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Federal Register / Vol. 86, No. 43 / Monday, March 8, 2021 / Notices
II. Self-Regulatory Organizations Statement of the Purpose of, and Statutory Basis for, the Proposed Rule Change In its filing with the Commission, the Exchange included statements concerning the purpose of and basis for the proposed rule change and discussed any comments it received on the proposed rule change. The text of these statements may be examined at the places specified in Item IV below. The Exchange has prepared summaries, set forth in sections A, B, and C below, of the most significant aspects of such statements.
A. Self-Regulatory Organizations Statement of the Purpose of, and Statutory Basis for, the Proposed Rule Change 1. Purpose
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The Exchange proposes to enhance the EOD summary message on NLS Plus by replacing the current high, low and closing price of a security based on its trading on the Nasdaq, Nasdaq BX and Nasdaq PSX exchanges with the consolidated high, low and closing price as published by the SIPs, and adding the opening price of a security published by the SIPs to that message.3
This Proposal is in response to requests by firms using NLS Plus for a broader benchmark against which to compare trades on the Nasdaq exchanges. Specifically, approximately 30 firms have requested that Nasdaq distribute benchmark prices on NLS
Plus to provide retail investors and the general investing public with a static benchmark against which to compare the price movements shown on NLS
Plus using standard high, low, opening and closing prices for U.S. markets as a whole. In response to that feedback, and also partly in response to recent changes by competitor exchanges to their end of day messages,4 Nasdaq proposes to enhance its EOD message for NLS
Pluswhich currently provides the high, low and closing price of a security based on its trading on Nasdaq affiliateswith a new EOD message that provides the high, low and closing price 3 The securities information processors issue consolidated trade information pursuant to the UTP
Plan and the CTA/CQ Plan.
4 See Securities Exchange Act Release No. 89083
June 17, 2020, 85 FR 37706 June 23, 2020 SR
CboeEDGX2020029 amending the content of the Cboe One Feed to identify the primary listing markets official opening and closing price; NYSE
Best Quote and Trades Client Specification March 30, 2020 updated on January 31, 2020, to publish the listing market official opening and closing price in the Consolidated Stock Summary Messages available at https www.nyse.com/publicdocs/nyse/
data/NYSE_BQT_Client_Specification_v2.3a.pdf.

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published by the SIPs, and add a new field with the opening price of a security as published by the SIPs.5
The Exchange proposes that this change become operative on April 12, 2021, to allow time to conduct customer testing in advance of the date of launch.
To ensure consistency across Nasdaq platforms, the Nasdaq BX and Nasdaq PSX exchanges will be filing companion proposals to reflect these changes in their respective rulebooks.
Nasdaq Last Sale Plus NLS Plus is a comprehensive data feed that offers retail investors, the general investing public, and other customers access to the last sale products offered by Nasdaq,6 Nasdaq BX
and Nasdaq PSX, and the consolidated volume information published on the SIPs for Tapes A, B, and C, in a convenient format that includes both real-time and end of day information.7
It is, in essence, a market data vendor product that consolidates information from multiple Nasdaq exchanges and the SIPs. This product directly competes against similar products offered by other exchanges, and faces potential competition from data vendors, which can obtain and distribute SIP data on the same terms as Nasdaq.8
5 The Proposal also clarifies the description of the information provided in NLS Plus. It removes an unnecessary sentence at the end of the description of NLS Plus stating that volume information reflects trading activity in Tape A and B Securities, and replaces it with an earlier reference to Tape A and B securities that provides the same information. It also separates the description of the end of day trade summary into two sentences for greater clarity: the first sentence lists the data provided by the Nasdaq equity exchanges, and the second sentence identifies the consolidated information obtained from Tapes A, B and C. The phrases as well as consolidated volume of, and Cumulative Consolidated Market Volume are deleted to remove repetitive language that might cause confusion.
6 Nasdaq Last Sale is comprised of two proprietary data feeds containing real-time last sale information for trades executed on Nasdaq or reported to the FINRA/Nasdaq Trade Reporting Facility. Nasdaq Last Sale for Nasdaq contains all such transaction reports for Nasdaq-listed stocks, and Nasdaq Last Sale for NYSE/NYSE American contains all such transaction reports for NYSElisted stocks and stocks listed on NYSE American and other Tape B listing venues. See Equity 7, Section 139a.
7 The full list of NLS components is as follows:
Trade Price, Trade Size, Sale Condition Modifiers, Cumulative Consolidated Market Volume for Tape A, B, and C securities, End of Day Trade Summary, Adjusted Closing Price, IPO Information, Bloomberg ID, and pertinent regulatory Information such as Market Wide Circuit Breaker, Reg SHO Short Sale Price Test Restricted Indicator, Trading Action, and Symbol Directory. See Equity 7, Section 139e.
8 See Securities Exchange Act Release No. 74972
May 15, 2015, 80 FR 29370 May 21, 2015 SR
Nasdaq2015055 explaining that, in distributing NLS Plus, the role of Nasdaq is analogous to that of other market data vendors . . . . and performs precisely the same functions as Bloomberg,
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At the close of each trading day, Nasdaq disseminates an EOD summary message on NLS Plus that includes the following information for all active Nasdaqand non-Nasdaq-listed securities:
Nasdaq Price High: The highest price reported for a last sale transaction on any Nasdaq venue for the issue symbol during the current trading day.
Nasdaq Price Low: The lowest price reported for a last sale transaction on any Nasdaq venue for the issue symbol during the current trading day.
Nasdaq Price Closing: For Nasdaqlisted securities, this is the Nasdaq Official Closing Price value, if available.
For non-Nasdaq-listed securities, it is the final last sale eligible transaction reported by any Nasdaq venue for the issue during normal market hours.
Consolidated Volume: Reflects the total volume for the issue reported at the consolidated market level.9
Proposal The Exchange proposes to enhance the current EOD summary message by providing the open, high, low, close and volume of a security based on the consolidated data provided by the UTP
and CTA/CQ plans for Tape A, B 10 and C 11 securities. This will require replacing the current high, low, and close on the Nasdaq exchanges with the following three fields:
Consolidated Price High: The highest price of any high/low eligible transaction on Tapes A, B or C received on the trading day.
Consolidated Price Low: The lowest price of any high/low eligible transaction on Tapes A, B or C received on the trading day.
Consolidated Price Close: The final last sale eligible transaction on Tapes A, B or C received on the trading day.12
It will also require adding the following new field to the EOD
summary message:
Consolidated Price Open: The first last sale eligible transactions received on the trading day for Tapes A, B or C.
Thomson Reuters, and dozens of other market data vendors..
9 See NLS Plus Version 3.0 Technical Specifications, Section 5.8.5 End of Day Trading Summary at 29, available at http
www.nasdaqtrader.com/content/technicalsupport/
specifications/dataproducts/
NLSPlusSpecification3.0.pdf.
10 Tape A and Tape B securities are disseminated pursuant to the Security Industry Automation Corporations SIACs Consolidated Tape Association Plan/Consolidated Quotation System CTA/CQS or CTA.
11 Tape C securities are disseminated pursuant to the NASDAQ Unlisted Trading Privileges UTP
Plan.
12 If there are no trades or no qualifying trades for a specific issue, all relevant fields for the EOD
summary message will be left blank.

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