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Federal Register / Vol. 86, No. 129 / Friday, July 9, 2021 / Notices which such orders could be priced, as described in proposed Rule 6.62POd above.
Proposed Rule 6.64POf3C would provide that next, orders and quotes that were received during the Auction Processing Period would be assigned a new working time in time sequence relative to one another based on original entry time and would be subject to the Limit Order Price Check, Pre-Trade Risk Controls, Arbitrage Check, Intrinsic Value Check, and validations specified in proposed Rule 6.62POa1A, as applicable, and if not cancelled would be processed consistent with the terms of the order or quote. This proposed rule text is designed to reflect that even though orders and quotes were received during the Auction Processing Period, they would not be subjected to these validations until after the Exchange has transitioned to continuous trading, and that if they fail these validations, such orders or quotes would be cancelled instead of rejected. This proposed rule text is based in part on Rule 7.35
Eh3B with differences to reflect the validations that would be applicable to orders and quotes for options trading.
Proposed Rule 6.64POf3D would further provide that when transitioning to continuous trading:
The display price and working price of orders and quotes would be adjusted based on the contra-side interest in the Consolidated Book or Away Market NBBO, as provided for in Rule 6.62PO proposed Rule 6.64P
Of3Di. This proposed rule is based in part on Rule 7.35Eh3C
with differences to reflect that for options trading, the display price or working price of an order may be adjusted based either on contra-side interest on the Consolidated Book or the Away Market NBBO.
The display price and working price of a Day ISO would be adjusted in the same manner as a Non-Routable Limit Order until the Day ISO is either traded in full or displayed at its limit price and the display price and working price of a Day ISO ALO would be adjusted in the same manner as an ALO
Order until the Day ISO ALO is either traded in full or displayed at its limit price proposed Rule 6.64P
Of3Dii. This proposed rule is based in part on Rule 7.35Eh3D
with differences to reflect how a Day ISO ALO would be processed.
Proposed Rule 6.64POg would describe order processing during a trading halt. The proposed rule is based in part on Rule 7.18Ec with differences to reflect how options would trade on Pillar. As proposed, the Exchange would process new and
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existing orders and quotes in a series during a trading halt as follows:
Maintain any unexecuted portion of orders ranked Priority 3Non-Display Orders proposed Rule 6.64POg1.
This proposed rule would be unique to options traded on the Exchange because the Exchange cancels non-displayed orders on its cash equity market during a trading halt see, e.g., Rule 7.18
Ec1.
Cancel any unexecuted quantity of orders displayed at a Trading Collar and Market Maker quotes proposed Rule 6.64POg2. This proposed rule would be unique for options traded on the Exchange. The Exchange proposes to cancel resting Market Maker quotes during a trading halt, but as noted below, would accept new Market Maker quotes during a trading halt, which would be the basis for the Rotational Quote that would be published for a Trading Halt Auction. The Exchange also proposes to cancel any unexecuted quantity of orders displayed at a Trading Collar because such orders would have already been subject to a 500-millisecond timer, which would have ended during a trading halt.
Re-price all other resting orders on the Consolidated Book to their limit price. The repricing of a Non-Routable Limit Order, ALO Order, or Day ISO
ALO to its limit price during a trading halt would not be counted toward the number of times such order may be repriced and any subsequent repricing of such order during the transition to continuous trading would be permitted as the additional repricing event as provided for in Rule 6.62POe1B
and e2C proposed Rule 6.64P
Og3. As described above, once resting, a Non-Routable Limit Order, ALO Order, or Day ISO ALO that was repriced on arrival is eligible to be repriced only one additional time. This proposed rule provides transparency that the repricing of such orders to their limit price during a trading halt would not count towards that one additional repricing, but that any subsequent repricing after the Auction concludes would count.
Accept and process all cancellations proposed Rule 6.64P
Og4. This proposed rule is based on Rule 7.18Ec4 without any differences.
Reject Incoming Limit Orders designated IOC or FOK proposed Rule 6.64POg5. This proposed rule is based in part on Rule 7.18Ec5 with a difference to add orders designated FOK and not include non-displayed orders.
Accept all other incoming order and quote messages and instructions until
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the Auction Processing Period for the Trading Halt Auction, at which point, paragraph e of proposed Rule 6.64PO
would govern the entry of incoming orders, quotes, and order instructions proposed Rule 6.64POg6. This proposed rule is based on Rule 7.18
Ec6 with non-substantive differences to cross reference the options rule relating to the transition to continuous trading.
Disseminate a zero bid and zero offer quote to OPRA and proprietary data feeds proposed Rule 6.64P
Og7. This proposed rule is based on current functionality and is designed to promote clarity and transparency in Exchange rules that when a trading halt begins, the Exchange will zero out the Exchanges BBO.
Finally, proposed Rule 6.64POh would provide that whenever in the judgment of the Exchange the interests of a fair and orderly market so require, the Exchange may adjust the timing of or suspend the Auctions set forth in this Rule with prior notice to ATP Holders.
This proposed rule is based on Rule 7.35Ei without any differences.
In connection with proposed Rule 6.64PO, the Exchange proposes to add the following preamble to Rule 6.64O:
This Rule will not be applicable to trading on Pillar. This proposed preamble is designed to promote clarity and transparency in Exchange rules that Rule 6.64O would not be applicable to trading on Pillar.
As discussed above, because of the technology changes associated with the migration to the Pillar trading platform, subject to approval of this proposed rule change, the Exchange will announce by Trader Update when rules with a P
modifier will become operative and for which symbols. The Exchange believes that keeping existing rules on the rulebook pending the full migration of Pillar will reduce confusion because it will ensure that the rules governing trading on the OX system will continue to be available pending the full migration to Pillar.
2. Statutory Basis The proposed rule change is consistent with Section 6b of the Securities Exchange Act of 1934 the Act,55 in general, and furthers the objectives of Section 6b5,56 in particular, because it is designed to prevent fraudulent and manipulative acts and practices, to promote just and equitable principles of trade, to foster cooperation and coordination with persons engaged in facilitating 55 15
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U.S.C. 78fb.
U.S.C. 78fb5.

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