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Federal Register / Vol. 86, No. 55 / Wednesday, March 24, 2021 / Notices 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 27
requirement that the rules of an exchange not be designed to permit unfair discrimination between customers, issuers, brokers, or dealers.
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.
The Report generally contains three buckets of information. The first two 27 Id.

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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.28
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. Each of these data points are also included in the report of another exchange that was previously approved by the Commission.29 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.30
The second bucket of information contained in the Report regards the execution of the resting order and includes the EBBO 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 data point is simply provided as a convenience. If not entered by the Recipient Member, this data point will be left blank so as not to include any identifying information about other 28 See Securities Exchange Release 79913
February 1, 2017, 82 FR 9617 February 7, 2017
Notice of Filing and Immediate Effectiveness of a Proposed Rule Change to Establish the MIAX
PEARL Top of Market ToM and MIAX PEARL
Liquidity Feed PLF Data Products.
29 This information is also included in the NASDAQ report. See Nasdaq Approval Order at note 12, supra note 6.
30 The Exchanges surveils to monitor for abhorrent behavior related to internalized trades and identify potential wash sales.

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Member activity. The second bucket of information also includes the size, time and type of first response that executes against the resting order; as well as the time difference between the time the resting order and first response that executes against the resting order are received by the Exchange. These data points would assist the Recipient Member in analyzing by how much time their order may have missed an execution against a contra-side order resting on the Book. These data points are also included in the report of another exchange that was previously approved by the Commission.31
The third bucket of information is about the Recipient Members responses and the time their responses is received by the Exchange.
This includes 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. As above, this data point would assist the Recipient Member in analyzing by how much time their order may have missed an execution against a contra-side order resting on the Book. This data point is also included in the report of another exchange that was previously approved by the Commission.32 This bucket would also include the size and type of each response submitted by the Recipient Member, the Recipient Member identifier, and a response reference number which is selected by the Recipient Member. Each of these data point are unique to the Recipient Member and should already be known by Recipient Member even if not included in the Report.
As mentioned above, at least one other exchange currently offers a similar trading related report that has been reviewed and approved by the Commission. Specifically, NASDAQ
provides the Missed Opportunity Latency report as part of its NASDAQ
Trader Insights offering.33 NASDAQs Missed OpportunityLatency report, like the proposed Report, identifies by how much time a marketable order missed executing against a resting order, similar to the third bucket of information provided in the Report and described above. Both the proposed Report and NASDAQs Missed OpportunityLatency report are both 31 This information is also included in the NASDAQ report. See Nasdaq Approval Order at note 12, supra note 6.
32 This information is also included in the NASDAQ report. See Nasdaq Approval Order at note 12, supra note 6.
33 See NASDAQ Approval Order supra note 6.

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