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Federal Register / Vol. 86, No. 107 / Monday, June 7, 2021 / Notices
I. Self-Regulatory Organizations Statement of the Terms of Substance of the Proposed Rule Change The Exchange is filing a proposal to provide for the new Liquidity Taker Event Report.
The text of the proposed rule change is available on the Exchanges website at http www.miaxoptions.com/rulefilings/pearl at MIAX Pearls principal office, and at the Commissions Public Reference Room.
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
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1. Purpose The Exchange proposes to amend Exchange Rule 531a to provide for the new Liquidity Taker Event Report the Report. The proposed Report is identical to that previously adopted by the Exchanges affiliate, MIAX Emerald, LLC MIAX Emerald, and approved by the Securities and Exchange Commission Commission.3 The proposed Report would only be available for options trading on the Exchange.
The Report is an optional product 4
available to Members.5 Currently, the Exchange provides real-time prices and analytics in the marketplace. The Exchange believes the additional data points from the matching engine outlined below may help Members gain a better understanding about their 3 See Securities Exchange Act Release No. 91787
May 6, 2021, 85 FR 26111 May 12, 2021 SR
EMERALD202109 Order Approving Proposed Rule Change to Adopt Exchange Rule 531a, Reports, to Provide for a New Liquidity Taker Event Report.
4 The Exchange intends to submit a separate filing with the Commission pursuant to Section 19b1
to propose fees for the Liquidity Taker Event Report.
5 The term Member means an individual or organization approved to exercise the trading rights associated with a Trading Permit. Members are deemed members under the Exchange Act. See Exchange Rule 100.

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interactions with the Exchange. The Exchange believes the Report will provide Members with an opportunity to learn more about better opportunities to access liquidity and receive better execution rates. The proposed Report will increase transparency and democratize information so that all firms that subscribe to the Report have access to the same information on an equal basis, even for firms that do not have the appropriate resources to generate a similar report regarding interactions with the Exchange. None of the components of the proposed Report include real-time market data.
Members generally would use a liquidity accessing order if there is a high probability that it will execute against an order resting on the Exchanges Book.6 The proposed Report would identify by how much time an order that may have been marketable missed an execution. The proposed Report will provide greater visibility into the missed trading execution, which will allow Members to optimize their models and trading patterns to yield better execution results.
The proposed Report will be a Member-specific report and will help Members to better understand by how much time a particular order missed executing against a specific resting order, thus allowing that Member to determine whether it wants to invest in the necessary resources and technology to mitigate missed executions against certain resting orders on the Exchanges Book. For example, Member A submits an order that is posted to the Book and then Member B enters a marketable order to execute against Member As resting order. Immediately thereafter, Member C sends a marketable order to execute against Member As resting Order. Because Member Bs order is received by the Exchange before Member Cs order, Member Bs order executes against Member As resting order. The proposed Report would provide Member C the data points necessary for that firm to calculate by how much time they missed executing against Member As resting order. The Exchange proposes to provide the Report on a T+1 basis. As further described below, the Report will be specific and tailored to the Member that is subscribed to the Report and any data included in the Report that relates to a Member other than the Member receiving the Report will be anonymized.
6 The term Book means the electronic book of buy and sell orders and quotes maintained by the System. See Exchange Rule 100. The term System means the automated trading system used by the Exchange for the trading of securities. See id.

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The Exchange proposes to provide the Report in response to Member demand for data concerning the timeliness of their incoming orders and executions against resting orders. Members have periodically requested from the Exchanges trading operations personnel information concerning the timeliness of their incoming orders and efficacy of their attempts to execute against resting liquidity on the Exchanges Book. The purpose of the Report is to provide Members the necessary data in a standardized format on a T+1 basis to those that subscribe to the Report on an equal basis.
Proposed Exchange Rule 531a would provide that the Report is a daily report that provides a Member Recipient Member with its liquidity response time details for executions of an order resting on the Book, where that Recipient Member attempted to execute against such resting order within a certain timeframe.
Report Content Paragraph a1 of Rule 531 would describe the content of the Report and delineate which information would be provided regarding the resting order,7
the response that successfully executed against the resting order, and the response submitted by the Recipient Member that missed executing against the resting order. It is important to note that the content of the Report will be specific to the Recipient Member and the Report will not include any information related to any Member other than the Recipient Member. The Exchange will restrict all other market participants, including the Recipient Member, from receiving another market participants data.
Resting Order Information. Rule 531a1i would provide that the following information would be included in the Report regarding the resting order: A The time the resting order was received by the Exchange; 8
B symbol; C order reference number, which is a unique reference number assigned to a new order at the time of receipt; D whether the Recipient Member is an Affiliate 9 of the Member 7 Only displayed orders will be included in the Report. The Exchange notes that it does not currently offer any non-displayed orders types on its options trading platform.
8 The time the Exchange received the resting order would be in nanoseconds and is the time the resting order was received by the Exchanges System.
9 The term affiliate of or person affiliated with another person means a person who, directly, or indirectly, controls, is controlled by, or is under common control with, such other person. See Exchange Rule 100.

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