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lotter on DSK11XQN23PROD with NOTICES1

Federal Register / Vol. 86, No. 164 / Friday, August 27, 2021 / Notices the COA price, not equal to or better than the COA price, so the proposed rule change deletes equal to or prior to better in subparagraph B. This is consistent with the definition of COAeligible order in Rule 5.33b5, which provides that a COA-eligible order may initiate a COA if it has a price equal to or better than the SBBO. In other words, a COA-eligible order may execute at a price equal to the SBBO as long as there is no Priority Customer Order on a leg of the SBBO and thus a COA should not terminate if non-Priority Customer Order is received at a price equal to the COA-eligible order. However, if an order is received during a COA that is better than the COA price, it is appropriate to terminate the COA because that COA
would not have been able to begin at the COA price had that new order been on the book at the time the COA-eligible order was received by the System. This is consistent with how the System functions today and merely adds clarity to the Rules. The proposed rule change also adds to subparagraph d3C that it applies when the System receives a Priority Customer Order in a leg of the complex order, which is consistent with the language in subparagraph B
and implied by the fact it would join or improve the SBBO and thus it must relate to a simple order in the book, as simple orders in the book in the legs of the complex order are used to calculate the SBBO. The proposed rule change also changes the phrase COA in progress to COA-eligible order that initiated the COA to conform to the language in subparagraph B.
The proposed rule change adds during the Response Time Interval to the end of the penultimate sentence of the introductory paragraph of Rule 5.33d4. This is consistent with the definition of Response Time Interval, which Rule 5.33d3 defines as the period of time during which users may submit COA responses. This change merely adds detail to the rule that is consistent with the current rule and conforms the language to corresponding provisions in the C2 and EDGX Rules.8
The proposed rule change clarifies in Rule 5.33d4B that COA
Responses may be larger than the COAeligible order. This is identical to C2
Rule 5.33d4B and is implied by the current provision, which states that the System caps the size of aggregated COA
Responses at the EFID-level which cap would apply if an EFID submitted a single COA Response larger than the COA-eligible order. This merely codifies current functionality in the 8 See C2 Rule 5.34d4 and EDGX Rule 21.20d4.

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Rules, which functionality is consistent with the remainder of the rule provision. Current Rule 5.33d5B
states that the System routes to PAR for manual handling any COA-eligible order or unexecuted portion that does not execute at the end of the COA if not eligible for entry in the COB or in accordance with the Users instructions.
The proposed rule change amends this provision to provide that the System i routes to PAR for manual handling or ii cancels or rejects any COA-eligible order or unexecuted portion that does not execute at the end of the COA if not eligible for entry into the COB, subject to the users instructions. Similarly, current Rule 5.33e states that the System routes to PAR for manual handling any complex order or unexecuted portion that does not execute upon entry and is not eligible for entry into the COB, subject to the Users instructions. The proposed rule change amends this provision to provide that the System i routes to PAR for manual handling or ii cancels or rejects any complex order or unexecuted portion that does not execute upon entry and is not eligible for entry into the COB, subject to the users instructions. The addition of the language to each of these provisions that the System may cancel or reject such COA-eligible order or do-not-COA
order, respectively or unexecuted portion, is consistent with the end of each provision that states how the System handles an order is subject to a users instructions and the definitions of such instructions. While orders on the Exchange are primarily Default orders, which are orders designated for electronic processing and are routed to PAR for manual handling if not eligible for electronic processing, users may also designate orders as Electronic Only, which are orders designated for electronic processing but do not route to PAR for manual handling if not eligible for electronic processing and thus would be cancelled if not executed electronically.9 Therefore, if a COAeligible or do-not-COA order, as applicable, was designated as Electronic Only, the System would cancel that order or unexecuted portion if it did not execute at the end of the COA or upon entry, respectively, and was not eligible for COB entry, as instructed by the user. The proposed rule change merely adds this clarifying detail to the Rule, which is consistent with the Rules and current System functionality.
The proposed rule change clarifies in Rule 5.33f2Av that the System does not execute a complex order at a 9 See
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Rule 5.6c.

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net price that would cause any component of the complex strategy to be executed at a price ahead of a priority customer order resting in the Simple Book without improving the BBO of at least one component of the complex strategy by at least one minimum increment. This is merely a clarification, as trades may only occur in the permissible minimum increment, so improvement of one component of the complex strategy would have to be by at least one minimum increment.
This is consistent with language in C2
Rule 5.33f2Av.10
The proposed rule change clarifies in Rule 5.33i that the System evaluates incoming complex orders upon receipt after the open of trading to determine whether it is a COA-eligible order or a do-not-COA order and thus how to process it. This is merely a clarification and consistent with the System, as prior to the opening, there is no need to conduct such evaluation since orders entered during the complex order entry period prior to the open rest in the COB
until the COB opening process, during which all complex orders received during the order entry period are eligible to be matched.11 This is merely clarifying language that is consistent with current System functionality and C2 Rule 5.33i.
The proposed rule change amends Rule 5.33k1 to clarify that when trading in a complex strategy is suspended, the System queues a users complex orders during a halt for participation in the COB Opening process as set forth in Rule 5.33k3.12
This language is consistent with the language in Rule 5.33k3 and identical to C2 Rule 5.33k1. The proposed rule change also clarifies in subparagraph k1 that the COB remains available for users to enter and manage complex orders that are not cancelled, which is consistent with the prior sentence, pursuant to which users may cancel complex orders upon a trading halt.
This language is also identical to C2
Rule 5.33k1. These proposed rule changes are not substantive but rather make clarifications to subparagraph k1 that are consistent with current 10 C2 Rule 5.33f2Av provides that improvement of one component must be by at least $0.01, which is the minimum increment for all complex orders on C2. The proposed rule change uses the term minimum increment as Rule 5.4b permits the Exchange to designate the minimum increment for complex orders by class, and thus the minimum increment may not be $0.01 on the Exchange.
11 See Rule 5.33c.
12 The proposed rule change also adds a period after suspended to prevent the amended sentence from being too long.

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