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Federal Register / Vol. 86, No. 107 / Monday, June 7, 2021 / Notices
greater visibility into the latency of Members incoming orders. Members may use this data to optimize their models and trading patterns in an effort to yield better execution results by calculating by how much time their order may have missed an execution.
As discussed above, the Exchange currently fields ad hoc requests from Members for information regarding the timeliness of their attempts to execute against resting options liquidity on the Exchanges Book. The proposal is designed to offer this type of latency information in a systematized way and standardized format to any Member that chooses to subscribe to the Report. As a result, the proposal will make latency information for liquidity-seeking orders available in a more equalized manner and will increase transparency, particularly for Recipient Members that may not have the expertise to generate the same information on their own. The proposed Report may better enable Recipient Members to increase the fill rates for their liquidity-seeking orders.
At the same time, as is also discussed above, the Report is designed to prevent a Recipient Member from learning other Members sensitive trading information.
The Report would not be a real-time market data product, as it would provide only historical trading data for the previous trading day, generally on a T+1 basis. In addition, the data in the Report regarding incoming orders that failed to execute would be specific to the Recipient Members orders, and other information in the proposed Report regarding resting orders and executions would be anonymized if it relates to a Member other than the Recipient Member.
The Report generally contains three buckets of information. The first two buckets include information about the resting order and the execution of the resting order. This information is generally available from other public sources, such as OPRA and the Exchanges proprietary data feeds, or is similar to information included in a report offered by another exchange. For example, OPRA provides bids, offers, and consolidated last sale and quotation information for options trading on all national securities exchanges, including the Exchange. In addition, the Exchange offers the Top of Market ToM feed which provides real-time quote and last sale information for all displayed orders on the Book.25
Specifically, the first bucket of information contained in the Report for the resting order includes the time the resting order was received by the 25 See
Section 6a of the Exchanges fee schedule.

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Exchange, the symbol, unique reference number assigned at the time of receipt, side buy or sell, and the displayed price and size of the resting order.
Further, the symbol, origin type, side buy or sell, and displayed price and size are also available either via OPRA
or the Exchanges proprietary data feeds.
The first bucket of information also indicates whether the Recipient Member is an Affiliate of the Member that entered the resting order. This data field will not indicate the identity of the Member that entered the resting order and would simply allow the Recipient Member to better understand the scenarios in which it may execute against the orders of its Affiliates.26
The second bucket of information contained in the Report regards the execution of the resting order and includes the PBBO and ABBO at the time of execution. These data points are also available either via OPRA or the Exchanges proprietary data feeds. The second bucket of information will also indicate whether the response was entered by the Recipient Member. This data point is simply provided as a convenience. If not entered by the Recipient Member, this data point will be left blank so as not to include any identifying information about other Member activity. The second bucket of information also includes the size, time and type of first response that executes against the resting order; as well as the time difference between the time the resting order and first response that executes against the resting order are received by the Exchange. These data points would assist the Recipient Member in analyzing by how much time their order may have missed an execution against a contra-side order resting on the Book.
The third bucket of information is about the Recipient Members responses and the time their responses is received by the Exchange.
This includes 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. As above, this data point would assist the Recipient Member in analyzing by how much time their order may have missed an execution against a contra-side order resting on the Book. This bucket would also include the size and type of each response submitted by the Recipient Member, the Recipient Member 26 The Exchanges surveils to monitor for abhorrent behavior related to internalized trades and identify potential wash sales.

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identifier, and a response reference number which is selected by the Recipient Member. Each of these data points are unique to the Recipient Member and should already be known by Recipient Member even if not included in the Report.
The Exchange proposes to provide the Report on a voluntary basis and no Member will be required to subscribe to the Report. The Exchange notes that there is no rule or regulation that requires the Exchange to produce, or that a Member elect to receive, the Report. It is entirely a business decision of each Member to subscribe to the Report. The Exchange proposes to offer the Report as a convenience to Members to provide them with additional information regarding trading activity on the Exchange on a delayed basis after the close of regular trading hours. A
Member that chooses to subscribe to the Report may discontinue receiving the Report at any time if that Member determines that the information contained in the Report is no longer useful.
In summary, the proposed Report will help to protect a free and open market by providing additional data offered on an optional basis to the marketplace and by providing investors with greater choices.27 Additionally, the proposal would not permit unfair discrimination because the proposed Report will be available to all Exchange Members.
B. Self-Regulatory Organizations Statement on Burden on Competition The Exchange 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.
The Exchange believes that the proposed Report will enhance competition 28 by providing a new option for receiving market data to Members. The proposed Report will also further enhance competition between exchanges by allowing the Exchange to expand its product offerings to include a report similar to that currently offered by the NASDAQ Stock Market LLC
NASDAQ.29
In this instance, the proposed rule change to offer the optional Report is in response to Member interest and requests for such information. The Exchange does not believe the proposed Report will have an inappropriate 27 See Sec. Indus. Fin. Mkts. Assn SIFMA, Initial Decision Release No. 1015, 2016 SEC LEXIS
2278 ALJ June 1, 2016 finding the existence of vigorous competition with respect to non-core market data.
28 Id.
29 See NASDAQ Equity Section 7, Rule 146a2.

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