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Federal Register / Vol. 86, No. 129 / Friday, July 9, 2021 / Notices
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buy sell that has been repriced no longer locks or crosses the Away Market NBO NBB, it would be assigned a working price and display price equal to its limit price. This proposed rule text is based on Rule 7.31Ee1Aiv.
Proposed Rule 6.62POe1Bii would provide that the working price of a resting Non-Routable Limit Order to buy sell that has been repriced would be adjusted to be equal to its display price if the Away Market NBO NBB is equal to or lower higher than its display price. This proposed rule is based in part on how an RPNP reprices as described in Rule 6.62Op1Ai and uses Pillar terminology. The proposed rule would further provide that once the working price and display price of a Non-Routable Limit Order to buy sell are the same, the working price would be adjusted higher lower only if the display price of the order is adjusted.36
Proposed Rule 6.62POe1C
would provide that a Non-Routable Limit Order may be designated with a Non-Display Remove Modifier and if so designated, a Non-Routable Limit Order to buy sell with a working price, but not display price, equal to the working price of an ALO Order or Day ISO ALO
to sell buy would trade as the liquidity taker against such order. This functionality is based on the NonDisplay Remove Modifier available for cash equity trading, as described in Rule 7.31Ee1C, and would be new for options trading on Pillar.
Finally, proposed Rule 6.62P
Oe1D would provide that the designation to cancel a Non-Routable Limit Order would not be applicable in an Auction and such order will participate in an Auction at its limit price. This proposed rule text promotes clarity and transparency that a NonRoutable Limit Order would be eligible to participate in an Auction, but that it would be repriced to its limit price for participation in such Auction.
ALO Order. Proposed Rule 6.62P
Oe2 would define an ALO Order as a Limit Order or quote that is a NonRoutable Limit Order that would not remove liquidity from the Consolidated Book. This proposed order type incorporates functionality similar to both the existing ALO and RALO order 36 For example, if the Away Market NBO is 1.05
and the Exchange receives a Non-Routable Limit Order to buy priced at 1.10, it would be assigned a display price of 1.00 and a working price of 1.05.
If the Away Market NBO adjusts to 1.00, the working price of the Non-Routable Limit Order to buy would be adjusted to 1.00 to be equal to its display price. However, if the Away Market NBO
moves back to 1.05, the Non-Routable Limit Orders working price would not adjust again to 1.05 and would stay at 1.00.

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types, as defined in Rule 6.62O, and the existing MMALO quotation type, as defined in Rule 6.37AOa3B.
Unless otherwise specified in proposed Rule 6.62POe2, an ALO Order would function as a Non-Routable Limit Order, including that it would participate in an Auction at its limit price.
Proposed Rule 6.62POe2A
would provide that an ALO Order would not be displayed at a price that would lock or cross an Away Market NBBO, would lock or cross displayed interest in the Consolidated Book, or would cross non-displayed interest in the Consolidated Book. Because an ALO
Order would never remove liquidity, this proposed rule text ensures that such order would not be displayed at a price that would lock or cross displayed interest either on the Exchange or an Away Market, and would not be displayed at a price that crosses nondisplayed interest in the Consolidated Book.
Proposed Rule 6.62POe2Ai would provide that an ALO Order can be designated to be cancelled if it would be displayed at a price other than its limit price. An ALO Order with this designation to cancel would function similarly to a Liquidity Adding Order as defined in Rule 6.62Ot and uses Pillar terminology.
Proposed Rule 6.62POe2Aii would provide that an ALO Order to buy sell would be displayed at its limit price if it locks non-displayed orders or quotes to sell buy on the Consolidated Book. Because an ALO Order would not be repriced in this scenario, this functionality would be the same regardless of whether the order includes a designation to cancel.
Proposed Rule 6.62POe2Aiii would provide that an ALO Order to buy sell would not consider an AON
Order or an order with an MTS Modifier to sell buy for purposes of determining whether it needs to be repriced or cancelled. This proposed rule is designed to promote transparency that a resting contra-side order with conditional instructions, i.e., an AON
Order or an order with an MTS
Modifier, would not have any bearing on whether an Aggressing ALO Order would need to be repriced. Accordingly, an ALO Order would neither trade as the liquidity taker with such orders even if it could satisfy their size condition and could be displayed at a price that would lock or cross the price of such orders. Once the ALO Order is resting on the Consolidated Book, the Exchange would reevaluate the orders on the Consolidated Book. For example, if the ALO Order could satisfy the size
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condition of the resting AON Order, the resting AON Order would become the Aggressing Order and would trade as the liquidity taker with such resting ALO Order.
Proposed Rule 6.62POe2B
would describe how an ALO Order would be processed if it is not designated to cancel, as follows:
If the limit price of an ALO Order to buy sell would lock or cross displayed orders or quotes to sell buy on the Consolidated Book, it would be repriced to have a working price and display price one MPV below above the lowest highest priced displayed order or quote to sell buy on the Consolidated Book proposed Rule 6.62POe2Bi;
If the limit price of an ALO 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 the NBO NBB proposed Rule 6.62P
Oe2Bii; or If the limit price of an ALO Order to buy sell would cross non-displayed orders or quotes 37 on the Consolidated Book, it would be repriced to have a working price and display price equal to the lowest highest priced nondisplayed order or quote to sell buy on the Consolidated Book proposed Rule 6.62POe2Biii.
Because an ALO would never be a liquidity-taking order, the abovedescribed repricing scenarios provide clarity and transparency regarding how an ALO Order would be repriced to prevent either trading with interest on the Consolidated Book or routing to an Away Market. The proposed option to reprice is based in part on how a RALO
currently functions, as described in Rule 6.62Ot1A.
Proposed Rule 6.62POe2C
would provide that the display price of a resting ALO Order to buy sell that has been repriced would be repriced higher lower only one additional time and that 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 ALO
Order that is a quote cannot be designated to be cancelled. This proposed functionality would be new to Pillar and is based on how the proposed Non-Routable Limit Order would function, as described above.
37 For example, a contra-side Market Maker quote designated as a Non-Routable Limit Order could have a non-displayed working price.

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