Federal Register - June 2, 2021
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Source: Federal Register
29638
Federal Register / Vol. 86, No. 104 / Wednesday, June 2, 2021 / Notices
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on BSTX. The Exchange will also issue login credentials to each BSTX
Participant through which the BSTX
Participant may access the BSTX Market Data Blockchain to see its order and transaction information on BSTX as well as certain anonymized market data from other BSTX Participants, as discussed further below.
The BSTX Market Data Blockchain would generally operate by collecting information from two sources, which the Exchange would then translate into information capable of being recorded to the BSTX Market Data Blockchain.
Specifically, the data inputs for the BSTX Market Data Blockchain would come from i the BSTX System 32 to capture information such as executed transactions and ii each BSTX
Participants order/message information passing through the financial information exchange FIX gateway through which all orders and messages pass in order to connect to the BSTX
System. For example, if a BSTX
Participant sends an order to buy 100
shares of Security XYZ, when that order is sent to the Exchange, the Exchange would capture this information as it passes through the FIX gateway in an automated process that results in the BSTX Participant being able to see that order on the BSTX Market Data Blockchain through its login credentials.
The BSTX Market Data Blockchain does not require any affirmative action on the part of a BSTX Participant in order for its information to be recorded to the BSTX Market Data Blockchain.
Rather, the BSTX Market Data Blockchain captures trading activity that occurs on BSTX in the normal course and is made available to BSTX
Participants as an additional resource that they may choose to use in their discretion in the same general manner that a market participant might use TAQ
data.
Information Available on the BSTX
Market Data Blockchain As set forth in proposed Rule 17020c, there are two types of information that would be available on the BSTX Market Data Blockchain: i A
BSTX Participants own order and transaction information related to its trading activity on BSTX Participant Proprietary Data; and ii anonymized, general market data available to all BSTX Participants General Market Data. With respect to Participant Proprietary Data, a BSTX Participant would be able to see the following 32 The BSTX System refers to the automated trading system used by BSTX for the trading of Securities. See proposed Rule 17000a15.
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information with respect to all orders and messages and executions submitted to and occurring on BSTX:
1 Symbol, side buy/sell, limit price, quantity, time-in-force 2 Order type e.g., limit order, ISO
3 Order capacity principal/agent 4 Short/long sale order marking 5 Message type e.g., order, modification, cancellation 6 A unique identification number attributable to each order, execution, or other message e.g., cancelation or modification 7 Such other information regarding a BSTX Participants trading activity on BSTX as the Exchange may determine and set forth via Regulatory Circular.
Participant Proprietary Data would effectively contain a record of all of a BSTXs Participants trading activity on BSTX. Participant Proprietary Data would only be available to the BSTX
Participant from which such data derived. That is, a BSTX Participant would not have access to the Participant Proprietary Data of another BSTX
Participant. As a result, no BSTX
Participant would be provided with access to trading information of another BSTX Participant in a manner that would allow for reverse engineering of trading strategies or otherwise compromise the confidential nature of each BSTX Participants trading information. The Exchange proposes to allow for flexibility to provide additional Participant Proprietary Data to each BSTX Participant via Regulatory Circular in order to provide the Exchange with the ability to enhance the content of Participant Proprietary Data based on feedback from BSTX
Participants.
General Market Data is the second type of information that would be available on the BSTX Market Data Blockchain, which would consist of:
1 All orders, modifications, cancellations, and executions occurring on BSTX in an anonymized format.
2 Administrative data and other information from the Exchange e.g., trading halts, or technical messages.
3 Such other anonymized trading activity or general information as the Exchange may determine and set forth via Regulatory Circular.
General Market Data is intended to allow BSTX Participants to be able to observe the BSTX Order Book, changes thereto, and executions occurring on BSTX in generally the same manner that a market participant can today see order and transaction information on an exchange by subscribing to an exchanges proprietary market data feed.
The Exchange notes that the General Market Data that would be available on
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the BSTX Market Data Blockchain would be the same substantive information that would be available through the Exchanges proprietary market data feeds, so access to the BSTX
Market Data Blockchain would not provide additional information that could not otherwise be obtained through the Exchanges proprietary market data feed.33 The Exchange proposes to allow for flexibility to provide additional, anonymized trading activity or general information to BSTX Participants via Regulatory Circular in order to provide the Exchange with the ability to enhance the content of General Market Data based on feedback from BSTX
Participants or in the event that new data elements become relevant in the future.
General Market Data would be anonymized, meaning that a BSTX
Participant would not be able to determine the identity of another BSTX
Participants orders, quotes, cancellations, or other messages. For the avoidance of doubt, the alphanumeric address assigned to each BSTX
Participant to facilitate the BSTX Market Data Blockchain would not be visible as part of General Market Data.34 As a result, there should not be cause for concern regarding potential trading information leakage or the ability to reverse engineer another BSTX
Participants trading strategies given the anonymous nature of General Market Data. BSTX Participants would generally have available to them via the BSTX Market Data Blockchain the same information they would have today with respect to other BSTX Participants trading activity in subscribing to an exchanges proprietary data feed.
The Exchange proposes to append timestamps to the information made available. Timestamps related to all information on the BSTX Market Data Blockchain would indicate the time to the microsecond at which an order posted to the BSTX Book or that the BSTX System took other action with respect to an order e.g., effects a cancellation, execution, modification.
Information would be posted to the BSTX Market Data Blockchain on a delayed basis of at least 5 minutes. As a result, the BSTX Market Data Blockchain would not function as a 33 The BSTX Market Data Blockchain may include certain non-material information, such as a unique order identification number specific to the blockchain that would not be available through proprietary market data products.
34 For example, in looking at General Market Data, BSTX Participant X would not be able to determine by name, address, or otherwise that a particular order, modification to an existing order, or executed transaction involved BSTX Participant Y or any other BSTX Participant.
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