[Federal Register Volume 70, Number 118 (Tuesday, June 21, 2005)]
[Notices]
[Pages 35752-35753]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: E5-3193]


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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-51851; File No. SR-NASD-2005-060]


Self-Regulatory Organizations; National Association of Securities 
Dealers, Inc.; Notice of Filing of Proposed Rule Change to Create the 
ModelView Entitlement

June 14, 2005.
    Pursuant to Section 19(b)(1) of the Securities Exchange Act of 1934 
(``Act''),\1\ and Rule 19b-4 thereunder,\2\ notice is hereby given that 
on May 10, 2005, the National Association of Securities Dealers, Inc. 
(``NASD''), through its subsidiary, The Nasdaq Stock Market, Inc. 
(``Nasdaq''), filed with the Securities and Exchange Commission 
(``Commission'') the proposed rule change as described in Items I, II 
and III below, which Items have been prepared by Nasdaq. The Commission 
is publishing this notice to solicit comments on the proposed rule 
change from interested persons.
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    \1\ 15 U.S.C. 78s(b)(1).
    \2\ 17 CFR 240.19b-4.
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I. Self-Regulatory Organization's Statement of the Terms of Substance 
of the Proposed Rule Change

    Nasdaq proposes to modify NASD Rule 7010(q) to establish the 
ModelView entitlement, an historical data product containing delayed, 
aggregated information about displayed and reserve-size orders in 
Nasdaq securities. The text of the proposed rule change is below. 
Proposed new language is italicized.\3\
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    \3\ The proposed changes are marked from NASD Rule 7010 as it 
appears in the NASD Manual available at http://www.nasd.com.
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* * * * *
7010. System Services
    (a)-(p) No change
    (q) Nasdaq TotalView
    (1)-(4) No change
    (5) Historical TotalView Information--ModelView
    Nasdaq will make historical TotalView information, under the 
ModelView entitlement package, available via NasdaqTrader.com. 
ModelView shall contain historical TotalView information regarding 
aggregate displayed and reserve liquidity at each price level in the 
Nasdaq Market Center. ModelView shall be available for a subscription 
fee of $2,000 per month.
    (r)-(v) No Change.
* * * * *

II. Self-Regulatory Organization's Statement of the Purpose of, and 
Statutory Basis for, the Proposed Rule Change

    In its filing with the Commission, Nasdaq 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. Nasdaq has prepared summaries, set forth in Sections A, 
B, and C below, of the most significant aspects of such statements.

A. Self-Regulatory Organization's Statement of the Purpose of, and 
Statutory Basis for, the Proposed Rule Change

1. Purpose
    Nasdaq is proposing to create ModelView, an historical data product 
designed to provide more comprehensive historical information regarding 
the data disseminated via the Nasdaq TotalView data. ModelView is 
designed to facilitate more efficient trading activity in the Nasdaq 
Market Center in an environment where trading and order-routing become 
increasingly automated, and broker-dealers, institutional traders and 
technology providers are constantly seeking to improve the quality of 
information upon which trading and order-routing decisions are made. 
Firms are frequently turning to algorithms and other computer-based 
means by which to execute proprietary trading strategies and process 
customer order flow. As a result, the information used to create these 
automated trading models determines trading efficacy. Incremental data 
that could improve the execution quality of these models is considered 
valuable.
    To respond to this demand, Nasdaq proposes to establish ModelView, 
a new near-historical product derived from TotalView data, that Nasdaq 
believes would provide greater insight than ever before into the 
liquidity typically available in the Nasdaq Market Center. 
Specifically, ModelView would provide the aggregate amount of both 
displayed and reserve size liquidity in the Nasdaq Market Center at 
each price level. With this information, Nasdaq believes developers of 
automated trading and order-routing models will improve their Nasdaq 
trading efficiency, and the providers of liquidity to the Nasdaq Market 
Center should find greater fill rates and execution quality.
    Nasdaq has designed ModelView to protect the anonymity of the 
trading strategies of Nasdaq Market Center participants while improving 
the execution quality of their orders. ModelView will be a near-
historical product only. No information will be available regarding 
Nasdaq Market Center liquidity until T+10 (e.g., information about a 
day's liquidity will not be available until ten business days later). 
In addition, by providing aggregate liquidity information ModelView 
will not contain explicit or implicit information regarding the 
identity of market participants trading in Nasdaq at the relevant time. 
With the integration of Brut facility liquidity into the Nasdaq Market 
Center, there is significant non-attributed liquidity in the Nasdaq 
Market Center; thus, Nasdaq believes ModelView will preserve the 
anonymity of information presented in aggregate form.
    Nasdaq will offer ModelView on a subscription basis via secure File 
Transfer Protocol over NasdaqTrader.com. ModelView will be available 
for $2,000 without any limitation on distribution of the data either 
internally or externally. This pricing is consistent with the general 
pricing structure of Nasdaq's proposed Distributor Fee.\4\
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    \4\ See Securities Exchange Act Release No. 51598 (April 21, 
2005), 70 FR 22162 (April 28, 2005) (Notice of Filing of SR-NASD-
2004-185).
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2. Statutory Basis
    Nasdaq believes that the proposed rule change is consistent with 
the provisions of Section 15A of the Act,\5\ in general, and with 
Section 15A(B)(5) of the Act,\6\ in particular, in that it provides for 
the equitable allocation of reasonable charges among the persons 
distributing and purchasing this information. Nasdaq believes that this 
proposed rule change will encourage the broader redistribution of the 
Nasdaq Market Center depth of book order information, thus improving 
transparency and thereby benefiting the investing public.
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    \5\ 15 U.S.C. 78o-3.
    \6\ 15 U.S.C. 78o-3(b)(5).

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[[Page 35753]]

B. Self-Regulatory Organization's Statement on Burden on Competition

    Nasdaq does not believe that the proposed rule change will result 
in any burden on competition that is not necessary or appropriate in 
furtherance of the purposes of the Act, as amended.

C. Self-Regulatory Organization's Statement on Comments on the Proposed 
Rule Change Received from Members, Participants or Others

    Written comments were neither solicited nor received.

III. Date of Effectiveness of the Proposed Rule Change and Timing for 
Commission Action

    Within 35 days of the date of publication of this notice in the 
Federal Register or within such longer period (i) as the Commission may 
designate up to 90 days of such date if it finds such longer period to 
be appropriate and publishes its reasons for so finding or (ii) as to 
which the self-regulatory organization consents, the Commission will:
    A. By order approve such proposed rule change; or
    B. institute proceedings to determine whether the proposed rule 
change should be disapproved.

IV. Solicitation of Comments

    Interested persons are invited to submit written data, views, and 
arguments concerning the foregoing, including whether the proposed rule 
change is consistent with the Act. Comments may be submitted by any of 
the following methods:

Electronic Comments

     Use the Commission's Internet comment form (http://www.sec.gov/rules/sro.shtml); or
     Send an e-mail to [email protected]. Please include 
File Number SR-NASD-2005-060 on the subject line.

Paper Comments

     Send paper comments in triplicate to Jonathan G. Katz, 
Secretary, Securities and Exchange Commission, Station Place, 100 F 
Street, NE., Washington, DC 20549-9303.
    All submissions should refer to File Number SR-NASD-2005-060. This 
file number should be included on the subject line if e-mail is used. 
To help the Commission process and review your comments more 
efficiently, please use only one method. The Commission will post all 
comments on the Commission's Internet Web site (http://www.sec.gov/rules/sro.shtml). Copies of the submission, all subsequent amendments, 
all written statements with respect to the proposed rule change that 
are filed with the Commission, and all written communications relating 
to the proposed rule change between the Commission and any person, 
other than those that may be withheld from the public in accordance 
with the provisions of 5 U.S.C. 552, will be available for inspection 
and copying in the Commission's Public Reference Room. Copies of such 
filing also will be available for inspection and copying at the 
principal office of the NASD. All comments received will be posted 
without change; the Commission does not edit personal identifying 
information from submissions. You should submit only information that 
you wish to make available publicly. All submissions should refer to 
File Number SR-NASD-2005-060 and should be submitted on or before July 
12, 2005.

    For the Commission, by the Division of Market Regulation, 
pursuant to delegated authority.\7\
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    \7\ 17 CFR 200.30-3(a)(12).
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Margaret H. McFarland,
Deputy Secretary.
[FR Doc. E5-3193 Filed 6-20-05; 8:45 am]
BILLING CODE 8010-01-P