Self-Regulatory Organizations; MIAX Emerald, LLC; Notice of Filing of a Proposed Rule Change To Adopt Exchange Rule 531, Reports, To Provide for the New “Liquidity Taker Event Report”, 15759-15763 [2021-05998]
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Federal Register / Vol. 86, No. 55 / Wednesday, March 24, 2021 / Notices
By the Commission, by the Division of
Trading and Markets, pursuant to delegated
authority.49
Eduardo A. Aleman,
Deputy Secretary.
[FR Doc. 2021–05993 Filed 3–23–21; 8:45 am]
the most significant aspects of such
statements.
A. Self-Regulatory Organization’s
Statement of the Purpose of, and
Statutory Basis for, the Proposed Rule
Change
BILLING CODE 8011–01–P
SECURITIES AND EXCHANGE
COMMISSION
[Release No. 34–91356; File No. SR–
EMERALD–2021–09]
Self-Regulatory Organizations; MIAX
Emerald, LLC; Notice of Filing of a
Proposed Rule Change To Adopt
Exchange Rule 531, Reports, To
Provide for the New ‘‘Liquidity Taker
Event Report’’
March 18, 2021.
Pursuant to Section 19(b)(1) of the
Securities Exchange Act of 1934
(‘‘Act’’),1 and Rule 19b–4 thereunder,2
notice is hereby given that on March 5,
2021, MIAX Emerald, LLC (‘‘MIAX
Emerald’’ or ‘‘Exchange’’) filed with the
Securities and Exchange Commission
(‘‘Commission’’) the proposed rule
change as described in Items I, II, and
III below, which Items have been
prepared by the Exchange. The
Commission is publishing this notice to
solicit comments on the proposed rule
change from interested persons.
I. Self-Regulatory Organization’s
Statement of the Terms of Substance of
the Proposed Rule Change
The Exchange proposes to adopt
Exchange Rule 531(a) to provide for the
new ‘‘Liquidity Taker Event Report’’.
The text of the proposed rule change
is available on the Exchange’s website at
https://www.miaxoptions.com/rulefilings/emerald at MIAX Emerald’s
principal office, and at the
Commission’s Public Reference Room.
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II. Self-Regulatory Organization’s
Statement of the Purpose of, and
Statutory Basis for, the Proposed Rule
Change
In its filing with the Commission, the
Exchange included statements
concerning the purpose of and basis for
the proposed rule change and discussed
any comments it received on the
proposed rule change. The text of these
statements may be examined at the
places specified in Item IV below. The
Exchange has prepared summaries, set
forth in sections A, B, and C below, of
49 17
CFR 200.30–3(a)(91).
U.S.C. 78s(b)(1).
2 17 CFR 240.19b–4.
1 15
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1. Purpose
The Exchange proposes to adopt
Exchange Rule 531(a) to provide for the
new ‘‘Liquidity Taker Event Report’’
(the ‘‘Report’’). The Report is an
optional product 3 available to
Members.4 Currently, the Exchange
provides real-time prices and analytics
in the marketplace. The Exchange
believes the additional data points from
the matching engine outlined below
may help Members gain a better
understanding about their interactions
with the Exchange. The Exchange
believes the Report will provide
Members with an opportunity to learn
more about better opportunities to
access liquidity and receive better
execution rates. The proposed Report
will increase transparency and
democratize information so that all
firms that subscribe to the Report have
access to the same information on an
equal basis, even for firms that do not
have the appropriate resources to
generate a similar report regarding
interactions with the Exchange. None of
the components of the proposed Report
include real-time market data.
Members generally would use a
liquidity accessing order if there is a
high probability that it will execute
against an order resting on the
Exchange’s Book.5 The proposed Report
would identify by how much time an
order that may have been marketable
missed an execution. The proposed
Report will provide greater visibility
into the missed trading execution,
which will allow Members to optimize
their models and trading patterns to
yield better execution results.
The proposed Report will be a
Member-specific report and will help
Members to better understand by how
much time a particular order missed
executing against a specific resting
order, thus allowing that Member to
determine whether it wants to invest in
3 The Exchange intends to submit a separate filing
with the Commission pursuant to Section 19(b)(1)
to propose fees for the Liquidity Taker Event
Report.
4 The term ‘‘Member’’ means an individual or
organization approved to exercise the trading rights
associated with a Trading Permit. Members are
deemed ‘‘members’’ under the Exchange Act. See
Exchange Rule 100.
5 The term ‘‘Book’’ means the electronic book of
buy and sell orders and quotes maintained by the
System. See Exchange Rule 100. The term ‘‘System’’
means the automated trading system used by the
Exchange for the trading of securities. See id.
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15759
the necessary resources and technology
to mitigate missed executions against
certain resting orders on the Exchange’s
Book. For example, Member A submits
an order that is posted to the Book and
then Member B enters a marketable
order to execute against Member A’s
resting order. Immediately thereafter,
Member C sends a marketable order to
execute against Member A’s resting
Order. Because Member B’s order is
received by the Exchange before
Member C’s order, Member B’s order
executes against Member A’s resting
order. The proposed Report would
provide Member C the data points
necessary for that firm to calculate by
how much time they missed executing
against Member A’s resting order. The
Exchange proposes to provide the
Report on a T+1 basis. As further
described below, the Report will be
specific and tailored to the Member that
is subscribed to the Report and any data
included in the Report that relates to a
Member other than the Member
receiving the Report will be
anonymized.
The Exchange proposes to provide the
Report in response to Member demand
for data concerning the timeliness of
their incoming orders and executions
against resting orders. Members have
periodically requested from the
Exchange’s trading operations personnel
information concerning the timeliness
of their incoming orders and efficacy of
their attempts to execute against resting
liquidity on the Exchange’s Book. The
purpose of the Report is to provide
Members the necessary data in a
standardized format on a T+1 basis to
those that subscribe to the Report on an
equal basis.6
Proposed Exchange Rule 531(a) would
provide that the Report is a daily report
that provides a Member (‘‘Recipient
Member’’) with its liquidity response
6 The proposed Report is based on a similar report
provided by the NASDAQ Stock Market LLC
(‘‘NASDAQ’’) for equity securities called the Missed
Opportunity—Latency report as part of its NASDAQ
Trader Insights offering. See NASDAQ Equity
Section 7, Rule 146(a)(2). See also Securities
Exchange Act Release No. 78886 (September 20,
2016), 81 FR 66113 (September 26, 2016) (SR–
NASDAQ–2016–101) (Order Granting Approval of
Proposed Rule Change, as Modified by Amendment
Nos. 1 and 2, To Add NASDAQ Rule 7046 (Nasdaq
Trading Insights)) (‘‘NASDAQ Approval Order’’).
NASDAQ later renumbered Rule 7046 as Equity
Section 7, Rule 146. See Securities Exchange Act
Release No. 84684 (November 29, 2018), 83 FR
62936 (December 6, 2018) (SR–NASDAQ–2018–
098). See also the CME Group, Inc.’s Time and Sale
report. https://www.cmegroup.com/trading/abouttime-sales.html#:∼:text=CME%20Globex
%20Options)-, CME%20Group’s%20Time%20% 26
%20Sales%20report%20provides%20the% 20price
%20and%20time,calendar%20date)%20of%20the
%20transaction.&text=A%20zero%20volume
%20represents%20an%20indicative%20price.,-The
%20Indicator%20column.
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Federal Register / Vol. 86, No. 55 / Wednesday, March 24, 2021 / Notices
time details for executions of an order
resting on the Book, where that
Recipient Member attempted to execute
against such resting order within a
certain timeframe.
Report Content
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Paragraph (a)(1) of Rule 531 would
describe the content of the Report and
delineate which information would be
provided regarding the resting order,7
the response that successfully executed
against the resting order, and the
response submitted by the Recipient
Member that missed executing against
the resting order. It is important to note
that the content of the Report will be
specific to the Recipient Member and
the Report will not include any
information related to any Member
other than the Recipient Member. The
Exchange will restrict all other market
participants, including the Recipient
Member, from receiving another market
participant’s data.
Resting Order Information. Rule
531(a)(1)(i) would provide that the
following information would be
included in the Report regarding the
resting order: (A) the time the resting
order was received by the Exchange; 8
(B) symbol; 9 (C) order reference
number, which is a unique reference
number assigned to a new order at the
time of receipt; 10 (D) whether the
Recipient Member is an Affiliate 11 of
the Member that entered the resting
order; 12 (E) origin type (e.g., Priority
Customer,13 Market Maker 14); (F) side
7 Only displayed orders will be included in the
Report. The Exchange notes that it does not
currently offer any non-displayed orders types on
its options trading platform.
8 This information is also included in the
NASDAQ report. See Nasdaq Approval Order at
note 12, supra note 6. The time the Exchange
received the resting order would be in nanoseconds
and is the time the resting order was received by
the Exchange’s System.
9 This information is also included in the
NASDAQ report. See id.
10 This information is also included in the
NASDAQ report. See id.
11 The term ‘‘affiliate’’ of or person ‘‘affiliated
with’’ another person means a person who, directly,
or indirectly, controls, is controlled by, or is under
common control with, such other person. See
Exchange Rule 100.
12 The Report will simply indicate whether the
Recipient Member is Affiliate of the Member that
entered the resting order and not include any other
information that may indicate the identity of the
Member that entered the resting order.
13 The term ‘‘Priority Customer’’ means a person
or entity that (i) is not a broker or dealer in
securities, and (ii) does not place more than 390
orders in listed options per day on average during
a calendar month for its own beneficial account(s).
The number of orders shall be counted in
accordance with Interpretation and Policy .01 to
Exchange Rule 100. See Exchange Rule 100.
14 The term ‘‘Market Maker’’ refers to ‘‘Lead
Market Makers’’, ‘‘Primary Lead Market Makers’’
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(buy or sell); 15 and (G) displayed price
and size of the resting order.16
Execution Information. Rule
531(a)(1)(ii) would provide that the
following information would be
included in the Report regarding the
execution of the resting order: (A) the
EBBO 17 at the time of execution; 18 (B)
the ABBO 19 at the time of execution; 20
(C) the time first response that executes
against the resting order was received by
the Exchange and the size of the
execution and type of the response; 21
(D) the time difference between the time
the resting order was received by the
Exchange and the time the first response
that executes against the resting order
was received by the Exchange; 22 and (E)
whether the response was entered by
the Recipient Member. If the resting
order executes against multiple contraside responses, only the EBBO and
ABBO at the time of the execution
against the first response will be
included.
Recipient Member’s Response
Information. Rule 531(a)(1)(iii) would
provide that the following information
would be included in the Report
regarding response(s) sent by the
Recipient Member: (A) Recipient
and ‘‘Registered Market Makers’’ collectively. See
Exchange Rule 100.
15 This information is also included in the
NASDAQ report. See Nasdaq Approval Order at
note 12, supra note 6.
16 This information is also included in the
NASDAQ Report. See id. The Exchange notes that
the displayed price and size are also disseminated
via the Exchange’s proprietary data feeds and the
Options Price Reporting Authority (‘‘OPRA’’). The
Exchange also notes that the displayed price of the
resting order may be different than the ultimate
execution price. This may occur when a resting
order is displayed and ranked at different prices
upon entry to avoid a locked or crossed market.
17 The term ‘‘EBBO’’ means the best bid or offer
on the Exchange. See Exchange Rule 100.
18 Exchange Rule 531(a)(1)(ii)(B) would further
provide that if the resting order executes against
multiple contra-side responses, only the EBBO [sic]
at the time of the execution against the first
response will be included.
19 The term ‘‘ABBO’’ or ‘‘Away Best Bid or Offer’’
means the best bid(s) or offer(s) disseminated by
other Eligible Exchanges (defined in Exchange Rule
1400(g)) and calculated by the Exchange based on
market information received by the Exchange from
OPRA. See Exchange Rule 100.
20 Exchange Rule 531(a)(1)(ii)(A) would further
provide that if the resting order executes against
multiple contra-side responses, only the ABBO [sic]
at the time of the execution against the first
response will be included.
21 This information is also included in the
NASDAQ report. See Nasdaq Approval Order at
note 12, supra note 6. The time the Exchange
received the response order would be in
nanoseconds and would be the time the response
was received by the Exchange’s network, which is
before the time the response would be received by
the System.
22 The time difference would be provided in
nanoseconds. This information is also included in
the NASDAQ report. See Nasdaq Approval Order at
note 12, supra note 6.
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Member identifier; (B) the time
difference between the time the first
response that executes against the
resting order was received by the
Exchange and the time of each response
sent by the Recipient Member,
regardless of whether it executed or
not; 23 (C) size and type of each response
submitted by Recipient Member; and (D)
response reference number, which is a
unique reference number attached to the
response by the Recipient Member.
Timeframe for Data Included in Report
Paragraph (a)(2) of Rule 531 would
provide that the Report would include
the data set forth under Rule 531(a)(1)
described above for executions and
contra-side responses that occurred
within 200 microseconds of the time the
resting order was received by the
Exchange.
Scope of Data Included in the Report
Paragraph (a)(3) of Rule 531 would
provide that the Report will only
include trading data related to the
Recipient Member and, subject to the
proposed paragraph (4) of Rule 531(a)
described below, will not include any
other Member’s trading data other than
that listed in paragraphs (1)(i) and (ii) of
Exchange Rule 531(a) described
above.24
Historical Data
Paragraph (a)(4) of Rule 531 would
specify that the Report will contain
historical data from the prior trading
day and will be available after the end
of the trading day, generally on a T+1
basis.
2. Statutory Basis
The Exchange believes the proposed
rule change is consistent with the Act
and the rules and regulations
thereunder applicable to the Exchange
and, in particular, the requirements of
Section 6(b) of the Act.25 Specifically,
the Exchange believes the proposed rule
change is consistent with the Section
6(b)(5) 26 requirements that the rules of
an exchange be designed to prevent
23 This information is also included in the
NASDAQ report. See Nasdaq Approval Order at
note 12, supra note 6. For purposes of calculating
this duration of time, the Exchange will use the
time the resting order and the Recipient Member’s
response(s) is received by the Exchange’s network,
both of which would be before the order and
response(s) would be received by the System. This
time difference would be provided in nanoseconds.
24 The scope of information included in the
Report is similar to the NASDAQ report in that both
NASDAQ’s report and the proposed Report do not
include information related to the any Member
other than the Recipient Member. See Nasdaq
Approval Order at note 13, supra note 6.
25 15 U.S.C. 78f(b).
26 15 U.S.C. 78f(b)(5).
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fraudulent and manipulative acts and
practices, to promote just and equitable
principles of trade, to foster cooperation
and coordination with persons engaged
in regulating, clearing, settling,
processing information with respect to,
and facilitating transactions in
securities, to remove impediments to
and perfect the mechanism of a free and
open market and a national market
system, and, in general, to protect
investors and the public interest. This
proposal is in keeping with those
principles in that it promotes increased
transparency through the dissemination
of the optional Report to those
interested in subscribing to receive the
data. Additionally, the Exchange
believes the proposed rule change is
consistent with the Section 6(b)(5) 27
requirement that the rules of an
exchange not be designed to permit
unfair discrimination between
customers, issuers, brokers, or dealers.
The Exchange believes the proposed
Report will serve to promote just and
equitable principles of trade, remove
impediments to and perfect the
mechanism of a free and open market
and a national market system, and, in
general protect investors and the public
interest because it will benefit investors
by facilitating their prompt access to the
value added information that is
included in the proposed Report. The
Report will allow Members to access
information regarding their trading
activity that they may utilize to evaluate
their own trading behavior and order
interactions.
The proposed Report is designed for
Members that are interested in gaining
insight into latency in connection with
orders that failed to execute against an
order resting on the Exchange’s Book by
providing those Members data to
analyze by how much time their order
may have missed an execution against a
contra-side order resting on the Book.
The Exchange believes that providing
this optional latency data to interested
Members is consistent with facilitating
transactions in securities, removing
impediments to and perfecting the
mechanism of a free and open market
and a national market system, and, in
general, protecting investors and the
public interest because it provides
greater visibility into the latency of
Members’ incoming orders. Members
may use this data to optimize their
models and trading patterns in an effort
to yield better execution results by
calculating by how much time their
order may have missed an execution.
The Report generally contains three
buckets of information. The first two
27 Id.
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buckets include information about the
resting order and the execution of the
resting order. This information is
generally available from other public
sources, such as OPRA and the
Exchange’s proprietary data feeds, or is
similar to information included in a
report offered by another exchange. For
example, OPRA provides bids, offers,
and consolidated last sale and quotation
information for options trading on all
national securities exchanges, including
the Exchange. In addition, the Exchange
offers the Top of Market (‘‘ToM’’) feed
which provides real-time quote and last
sale information for all displayed orders
on the Book.28
Specifically, the first bucket of
information contained in the Report for
the resting order includes the time the
resting order was received by the
Exchange, the symbol, unique reference
number assigned at the time of receipt,
side (buy or sell), and the displayed
price and size of the resting order. Each
of these data points are also included in
the report of another exchange that was
previously approved by the
Commission.29 Further, the symbol,
origin type, side (buy or sell), and
displayed price and size are also
available either via OPRA or the
Exchange’s proprietary data feeds. The
first bucket of information also indicates
whether the Recipient Member is an
Affiliate of the Member that entered the
resting order. This data field will not
indicate the identity of the Member that
entered the resting order and would
simply allow the Recipient Member to
better understand the scenarios in
which it may execute against the orders
of its Affiliates.30
The second bucket of information
contained in the Report regards the
execution of the resting order and
includes the EBBO and ABBO at the
time of execution. These data points are
also available either via OPRA or the
Exchange’s proprietary data feeds. The
second bucket of information will also
indicate whether the response was
entered by the Recipient Member. This
data point is simply provided as a
convenience. If not entered by the
Recipient Member, this data point will
be left blank so as not to include any
identifying information about other
28 See Securities Exchange Release 79913
(February 1, 2017), 82 FR 9617 (February 7, 2017)
(Notice of Filing and Immediate Effectiveness of a
Proposed Rule Change to Establish the MIAX
PEARL Top of Market (‘‘ToM’’) and MIAX PEARL
Liquidity Feed (‘‘PLF’’) Data Products).
29 This information is also included in the
NASDAQ report. See Nasdaq Approval Order at
note 12, supra note 6.
30 The Exchange’s surveils to monitor for
abhorrent behavior related to internalized trades
and identify potential wash sales.
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Member activity. The second bucket of
information also includes the size, time
and type of first response that executes
against the resting order; as well as the
time difference between the time the
resting order and first response that
executes against the resting order are
received by the Exchange. These data
points would assist the Recipient
Member in analyzing by how much time
their order may have missed an
execution against a contra-side order
resting on the Book. These data points
are also included in the report of
another exchange that was previously
approved by the Commission.31
The third bucket of information is
about the Recipient Member’s
response(s) and the time their
response(s) is received by the Exchange.
This includes the time difference
between the time the first response that
executes against the resting order was
received by the Exchange and the time
of each response sent by the Recipient
Member, regardless of whether it
executed or not. As above, this data
point would assist the Recipient
Member in analyzing by how much time
their order may have missed an
execution against a contra-side order
resting on the Book. This data point is
also included in the report of another
exchange that was previously approved
by the Commission.32 This bucket
would also include the size and type of
each response submitted by the
Recipient Member, the Recipient
Member identifier, and a response
reference number which is selected by
the Recipient Member. Each of these
data point are unique to the Recipient
Member and should already be known
by Recipient Member even if not
included in the Report.
As mentioned above, at least one
other exchange currently offers a similar
trading related report that has been
reviewed and approved by the
Commission. Specifically, NASDAQ
provides the Missed Opportunity—
Latency report as part of its NASDAQ
Trader Insights offering.33 NASDAQ’s
Missed Opportunity—Latency report,
like the proposed Report, identifies by
how much time a marketable order
missed executing against a resting order,
similar to the third bucket of
information provided in the Report and
described above. Both the proposed
Report and NASDAQ’s Missed
Opportunity—Latency report are both
31 This information is also included in the
NASDAQ report. See Nasdaq Approval Order at
note 12, supra note 6.
32 This information is also included in the
NASDAQ report. See Nasdaq Approval Order at
note 12, supra note 6.
33 See NASDAQ Approval Order supra note 6.
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provided on a T+1 basis and include
data specific to one Member, and only
that Member would receive the report.34
In addition, both the proposed Report
and NASDAQ’s Missed Opportunity—
Latency report are intended to provide
the Recipient Member with the time
duration by which the order entered by
the Recipient Member missed an
execution. Both the Exchange and
NASDAQ restrict all other market
participants, including the Recipient
Member, from receiving another market
participant’s data. As described above
throughout the proposal, the proposed
Report and NASDAQ’s Missed
Opportunity—Latency report both
include the following information:
• The time a resting order was received
by the Exchange
• Symbol
• Order reference number (unique
reference number assigned to a new
order at the time of receipt)
• Side (buy or sell)
• Displayed price and size of the resting
order
• Time first response that executes
against the resting order was received
by the Exchange and the size of the
execution and type of the response
• Time difference between the time the
resting order was received by the
Exchange and the time the first
response that executes against the
resting order was received by the
Exchange
• Time difference between the time the
first response that executes against the
resting order was received by the
Exchange and the time of each
response sent by the Recipient
Member, regardless of whether it
executed or not
The proposed Report includes that
following information that is not
included in NASDAQ’s Missed
Opportunity—Latency report:
• Whether the Recipient Member is an
Affiliate of the Member that entered
the resting order.
• Origin type (e.g., Priority Customer,
Market Maker). This difference is
immaterial as this data point is being
provided as a convenience and this
data point is also available either via
OPRA or the Exchange’s proprietary
data feeds.
• EBBO at the time of the execution.
This difference is immaterial as this
data point is being provided as a
convenience and this data point is
also available either via OPRA or the
Exchange’s proprietary data feeds.
• ABBO at the time of the execution.
This difference is immaterial as this
34 Id.
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data point is being provided as a
convenience and this data point is
also available either via OPRA or the
Exchange’s proprietary data feeds.
• Whether response was entered by the
Recipient Member. As stated above,
this data point is simply provided as
a convenience to the Recipient
Member. If not entered by the
Recipient Member, this data point
will be left blank so as not to include
any identifying information about
other Member activity.
• Recipient Member identifier. This
difference is not material because this
data point is being provided as a
convenience would [sic] be known to
the Recipient Member even if not
included in the Report.
• Size and type of each response
submitted by the Recipient Member.
This difference is not material
because this data point is being
provided as a convenience would [sic]
be known to the Recipient Member
even if not included in the Report.
• Response reference number. The
Exchange believe [sic] this is not a
material difference since it this [sic] is
a unique reference number not
assigned by the Exchange, but rather
attached to response [sic] by the
Recipient Member themselves and
would be known to the Recipient
Member even if not included in the
Report.
As illustrated above, the proposed
Report and NASDAQ’s Missed
Opportunity—Latency Report is
substantially similar and includes a
number of the same data elements
designed to assist Members in better
understanding their trading activity on
the Exchange and augment their trading
strategies to improve their execution
opportunities. Each of these above
differences are immaterial because the
data point is available via another
source and is being provided as a
convenience to the Recipient Member
when analyzing the Report and
intended to make the Report more
comprehensive and easier to
understand.
One additional difference between the
proposed Report and NASDAQ’s Missed
Opportunity—Latency report is
unrelated to the content of the Report,
but is related to the type of security the
report covers. The proposed Report
would cover options trading on the
Exchange while NASDAQ’s Missed
Opportunity—Latency report covers
equity securities. The Exchange believes
this difference is of no consequence as
both reports are intended to serve the
same purpose—providing firms with an
opportunity to learn more about when
they may have better opportunities to
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access liquidity and to receive better
execution rates. The infrastructure by
which a market participant seek to
access displayed liquidity on either an
equity or options exchange is similar.
Liquidity seeking orders on both equity
and options exchanges would access the
exchanges’ systems in similar manners
through the use of ports and gateways.
Both reports provide data regarding
attempts to access liquidity and both
reports would be of no value to market
participants seeking to access liquidity
in dark pools or other off-exchange
venues that are present in the equities
market that do not provide for displayed
orders. Such off exchange venues are
not present in the options markets. The
value of such a report is only present in
the displayed markets for both options
and equities trading and, therefore, the
Exchange believes the proposed Report
presents the same utility and benefits in
the options market as the NASDAQ
report does today for equities.
In approving NASDAQ’s Missed
Opportunity—Latency report, the
Commission noted that the report
‘‘would increase transparency,
particularly for Members who may not
have the expertise to generate the same
information.’’ 35 For the reasons stated
above, the Exchange believes this
statement is true regardless of whether
the Recipient Member trades equities or
options. The Exchange’s proposed
Report would achieve the same goal for
Members seeking to better understand
the efficacy of their incoming orders.
Further, the proposed Report promotes
just and equitable principles of trade
because, like NASDAQ’s report, it will
increase transparency and democratize
information so that all firms may elect
to subscribe to the Report even though
some firms may not have the
appropriate resources to generate a
similar report themselves.
The Exchange proposes to provide the
Report on a voluntary basis and no
Member will be required to subscribe to
the Report. The Exchange notes that
there is no rule or regulation that
requires the Exchange to produce, or
that a Member elect to receive, the
Report. It is entirely a business decision
of each Member to subscribe to the
Report. The Exchange proposes to offer
the Report as a convenience to Members
to provide them with additional
information regarding trading activity
on the Exchange on a delayed basis after
the close of regular trading hours. A
Member that chooses to subscribe to the
Report may discontinue receiving the
35 See Securities Exchange Act Release No. 78886
(September 20, 2016), 81 FR 66113, 66114
(September 26, 2016).
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Federal Register / Vol. 86, No. 55 / Wednesday, March 24, 2021 / Notices
Report at any time if that Member
determines that the information
contained in the Report is no longer
useful.
In summary, the proposed Report will
help to protect a free and open market
by providing additional data (offered on
an optional basis) to the marketplace
and by providing investors with greater
choices.36 Additionally, the proposal
would not permit unfair discrimination
because the proposed Report will be
available to all Exchange Members.
khammond on DSKJM1Z7X2PROD with NOTICES
B. Self-Regulatory Organization’s
Statement on Burden on Competition
The Exchange does not believe that
the proposed rule change will result in
any burden on competition that is not
necessary or appropriate in furtherance
of the purposes of the Act, as amended.
The Exchange believes that the
proposed Report will enhance
competition 37 by providing a new
option for receiving market data to
Members. The proposed Report will also
further enhance competition between
exchanges by allowing the Exchange to
expand its product offerings to include
a report similar to that currently offered
by NASDAQ.38
In this instance, the proposed rule
change to offer the optional Report is in
response to Member interest and
requests for such information. The
Exchange does not believe the proposed
Report will have an inappropriate
burden on intra-market competition
between Recipient Members and other
Members who do not receive the Report.
As discussed above, the first two
buckets of information included in the
Report contain information about the
resting order and the execution of the
resting order, both of which are
generally available to Members that
chose not to receive the Report from
other public sources, such as OPRA and
the Exchange’s proprietary data feeds.
The third bucket of information is about
the Recipient Member’s response and
the time their response is received by
the Exchange, information which the
Recipient Member would be able to
obtain without receiving the Report.
Additionally, some Members may
already be able to derive a substantial
amount of the same data that is
provided by some of the components
based on their own executions and
algorithms.
36 See Sec. Indus. Fin. Mkts. Ass’n (SIFMA),
Initial Decision Release No. 1015, 2016 SEC LEXIS
2278 (ALJ June 1, 2016) (finding the existence of
vigorous competition with respect to non-core
market data).
37 Id.
38 See NASDAQ Equity Section 7, Rule 146(a)(2).
VerDate Sep<11>2014
16:30 Mar 23, 2021
Jkt 253001
In sum, if the proposed Report is
unattractive to Members, Members will
opt not to receive it. Accordingly, the
Exchange does not believe that the
proposed change will impair the ability
of Members or competing order
execution venues to maintain their
competitive standing in the financial
markets.
C. Self-Regulatory Organization’s
Statement on Comments on the
Proposed Rule Change Received From
Members, Participants, or Others
Written comments were neither
solicited nor received.
III. Date of Effectiveness of the
Proposed Rule Change and Timing for
Commission Action
Within 45 days of the date of
publication of this notice in the Federal
Register or within such longer period (i)
as the Commission may designate up to
90 days of such date if it finds such
longer period to be appropriate and
publishes its reasons for so finding or
(ii) as to which the Exchange consents,
the Commission shall: (a) By order
approve or disapprove such proposed
rule change, or (b) institute proceedings
to determine whether the proposed rule
change should be disapproved.
IV. Solicitation of Comments
Interested persons are invited to
submit written data, views, and
arguments concerning the foregoing,
including whether the proposed rule
change is consistent with the Act.
Comments may be submitted by any of
the following methods:
Electronic Comments
• Use the Commission’s internet
comment form (https://www.sec.gov/
rules/sro.shtml); or
• Send an email to rule-comments@
sec.gov. Please include File Number SR–
EMERALD–2021–09 on the subject line.
Paper Comments
• Send paper comments in triplicate
to Secretary, Securities and Exchange
Commission, 100 F Street NE,
Washington, DC 20549–1090.
All submissions should refer to File
Number SR–EMERALD–2021–09. This
file number should be included on the
subject line if email is used. To help the
Commission process and review your
comments more efficiently, please use
only one method. The Commission will
post all comments on the Commission’s
internet website (https://www.sec.gov/
rules/sro.shtml). Copies of the
submission, all subsequent
amendments, all written statements
with respect to the proposed rule
PO 00000
Frm 00124
Fmt 4703
Sfmt 4703
15763
change that are filed with the
Commission, and all written
communications relating to the
proposed rule change between the
Commission and any person, other than
those that may be withheld from the
public in accordance with the
provisions of 5 U.S.C. 552, will be
available for website viewing and
printing in the Commission’s Public
Reference Room, 100 F Street NE,
Washington, DC 20549, on official
business days between the hours of
10:00 a.m. and 3:00 p.m. Copies of the
filing also will be available for
inspection and copying at the principal
office of the Exchange. All comments
received will be posted without change.
Persons submitting comments are
cautioned that we do not redact or edit
personal identifying information from
comment submissions. You should
submit only information that you wish
to make available publicly. All
submissions should refer to File
Number SR–EMERALD–2021–09, and
should be submitted on or before April
14, 2021.
For the Commission, by the Division of
Trading and Markets, pursuant to delegated
authority.39
Eduardo A. Aleman,
Deputy Secretary.
[FR Doc. 2021–05998 Filed 3–23–21; 8:45 am]
BILLING CODE 8011–01–P
SECURITIES AND EXCHANGE
COMMISSION
[Release No. 34–91363; File No. SR–
NYSENAT–2021–01]
Self-Regulatory Organizations; NYSE
National, Inc.; Notice of Designation of
a Longer Period for Commission
Action on a Proposed Rule Change To
Amend the Exchange’s Co-Location
Services and Fee Schedule To Add
Two Partial Cabinet Solution Bundles
March 18, 2021.
On January 19, 2021, NYSE National,
Inc. (‘‘NYSE National’’ or ‘‘Exchange’’)
filed with the Securities and Exchange
Commission (‘‘Commission’’), pursuant
to Section 19(b)(1) of the Securities
Exchange Act of 1934 (‘‘Act’’) 1 and Rule
19b–4 thereunder,2 a proposed rule
change to amend the Exchange’s colocation rules to add two partial cabinet
solution bundles. The proposed rule
change was published for comment in
the Federal Register on February 5,
39 17
CFR 200.30–3(a)(12).
U.S.C. 78s(b)(1).
2 17 CFR 240.19b–4.
1 15
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]]>Agencies
[Federal Register Volume 86, Number 55 (Wednesday, March 24, 2021)]
[Notices]
[Pages 15759-15763]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2021-05998]
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SECURITIES AND EXCHANGE COMMISSION
[Release No. 34-91356; File No. SR-EMERALD-2021-09]
Self-Regulatory Organizations; MIAX Emerald, LLC; Notice of
Filing of a Proposed Rule Change To Adopt Exchange Rule 531, Reports,
To Provide for the New ``Liquidity Taker Event Report''
March 18, 2021.
Pursuant to Section 19(b)(1) of the Securities Exchange Act of 1934
(``Act''),\1\ and Rule 19b-4 thereunder,\2\ notice is hereby given that
on March 5, 2021, MIAX Emerald, LLC (``MIAX Emerald'' or ``Exchange'')
filed with the Securities and Exchange Commission (``Commission'') the
proposed rule change as described in Items I, II, and III below, which
Items have been prepared by the Exchange. The Commission is publishing
this notice to solicit comments on the proposed rule change from
interested persons.
---------------------------------------------------------------------------
\1\ 15 U.S.C. 78s(b)(1).
\2\ 17 CFR 240.19b-4.
---------------------------------------------------------------------------
I. Self-Regulatory Organization's Statement of the Terms of Substance
of the Proposed Rule Change
The Exchange proposes to adopt Exchange Rule 531(a) to provide for
the new ``Liquidity Taker Event Report''.
The text of the proposed rule change is available on the Exchange's
website at https://www.miaxoptions.com/rule-filings/emerald at MIAX
Emerald's principal office, and at the Commission's Public Reference
Room.
II. Self-Regulatory Organization's Statement of the Purpose of, and
Statutory Basis for, the Proposed Rule Change
In its filing with the Commission, the Exchange included statements
concerning the purpose of and basis for the proposed rule change and
discussed any comments it received on the proposed rule change. The
text of these statements may be examined at the places specified in
Item IV below. The Exchange has prepared summaries, set forth in
sections A, B, and C below, of the most significant aspects of such
statements.
A. Self-Regulatory Organization's Statement of the Purpose of, and
Statutory Basis for, the Proposed Rule Change
1. Purpose
The Exchange proposes to adopt Exchange Rule 531(a) to provide for
the new ``Liquidity Taker Event Report'' (the ``Report''). The Report
is an optional product \3\ available to Members.\4\ Currently, the
Exchange provides real-time prices and analytics in the marketplace.
The Exchange believes the additional data points from the matching
engine outlined below may help Members gain a better understanding
about their interactions with the Exchange. The Exchange believes the
Report will provide Members with an opportunity to learn more about
better opportunities to access liquidity and receive better execution
rates. The proposed Report will increase transparency and democratize
information so that all firms that subscribe to the Report have access
to the same information on an equal basis, even for firms that do not
have the appropriate resources to generate a similar report regarding
interactions with the Exchange. None of the components of the proposed
Report include real-time market data.
---------------------------------------------------------------------------
\3\ The Exchange intends to submit a separate filing with the
Commission pursuant to Section 19(b)(1) to propose fees for the
Liquidity Taker Event Report.
\4\ The term ``Member'' means an individual or organization
approved to exercise the trading rights associated with a Trading
Permit. Members are deemed ``members'' under the Exchange Act. See
Exchange Rule 100.
---------------------------------------------------------------------------
Members generally would use a liquidity accessing order if there is
a high probability that it will execute against an order resting on the
Exchange's Book.\5\ The proposed Report would identify by how much time
an order that may have been marketable missed an execution. The
proposed Report will provide greater visibility into the missed trading
execution, which will allow Members to optimize their models and
trading patterns to yield better execution results.
---------------------------------------------------------------------------
\5\ The term ``Book'' means the electronic book of buy and sell
orders and quotes maintained by the System. See Exchange Rule 100.
The term ``System'' means the automated trading system used by the
Exchange for the trading of securities. See id.
---------------------------------------------------------------------------
The proposed Report will be a Member-specific report and will help
Members to better understand by how much time a particular order missed
executing against a specific resting order, thus allowing that Member
to determine whether it wants to invest in the necessary resources and
technology to mitigate missed executions against certain resting orders
on the Exchange's Book. For example, Member A submits an order that is
posted to the Book and then Member B enters a marketable order to
execute against Member A's resting order. Immediately thereafter,
Member C sends a marketable order to execute against Member A's resting
Order. Because Member B's order is received by the Exchange before
Member C's order, Member B's order executes against Member A's resting
order. The proposed Report would provide Member C the data points
necessary for that firm to calculate by how much time they missed
executing against Member A's resting order. The Exchange proposes to
provide the Report on a T+1 basis. As further described below, the
Report will be specific and tailored to the Member that is subscribed
to the Report and any data included in the Report that relates to a
Member other than the Member receiving the Report will be anonymized.
The Exchange proposes to provide the Report in response to Member
demand for data concerning the timeliness of their incoming orders and
executions against resting orders. Members have periodically requested
from the Exchange's trading operations personnel information concerning
the timeliness of their incoming orders and efficacy of their attempts
to execute against resting liquidity on the Exchange's Book. The
purpose of the Report is to provide Members the necessary data in a
standardized format on a T+1 basis to those that subscribe to the
Report on an equal basis.\6\
---------------------------------------------------------------------------
\6\ The proposed Report is based on a similar report provided by
the NASDAQ Stock Market LLC (``NASDAQ'') for equity securities
called the Missed Opportunity--Latency report as part of its NASDAQ
Trader Insights offering. See NASDAQ Equity Section 7, Rule
146(a)(2). See also Securities Exchange Act Release No. 78886
(September 20, 2016), 81 FR 66113 (September 26, 2016) (SR-NASDAQ-
2016-101) (Order Granting Approval of Proposed Rule Change, as
Modified by Amendment Nos. 1 and 2, To Add NASDAQ Rule 7046 (Nasdaq
Trading Insights)) (``NASDAQ Approval Order''). NASDAQ later
renumbered Rule 7046 as Equity Section 7, Rule 146. See Securities
Exchange Act Release No. 84684 (November 29, 2018), 83 FR 62936
(December 6, 2018) (SR-NASDAQ-2018-098). See also the CME Group,
Inc.'s Time and Sale report. https://www.cmegroup.com/trading/about-
time-sales.html#:~:text=CME%20Globex%20Options)-,
CME%20Group's%20Time%20% 26%20Sales%20report%20provides%20the%
20price%20and%20time,calendar%20date)%20of%20the%20transaction.&text=
A%20zero%20volume%20represents%20an%20indicative%20price.,-
The%20Indicator%20column.
---------------------------------------------------------------------------
Proposed Exchange Rule 531(a) would provide that the Report is a
daily report that provides a Member (``Recipient Member'') with its
liquidity response
[[Page 15760]]
time details for executions of an order resting on the Book, where that
Recipient Member attempted to execute against such resting order within
a certain timeframe.
Report Content
Paragraph (a)(1) of Rule 531 would describe the content of the
Report and delineate which information would be provided regarding the
resting order,\7\ the response that successfully executed against the
resting order, and the response submitted by the Recipient Member that
missed executing against the resting order. It is important to note
that the content of the Report will be specific to the Recipient Member
and the Report will not include any information related to any Member
other than the Recipient Member. The Exchange will restrict all other
market participants, including the Recipient Member, from receiving
another market participant's data.
---------------------------------------------------------------------------
\7\ Only displayed orders will be included in the Report. The
Exchange notes that it does not currently offer any non-displayed
orders types on its options trading platform.
---------------------------------------------------------------------------
Resting Order Information. Rule 531(a)(1)(i) would provide that the
following information would be included in the Report regarding the
resting order: (A) the time the resting order was received by the
Exchange; \8\ (B) symbol; \9\ (C) order reference number, which is a
unique reference number assigned to a new order at the time of receipt;
\10\ (D) whether the Recipient Member is an Affiliate \11\ of the
Member that entered the resting order; \12\ (E) origin type (e.g.,
Priority Customer,\13\ Market Maker \14\); (F) side (buy or sell); \15\
and (G) displayed price and size of the resting order.\16\
---------------------------------------------------------------------------
\8\ This information is also included in the NASDAQ report. See
Nasdaq Approval Order at note 12, supra note 6. The time the
Exchange received the resting order would be in nanoseconds and is
the time the resting order was received by the Exchange's System.
\9\ This information is also included in the NASDAQ report. See
id.
\10\ This information is also included in the NASDAQ report. See
id.
\11\ The term ``affiliate'' of or person ``affiliated with''
another person means a person who, directly, or indirectly,
controls, is controlled by, or is under common control with, such
other person. See Exchange Rule 100.
\12\ The Report will simply indicate whether the Recipient
Member is Affiliate of the Member that entered the resting order and
not include any other information that may indicate the identity of
the Member that entered the resting order.
\13\ The term ``Priority Customer'' means a person or entity
that (i) is not a broker or dealer in securities, and (ii) does not
place more than 390 orders in listed options per day on average
during a calendar month for its own beneficial account(s). The
number of orders shall be counted in accordance with Interpretation
and Policy .01 to Exchange Rule 100. See Exchange Rule 100.
\14\ The term ``Market Maker'' refers to ``Lead Market Makers'',
``Primary Lead Market Makers'' and ``Registered Market Makers''
collectively. See Exchange Rule 100.
\15\ This information is also included in the NASDAQ report. See
Nasdaq Approval Order at note 12, supra note 6.
\16\ This information is also included in the NASDAQ Report. See
id. The Exchange notes that the displayed price and size are also
disseminated via the Exchange's proprietary data feeds and the
Options Price Reporting Authority (``OPRA''). The Exchange also
notes that the displayed price of the resting order may be different
than the ultimate execution price. This may occur when a resting
order is displayed and ranked at different prices upon entry to
avoid a locked or crossed market.
---------------------------------------------------------------------------
Execution Information. Rule 531(a)(1)(ii) would provide that the
following information would be included in the Report regarding the
execution of the resting order: (A) the EBBO \17\ at the time of
execution; \18\ (B) the ABBO \19\ at the time of execution; \20\ (C)
the time first response that executes against the resting order was
received by the Exchange and the size of the execution and type of the
response; \21\ (D) the time difference between the time the resting
order was received by the Exchange and the time the first response that
executes against the resting order was received by the Exchange; \22\
and (E) whether the response was entered by the Recipient Member. If
the resting order executes against multiple contra-side responses, only
the EBBO and ABBO at the time of the execution against the first
response will be included.
---------------------------------------------------------------------------
\17\ The term ``EBBO'' means the best bid or offer on the
Exchange. See Exchange Rule 100.
\18\ Exchange Rule 531(a)(1)(ii)(B) would further provide that
if the resting order executes against multiple contra-side
responses, only the EBBO [sic] at the time of the execution against
the first response will be included.
\19\ The term ``ABBO'' or ``Away Best Bid or Offer'' means the
best bid(s) or offer(s) disseminated by other Eligible Exchanges
(defined in Exchange Rule 1400(g)) and calculated by the Exchange
based on market information received by the Exchange from OPRA. See
Exchange Rule 100.
\20\ Exchange Rule 531(a)(1)(ii)(A) would further provide that
if the resting order executes against multiple contra-side
responses, only the ABBO [sic] at the time of the execution against
the first response will be included.
\21\ This information is also included in the NASDAQ report. See
Nasdaq Approval Order at note 12, supra note 6. The time the
Exchange received the response order would be in nanoseconds and
would be the time the response was received by the Exchange's
network, which is before the time the response would be received by
the System.
\22\ The time difference would be provided in nanoseconds. This
information is also included in the NASDAQ report. See Nasdaq
Approval Order at note 12, supra note 6.
---------------------------------------------------------------------------
Recipient Member's Response Information. Rule 531(a)(1)(iii) would
provide that the following information would be included in the Report
regarding response(s) sent by the Recipient Member: (A) Recipient
Member identifier; (B) the time difference between the time the first
response that executes against the resting order was received by the
Exchange and the time of each response sent by the Recipient Member,
regardless of whether it executed or not; \23\ (C) size and type of
each response submitted by Recipient Member; and (D) response reference
number, which is a unique reference number attached to the response by
the Recipient Member.
---------------------------------------------------------------------------
\23\ This information is also included in the NASDAQ report. See
Nasdaq Approval Order at note 12, supra note 6. For purposes of
calculating this duration of time, the Exchange will use the time
the resting order and the Recipient Member's response(s) is received
by the Exchange's network, both of which would be before the order
and response(s) would be received by the System. This time
difference would be provided in nanoseconds.
---------------------------------------------------------------------------
Timeframe for Data Included in Report
Paragraph (a)(2) of Rule 531 would provide that the Report would
include the data set forth under Rule 531(a)(1) described above for
executions and contra-side responses that occurred within 200
microseconds of the time the resting order was received by the
Exchange.
Scope of Data Included in the Report
Paragraph (a)(3) of Rule 531 would provide that the Report will
only include trading data related to the Recipient Member and, subject
to the proposed paragraph (4) of Rule 531(a) described below, will not
include any other Member's trading data other than that listed in
paragraphs (1)(i) and (ii) of Exchange Rule 531(a) described above.\24\
---------------------------------------------------------------------------
\24\ The scope of information included in the Report is similar
to the NASDAQ report in that both NASDAQ's report and the proposed
Report do not include information related to the any Member other
than the Recipient Member. See Nasdaq Approval Order at note 13,
supra note 6.
---------------------------------------------------------------------------
Historical Data
Paragraph (a)(4) of Rule 531 would specify that the Report will
contain historical data from the prior trading day and will be
available after the end of the trading day, generally on a T+1 basis.
2. Statutory Basis
The Exchange believes the proposed rule change is consistent with
the Act and the rules and regulations thereunder applicable to the
Exchange and, in particular, the requirements of Section 6(b) of the
Act.\25\ Specifically, the Exchange believes the proposed rule change
is consistent with the Section 6(b)(5) \26\ requirements that the rules
of an exchange be designed to prevent
[[Page 15761]]
fraudulent and manipulative acts and practices, to promote just and
equitable principles of trade, to foster cooperation and coordination
with persons engaged in regulating, clearing, settling, processing
information with respect to, and facilitating transactions in
securities, to remove impediments to and perfect the mechanism of a
free and open market and a national market system, and, in general, to
protect investors and the public interest. This proposal is in keeping
with those principles in that it promotes increased transparency
through the dissemination of the optional Report to those interested in
subscribing to receive the data. Additionally, the Exchange believes
the proposed rule change is consistent with the Section 6(b)(5) \27\
requirement that the rules of an exchange not be designed to permit
unfair discrimination between customers, issuers, brokers, or dealers.
---------------------------------------------------------------------------
\25\ 15 U.S.C. 78f(b).
\26\ 15 U.S.C. 78f(b)(5).
\27\ Id.
---------------------------------------------------------------------------
The Exchange believes the proposed Report will serve to promote
just and equitable principles of trade, remove impediments to and
perfect the mechanism of a free and open market and a national market
system, and, in general protect investors and the public interest
because it will benefit investors by facilitating their prompt access
to the value added information that is included in the proposed Report.
The Report will allow Members to access information regarding their
trading activity that they may utilize to evaluate their own trading
behavior and order interactions.
The proposed Report is designed for Members that are interested in
gaining insight into latency in connection with orders that failed to
execute against an order resting on the Exchange's Book by providing
those Members data to analyze by how much time their order may have
missed an execution against a contra-side order resting on the Book.
The Exchange believes that providing this optional latency data to
interested Members is consistent with facilitating transactions in
securities, removing impediments to and perfecting the mechanism of a
free and open market and a national market system, and, in general,
protecting investors and the public interest because it provides
greater visibility into the latency of Members' incoming orders.
Members may use this data to optimize their models and trading patterns
in an effort to yield better execution results by calculating by how
much time their order may have missed an execution.
The Report generally contains three buckets of information. The
first two buckets include information about the resting order and the
execution of the resting order. This information is generally available
from other public sources, such as OPRA and the Exchange's proprietary
data feeds, or is similar to information included in a report offered
by another exchange. For example, OPRA provides bids, offers, and
consolidated last sale and quotation information for options trading on
all national securities exchanges, including the Exchange. In addition,
the Exchange offers the Top of Market (``ToM'') feed which provides
real-time quote and last sale information for all displayed orders on
the Book.\28\
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\28\ See Securities Exchange Release 79913 (February 1, 2017),
82 FR 9617 (February 7, 2017) (Notice of Filing and Immediate
Effectiveness of a Proposed Rule Change to Establish the MIAX PEARL
Top of Market (``ToM'') and MIAX PEARL Liquidity Feed (``PLF'') Data
Products).
---------------------------------------------------------------------------
Specifically, the first bucket of information contained in the
Report for the resting order includes the time the resting order was
received by the Exchange, the symbol, unique reference number assigned
at the time of receipt, side (buy or sell), and the displayed price and
size of the resting order. Each of these data points are also included
in the report of another exchange that was previously approved by the
Commission.\29\ Further, the symbol, origin type, side (buy or sell),
and displayed price and size are also available either via OPRA or the
Exchange's proprietary data feeds. The first bucket of information also
indicates whether the Recipient Member is an Affiliate of the Member
that entered the resting order. This data field will not indicate the
identity of the Member that entered the resting order and would simply
allow the Recipient Member to better understand the scenarios in which
it may execute against the orders of its Affiliates.\30\
---------------------------------------------------------------------------
\29\ This information is also included in the NASDAQ report. See
Nasdaq Approval Order at note 12, supra note 6.
\30\ The Exchange's surveils to monitor for abhorrent behavior
related to internalized trades and identify potential wash sales.
---------------------------------------------------------------------------
The second bucket of information contained in the Report regards
the execution of the resting order and includes the EBBO and ABBO at
the time of execution. These data points are also available either via
OPRA or the Exchange's proprietary data feeds. The second bucket of
information will also indicate whether the response was entered by the
Recipient Member. This data point is simply provided as a convenience.
If not entered by the Recipient Member, this data point will be left
blank so as not to include any identifying information about other
Member activity. The second bucket of information also includes the
size, time and type of first response that executes against the resting
order; as well as the time difference between the time the resting
order and first response that executes against the resting order are
received by the Exchange. These data points would assist the Recipient
Member in analyzing by how much time their order may have missed an
execution against a contra-side order resting on the Book. These data
points are also included in the report of another exchange that was
previously approved by the Commission.\31\
---------------------------------------------------------------------------
\31\ This information is also included in the NASDAQ report. See
Nasdaq Approval Order at note 12, supra note 6.
---------------------------------------------------------------------------
The third bucket of information is about the Recipient Member's
response(s) and the time their response(s) is received by the Exchange.
This includes the time difference between the time the first response
that executes against the resting order was received by the Exchange
and the time of each response sent by the Recipient Member, regardless
of whether it executed or not. As above, this data point would assist
the Recipient Member in analyzing by how much time their order may have
missed an execution against a contra-side order resting on the Book.
This data point is also included in the report of another exchange that
was previously approved by the Commission.\32\ This bucket would also
include the size and type of each response submitted by the Recipient
Member, the Recipient Member identifier, and a response reference
number which is selected by the Recipient Member. Each of these data
point are unique to the Recipient Member and should already be known by
Recipient Member even if not included in the Report.
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\32\ This information is also included in the NASDAQ report. See
Nasdaq Approval Order at note 12, supra note 6.
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As mentioned above, at least one other exchange currently offers a
similar trading related report that has been reviewed and approved by
the Commission. Specifically, NASDAQ provides the Missed Opportunity--
Latency report as part of its NASDAQ Trader Insights offering.\33\
NASDAQ's Missed Opportunity--Latency report, like the proposed Report,
identifies by how much time a marketable order missed executing against
a resting order, similar to the third bucket of information provided in
the Report and described above. Both the proposed Report and NASDAQ's
Missed Opportunity--Latency report are both
[[Page 15762]]
provided on a T+1 basis and include data specific to one Member, and
only that Member would receive the report.\34\ In addition, both the
proposed Report and NASDAQ's Missed Opportunity--Latency report are
intended to provide the Recipient Member with the time duration by
which the order entered by the Recipient Member missed an execution.
Both the Exchange and NASDAQ restrict all other market participants,
including the Recipient Member, from receiving another market
participant's data. As described above throughout the proposal, the
proposed Report and NASDAQ's Missed Opportunity--Latency report both
include the following information:
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\33\ See NASDAQ Approval Order supra note 6.
\34\ Id.
The time a resting order was received by the Exchange
Symbol
Order reference number (unique reference number assigned to a
new order at the time of receipt)
Side (buy or sell)
Displayed price and size of the resting order
Time first response that executes against the resting order
was received by the Exchange and the size of the execution and type of
the response
Time difference between the time the resting order was
received by the Exchange and the time the first response that executes
against the resting order was received by the Exchange
Time difference between the time the first response that
executes against the resting order was received by the Exchange and the
time of each response sent by the Recipient Member, regardless of
whether it executed or not
The proposed Report includes that following information that is not
included in NASDAQ's Missed Opportunity--Latency report:
Whether the Recipient Member is an Affiliate of the Member
that entered the resting order.
Origin type (e.g., Priority Customer, Market Maker). This
difference is immaterial as this data point is being provided as a
convenience and this data point is also available either via OPRA or
the Exchange's proprietary data feeds.
EBBO at the time of the execution. This difference is
immaterial as this data point is being provided as a convenience and
this data point is also available either via OPRA or the Exchange's
proprietary data feeds.
ABBO at the time of the execution. This difference is
immaterial as this data point is being provided as a convenience and
this data point is also available either via OPRA or the Exchange's
proprietary data feeds.
Whether response was entered by the Recipient Member. As
stated above, this data point is simply provided as a convenience to
the Recipient Member. If not entered by the Recipient Member, this data
point will be left blank so as not to include any identifying
information about other Member activity.
Recipient Member identifier. This difference is not material
because this data point is being provided as a convenience would [sic]
be known to the Recipient Member even if not included in the Report.
Size and type of each response submitted by the Recipient
Member. This difference is not material because this data point is
being provided as a convenience would [sic] be known to the Recipient
Member even if not included in the Report.
Response reference number. The Exchange believe [sic] this is
not a material difference since it this [sic] is a unique reference
number not assigned by the Exchange, but rather attached to response
[sic] by the Recipient Member themselves and would be known to the
Recipient Member even if not included in the Report.
As illustrated above, the proposed Report and NASDAQ's Missed
Opportunity--Latency Report is substantially similar and includes a
number of the same data elements designed to assist Members in better
understanding their trading activity on the Exchange and augment their
trading strategies to improve their execution opportunities. Each of
these above differences are immaterial because the data point is
available via another source and is being provided as a convenience to
the Recipient Member when analyzing the Report and intended to make the
Report more comprehensive and easier to understand.
One additional difference between the proposed Report and NASDAQ's
Missed Opportunity--Latency report is unrelated to the content of the
Report, but is related to the type of security the report covers. The
proposed Report would cover options trading on the Exchange while
NASDAQ's Missed Opportunity--Latency report covers equity securities.
The Exchange believes this difference is of no consequence as both
reports are intended to serve the same purpose--providing firms with an
opportunity to learn more about when they may have better opportunities
to access liquidity and to receive better execution rates. The
infrastructure by which a market participant seek to access displayed
liquidity on either an equity or options exchange is similar. Liquidity
seeking orders on both equity and options exchanges would access the
exchanges' systems in similar manners through the use of ports and
gateways. Both reports provide data regarding attempts to access
liquidity and both reports would be of no value to market participants
seeking to access liquidity in dark pools or other off-exchange venues
that are present in the equities market that do not provide for
displayed orders. Such off exchange venues are not present in the
options markets. The value of such a report is only present in the
displayed markets for both options and equities trading and, therefore,
the Exchange believes the proposed Report presents the same utility and
benefits in the options market as the NASDAQ report does today for
equities.
In approving NASDAQ's Missed Opportunity--Latency report, the
Commission noted that the report ``would increase transparency,
particularly for Members who may not have the expertise to generate the
same information.'' \35\ For the reasons stated above, the Exchange
believes this statement is true regardless of whether the Recipient
Member trades equities or options. The Exchange's proposed Report would
achieve the same goal for Members seeking to better understand the
efficacy of their incoming orders. Further, the proposed Report
promotes just and equitable principles of trade because, like NASDAQ's
report, it will increase transparency and democratize information so
that all firms may elect to subscribe to the Report even though some
firms may not have the appropriate resources to generate a similar
report themselves.
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\35\ See Securities Exchange Act Release No. 78886 (September
20, 2016), 81 FR 66113, 66114 (September 26, 2016).
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The Exchange proposes to provide the Report on a voluntary basis
and no Member will be required to subscribe to the Report. The Exchange
notes that there is no rule or regulation that requires the Exchange to
produce, or that a Member elect to receive, the Report. It is entirely
a business decision of each Member to subscribe to the Report. The
Exchange proposes to offer the Report as a convenience to Members to
provide them with additional information regarding trading activity on
the Exchange on a delayed basis after the close of regular trading
hours. A Member that chooses to subscribe to the Report may discontinue
receiving the
[[Page 15763]]
Report at any time if that Member determines that the information
contained in the Report is no longer useful.
In summary, the proposed Report will help to protect a free and
open market by providing additional data (offered on an optional basis)
to the marketplace and by providing investors with greater choices.\36\
Additionally, the proposal would not permit unfair discrimination
because the proposed Report will be available to all Exchange Members.
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\36\ See Sec. Indus. Fin. Mkts. Ass'n (SIFMA), Initial Decision
Release No. 1015, 2016 SEC LEXIS 2278 (ALJ June 1, 2016) (finding
the existence of vigorous competition with respect to non-core
market data).
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B. Self-Regulatory Organization's Statement on Burden on Competition
The Exchange does not believe that the proposed rule change will
result in any burden on competition that is not necessary or
appropriate in furtherance of the purposes of the Act, as amended. The
Exchange believes that the proposed Report will enhance competition
\37\ by providing a new option for receiving market data to Members.
The proposed Report will also further enhance competition between
exchanges by allowing the Exchange to expand its product offerings to
include a report similar to that currently offered by NASDAQ.\38\
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\37\ Id.
\38\ See NASDAQ Equity Section 7, Rule 146(a)(2).
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In this instance, the proposed rule change to offer the optional
Report is in response to Member interest and requests for such
information. The Exchange does not believe the proposed Report will
have an inappropriate burden on intra-market competition between
Recipient Members and other Members who do not receive the Report. As
discussed above, the first two buckets of information included in the
Report contain information about the resting order and the execution of
the resting order, both of which are generally available to Members
that chose not to receive the Report from other public sources, such as
OPRA and the Exchange's proprietary data feeds. The third bucket of
information is about the Recipient Member's response and the time their
response is received by the Exchange, information which the Recipient
Member would be able to obtain without receiving the Report.
Additionally, some Members may already be able to derive a substantial
amount of the same data that is provided by some of the components
based on their own executions and algorithms.
In sum, if the proposed Report is unattractive to Members, Members
will opt not to receive it. Accordingly, the Exchange does not believe
that the proposed change will impair the ability of Members or
competing order execution venues to maintain their competitive standing
in the financial markets.
C. Self-Regulatory Organization's Statement on Comments on the Proposed
Rule Change Received From Members, Participants, or Others
Written comments were neither solicited nor received.
III. Date of Effectiveness of the Proposed Rule Change and Timing for
Commission Action
Within 45 days of the date of publication of this notice in the
Federal Register or within such longer period (i) as the Commission may
designate up to 90 days of such date if it finds such longer period to
be appropriate and publishes its reasons for so finding or (ii) as to
which the Exchange consents, the Commission shall: (a) By order approve
or disapprove such proposed rule change, or (b) institute proceedings
to determine whether the proposed rule change should be disapproved.
IV. Solicitation of Comments
Interested persons are invited to submit written data, views, and
arguments concerning the foregoing, including whether the proposed rule
change is consistent with the Act. Comments may be submitted by any of
the following methods:
Electronic Comments
Use the Commission's internet comment form (https://www.sec.gov/rules/sro.shtml); or
Send an email to [email protected]. Please include
File Number SR-EMERALD-2021-09 on the subject line.
Paper Comments
Send paper comments in triplicate to Secretary, Securities
and Exchange Commission, 100 F Street NE, Washington, DC 20549-1090.
All submissions should refer to File Number SR-EMERALD-2021-09. This
file number should be included on the subject line if email is used. To
help the Commission process and review your comments more efficiently,
please use only one method. The Commission will post all comments on
the Commission's internet website (https://www.sec.gov/rules/sro.shtml).
Copies of the submission, all subsequent amendments, all written
statements with respect to the proposed rule change that are filed with
the Commission, and all written communications relating to the proposed
rule change between the Commission and any person, other than those
that may be withheld from the public in accordance with the provisions
of 5 U.S.C. 552, will be available for website viewing and printing in
the Commission's Public Reference Room, 100 F Street NE, Washington, DC
20549, on official business days between the hours of 10:00 a.m. and
3:00 p.m. Copies of the filing also will be available for inspection
and copying at the principal office of the Exchange. All comments
received will be posted without change. Persons submitting comments are
cautioned that we do not redact or edit personal identifying
information from comment submissions. You should submit only
information that you wish to make available publicly. All submissions
should refer to File Number SR-EMERALD-2021-09, and should be submitted
on or before April 14, 2021.
For the Commission, by the Division of Trading and Markets,
pursuant to delegated authority.\39\
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\39\ 17 CFR 200.30-3(a)(12).
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Eduardo A. Aleman,
Deputy Secretary.
[FR Doc. 2021-05998 Filed 3-23-21; 8:45 am]
BILLING CODE 8011-01-P
