Nasdaq Market Center Systems Description
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Orders with an Immediate or Cancel (“IOC”) designation are canceled and returned to the entering participant if they become non-marketable after they are entered into the Nasdaq Market Center. •
execution until market close (4:00 p.m. Eastern Time). •
Orders with a Good-till-Cancelled” (“GTC”) designation remain available for potential display and/or execution until cancelled by the entering party, or until 1 year after entry, whichever comes first. •
Orders with an End-of-Day designation, which are available only for Nasdaq- listed stocks, remain available for potential execution and/or display until market close (4:00 p.m. Eastern Time), and thereafter for potential execution until 6:30 p.m. Eastern Time. •
available for potential display between 7:30 a.m. and 6:30 p.m. and for potential execution between market open and 6:30 p.m. Orders with a Total Day designation in Nasdaq-listed securities remain available for potential display and execution between 9:25 a.m. and 4:00 p.m., but are rejected if entered prior to 9:25 a.m. •
Orders with a Total Good-till-Cancelled designation remain available for potential display between 7:30 a.m. and 6:30 p.m. and for potential execution between market open and 6:30 p.m., until cancelled by the entering party, or until 1 year after entry, whichever comes first. •
or Cancel orders but may be entered between 9:25 a.m. and 4:00 p.m. in the case of Nasdaq-listed stocks and between 9:30 a.m. and 6:30 p.m. in the case of non-Nasdaq listed stocks. VII.
Order and Quote Features
A. Anonymity
Non-attributable orders receive pre-trade anonymity, in that all non-attributable interest at a particular price level is aggregated and displayed under the SIZE MPID. In addition, with the full anonymity feature, participants can work orders anonymously from order display through execution and clearing. When an order designated for full anonymity is executed, the MPIDs of the contra parties are not identified on the execution and trade reports. Instead, the SIZE MPID will be reflected as the contra party. Nasdaq does not disclose the identity of the contra parties unless the liquidity-providing firm is an ECN that charges an access fee, or if an MPID inadvertently executes against
5 itself. 5 In the case of an ECN, the ECN needs to know the contra party to properly assess the fee, and the accessing firm needs to know the contra party for billing reconciliation. Hence, the trade will not be anonymous: the true contra MPIDs will be identified on the delivery message, execution report, trade report, and clearing contract. Similarly, if an MPID executes against itself, the MPID will be revealed on both sides so that firms are aware of this occurrence. Firms that execute against their multiple MPIDs can download a file from nasdaqtrader.com at the end of each trading day to see the executions in which they crossed with their own multiple MPIDs. Contra party identities are also unmasked if necessary to fulfill regulatory obligations, such as prospectus delivery requirements.
B.
Reserve Size for Quotes and Orders
Nasdaq market participants may indicate that a quote/order has reserve size. Reserve size replenishes displayed size to at least one round lot (100 shares), or a pre- established larger amount in round lots, once displayed size is decremented to less than one round lot. Reserve size, along with displayed size, is accessible through Nasdaq’s trading platform, but is not displayed.
C.
Order Execution Algorithm
The Nasdaq Market Center is programmed in accordance with a price/time priority algorithm. Under the algorithm, orders are executed as follows: 1) displayed quotes/order of market makers, ECNs, and non-attributable orders of UTP Exchanges, in time priority between such interest at a particular price; 2) reserve size of market makers, ECNs and UTPs with non-attributable interest in time priority between such interest at such price; and 3) attributable interest of UTP Exchanges in time priority between such interest at such price.
D. Internalization and Anti Internalization
The Nasdaq Market Center does not automatically prevent a market participant’s order from executing against its own quote/order. At or prior to exchange registration, however, the system will eliminate a feature that allowed market participants to jump the price/time priority queue by “preferencing” their own MPIDs. Moreover, market participants that wish to avoid inadvertent internalization through the system can use the Anti-Internalization Qualifier (AIQ) options upon order entry. The AIQ options might be used if a market participant is prohibited from trading as principal with a particular order, such as orders from certain investment advisory accounts.
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own quote/order if that quote/order is next in line to receive an execution under the principle of price/time priority. A market participant wishing to avoid this possibility can set an “Anti-Internalization Qualifier” on its quotes/orders.
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