What is a single stock trading pause?

In coordination with all U.S. equity exchanges, NASDAQ and BX have filed with the SEC to establish a market-wide trading pause for individual stocks in the S&P 500 Index that experience a price change of 10% or more.

As stated on the SEC website, "under the proposed rules, trading in a stock would pause across U.S. equity markets for a five-minute period in the event that the stock experiences a 10% change in price over the preceding five minutes. The pause would give the markets the opportunity to attract new trading interest in an affected stock, establish a reasonable market price and resume trading in a fair and orderly fashion."

Pending SEC approval, NASDAQ and BX plan to implement the new single stock trading pause for S&P 500 securities beginning Monday, June 14, 2010. Initially, these new rules would be in effect on a pilot basis through December 10, 2010.

How will the single stock trading pause work for NASDAQ-listed issues?

If a NASDAQ-listed security included in the S&P 500 experiences a price change of 10% or more during a rolling five-minute period, NASDAQ, in its role as the primary market, would initiate a five-minute trading pause for the security. To signal the start of the trading pause, NASDAQ would disseminate a Trading Action message with the Action code of "H" (Halted) and a Reason code of "T5" (Single Stock Trading Pause in Effect) via the UTP data feeds as well as most of its proprietary data feed products.

Immediately following, NASDAQ will disseminate a Trading Action message with the Action code of "Q" (Quotation Resumption) and a Reason code of "T7" (Single Stock Trading Pause/Quotation Only Period) via the UTP and proprietary data feeds. To facilitate price transparency during this period, the NASDAQ Securities Information Processor (SIP) will allow the UTP participants to enter quotations for dissemination via the UTP data feeds. Order and quotation updates will continue to be disseminated via the proprietary NASDAQ and BX data feed products throughout the trading pause period. Since NASDAQ will follow its Halt Cross process to release the security, NASDAQ will also calculate a Net Order Imbalance Indicator (NOII) at five-second intervals during the quotation-only window for a NASDAQ-listed security. NOII data is disseminated via the NASDAQ TotalView-ITCH, NASDAQ TotalView-Aggregated and NASDAQ NOIView data feed products as well as the NASDAQ OMX DataStore website.

At the completion of the five-minute trading pause and quotation-only period, NASDAQ will typically release the security for trading. If market conditions warrant, however, NASDAQ has the right to extend the trading pause for up to five additional minutes.

At the end of a trading pause in which NASDAQ completes a Halt Cross process and disseminates a first print, NASDAQ will simultaneously generate a Trading Action message with the Action code of "T" (Trading Resumption). Upon receipt of this trading action message, UTP participants would resume normal trading activities. If after 10 minutes NASDAQ is unable to complete a Halt Cross process and disseminate a first print, UTP participants, on their own initiative, may resume trading.

Once trading resumes, NASDAQ will continue to monitor the security to determine if any further pause in trading should be initiated.

Will the NASDAQ SIP clear the UTP participant quotations at the start of the trading pause?

Yes. Upon receipt of the Trading Action/Halt message, the NASDAQ SIP automatically zeros-out all of the UTP participant quotations. The NASDAQ SIP requires UTP participants to re-enter quotations once the Trading Action/Quotation Resumption message is disseminated. By clearing the quotations, the NASDAQ SIP assures that there are no stale quotations in the system for the issue.

Will NASDAQ and BX recognize a trading pause initiated by another primary market?

Yes, as outlined in the SEC filings, NASDAQ and BX will observe trading halts issued by other primary U.S. listing markets for S&P 500 securities.

As a customer convenience, NASDAQ OMX^® supports Trading Action messages for NYSE-, NYSE Amex- and NYSE Arca-listed securities on its proprietary NASDAQ and BX data feed products. It should be noted, however, that these primary markets are expected to communicate trading pause information via the Consolidated Quotation System (CQS) and Consolidated Tape System (CTS) data feeds offered by the Securities Industry Automation Corporation (SIAC).

Will NASDAQ calculate net order imbalance data during the trading pause?

Yes. For NASDAQ-listed securities, NASDAQ will disseminate net order imbalance messages at five-second intervals via the NASDAQ TotalView^® product suite and via the NASDAQ OMX DataStore.

For the newswires, NASDAQ will also broadcast a Net Order Imbalance Snapshot (NOIS) message for NASDAQ-listed securities approximately three minutes into the trading pause period.

How is NASDAQ OMX revising its data feed specifications in support of the single stock trading pause initiative?

To minimize the impact on the trading and market data community, NASDAQ OMX is using existing Trading Action messages to communicate the single stock trading pause status. To delineate the trading pause from trading halts, NASDAQ OMX will add two new Reason Code values to its data feed specification.

Part of the Trading Action message format, this alphanumeric field indicates the reason for the current trading action status. On June 14th, the following new codes will be added to the list of allowable values:

Will NASDAQ OMX support the trading pause functionality on all versions of its NASDAQ and BX proprietary data feeds?

Yes. During the initial pilot phase, NASDAQ OMX will support the trading pause messaging as described above on both the legacy and new symbology-compliant versions of its NASDAQ and BX data feeds.

Direct data feed subscribers are reminded, however, that they have six months to complete their transition to the symbology-compliant version of NASDAQ and BX data feeds. NASDAQ OMX will cease to support the legacy feeds in December 2010. For more information on the symbology changes, please refer to Data Technical News #2010-7.

When will NASDAQ OMX offer testing opportunities for the trading pause functionality?

NASDAQ OMX will offer testing opportunities for NASDAQ and BX market participants on Saturday, June 12, 2010. During the test, NASDAQ OMX will disseminate data via the UTP data feeds as well as the proprietary NASDAQ and BX data feeds.

To register for the June 12^th test, NASDAQ and BX exchange participants should contact NASDAQ Trading Services by noon on Wednesday, June 9, 2010. Direct data feed subscribers should email their testing contact information to NASDAQ OMX Global Data Products.

Where can I find additional information?

• Refer to the NASDAQ and BX rule filings:
• File No. SR-NASDAQ-2010-061
• File No. SR-BX-2010-037
• Refer to Equity Regulatory Alert #2010-3
• Refer to the Single Stock Trading Pause FAQ document.
• Contact:
• NASDAQ OMX Global Data Products at +1 301 978 5307
• NASDAQ OMX Transaction Services – U.S. Market Sales at +1 800 846 0477