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Federal Register / Vol. 86, No. 107 / Monday, June 7, 2021 / Notices
khammond on DSKJM1Z7X2PROD with NOTICES

that entered the resting order; 10 E
origin type e.g., Priority Customer,11
Market Maker 12; F side buy or sell;
and G displayed price and size of the resting order.13
Execution Information. Rule 531a1ii would provide that the following information would be included in the Report regarding the execution of the resting order: A The PBBO 14 at the time of execution; 15 B
the ABBO 16 at the time of execution; 17
C the time first response that executes against the resting order was received by the Exchange and the size of the execution and type of the response; 18
D the time difference between the time the resting order was received by the Exchange and the time the first response that executes against the resting order was received by the Exchange; 19 and E
whether the response was entered by the Recipient Member. If the resting order executes against multiple contraside responses, only the PBBO and ABBO at the time of the execution 10 The Report will simply indicate whether the Recipient Member is an Affiliate of the Member that entered the resting order and not include any other information that may indicate the identity of the Member that entered the resting order.
11 The term Priority Customer means a person or entity that i is not a broker or dealer in securities, and ii does not place more than 390
orders in listed options per day on average during a calendar month for its own beneficial accounts.
The number of orders shall be counted in accordance with Interpretation and Policy .01 to Exchange Rule 100. See Exchange Rule 100.
12 The term Market Maker refers to Lead Market Makers, Primary Lead Market Makers and Registered Market Makers collectively. See Exchange Rule 100.
13 The Exchange notes that the displayed price and size are also disseminated via the Exchanges proprietary data feeds and the Options Price Reporting Authority OPRA. The Exchange also notes that the displayed price of the resting order may be different than the ultimate execution price.
This may occur when a resting order is displayed and ranked at different prices upon entry to avoid a locked or crossed market.
14 The term PBBO means the best bid or offer on the Exchange. See Exchange Rule 100.
15 Exchange Rule 531a1iiA would further provide that if the resting order executes against multiple contra-side responses, only the PBBO at the time of the execution against the first response will be included.
16 The term ABBO or Away Best Bid or Offer means the best bids or offers disseminated by other Eligible Exchanges defined in Exchange Rule 1400g and calculated by the Exchange based on market information received by the Exchange from OPRA. See Exchange Rule 100.
17 Exchange Rule 531a1iiB would further provide that if the resting order executes against multiple contra-side responses, only the ABBO at the time of the execution against the first response will be included.
18 The time the Exchange received the response order would be in nanoseconds and would be the time the response was received by the Exchanges network, which is before the time the response would be received by the System.
19 The time difference would be provided in nanoseconds.

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against the first response will be included.
Recipient Members Response Information. Rule 531a1iii would provide that the following information would be included in the Report regarding responses sent by the Recipient Member: A Recipient Member identifier; B the time difference between the time the first response that executes against the resting order was received by the Exchange and the time of each response sent by the Recipient Member, regardless of whether it executed or not; 20 C size and type of each response submitted by Recipient Member; and D
response reference number, which is a unique reference number attached to the response by the Recipient Member.
Timeframe for Data Included in Report Paragraph a2 of Rule 531 would provide that the Report would include the data set forth under Rule 531a1
described above for executions and contra-side responses that occurred within 200 microseconds of the time the resting order was received by the Exchange.
Scope of Data Included in the Report Paragraph a3 of Rule 531 would provide that the Report will only include trading data related to the Recipient Member and, subject to the proposed paragraph 4 of Rule 531a described below, will not include any other Members trading data other than that listed in paragraphs 1i and ii of Exchange Rule 531a described above.
Historical Data Paragraph a4 of Rule 531 would specify that the Report will contain historical data from the prior trading day and will be available after the end of the trading day, generally on a T+1
basis.
2. Statutory Basis The Exchange believes the proposed rule change is consistent with the Act and the rules and regulations thereunder applicable to the Exchange and, in particular, the requirements of Section 6b of the Act.21 Specifically, the Exchange believes the proposed rule change is consistent with the Section 6b5 22 requirements that the rules of an exchange be designed to prevent 20 For purposes of calculating this duration of time, the Exchange will use the time the resting order and the Recipient Members responses is received by the Exchanges network, both of which would be before the order and responses would be received by the System. This time difference would be provided in nanoseconds.
21 15 U.S.C. 78fb.
22 15 U.S.C. 78fb5.

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fraudulent and manipulative acts and practices, to promote just and equitable principles of trade, to foster cooperation and coordination with persons engaged in regulating, clearing, settling, processing information with respect to, and facilitating transactions in securities, to remove impediments to and perfect the mechanism of a free and open market and a national market system, and, in general, to protect investors and the public interest. This proposal is in keeping with those principles in that it promotes increased transparency through the dissemination of the optional Report to those interested in subscribing to receive the data. Additionally, the Exchange believes the proposed rule change is consistent with the Section 6b5 23
requirement that the rules of an exchange not be designed to permit unfair discrimination between customers, issuers, brokers, or dealers.
The proposed Report is also identical to a report previously adopted by the Exchanges affiliate, MIAX Emerald, and approved by the Commission.24
Therefore, the proposed rule change does not present any new or novel issues not previously considered by the Commission.
The Exchange believes the proposed Report will serve to promote just and equitable principles of trade, remove impediments to and perfect the mechanism of a free and open market and a national market system, and, in general protect investors and the public interest because it will benefit investors by facilitating their prompt access to the value added information that is included in the proposed Report. The Report will allow Members to access information regarding their trading activity that they may utilize to evaluate their own trading behavior and order interactions.
The proposed Report is designed for Members that are interested in gaining insight into latency in connection with orders that failed to execute against an order resting on the Exchanges Book by providing those Members data to analyze by how much time their order may have missed an execution against a contra-side order resting on the Book.
The Exchange believes that providing this optional latency data to interested Members is consistent with facilitating transactions in securities, removing impediments to and perfecting the mechanism of a free and open market and a national market system, and, in general, protecting investors and the public interest because it provides 23 Id.
24 See
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supra note 3.

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