[17314]
March 30, 2004
TO: EQUITY MARKETS ADVISORY COMMITTEE No. 11-04
RE: SEC APPROVES NASDAQ CLOSING CROSS
The SEC has issued a release (a copy of which is attached) approving a proposed rule
change filed by the Nasdaq Stock Market establishing a “Closing Cross” for certain Nasdaq
national market securities.1 The Nasdaq Closing Cross is intended to provide a centralized
order facility that determines a single price for the Nasdaq close.
There are three components of the Nasdaq Closing Cross: (1) the creation of “on close”
and “imbalance only” order types that will be executable only during the Closing Cross; (2) the
dissemination of an order imbalance indicator in the last ten minutes leading up to the close
that will provide information about any order imbalance that exists among on-close orders as
well as indicative closing prices; and (3) closing cross processing in SuperMontage at 4:00:00
p.m. that will execute the maximum number of shares at a single, representative price (“Nasdaq
Official Closing Price”).
The Nasdaq Closing Cross is scheduled to launch on March 29, 2004, with two test
securities, followed by the phase-in of ten Nasdaq securities on April 5, 2004. Subsequent
groups of securities would be phased in at a later date.
Ari Burstein
Associate Counsel
Attachment (in .pdf format)
1 Securities Exchange Act Release No. 49406 (March 11, 2004), 69 FR 12879 (March 18, 2004).