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jbell on DSKJLSW7X2PROD with NOTICES2

Federal Register / Vol. 86, No. 129 / Friday, July 9, 2021 / Notices and that an order that is routed on arrival and returned unexecuted would use the Trading Collar assigned upon arrival. In addition, a Market Order or Limit Order received during a pre-open state would be assigned a Trading Collar after an Auction concludes.
Proposed Rule 6.62POa4B
would provide that the Reference Price for calculating the Trading Collar for an order to buy sell would be the NBO
NBB. The proposed rule would further provide that for Auction-eligible orders to buy sell that were received during a pre-open state and are assigned a Trading Collar after the Auction concludes, the Reference Price would be the Auction Price or, if none, the upper lower Auction Collar price or, if none, the NBO NBB. For purposes of calculating a Trading Collar, the Exchange would not use an adjusted NBBO. Proposed Rule 6.62P
Oa4Bi would further provide that a Trading Collar would not be assigned to a Limit Order if there is no Reference Price at the time of calculation. And proposed Rule 6.62POa4Bii would provide that after an Auction, if a Market Order has not already been assigned a Trading Collar and there is no Reference Price, the order would be cancelled.
Proposed Rule 6.62POa4C
would describe how the Trading Collar would be calculated and would provide that the Trading Collar for an order to buy sell would be a specified amount above below the Reference Price, as follows: 1 For orders with a Reference Price of $1.00 or lower, $0.25; or 2 for orders with a Reference Price above $1.00, the lower of $2.50 or 25%.
Proposed Rule 6.62POa4Ci would further provide that if the calculation of a Trading Collar would not be in the MPV for the series, it would be rounded down to the nearest price within the applicable MPV this proposed functionality is based on how Trading Collars are calculated on the Exchanges cash equity market, as described in Rule 7.31Ea1B.
Proposed Rule 6.62POa4Cii would further provide that for orders to sell, if subtracting the Trading Collar from the Reference Price would result in a negative number, the Trading Collar for Limit Orders would be the limit price and the Trading Collar for Market Orders would be one MPV above zero.
Proposed Rule 6.62POa4D
would describe how the Trading Collar would be applied and would provide that if an order to buy sell would trade or route above below the Trading Collar or would have its working price repriced to a Trading Collar that is below above its limit price, the order
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would be added to the Consolidated Book at the Trading Collar for 500
milliseconds and if not traded within that period, would be cancelled. In addition, once the 500-millisecond timer begins for an order, the order would be cancelled at the end of the timer even if it repriced or has been routed to an Away Market during that period, in which case any portion of the order that is returned unexecuted would be cancelled.
The Exchange believes that the proposed Trading Collar functionality is designed to provide a similar type of order protection as is currently available as described in Rule 6.60Oa because it would limit the price at which a marketable order could be traded, routed, or displayed. The Exchange believes that the proposed differences are designed to simplify the functionality by applying a static ceiling price for buy orders or floor price for sell orders at which such order could be traded or routed that would be determined at the time of entry, and would be applicable to the order until it is traded or cancelled. The Exchange believes that the proposed functionality would provide greater determinism to an OTP Holder or OTP Firm of the Trading Collar that would be applicable to a Market Order or Limit Order and when such order may be cancelled if it reaches its Trading Collar.
Time in Force Modifiers. Proposed Rule 6.62POb would set forth the time-in-force modifiers that would be available for options trading on Pillar and is based on Rule 7.31Eb. The Exchange proposes to offer the same time-in-force modifiers that are currently available for options trading on the Exchange and use Pillar terminology to describe the functionality. As noted above, the Exchange proposes to describe the Time in Force Modifiers in proposed Rule 6.62POb, and then specify for each order type which Time in Force Modifiers would be available for such orders or quotes.
Day Modifier. Proposed Rule 6.62P
Ob1 would provide that any order or quote to buy or sell designated Day, if not traded, would expire at the end of the trading day on which it was entered and that a Day Modifier cannot be combined with any other Time in Force Modifier. This proposed rule text is based on Rule 7.31Eb1 with one difference to reference quotes in addition to orders. This proposed functionality would operate no differently than how a Day Order, as described in Rule 6.62Om, currently functions.

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Immediate-or-Cancel IOC
Modifier. Proposed Rule 6.62POb2
would provide that a Limit Order may be designated IOC or Routable IOC, as described in proposed Rules 6.62P
Ob2A and B and that a Limit Order designated IOC would not be eligible to participate in any Auctions.
This proposed rule text is based on the first and third sentences of Rule 7.31
Eb2 without any differences and is also based on current functionality. The Exchange proposes to use Pillar terminology based on Rule 7.31Eb2
to describe this functionality.
Proposed Rule 6.62POb2A
would define a Limit IOC Order as a Limit Order designated IOC that would be traded in whole or in part on the Exchange as soon as such order is received, and the unexecuted quantity would be cancelled and that a Limit IOC
Order does not route. This proposed rule text is based on Rule 7.31
Eb2A without any substantive differences. The proposed Pillar Limit IOC Order would function the same as an Immediate-or-Cancel Order IOC
Order, as currently described in Rule 6.62Ok, without any differences.
Proposed Rule 6.62POb2B
would define a Limit Routable IOC
Order as a Limit Order designated Routable IOC that would be traded in whole or in part on the Exchange as soon as such order is received, and the unexecuted quantity routed to Away Markets and that any quantity not immediately traded either on the Exchange or an Away Market would be cancelled. This proposed rule text is based on Rule 7.31Eb2B without any substantive differences. The proposed Pillar Limit Routable IOC
Order is also based on the NOW
Order, as currently described in Rule 6.62Oo and uses Pillar terminology.
Fill-or-Kill FOK Modifier.
Proposed Rule 6.62POb3 would provide that a Limit Order designated FOK would be traded in whole on the Exchange as soon as such order is received, and if not so traded is to be cancelled and that a Limit Order designated FOK does not route and does not participate in any Auctions. The Exchange does not offer the FOK
Modifier on its cash equity market, and this proposed rule uses Pillar terminology to offer the same functionality that is currently described in Rule 6.62Ol as the Fill-or-Kill Order FOK Order without any substantive differences.
Good-Til-Cancelled GTC
Modifier. Proposed Rule 6.62POb4
would provide that a Limit or Market Order designated GTC remains in force until the order is filled, cancelled, the
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