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Federal Register / Vol. 86, No. 129 / Friday, July 9, 2021 / Notices
Eh1. For options trading, the only orders that would no longer be eligible to trade would be Auction-Only Orders.
Proposed Rule 6.64POf2 would provide that order instructions would be processed as follows:
An order instruction that arrives during the transition to continuous trading or the Auction Processing Period under paragraph e1 of this Rule would be processed in time sequence with the processing of orders and quotes as specified in paragraphs f3A or B of this Rule if it relates to an order or quote that was received before the Auction Processing Period or that has already transitioned to continuous trading and any subsequent order instructions relating to such order or quote would be rejected proposed Rule 6.64POf2A. This proposed rule text is based on Rule 7.35Eh2A
without any substantive differences.
This proposed rule text provides transparency regarding how order instructions that arrived during the Auction Processing Period would be processed if they relate to order or quotes that were received before the Auction Processing Period.
An order instruction that arrives during the transition to continuous trading would be processed on arrival if it relates to an order or quote that was entered during either the Auction Processing Period or the transition to continuous trading and such order or quote has not yet transitioned to continuous trading proposed Rule 6.64POf2B. This proposed rule text is based on Rule 7.35Eh2B
without any substantive differences.
Proposed Rule 6.64POf3 would set forth how orders and quotes would be processed during the transition to continuous trading following an Auction. The Exchange proposes that it would process Auction-eligible orders and quotes that were received before the Auction Processing Period and orders ranked Priority 3Non-Display Orders received before a trading halt as follows:
Proposed Rule 6.64POf3Ai would provide that Limit Orders and quotes would be subject to the Limit Order Price Check, Arbitrage Check, and Intrinsic Value Check, as applicable.
This proposed rule is new for Pillar, and is consistent with the proposed rule changes, described above, regarding when the Limit Order Price Check, Arbitrage Check, and Intrinsic Value Check would be applied against orders and quotes that were received during a pre-open state. The Exchange proposes to apply these checks to orders and quotes before they become eligible for trading or routing during continuous trading.

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Proposed Rule 6.64POf3Aii would provide that Limit Orders that are not cancelled and Market Orders would be subject to the Trading Collar assigned to it. This proposed rule is also consistent with the proposed changes to Trading Collars, described above, that an order received during a pre-open state would be assigned a Trading Collar after an Auction concludes.
Proposed Rule 6.64POf3Aiii would provide that orders eligible to route that are marketable against Away Market Protected Quotations would route based on the ranking of such orders as set forth in Rule 6.76POc.
This proposed rule is based on Rule 7.35Eh3Aiib with nonsubstantive differences to use the term Away Market Protected Quotations instead of protected quotations on Away Markets.
Proposed Rule 6.64POf3Aiv would provide that after routing eligible orders, orders and quotes not eligible to route that are marketable against Away Market Protected Quotations would cancel. This proposed rule is based on Rule 7.35Eh3Aiib with nonsubstantive differences to use the term Away Market Protected Quotations instead of protected quotations on Away Markets.
Proposed Rule 6.64POf3Av would provide that once there are no more unexecuted orders marketable against Away Market Protected Quotations, orders and quotes that are marketable against other orders and quotes in the Consolidated Book would trade or be repriced. This proposed rule is based on Rule 7.35Eh3Aiic with a clarifying, non-substantive difference to be clear that an order could be repriced based on this assessment.
For example, an ALO Order that would be marketable against a contra-side order or quote on the Consolidated Book would be repriced as provided for in proposed Rule 6.62POe2. The Exchange further notes that, similar to the Exchanges cash equity market, the Exchange could transition to continuous trading without any Matched Volume that trades at the Indicative Match Price, and yet still report a trade to OPRA
before its first quote.54 The Exchange would not consider a trade that occurs during the transition to continuous trading to be an Auction trade.
Proposed Rule 6.64POf3Avi would provide that Market Orders received during a pre-open state would 54 For example, as described in proposed Rule 6.62POd4A, if there is no Legal Width Quote, after five minutes, the Exchange could open a series for trading if there is no Matched Volume and would transition to continuous trading as described in proposed Rule 6.62POf.

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be subject to the validation specified in proposed Rule 6.62POa1C. The Exchange notes that because such Market Orders would have been already received by the Exchange, if they fail one of those validations, they would be cancelled instead of rejected. This would be new rule text as compared to the Exchanges cash equity rules to reflect the validations that would be applicable to Market Orders for options trading on Pillar.
Proposed Rule 6.64POf3Avii would provide that the display quantity of Reserve Orders would be replenished.
This proposed rule is based on Rule 7.35Eh3Aiid.
Proposed Rule 6.64P
Of3Aviii would describe the last step in this process, which is that the Exchange would send a quote to OPRA
and proprietary data feeds representing the highest-priced bid and lowest-priced offer of any remaining unexecuted Auction-eligible orders and quotes that were received before the Auction Processing Period. This proposed rule is based on current cash equity functionality, as set forth in Rule 7.35
Eh3aii. Although the functionality would be the same for both markets, for options traded on the Exchange, the Exchange proposes to describe this aspect of the process in sequence, and reference both orders and quotes. The Exchange notes that this quote would be different than the Rotational Quote sent at the beginning of the Auction Process as it could be comprised of both orders and quotes.
Proposed Rule 6.64POf3B would provide that next, orders ranked Priority 3Non-Display Orders that were received during a pre-open state would be assigned a new working time in time sequence relative to one another based on original entry time and would be subject to the Limit Order Price Check, Arbitrage Check, and Intrinsic Value Check, as applicable, and if not cancelled, would be traded or repriced.
This proposed functionality would be new for Pillar and applicable only for options traded on the Exchange. Even though orders ranked Priority 3NonDisplay Orders would not be eligible to trade in an Auction other than the reserve interest of Reserve Orders, the Exchange proposes to accept such orders during a pre-open state. These orders would transition to continuous trading after orders and quotes that were eligible to trade in an Auction would have transitioned to continuous trading, as described above in proposed Rule 6.64POf3Aiviii. The Exchange believes that waiting to process nondisplayed orders in this sequence would ensure that there is an NBBO against
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