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jbell on DSKJLSW7X2PROD with NOTICES2

Federal Register / Vol. 86, No. 129 / Friday, July 9, 2021 / Notices Order would not have a possibility of trading or being added to the Consolidated Book during a period of pricing uncertainty.
Proposed Rule 6.62POd5Bi would provide that if not elected on arrival, a Stop Limit Order that is resting would not be eligible to be elected based on a Consolidated Last Sale unless the Consolidated Last Sale is equal to or in between the NBBO.
Proposed Rule 6.62POd5Bii would provide that a Stop Limit Order would not be elected if the NBBO is crossed.
Orders with Instructions Not to Route.
Currently, the Exchange defines nonroutable orders in Rule 6.62O as a PNP
Order which includes a Repricing PNP
Order or RPNP current Rule 6.62
Op, a Liquidity Adding Order ALO which includes a Repricing ALO RALO current Rule 6.62Ot;
a PNP-Blind Order current Rule 6.62
Ou; and a PNP-Light Order Rule 6.62Ov. The Exchange also defines the PNP Plus Order current Rule 6.62
Oy, which is available for Electronic Complex Orders, and Intermarket Sweep Orders current Rule 6.62Oaa.
The Exchange separately defines nonroutable quotes in Rule 6.37AO as a Market MakerLight Only Quotation MMLO current Rule 6.37A
Oa3A; a Market MakerAdd Liquidity Only Quotation MMALO
current Rule 6.37AOa3B; and a Market MakerRepricing Quotation MMRP current Rule 6.37A
Oa3C.
On Pillar, the Exchange proposes to streamline the non-routable order types and quotes that would be available for options trading, use terminology that is similar to how non-routable orders are described for cash equity trading as described in Rule 7.31Ee, and describe the functionality that would be applicable to both orders and quotes in proposed Rule 6.62POe. As described in greater detail below, proposed Rule 6.37APO governing Market Maker Quotations would no longer define how quotations would function. Instead, that rule would specify that Market Maker quotes must be designated as either a Non-Routable Limit Order or ALO
Order. On Pillar, the Exchange would no longer offer functionality based on the PNP-Blind Order, PNP-Light Order, or MMLO.
Non-Routable Limit Order. Proposed Rule 6.62POe1 would define the Non-Routable Limit Order. This proposed order type incorporates functionality currently available in both the existing PNP and RPNP order types, as defined in Rule 6.62O, and the existing MMRP quotation type, as
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defined in Rule 6.37AOa3C, and uses Pillar terminology.
Proposed Rule 6.62POe1 would provide that a Non-Routable Limit Order is a Limit Order or quote that does not route and may be designated Day or GTC and would further provide that a Non-Routable Limit Order with a working price different from the display price would be ranked Priority 3-NonDisplay Orders and a Non-Routable Limit Order with a working price equal to the display price would be ranked Priority 2-Display Orders. This proposed rule uses Pillar terminology similar to how a Non-Routable Limit Order is described for the Exchanges cash equity market in Rules 7.31Ee1
and 7.31Ee1B.
Proposed Rule 6.62POe1A
would provide that a Non-Routable Limit Order would not be displayed at a price that would lock or cross an Away Market NBBO and that a NonRoutable Limit Order to buy sell would trade with orders or quotes to sell buy in the Consolidated Book priced at or below above the Away Market NBO
NBB.
Proposed Rule 6.62POe1Ai would provide that a Non-Routable Limit Order can be designated to be cancelled if it would be displayed at a price other than its limit price. The proposed option to cancel a NonRoutable Limit Order is based on how a PNP Order currently functions. The Exchange proposes a substantive difference that if an OTP Holder or OTP
Firm opts to cancel instead of reprice a Non-Routable Limit Order, such order would be cancelled if it could not be displayed at its limit price, which could be because the order would be repriced to display at a price that would not lock or cross an Away Market NBBO or because it would be repriced due to Trading Collars.33
Proposed Rule 6.62POe1Aii would provide that if not designated to cancel, if the limit price of a NonRoutable Limit Order to buy sell would lock or cross an Away Market NBO NBB, it would be repriced to have a working price equal to the Away Market NBO NBB and a display price one MPV below above that NBO
NBB. Accordingly, the proposed NonRoutable Limit Order, if not designated to cancel, would reprice in the same 33 Because Trading Collars would be applicable to Non-Routable Limit Orders, the Exchange does not propose to cancel an incoming Non-Routable Limit Order if its price is more than a configurable number of MPVs outside its initial display price, which is how an RPNP currently functions, and therefore would not include functionality based on Rule 6.62Op1B in the proposed Pillar rules.

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manner as an RPNP order or MMRP
quotation.
The Exchange proposes new functionality for the Non-Routable Limit Order as compared to either the RPNP
Order or the Non-Routable Limit Order on the Exchanges cash equity market.
Specifically, proposed Rule 6.62P
Oe1B would provide that the display price of a resting Non-Routable Limit Order to buy sell that has been repriced would be repriced higher lower only one additional time.34 If after that repricing, the display price could be repriced higher lower again, the order can be designated to either remain at its last working price and display price or be cancelled, provided that a resting Non-Routable Limit Order that is a quote cannot be designated to be cancelled.35
The Exchange notes that this designation to cancel is separate from the designation to cancel if it cannot be displayed at its limit price. If a NonRoutable Limit Order is designated to cancel if it cannot be displayed at its limit price, this second cancellation designation would not be needed as the order would have already been cancelled. Rather, this second cancellation designation is applicable only to a resting Non-Routable Limit Order that has been designated to reprice on arrival and was repriced before it was displayed on the Consolidated Book, and provides OTP
Holders and OTP Firms with an option to cancel a resting order if market conditions were such that a resting order could have been repriced again, e.g., the contra-side Away Market NBBO
changes. To assist Market Makers in maintaining quotes in their assigned series, the Exchange proposes that this second cancellation designation would not be available to Market Makers for their quotes.
Proposed Rule 6.62POe1Bi would provide that if the limit price of the resting Non-Routable Limit Order to 34 For example, on arrival, a Non-Routable Limit Order to buy sell with a limit price higher lower than the NBO NBB, would have a display price one MPV below above the NBO NBB and a working price equal to the NBO NBB. If the Away Market NBO NBB reprices higher lower, the resting Non-Routable Limit Order to buy sell would similarly be repriced higher lower. If the NBO NBB adjusts higher lower again, the resting Non-Routable Limit Order would not be adjusted again.
35 The working time of a Non-Routable Limit Order would be adjusted as described in proposed Rule 6.76POf2, which would be applicable to any scenario when the working time of an order may change, including a Non-Routable Limit Order.
Similar to how the Pillar rules function on the Exchanges cash equity market, the Exchange does not propose to separately describe how the working time of an order changes in proposed Rule 6.62P
O.

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