems will be available for pre-market trading in all securities at 9:00 a.m., Eastern Time (ET), followed by a market open at 9:30 a.m., ET.

A market close event will be scheduled for 12:00 p.m., ET.

What functionality will be tested?

NASDAQ OMX plans to attempt the following scenarios during the Saturday testing:

Scenario #
 Scenario Symbol Approximate Time Notes
1
 Short sale circuit breaker triggered intraday ZRAN 10:00-10:10
2
 Short sale circuit breaker triggered intraday and then subsequently revoke the circuit breaker due to the trades being deemed erroneous DAVE 10:10-10:20 Triggered at ~10:10 and reset at ~10:20
3
 Short sale circuit breaker changed from a state of 2 (2nd day of circuit breaker) back to a state of 1 (1st day of a circuit breaker), which will then be reset back to a state of 2 due to the trades being deemed erroneous MNKD 10:20-10:30 Triggered at ~10:20 and reset at ~10:30
4
 Symbol will start the day in a state of 2 to signify the 2nd day of the short sale circuit breaker ERIC Start of Day
5
 Short sale circuit breaker will be extended due to the circuit breaker being re-triggered and will revert back to a state of 1 CADX 10:35-10:45
6
 Trigger a single stock circuit breaker and a short sale circuit breaker at approximately the same time JDSU 10:45-10:55
7
 Trigger a single stock circuit breaker without triggering a short sale circuit breaker CPWR 10:55-11:05

NASDAQ OMX asks that participants refrain from trading in the above securities to allow for controlled testing. The above securities will be in a halted state until the testing occurs.

How will NASDAQ OMX communicate when each scenario will take place?

NASDAQ OMX will use its System Status page to communicate exactly when each scenario will be tested.

Who should customers contact if they have questions during testing?

Customers should contact the NASDAQ OMX Trade Desk at +1 212 231 5100.

Will short sale circuit breakers be able to be initiated by firms in other securities?

Yes, firms may trade all of the other securities and circuit breakers will be triggered if the trading meets the circuit breaker threshold.

What data feeds will carry the test data?

The Reg SHO message will only be supported on the symbology-compliant versions of the NASDAQ OMX data feeds. The following direct data feeds will carry short sale circuit breaker data on October 23rd:

  • UTP Quotation Data Feed (UQDF)
  • UTP Trade Data Feed (UTDF)
  • NASDAQ TotalView-ITCH
  • NASDAQ TotalView-Aggregated
  • NASDAQ NOIView
  • NASDAQ Level 2
  • NASDAQ Basic / NASDAQ Best Bid and Offer (QBBO)
  • NASDAQ Last Sale (NLS)
  • NASDAQ Market Pathfinders
  • BX TotalView-ITCH
  • BX Basic / BX Best Bid and Offer (BX BBO)
  • BX Last Sale (BLS)
  • PSX TotalView-ITCH
  • PSX Basic / PSX Best Bid and Offer (PSX BBO)
  • PSX Last Sale (PLS)

Please note that NASDAQ OMX disseminates data over the production data feed channels during Saturday User Acceptance Tests (UATs).

Where can I find additional information?


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