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Thursday, August 28, 2014

Equity Technical Update #2014 - 12
Informational Changes to the NOII Feed During IPO and Halt Crosses

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  • New Functionality

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Pending filing with the SEC, NASDAQ will make changes to the information displayed on NOII messages for IPO and Halt Crosses effective Wednesday, October 1, 2014. These changes will affect only the information displayed in the Imbalance shares and Imbalance type fields and will not change the structure of the NOII message in any way.  Currently, NASDAQ only displays a share amount in the Imbalance Shares field when there is a market order imbalance. Additionally, the Imbalance Direction field will only be populated with “B” or “S” when there is a market order imbalance, which occurs when there are more market order shares than there is total interest on the contra side of the market. In cases where there is a reference price today, the Imbalance Direction field is always populated with a value of “N”. 

Starting October 1st, NASDAQ will make changes to the information displayed in the NOII message such that any imbalance at the reference price will be displayed. For example, if a cross is paired at a reference price of $10 for a total of 500,000 shares with an additional 100,000 shares of excess interest to buy at $10, NASDAQ will now publish a buy imbalance of 100,000 shares at $10. This will be articulated in the message by displaying 100,000 and “B” in the Imbalance shares and Imbalance Direction fields, respectively. Please see the TotalView - ITCH 5.0 specifications and refer to section 4.6. The shares indicated in the imbalance will represent the excess shares to buy or sell at the reference price, inclusive of hidden, reserve and IOC orders.

NASDAQ believes that these changes will enhance the transparency of the IPO and Halt Crosses and will add to the price discovery process.


 

 

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