Nasdaq Closing Auction Enhancements

Dear Manager​,

Beginning on Monday, November 4, 2019, Nasdaq will be introducing enhancements to the closing auction process, as follows:

1. Disseminating Early Closing Auction Imbalance Information

• Early auction information will begin disseminating in the PPro8 Imbalance Locator tool at 3:50 p.m. ET
• The frequency of dissemination will be every 10 seconds. Beginning at 3:55 p.m. ET, the frequency of dissemination will be every second

2. Update to Entry, Modification, and Cancellation of MOC/LOC Orders Between 3:50 p.m. ET and 3:55 p.m. ET

• Traders will be allowed to enter all On-Close order types, including MOC and LOC, without any restrictions during the period when early auction information is being disseminated (between 3:50 and 3:55). This will enable traders to increase their participation based on imbalance information that is disseminated after 3:50
• The cancellation or modification of On-Close orders will not be permitted after imbalance information has been published (3:50 p.m. ET), ensuring the auction preserves its integrity

3. Increased flexibility for the Late LOC Order

• Late LOC orders entered after 3:55 p.m. ET will be accepted at their limit price, unless this limit price is more aggressive than either the 3:50 p.m. ET or 3:55 p.m. ET Reference Prices, in which case the Late LOC order will be re-priced to the more aggressive of the two Reference Prices. Using both Reference Prices will promote price stability and added flexibility to offset auction imbalances in the closing auction price discovery process

With thanks,

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