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Federal Register / Vol. 86, No. 107 / Monday, June 7, 2021 / Notices
described above for executions and contra-side responses that occurred within 200 microseconds of the time the resting order was received by the Exchange.
Scope of Data Included in the Report Paragraph a3 of Rule 531 would provide that the Report will only include trading data related to the Recipient Member and, subject to the proposed paragraph 4 of Rule 531a described below, will not include any other Members trading data other than that listed in paragraphs 1i and ii of Exchange Rule 531a described above.

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Historical Data Paragraph a4 of Rule 531 would specify that the Report will contain historical data from the prior trading day and will be available after the end of the trading day, generally on a T+1
basis.
2. Statutory Basis The Exchange believes the proposed rule change is consistent with the Act and the rules and regulations thereunder applicable to the Exchange and, in particular, the requirements of Section 6b of the Act.21 Specifically, the Exchange believes the proposed rule change is consistent with the Section 6b5 22 requirements that the rules of an exchange be designed to prevent fraudulent and manipulative acts and practices, to promote just and equitable principles of trade, to foster cooperation and coordination with persons engaged in regulating, clearing, settling, processing information with respect to, and facilitating transactions in securities, to remove impediments to and perfect the mechanism of a free and open market and a national market system, and, in general, to protect investors and the public interest. This proposal is in keeping with those principles in that it promotes increased transparency through the dissemination of the optional Report to those interested in subscribing to receive the data. Additionally, the Exchange believes the proposed rule change is consistent with the Section 6b5 23
requirement that the rules of an exchange not be designed to permit unfair discrimination between customers, issuers, brokers, or dealers.
The proposed Report is also identical to a report previously adopted by the Exchanges affiliate, MIAX Emerald, and approved by the Commission.24
21 15
22 15

U.S.C. 78fb.
U.S.C. 78fb5.

23 Id.
24 See
supra note 3.

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Therefore, the proposed rule change does not present any new or novel issues not previously considered by the Commission.
The Exchange believes the proposed Report will serve to promote just and equitable principles of trade, remove impediments to and perfect the mechanism of a free and open market and a national market system, and, in general protect investors and the public interest because it will benefit investors by facilitating their prompt access to the value added information that is included in the proposed Report. The Report will allow Members to access information regarding their trading activity that they may utilize to evaluate their own trading behavior and order interactions.
The proposed Report is designed for Members that are interested in gaining insight into latency in connection with orders that failed to execute against an order resting on the Exchanges Book by providing those Members data to analyze by how much time their order may have missed an execution against a contra-side order resting on the Book.
The Exchange believes that providing this optional latency data to interested Members is consistent with facilitating transactions in securities, removing impediments to and perfecting the mechanism of a free and open market and a national market system, and, in general, protecting investors and the public interest because it provides 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.

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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 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 MBBO 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 25 See
Section 6a of the Exchanges fee schedule.
Exchanges surveils to monitor for abhorrent behavior related to internalized trades and identify potential wash sales.
26 The
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