Voglio sapere a riguardo di…

Federal Register / Vol. 86, No. 208 / Monday, November 1, 2021 / Notices
lotter on DSK11XQN23PROD with NOTICES1

opportunity to access liquidity in Nasdaq-listed securities at the NOCP for a limited period of time after the Closing Cross concludes.11
As proposed, only ETC Orders and ETC Eligible LOC Orders together, ETC Eligible Orders would be eligible to participate in the ETC.12 An ETC Order would be a new order type for Nasdaq-listed securities that may be executed only during the ETC and only at the NOCP as determined by the Closing Cross.13 An ETC Order may be entered, cancelled, or modified between the time when the ETC commences and ends.14 If an ETC Order is not fully executed at the conclusion of the ETC, then any unexecuted portion of the order would be cancelled.15 An ETC
Eligible LOC Order would be a LOC
order for a Nasdaq-listed security entered through RASH or FIX 16 that did not fully execute during the Closing 11 See id. at 4. The Exchange states that, for participants with limit-on-close LOC orders that do not execute in full in the Closing Cross, the ETC
would give these LOC orders another opportunity to execute at the NOCP before the after-market trading price moves far away from it. See id. at 15.
The Exchange also states that, with the ETC, participants would have an opportunity to access liquidity at the NOCP even if they did not participate in the Closing Cross. See id. According to the Exchange, by increasing opportunities for participants to execute their orders at the NOCP, it would allow them to execute sizable orders without market impact as a complement to the Closing Cross and as an alternative to after-hours trading. See id.
12 ETC Orders and ETC Eligible LOC Orders may only execute against other ETC Orders and ETC
Eligible LOC Orders. See proposed Rules 4702b17A and 4702b12A.
13 See proposed Rule 4702b17A. An ETC
Order may be assigned a minimum quantity order attribute, and the minimum quantity condition may be satisfied only by execution against one or more orders, each of which must have a size that satisfies the minimum quantity condition. See proposed Rule 4702b17B. See also Amendment No. 1 at 1314 n.18. If no orders in the ETC satisfy a minimum quantity condition for an ETC Order, then the ETC Order with a minimum quantity condition would rest on the Nasdaq book in time priority unless and until there is an order that can satisfy the minimum quantity condition to allow for execution of the ETC Order; if no such order is present in the ETC at its conclusion, then the ETC
Order would cancel. See proposed Rule 4702b17B. Moreover, an ETC Order may be referred to as having a time-in-force of ETC. See proposed Rule 4703a8.
14 The system would reject an ETC Order that is submitted prior to the commencement of the ETC.
See proposed Rule 4702b17A. In addition, the system would not accept an ETC Order entered on any day when insufficient interest exists in the system to conduct a Closing Cross for that security, or when the Exchange invokes contingency procedures due to a disruption that prevents the execution of the Closing Cross. See id.
15 See id.
16 The Exchange states that it typically assumes a more active role in managing the order flow submitted by users of the RASH and FIX protocols, and in contrast, users of the OUCH and FLITE
protocols generally assume a more active role in managing their order flow. See Amendment No. 1
at 1516.

VerDate Sep<11>2014

18:03 Oct 29, 2021

Jkt 256001

Cross, and would participate in the ETC
if the NOCP, as determined by the Closing Cross, is at or within its limit price.17 A participant may choose to disable a LOC order from participating in the ETC, in which case the system would cancel any shares of the LOC
order that remain unexecuted after the Closing Cross.18 In addition, if a participant enters a time-in-force that continues after the time of the Closing Cross to a LOC order i.e., closing cross/
extended hours order, then such order would bypass the ETC.19 Any unexecuted portion of an ETC Eligible LOC Order may be cancelled or modified by the participant at any time during the ETC, and any unexecuted portion of an ETC Eligible LOC Order at the conclusion of the ETC would be cancelled.20
As proposed, the ETC would commence upon the conclusion of the Closing Cross and end at 4:05 p.m. or 1:05 p.m. on a day when the Exchange closes early.21 The system would match and execute ETC Eligible Orders continuously throughout the ETC, in time priority order based on the time the system received each order into the ETC,22 and at the NOCP as determined 17 See proposed Rule 4702b12A. The Exchange also proposes to amend Rule 4702b12
to describe the participation of LOC orders in the LULD closing cross.
18 See id. Post-only orders, midpoint peg postonly orders, supplemental orders, and market maker peg orders may not operate as ETC Eligible LOC Orders, and ETC Eligible LOC Orders would be rejected if they are assigned a pegging attribute.
See Amendment No. 1 at 9 n.14.
19 See proposed Rule 4702b12B.
20 See proposed Rule 4702b12A.
21 As proposed, the ETC would not occur for a security on any day when insufficient interest exists in the Exchange system to conduct the Closing Cross for that security or when the Exchange invokes contingency procedures due to a disruption that prevents the execution of the Closing Cross.
See proposed Rule 4755b. Moreover, the Exchange would cancel executions in a security that occur in the ETC if the Exchange nullifies the Closing Cross in that security pursuant to the rules governing clearly erroneous transactions. See id. The Exchange also states that if short sale orders in securities subject to Regulation SHO are permitted to execute in the Closing Cross pursuant to Rule 201
of Regulation SHO, then the system would also permit short sale executions in such securities to occur in the ETC; whereas the system would reject short sale orders in securities if short sale orders in such securities were not permitted to execute in the Closing Cross. See Amendment No. 1 at 8 n.11.
Moreover, the restrictions of Rule 201 of Regulation SHO will apply to the ETC to the extent that the current national best bid is being calculated, collected, and disseminated for securities. See id.
22 ETC Eligible LOC Orders would receive new timestamps upon entry into the ETC and prioritized amongst each other and ETC Orders based on the time the system received each order into the ETC.
See Amendment No. 1 at 9. Specifically, the system would submit ETC Eligible LOC Orders for participation in the ETC, and would assign them new timestamps, in random order. See id. at 9 n.15.
Therefore, ETC Eligible LOC Orders may not
PO 00000

Frm 00122

Fmt 4703

Sfmt 4703

60319

by the Closing Cross.23 If fewer than all shares of ETC Eligible Orders are executed by the conclusion of the ETC, then the system would cancel any unexecuted portions of such orders.24
Also as proposed, beginning at 4:00:05 p.m. or 1:00:05 p.m. on a day when the Exchange closes early, the Exchange would disseminate by electronic means an ETC order imbalance indicator every 5 seconds until the ETC concludes.25 The ETC
order imbalance indicator would disseminate the following information:
a Symbol; b the number of shares of ETC Eligible Orders that have been matched and executed at the NOCP
during the ETC, as of the time of dissemination of the ETC order imbalance indicator; c the size of any ETC imbalance 26 exclusive of orders with minimum quantity instructions 27;
and d the buy or sell direction of any ETC imbalance.28
Moreover, as proposed, the Exchange system would suspend execution of ETC
Eligible Orders in a security whenever it detects: i An order in that same security resting on the Nasdaq continuous book in after-hours trading 29 with a bid offer price that is higher than lower than the NOCP for that security, as determined by the Closing Cross; 30 or ii the after-hours trading last sale price, or the best afterhours trading bid offer price, of the necessarily enter the ETC with the same relative priority that they had prior to the ETC. See id.
Moreover, due to the time required for the system to process ETC Eligible LOC Orders for participation in the ETC, it is possible that an ETC
Eligible LOC Order would enter the ETC with a lower time priority than an ETC Order entered after the Closing Cross concludes. See id.
23 See proposed Rule 4755b2. All ETC Eligible Orders executed in the ETC would be trade reported anonymously and disseminated via the consolidated tape. See proposed Rule 4755b5.
24 See proposed Rule 4755b4.
25 See proposed Rule 4755b1.
26 ETC imbalance would mean the number of shares of buy or sell ETC Eligible Orders that have not been matched during the ETC. See proposed Rule 4755a4.
27 The Exchange states that it proposes to exclude ETC Eligible Orders with minimum quantity instructions from the calculation of the size of the ETC imbalance because the size of such orders may be misleading to participants, given that such orders would rest on the book and would not execute if the minimum quantity instruction was not satisfied. See Amendment No. 1 at 1819.
28 See proposed Rule 4755a8.
29 See proposed Rule 4755a1 defining after hours trading to mean trading in a Nasdaq-listed security that commences immediately following the conclusion of the Closing Cross, during post-market hours, as that term is defined in Equity 1, Section 1a9.
30 According to the Exchange, this limitation would prevent the Exchange from trading through orders on its own continuous book in after-hours trading that do not participate in the ETC. See Amendment No. 1 at 6.

E:FRFM01NON1.SGM

01NON1