OPEN

NASDAQ

Opening Cross takes place at 9:30am

Market On Open (MOO) and Limit On Open (LOO) Orders:

–         must be received by 9:28am

–         After 9:28, LOO orders are accepted but changed to Imbalance Only (IO) orders for the opening NASDAQ cross, and then kicked back. They will not sit on the book after the Opening Cross has finished.

–         After 9:28, MOO orders are not accepted.

–         Dissemination of imbalance information begins at 9:28am.

NYSE

Opening Auction takes place at 9:30 am

DMM’s are the only participants who have obligations for maintaining a “fair and orderly market” in their securities.

Most stocks are opened automatically on either 1) orders resting on the book, or 2) on the quote, and DMM’s intervene only to provide “high touch” order handling to open a stock at the market clearing price. The DMM’s ensure that specialty stocks open as close to the 9:30 am bell as possible in a “fair and orderly” manner.

–         orders must be received electronically by 9:28am

–         cancellations not accepted between 9:28 am and 9:35am

–         On and after March 1^st Opening Imbalance feed enhanced to include the price at which all interest eligible to participate in the open may execute in full.

CLOSE

NASDAQ

Closing Cross takes place at 4:00pm

On Close (OC) orders:

–         executable only during the cross

–         Market On Close (MOC) and Limit On Close (LOC) must be received by 3:50pm

–         Dissemination of imbalance information begins at 3:50pm

Imbalance-Only (IO) orders:

–         can be entered until the close, but can not be cancelled after 3:50pm

–         IO orders that are priced more aggressively than the 4:00pm NASDAQ bid or ask will be adjusted to the NASDAQ bid or ask prior to the execution of the cross.

NYSE

Closing Auction takes place at 4:00pm

Pre March 1^st:

–         Market On Close (MOC) orders are executed in entirety at the closing price.

–         Limit On Close (LOC) orders are not guaranteed an execution at the closing price unless the limit is better than the closing price. If the limit is the closing price (and not better than), then it is available for execution after all other orders on the display book at the closing price are executed (i.e. it is back of the line).

–         MOC and LOC must be entered by 3:40pm UNLESS entered to offset published imbalance

–         MOC and LOC are irrevocable after 3:50 in all cases (except trading suspension).

–         LOC are irrevocable after 3:50 in all cases (except trading suspension).

–         DMM starts publishing Imbalance Information at 3:40.

–         DMM must publish imbalances of > 50,000 shares to Consolidated Tape.

–         3:40-3:50 pm, Imbalance Information published every 15 seconds.

–         3:50-4:00 pm, Imbalance Information published every 5 seconds.

–         After 3:55 pm Imbalance Information includes d-Quotes and e-Quotes.

–         Order Imbalance Information Feed includes:

• Reference price.
• Imbalance and side.
• d-Quotes and e-Quotes eligible for the Close.
• MOC/LOC paired quantity at reference price.

–         Hierarchy of Execution as per Floor Official Manual.

March 1^st and afterwards:

Goal is for more efficiency, and more efficient use of electronic tools.

–         Amended Rule 123C requires all MOC and LOC orders to be entered electronically, including those entered to offset imbalances.

–         MOC and LOC must be entered by 3:45pm

–         Exchange systems will automatically and electronically track all MOC/LOC interest, as opposed to the DMM.

–         One single “Mandatory MOC/LOC Imbalance Publication” if there is a significant imbalance (either > 50,000 shares, or if < 50,000 shares, significant relative to daily volume).

–         Last sale at 3:45pm will serve as reference point for “Mandatory MOC/LOC Imbalance Publication”.

–         After 3:45pm MOC/LOC orders may only be entered to offset the published imbalance.

–         After 3:45pm no MOC/LOC orders may be entered if there is no published imbalance.

–         MOC/LOC orders may be cancelled or reduced between 3:45-3:58pm in the case of “legitimate errors”.

–         After 3:58pm MOC/LOC may not be cancelled or reduced period.

–         NEW order type: CO order = conditional-instruction limit-type order.

–         CO order eligible for the Close only when there is an imbalance on the opposite side of the CO order. This order is subordinate to all other eligible interests.

–         CO orders are not included in the “Mandatory MOC/LOC Imbalance Publication”.

–         CO orders may be entered on any side of the market at any time right up to the Close.

–         CO orders may be cancelled or reduced between 3:45-3:58pm in the case of “legitimate errors”.

–         After 3:58pm CO orders may not be cancelled or reduced period.

–         After 3:45pm Imbalance Information published every 5 seconds.

–         Order Imbalance Information Feed includes:

• Reference price.
• Imbalance and side.
• d-Quotes and e-Quotes eligible for the Close.
• MOC/LOC paired quantity at reference price.
• CO orders on opposite side of imbalance.
• At-priced LOC interest eligible to offset the imbalance
• Snap shot of prices at which eligible closing interest would be executed in full against each other at the time the data feed is disseminated.
• Price at which closing only interest (MOC, eligible LOC, opposite side CO) may be executed in full.
• Price at which orders in Display Book (Min Display Reserve Orders, Floor Broker Reserve e-Quotes that are not hidden, d-Quotes, pegged e-Quotes, and Stop orders) will execute in full.

–         Hierarchy of Execution as per Floor Official Manual, which will be adjusted to take into account the CO order type, which yields to all the other order types.