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Federal Register / Vol. 86, No. 104 / Wednesday, June 2, 2021 / Notices
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that entered the resting order; 9 E
origin type e.g., Priority Customer,10
Market Maker; 11 F side buy or sell;
and G displayed price and size of the resting order.12
The following information is included in the Report regarding the execution of the resting order: A The EBBO 13 at the time of execution; 14 B the ABBO 15 at the time of execution; 16 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; 17 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; 18 and E whether the response was entered by the Recipient common control with, such other person. See Exchange Rule 100.
9 The Report will simply indicate whether the Recipient Member is 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.
10 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.
11 The term Market Maker refers to Lead Market Makers, Primary Lead Market Makers and Registered Market Makers collectively. See Exchange Rule 100.
12 This information is also included in the Missed OpportunityLatency Report, which is similar report for equity securities that is offered by the NASDAQ Stock Market, LLC the NASDAQ
Report. See NASDAQ Equity Section 7, Rule 146a2. 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.
13 The term EBBO means the best bid or offer on the Exchange. See Exchange Rule 100.
14 Exchange Rule 531a1iiB provides that if the resting order executes against multiple contraside responses, only the EBBO at the time of the execution against the first response will be included.
15 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.
16 Exchange Rule 531a1iiA further provides 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.
17 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.
18 The time difference would be provided in nanoseconds.

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Member. If the resting order executes against multiple contra-side responses, only the EBBO and ABBO at the time of the execution against the first response will be included.
The following information is 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; 19 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.
The Report includes the data set for executions and contra-side responses that occurred within 200 microseconds of the time the resting order was received by the Exchange. The Report contains historical data from the prior trading day and will be available after the end of the trading day, generally on a T+1 basis. The Report does not include real-time data.
The Exchange believes the additional data points from the matching engine outlined above may help Members gain a better understanding about their own 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 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.
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. The Report identifies by how much time an order that may have been marketable missed an execution. The 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.
19 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.

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The 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.
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.
The product is offered to Members on a completely voluntary basis in that the Exchange is not required by any rule or regulation to make this data available and potential subscribers may purchase the Report only if they voluntarily choose to do so. It is a business decision of each Member whether to subscribe to the Report or not.
The Exchange proposes to adopt new Section 7, Reports, in its Fee Schedule, which will provide that Members may purchase the Report on a monthly or annual 12-month basis. The Exchange proposes to assess a monthly fee of $4,000 per month and a fee of $24,000
per year for a 12-month subscription for the Report. Members may cancel their subscription at any time. The Exchange also proposes to specify that for midmonth subscriptions, new subscribers will be charged for the full calendar month for which they subscribe and will be provided Report data for each trading day of the calendar month prior to the day on which they subscribed.
The Exchange intends to begin to offer the Report and charge the proposed fees on May 17, 2021.
2. Statutory Basis The Exchange believes that the proposed rule change is consistent with Section 6b of the Act,20 in general, and furthers the objectives of Section 6b5
of the Act,21 in particular, in that it is designed to prevent fraudulent and manipulative acts and practices, to promote just and equitable principles of 20 15
21 15

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