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Federal Register / Vol. 86, No. 55 / Wednesday, March 24, 2021 / Notices By the Commission, by the Division of Trading and Markets, pursuant to delegated authority.49
Eduardo A. Aleman, Deputy Secretary.
FR Doc. 202105993 Filed 32321; 8:45 am
the most significant aspects of such statements.
A. Self-Regulatory Organizations Statement of the Purpose of, and Statutory Basis for, the Proposed Rule Change
BILLING CODE 801101P

SECURITIES AND EXCHANGE
COMMISSION
Release No. 3491356; File No. SR
EMERALD202109

Self-Regulatory Organizations; MIAX
Emerald, LLC; Notice of Filing of a Proposed Rule Change To Adopt Exchange Rule 531, Reports, To Provide for the New Liquidity Taker Event Report March 18, 2021.

Pursuant to Section 19b1 of the Securities Exchange Act of 1934
Act,1 and Rule 19b4 thereunder,2
notice is hereby given that on March 5, 2021, MIAX Emerald, LLC MIAX
Emerald or Exchange filed with the Securities and Exchange Commission Commission the proposed rule change as described in Items I, II, and III below, which Items have been prepared by the Exchange. The Commission is publishing this notice to solicit comments on the proposed rule change from interested persons.
I. Self-Regulatory Organizations Statement of the Terms of Substance of the Proposed Rule Change The Exchange proposes to adopt Exchange Rule 531a to provide for the new Liquidity Taker Event Report.
The text of the proposed rule change is available on the Exchanges website at http www.miaxoptions.com/rulefilings/emerald at MIAX Emeralds principal office, and at the Commissions Public Reference Room.

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II. Self-Regulatory Organizations Statement of the Purpose of, and Statutory Basis for, the Proposed Rule Change In its filing with the Commission, the Exchange included statements concerning the purpose of and basis for the proposed rule change and discussed any comments it received on the proposed rule change. The text of these statements may be examined at the places specified in Item IV below. The Exchange has prepared summaries, set forth in sections A, B, and C below, of 49 17

CFR 200.303a91.
U.S.C. 78sb1.
2 17 CFR 240.19b4.
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1. Purpose The Exchange proposes to adopt Exchange Rule 531a to provide for the new Liquidity Taker Event Report the Report. The Report is an optional product 3 available to Members.4 Currently, the Exchange provides real-time prices and analytics in the marketplace. The Exchange believes the additional data points from the matching engine outlined below may help Members gain a better understanding about their 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 proposed 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. None of the components of the proposed Report include real-time market data.
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.5 The proposed Report would identify by how much time an order that may have been marketable missed an execution. The proposed 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.
The proposed 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 3 The Exchange intends to submit a separate filing with the Commission pursuant to Section 19b1
to propose fees for the Liquidity Taker Event Report.
4 The term Member means an individual or organization approved to exercise the trading rights associated with a Trading Permit. Members are deemed members under the Exchange Act. See Exchange Rule 100.
5 The term Book means the electronic book of buy and sell orders and quotes maintained by the System. See Exchange Rule 100. The term System means the automated trading system used by the Exchange for the trading of securities. See id.

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the necessary resources and technology to mitigate missed executions against certain resting orders on the Exchanges Book. For example, Member A submits an order that is posted to the Book and then Member B enters a marketable order to execute against Member As resting order. Immediately thereafter, Member C sends a marketable order to execute against Member As resting Order. Because Member Bs order is received by the Exchange before Member Cs order, Member Bs order executes against Member As resting order. The proposed Report would provide Member C the data points necessary for that firm to calculate by how much time they missed executing against Member As resting order. The Exchange proposes to provide the Report on a T+1 basis. As further described below, the Report will be specific and tailored to the Member that is subscribed to the Report and any data included in the Report that relates to a Member other than the Member receiving the Report will be anonymized.
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.6
Proposed Exchange Rule 531a would provide that the Report is a daily report that provides a Member Recipient Member with its liquidity response 6 The proposed Report is based on a similar report provided by the NASDAQ Stock Market LLC
NASDAQ for equity securities called the Missed OpportunityLatency report as part of its NASDAQ
Trader Insights offering. See NASDAQ Equity Section 7, Rule 146a2. See also Securities Exchange Act Release No. 78886 September 20, 2016, 81 FR 66113 September 26, 2016 SR
NASDAQ2016101 Order Granting Approval of Proposed Rule Change, as Modified by Amendment Nos. 1 and 2, To Add NASDAQ Rule 7046 Nasdaq Trading Insights NASDAQ Approval Order.
NASDAQ later renumbered Rule 7046 as Equity Section 7, Rule 146. See Securities Exchange Act Release No. 84684 November 29, 2018, 83 FR
62936 December 6, 2018 SRNASDAQ2018
098. See also the CME Group, Inc.s Time and Sale report. https www.cmegroup.com/trading/abouttime-sales.html::text=CME%20Globex %20Options-, CME%20Groups%20Time%20% 26
%20Sales%20report%20provides%20the% 20price %20and%20time,calendar%20date%20of%20the %20transaction.&text=A%20zero%20volume %20represents%20an%20indicative%20price.,-The %20Indicator%20column.

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