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Federal Register / Vol. 86, No. 107 / Monday, June 7, 2021 / Notices 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 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.
Proposed Exchange Rule 531a would provide that the Report is a daily report that provides a Member Recipient Member with its liquidity response time details for executions of an order resting on the Book, where that Recipient Member attempted to execute against such resting order within a certain timeframe.
Report Content Paragraph a1 of Rule 531 would describe the content of the Report and delineate which information would be
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provided regarding the resting order,7
the response that successfully executed against the resting order, and the response submitted by the Recipient Member that missed executing against the resting order. It is important to note that the content of the Report will be specific to the Recipient Member and the Report will not include any information related to any Member other than the Recipient Member. The Exchange will restrict all other market participants, including the Recipient Member, from receiving another market participants data.
Resting Order Information. Rule 531a1i would provide that the following information would be included in the Report regarding the resting order: A The time the resting order was received by the Exchange; 8
B symbol; C order reference number, which is a unique reference number assigned to a new order at the time of receipt; D whether the Recipient Member is an Affiliate 9 of the Member that entered the resting order; 10 E
origin type e.g., Priority Customer,11
Market Maker 12; F side buy or sell;
and G displayed price and size of the resting order.13
Execution Information. Rule 531a1ii would provide that the following information would be included in the Report regarding the execution of the resting order: A the
MBBO 14 at the time of execution; 15 B
the ABBO 16 at the time of execution; 17
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; 18
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; 19 and E
whether the response was entered by the Recipient Member. If the resting order executes against multiple contraside responses, only the MBBO and ABBO at the time of the execution against the first response will be included.
Recipient Members Response Information. Rule 531a1iii would provide that the following information would be 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; 20 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.

7 Only displayed orders will be included in the Report. The Exchange notes that it does not currently offer any non-displayed orders types on its options trading platform.
8 The time the Exchange received the resting order would be in nanoseconds and is the time the resting order was received by the Exchanges System.
9 The term affiliate of or person affiliated with another person means a person who, directly, or indirectly, controls, is controlled by, or is under common control with, such other person. See Exchange Rule 100.
10 The Report will simply indicate whether the Recipient Member is an 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.
11 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.
12 The term Market Maker refers to Lead Market Makers, Primary Lead Market Makers and Registered Market Makers collectively. See Exchange Rule 100.
13 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.

Timeframe for Data Included in Report
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Paragraph a2 of Rule 531 would provide that the Report would include the data set forth under Rule 531a1
14 The term MBBO means the best bid or offer on the Exchange. See Exchange Rule 100.
15 Exchange Rule 531a1iiA would further provide that if the resting order executes against multiple contra-side responses, only the EBBO sic at the time of the execution against the first response will be included.
16 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.
17 Exchange Rule 531a1iiB would further provide 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.
18 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.
19 The time difference would be provided in nanoseconds.
20 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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