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Federal Register / Vol. 86, No. 171 / Wednesday, September 8, 2021 / Notices
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Regulation NMS because it does not include a specific price or size of the interest; alternatively, if such information is deemed a quote, the Exchange believes that an exemption from applicable rules would be appropriate.26 While an explicit price would not be disseminated, because RML Orders are only eligible to execute at the Midpoint Price, dissemination of the Retail Liquidity Identifier would thus reflect the availability of price improvement at the Midpoint Price.27
As noted above, the Exchange would only disseminate the Retail Liquidity Identifier when designated RML Interest would provide at least $0.001 of price improvement, which is consistent with the rules of the other exchanges that disseminate Retail Liquidity Identifiers 28 as well as the SIP Plans requirements.29 Because RML Orders are proposed to be only Midpoint Peg Orders, they will always represent at least $0.001 price improvement over the NBB or NBO, with two exceptions: 1
In a locked or crossed market; and 2
a sub-dollar quote when the securitys spread is less than $0.002.30 Under Exchange Rule 11.8c6, a Pegged Order resting on the MEMX Book is not eligible for execution when the market is locked or crossed; thus, an RML
Order would not be eligible for execution when the market is locked or crossed and would rest on the MEMX
Book and become eligible for execution again when the market ceases to be locked or crossed.31 Because an RML
Order would not be eligible for execution when the market is locked or crossed, such order would not provide any price improvement to an incoming Retail Midpoint Order i.e., would not be priced at least $0.001 better than the NBB or NBO and therefore would not comprise eligible RML Interest for purposes of the Retail Liquidity 26 The Exchange plans to submit a letter requesting no-action or exemptive relief from obligations set forth in Rule 602 of Regulation NMS.
27 The Exchange notes that this aspect of the proposed Retail Liquidity Identifier is the same as the Retail Liquidity Identifier disseminated by IEX
under the IEX Retail Program that was recently approved by the Commission. See IEX Rule 11.232f; see also IEX Retail Approval Order, supra note 9, at 38167.
28 See, e.g., IEX Rule 11.232f, Cboe BYX Rule 11.24e, and NYSE Arca Equities Rule 7.44j.
29 See January 26, 2021 CQS Participant Input Binary Specification Version 2.6a, available at https www.ctaplan.com/publicdocs/ctaplan/CQS_
Pillar_Input_Specification.pdf and May 2020 UTP
Data Feed Services Specification Version 1.5, available at https www.utpplan.com/DOC/
UtpBinaryOutputSpec.pdf.
30 The Minimum Price Variation MPV for bids, offers, or orders in securities priced less than $1.00 per share is $0.0001. See Exchange Rule 11.6g.
31 See Exchange Rule 11.8c6.

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Identifier. Similarly, when a particular security is priced less than $1.00 per share, its MPV is $0.0001, so the Midpoint Price will not always represent at least $0.001 in price improvement.32 Therefore, the Exchange would only disseminate the Retail Liquidity Identifier for sub-dollar securities if the spread in the security is greater than or equal to $0.002, meaning the Midpoint Price represents at least $0.001 price improvement over the NBB
or NBO. With respect to the requirement that an RML Order must be resting at the Midpoint Price in order to be included in the designated RML Interest to be disseminated pursuant to the Retail Liquidity Identifier, the Exchange notes that an RML Order could have a limit price that is less aggressive than the Midpoint Price in which case it would not be eligible to trade with an incoming Retail Midpoint Order and therefore should not be included for purposes of Retail Liquidity Identifier dissemination since it would not reflect interest available to trade with Retail Midpoint Orders. The Exchange notes that not including: 1 RML Interest for a security when the market for the security is locked or crossed; 2 RML
Interest for a sub-dollar security if the spread in the security is greater sic than or equal sic to $0.002; and 3
RML Interest that is not resting at the Midpoint Price i.e., RML Interest that is constrained by a limit price that is less aggressive than the Midpoint Price, for purposes of Retail Liquidity Identifier dissemination is consistent with the Retail Liquidity Identifier disseminated by IEX under the IEX Retail Program.33
The Exchange also proposes to remove the Retail Liquidity Identifier previously disseminated through the MEMOIR Depth and MEMOIR Top data products and through the appropriate SIP after executions against Retail Midpoint Orders have depleted the available designated RML Interest such that the remaining designated RML
Interest does not aggregate to form at least one round lot, or in situations where there is no actionable RML
Interest such as when the market is locked or crossed, in order to indicate to market participants that there is no longer designated RML Interest of at least one round lot available. The 32 For example, if a securitys NBB is $0.505 and NBO is $0.506, the Midpoint Price would be $0.5055, which is $0.0005 more than the NBB and less than the NBO, so it would not represent at least $0.001 price improvement over the NBB or NBO, and therefore would not comprise eligible RML
Interest for purposes of the Retail Liquidity Identifier.
33 See IEX Rule 11.232f; see also IEX Retail Approval Order, supra note 9, at 38167.

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Exchange believes that removing the Retail Liquidity Identifier on the market data feeds and SIP when there is not sufficient eligible RML Interest available is consistent with the implementation of the other exchanges that disseminate Retail Liquidity Identifiers.
As described above, the Exchanges proposed Retail Liquidity Identifier is substantially similar to IEXs Retail Liquidity Identifier. However, the Exchange notes one key distinctionthe Exchange would enable a User to elect whether to designate an RML Order to be identified as such for purposes of the Retail Liquidity Identifier. Similar to the proposed RML Program, under the IEX
Retail Program, eligible IEX RLP Order interest that is aggregated to form at least one round lot is required to cause the dissemination of the Retail Liquidity Identifier. Under the IEX Retail Program, a User is not able to elect whether an IEX RLP Order is to be identified as such for purposes of the Retail Liquidity Identifier, and thus, all IEX RLP Order interest is included in determining whether there is a sufficient amount of IEX RLP Order interest i.e., one round lot to cause the dissemination of the Retail Liquidity Identifier. In contrast, under the proposed RML Program, a User may, but is not required to, designate an RML
Order to be identified as such for purposes of the Retail Liquidity Identifier. Therefore, a User would be able to elect whether an RML Order that it submits will be included in determining whether there is a sufficient amount of RML Interest i.e., one round lot to cause the dissemination of the Retail Liquidity Identifier i.e., whether it constitutes designated RML Interest.34
As further described below, RML
Orders that are designated to be identified as such for purposes of the Retail Liquidity Identifier would receive execution priority ahead of RML Orders that are not designated to be identified as such. The Exchange believes that providing Users with the optionality to designate their RML Orders to be identified as such for purposes of the Retail Liquidity Identifier is appropriate 34 As an example, assume the following facts:
User 1 enters an RML Order that is designated to be identified as such for purposes of the Retail Liquidity Identifier to buy 50 shares of ABC; User 2 enters an RML Order that is not designated to be identified as such for purposes of the Retail Liquidity Identifier to buy 100 shares of ABC; and such orders are the only RML Orders resting on the MEMX Book. In this event, the Exchange would not disseminate the Retail Liquidity Identifier because there is not designated RML Interest to buy ABC
aggregated to form at least one round lot available in the System, as only User 1s RML Order to buy 50 shares of ABC was designated as such.

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