Self-Regulatory Organizations: MIAX Emerald, LLC; Notice of Filing and Immediate Effectiveness of a Proposed Rule Change To Amend Exchange Rule 531 To Provide for the New Liquidity Taker Event Report-Complex Orders, 7223-7229 [2022-02553]
Download as PDF
<![CDATA[
Federal Register / Vol. 87, No. 26 / Tuesday, February 8, 2022 / Notices
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
Because the foregoing proposed rule
change does not: (i) Significantly affect
the protection of investors or the public
interest; (ii) impose any significant
burden on competition; and (iii) become
operative for 30 days after the date of
the filing, or such shorter time as the
Commission may designate, it has
become effective pursuant to 19(b)(3)(A)
of the Act 45 and Rule 19b–4(f)(6) 46
thereunder.
At any time within 60 days of the
filing of the proposed rule change, the
Commission summarily may
temporarily suspend such rule change if
it appears to the Commission that such
action is necessary or appropriate in the
public interest, for the protection of
investors, or otherwise in furtherance of
the purposes of the Act.
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–
MIAX–2022–06 on the subject line.
khammond on DSKJM1Z7X2PROD with NOTICES
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–MIAX–2022–06. 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
45 15
U.S.C. 78s(b)(3)(A).
CFR 240.19b–4(f)(6). In addition, Rule 19b–
4(f)(6) requires a self-regulatory organization to give
the Commission written notice of its intent to file
the proposed rule change at least five business days
prior to the date of filing of the proposed rule
change, or such shorter time as designated by the
Commission. The Exchange has satisfied this
requirement.
46 17
VerDate Sep<11>2014
16:16 Feb 07, 2022
Jkt 256001
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–MIAX–2022–06, and
should be submitted on or before March
1, 2022.
For the Commission, by the Division of
Trading and Markets, pursuant to delegated
authority.47
J. Matthew DeLesDernier,
Assistant Secretary.
[FR Doc. 2022–02551 Filed 2–7–22; 8:45 am]
BILLING CODE 8011–01–P
SECURITIES AND EXCHANGE
COMMISSION
[Release No. 34–94136; File No. SR–
EMERALD–2022–02]
Self-Regulatory Organizations: MIAX
Emerald, LLC; Notice of Filing and
Immediate Effectiveness of a Proposed
Rule Change To Amend Exchange
Rule 531 To Provide for the New
Liquidity Taker Event Report—
Complex Orders
7223
as described in Items I and II 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 amend
Exchange Rule 531(b) to provide for the
new ‘‘Liquidity Taker Event Report—
Complex Orders’’.
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.
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 currently offers the
Liquidity Taker Event Report, which is
a Member 3-specific report and helps
Members to better understand by how
much time a particular order missed
executing against a specific order resting
on the Exchange’s Simple Order Book.4
The current Liquidity Taker Event
Report is described under Exchange
Rule 531(a).5
February 2, 2022.
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 January
27, 2022, MIAX Emerald, LLC (‘‘MIAX
Emerald’’ or ‘‘Exchange’’) filed with the
Securities and Exchange Commission
(‘‘Commission’’) a proposed rule change
47 17
CFR 200.30–3(a)(12).
U.S.C. 78s(b)(1).
2 17 CFR 240.19b–4.
1 15
PO 00000
Frm 00140
Fmt 4703
Sfmt 4703
3 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.
4 The term ‘‘Simple Order Book’’ means ‘‘the
Exchange’s regular electronic book of orders and
quotes.’’ See Exchange Rule 518(a)(15).
5 See Securities Exchange Act Release No. 91787
(May 6, 2021), 86 FR 26111 (May 12, 2021) (SR–
EMERALD–2021–09) (Order Approving Proposed
Rule Change To Adopt Exchange Rule 531(a),
Reports, To Provide for a New ‘‘Liquidity Taker
Event Report’’).
E:\FR\FM\08FEN1.SGM
08FEN1
7224
Federal Register / Vol. 87, No. 26 / Tuesday, February 8, 2022 / Notices
khammond on DSKJM1Z7X2PROD with NOTICES
The Exchange now proposes to amend
Exchange Rule 531(b) 6 to provide for
the new ‘‘Liquidity Taker Event
Report—Complex Orders’’ (the
‘‘Complex Order Report’’) which would
be substantially similar to the existing
Liquidity Taker Event Report, but would
include data concerning a Member’s
Complex Orders.7 The Exchange also
proposes to change the name of the
existing Liquidity Taker Event Report to
‘‘Liquidity Taker Event Report—Simple
Orders’’ and amend Exchange Rule
531(a) accordingly (the ‘‘Liquidity Taker
Event Report—Simple Orders’’ shall be
referred to herein as the ‘‘Simple Order
Report’’).
The Simple Order Report includes
information about incoming orders
seeking to remove resting orders from
the Simple Order Book. The proposed
Complex Order Report would include
the same information about incoming
Complex Orders that seek to remove
Complex Orders resting on the Strategy
Book.8 Two other differences between
the proposed Complex Order Report and
the Simple Order Report are that the
proposed Complex Order Report will
include the Complex EBBO 9 in place of
6 Currently, Exchange Rule 531(b) is titled
‘‘Market Data Products’’ and provides the rule text
for the Open-Close Report. See Exchange Rule
531(b). With this filing, the Exchange also proposes
to move the rule text for Market Data Products to
now be renumbered as Exchange Rule 531(c). The
Exchange does not propose to amend any of the rule
text for Market Data Products as currently stated in
Exchange Rule 531.
7 In sum, a ‘‘Complex Order’’ is ‘‘any order
involving the concurrent purchase and/or sale of
two or more different options in the same
underlying security (the ‘legs’ or ‘components’ of
the complex order), for the same account . . . .’’
See Exchange Rule 518(a)(5).
8 The term ‘‘Complex Strategy’’ means ‘‘a
particular combination of components and their
ratios to one another. New complex strategies can
be created as the result of the receipt of a complex
order or by the Exchange for a complex strategy that
is not currently in the System.’’ See Exchange Rule
518(a)(6). The term ‘‘Strategy Book’’ means the
Exchange’s electronic book of complex orders and
complex quotes. See Exchange Rule 518(a)(17). The
Strategy Book is organized by Complex Strategy in
that individual orders for a defined Complex
Strategy are organized together in a book that is
separate from the orders for a different Complex
Strategy.
9 The term ‘‘EBBO’’ means the Exchange’s best
bid or offer. See Exchange Rule 100. The Complex
EBBO for a particular Complex Strategy is
calculated using the Implied Complex MIAX
Emerald Best Bid or Offer (‘‘icEBBO’’) combined
with the best price currently available for that
particular Complex Strategy on the Strategy Book to
establish the Exchange’s best net bid or offer for that
Complex Strategy. The icEBBO is calculated using
the best price from the Simple Order Book for each
component of a Complex Strategy including
displayed and non-displayed trading interest. For
stock-option orders, the icEBBO for a Complex
Strategy is calculated using the best price (whether
displayed or non-displayed) on the Simple Order
Book in the individual option component(s), and
the NBBO in the stock component. See Exchange
Rule 518(a)(12).
VerDate Sep<11>2014
16:16 Feb 07, 2022
Jkt 256001
the EBBO and Complex ABBO 10 in
place of the ABBO, as described further
below. These are minor differences
designed to provide the EBBO and
ABBO that are relevant to trading
Complex Orders. Otherwise, the content
and dissemination of the proposed
Complex Order Report set forth under
amended Exchange Rule 531(b) will be
identical to that of the Simple Order
Report under Exchange Rule 531(a).
Other than the difference set forth
above, the Exchange represents that
there are no other differences between
Simple Orders and Complex Orders that
would necessitate any other changes to
the proposed Complex Order Report or
render the effects or use of the proposed
Complex Order Report as different from
the Simple Order Report.
Like the Simple Order Report, the
proposed Complex Order Report is an
optional product 11 available to
Members. 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 Complex
Order interactions with the Exchange.
The Exchange believes the proposed
Complex Order Report will provide
Members with an opportunity to learn
more about better opportunities to
access liquidity and receive better
execution rates when trading Complex
Orders. The proposed Complex Order
Report will increase transparency and
democratize information so that all
firms that subscribe to the proposed
Complex Order 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. Like the Simple
Order Report, none of the components
of the proposed Complex Order 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 Simple Order Book. Like the
Simple Order Report, the proposed
10 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
the Options Price Reporting Authority (‘‘OPRA’’).
See Exchange Rule 100. The Complex ABBO is
calculated using the ABBO for each component of
a Complex Strategy to establish the away markets’
best net bid or offer for a Complex Strategy.
11 The Exchange intends to submit a separate
filing with the Commission pursuant to Section
19(b)(1) to propose fees for the proposed Complex
Order Report.
PO 00000
Frm 00141
Fmt 4703
Sfmt 4703
Complex Order Report would identify
by how much time an order that may
have been marketable missed an
execution. In the case of the proposed
Complex Order Report, the incoming
order would be a Complex Order
submitted to trade against a resting
order for a Complex Strategy. The
proposed Complex Order 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 when trading Complex
Orders.
Like the Simple Order Report, the
proposed Complex Order Report will be
a Member-specific report and will help
Members to better understand by how
much time a particular order, in this
case a Complex 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
Strategy Book. For example, Member A
submits a Complex Order that is posted
to the Strategy Book and then, within
200 microseconds of the entry of
Member A’s Complex Order, Member B
enters a marketable Complex Order to
execute against Member A’s resting
Complex Order. Immediately thereafter,
Member C also within 200
microseconds of the entry of Member
A’s Complex Order, sends a marketable
Complex Order to execute against
Member A’s resting Complex Order.
Because Member B’s Complex Order is
received by the Exchange before the
Complex Order for Member C Member
B’s Complex Order executes against
Member A’s resting Complex Order. If
Member C were to subscribe to the
proposed Complex Order Report, it
would be provided the data points
necessary for that firm to calculate by
how much time they missed executing
against Member A’s resting Complex
Order.
Like the Simple Order Report, the
Exchange proposes to provide the
proposed Complex Order Report on a
T+1 basis. As further described below,
the proposed Complex Order Report
will be specific and tailored to the
Member that is subscribed to the
Complex Order Report and any data
included in the Complex Order Report
that relates to a Member other than the
Member receiving the Complex Order
Report will be anonymized.
The Exchange proposes to provide the
Complex Order Report in response to
Member demand for data concerning the
timeliness of their incoming Complex
Orders and executions against resting
E:\FR\FM\08FEN1.SGM
08FEN1
Federal Register / Vol. 87, No. 26 / Tuesday, February 8, 2022 / Notices
khammond on DSKJM1Z7X2PROD with NOTICES
orders. Members have found the
existing Simple Order Report helpful
and have periodically requested similar
information from the Exchange
regarding their Complex Orders. This
has come in the form of requests by
Members to the Exchange’s trading
operations personnel for information
concerning the timeliness of their
incoming Complex Orders and efficacy
of their attempts to execute against
resting liquidity on the Exchange’s
Strategy Book. The purpose of the
proposed Complex Order Report is to
provide Recipient Members the
necessary data in a standardized format
on a T+1 and equal basis.
Similar to current Exchange Rule
531(a) regarding the Simple Order
Report, amended Exchange Rule 531(b)
would provide that the proposed
Complex Order Report is a daily report
that provides a Member (‘‘Recipient
Member’’) with its liquidity response
time details for executions of an order
resting on the Strategy Book, where that
Recipient Member submitted a Complex
Order that attempted to execute against
such resting Complex Order within a
certain timeframe.
Report Content
The content of the proposed Complex
Order Report would be identical to the
Simple Order Report, but for two minor
differences discussed below. Paragraph
(b)(1) of Rule 531 would describe the
content of the proposed Complex Order
Report and delineate which information
would be provided regarding the resting
order,12 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 proposed
Complex Order Report will be specific
to the Recipient Member and the
proposed Complex Order 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. The
content of the proposed Complex Order
Report set forth under amended
Exchange Rule 531(b)(1)(i) is identical
to the content of the Simple Order
Report under Exchange Rule
531(a)(1)(i). However, as noted above,
the content of the proposed Complex
Order Report would be limited to
12 Like the Simple Order Report, only displayed
orders will be included in the proposed Complex
Order Report. The Exchange notes that it does not
currently offer any non-displayed order types on its
options trading platform.
VerDate Sep<11>2014
16:16 Feb 07, 2022
Jkt 256001
incoming Complex Orders that seek to
remove liquidity from the Exchange’s
Strategy Book.
Amended Exchange Rule 531(b)(1)(i)
would provide that the following
information would be included in the
proposed Complex Order Report
regarding the resting order: (A) The time
the resting order was received by the
Exchange; 13 (B) symbol; 14 (C) order
reference number, which is a unique
reference number assigned to a new
Complex Order at the time of receipt; 15
(D) whether the Recipient Member is an
Affiliate 16 of the Member that entered
the resting order; 17 (E) origin type (e.g.,
Priority Customer,18 Market Maker 19); 20
(F) side (buy or sell); 21 and (G)
displayed price and size of the resting
order.22
Execution Information. Amended
Exchange Rule 531(b)(1)(ii) would
provide that the following information
would be included in the proposed
Complex Order Report regarding the
execution of the resting order: (A) The
Complex EBBO at the time of
execution; 23 (B) the Complex ABBO at
the time of execution; 24 (C) the time the
13 This information is also included in the Simple
Order Report. See Exchange Rule 531(a)(1)(i)(A).
14 This information is also included in the Simple
Order Report. See Exchange Rule 531(a)(1)(i)(B).
15 This information is also included in the Simple
Order Report. See Exchange Rule 531(a)(1)(i)(C).
16 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.
17 This information is also included in the Simple
Order Report. See Exchange Rule 531(a)(1)(i)(D).
The Report will simply indicate whether the
Recipient Member is an 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.
18 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.
19 The term ‘‘Market Maker’’ refers to ‘‘Lead
Market Makers’’, ‘‘Primary Lead Market Makers’’
and ‘‘Registered Market Makers’’ collectively. See
Exchange Rule 100.
20 This information is also included in the Simple
Order Report. See Exchange Rule 531(a)(1)(i)(E).
21 This information is also included in the Simple
Order Report. See Exchange Rule 531(a)(1)(i)(F).
22 This information is also included in the Simple
Order Report. See Exchange Rule 531(a)(1)(i)(G).
The Exchange notes that the displayed price and
size are also disseminated via the Exchange’s
proprietary data feeds.
23 Similar information is included in the Simple
Order Report. Exchange Rule 531(b)(1)(ii)(A) would
similarly provide that if the resting order executes
against multiple contra-side responses, only the
Complex EBBO at the time of the execution against
the first response will be included.
24 Similar information is included in the Simple
Order Report. See Exchange Rule 531(a)(1)(ii)(B).
PO 00000
Frm 00142
Fmt 4703
Sfmt 4703
7225
first response that executes against the
resting order was received by the
Exchange and the size of the execution
and type of the response; 25 (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; 26 and (E) whether the
response was entered by the Recipient
Member.27 If the resting order executes
against multiple contra-side responses,
only the Complex EBBO and Complex
ABBO at the time of the execution
against the first response will be
included.
The content of the proposed Complex
Order Report set forth under amended
Exchange Rule 531(b)(1)(ii) is identical
to the content of the Simple Order
Report under Exchange Rule
531(a)(1)(ii) with two minor differences.
The Simple Order Report includes the
EBBO, which is the Exchange’s best bid
or offer, and the ABBO, which is the
best bid or offer of away exchanges. In
their place, the proposed Complex
Order Report would include the
Complex EBBO and Complex ABBO.
The Complex EBBO is calculated using
the EBBO for each component of a
Complex Strategy to establish the
Exchange’s best net bid or offer for a
Complex Strategy. As discussed above,
the Complex EBBO is calculated using
the icEBBO combined with the best
price currently available on the Strategy
Book to establish the Exchange’s best
net bid or offer for a Complex Strategy.28
The Complex ABBO is calculated using
the ABBO for each component of a
Complex Strategy to establish the away
Exchange Rule 531(b)(1)(ii)(B) would similarly
provide that if the resting order executes against
multiple contra-side responses, only the Complex
ABBO at the time of the execution against the first
response will be included.
25 This information is also included in the Simple
Order Report. See Exchange Rule 531(a)(1)(ii)(C).
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. The type of
responses that would be identified in the proposed
Complex Order Report are Standard Quotes and
eQuotes. A ‘‘Standard Quote’’ is a quote submitted
by a Market Maker that cancels and replaces the
Market Maker’s previous Standard Quote, if any.
See Exchange Rule 517(a)(1). An ‘‘eQuote’’ is a
quote with a specific time in force that does not
automatically cancel and replace a previous
Standard quote or eQuote. An eQuote can be
cancelled by the Market Maker at any time, or can
be replaced by another eQuote that contains
specific instructions to cancel an existing eQuote.
See Exchange Rule 517(a)(2).
26 The time difference would be provided in
nanoseconds. This information is also included in
the Simple Order Report. See Exchange Rule
531(a)(1)(ii)(D).
27 This information is also included in the Simple
Order Report. See Exchange Rule 531(a)(1)(ii)(E).
28 See also supra note 9.
E:\FR\FM\08FEN1.SGM
08FEN1
7226
Federal Register / Vol. 87, No. 26 / Tuesday, February 8, 2022 / Notices
markets’ best net bid or offer for a
Complex Strategy using OPRA data. The
Exchange is providing the Complex
EBBO and Complex ABBO because both
are relevant and tailored to a Member
that is entering a Complex Order to
remove liquidity as part of a Complex
Strategy and, therefore, more germane to
the purpose of the Complex Order
Report.
Recipient Member’s Response
Information. The content of the
proposed Complex Order Report set
forth under amended Exchange Rule
531(b)(1)(iii) is identical to the content
of the Simple Order Report under
Exchange Rule 531(a)(1)(iii). Amended
Exchange Rule 531(b)(1)(iii) would
provide that the following information
would be included in the Complex
Order Report regarding Complex
Order(s) sent by the Recipient Member:
(A) Recipient Member identifier; 29 (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 Complex
Order sent by the Recipient Member,
regardless of whether it executed or
not; 30 (C) size and type of each Complex
Order submitted by the Recipient
Member; 31 and (D) response reference
number, which is a unique reference
number attached to the response by the
Recipient Member.32
khammond on DSKJM1Z7X2PROD with NOTICES
Timeframe for Data Included in Report
The timeframe for data to be included
the proposed Complex Order Report set
forth under amended Exchange Rule
531(b)(2) is identical to the timeframe
for data included in the Simple Order
Report under Exchange Rule 531(a)(2).
Paragraph (b)(2) of Exchange Rule 531
would provide that the Complex Order
Report would include the data set forth
under Exchange Rule 531(b)(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. The Exchange believes 200
microseconds is the appropriate
timeframe because it understands most
Members that would be interested in
29 This information is also included in the Simple
Order Report. See Exchange Rule 531(a)(1)(iii)(A).
30 This information is also included in the Simple
Order Report. See Exchange Rule 531(a)(1)(iii)(B).
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.
31 This information is also included in the Simple
Order Report. See Exchange Rule 531(a)(1)(iii)(C).
32 This information is also included in the Simple
Order Report. See Exchange Rule 531(a)(1)(iii)(D).
VerDate Sep<11>2014
16:16 Feb 07, 2022
Jkt 256001
subscribing to the proposed Complex
Order Report would submit their
incoming liquidity removing Complex
Orders within 200 microseconds of the
time a contra-side Complex Order is
posted to the Strategy Book.
Scope of Data Included in the Report
The scope of data to be included the
proposed Complex Order Report set
forth under amended Exchange Rule
531(b)(3) is identical to the scope of data
included in the Simple Order Report
under Exchange Rule 531(a)(3).
Paragraph (b)(3) of Exchange Rule 531
would provide that the Complex Order
Report will only include trading data
related to the Recipient Member and,
subject to the proposed paragraph (4) of
Exchange Rule 531(b) 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(b), described above. Like the
Simple Order Report, the proposed
Complex Order Report will not include
information related to any Member
other than the Recipient Member.33
Historical Data
Paragraph (b)(4) of Exchange Rule 531
would specify that the Complex Order
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. This is
identical to the timeframe for when the
Simple Order Report is made
available.34
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.35 Specifically,
the Exchange believes the proposed rule
change is consistent with the Section
6(b)(5) 36 requirements that the rules of
an exchange be designed to prevent
fraudulent and manipulative acts and
practices, to promote just and equitable
principles of trade, to foster cooperation
and coordination with persons engaged
in 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
Exchange Rule 531(a)(3).
Exchange Rule 531(a)(4).
35 15 U.S.C. 78f(b).
36 15 U.S.C. 78f(b)(5).
principles in that it promotes increased
transparency through the dissemination
of the optional Complex Order 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) 37 requirement that the rules of
an exchange not be designed to permit
unfair discrimination between
customers, issuers, brokers, or dealers.
But for three differences, the
description of the proposed Complex
Order Report under Exchange Rule
531(b) is identical to that of the Simple
Order Report under Exchange Rule
531(a), which was recently approved by
the Commission.38 The first difference
concerns the content of the proposed
Complex Order Report, which would be
limited to incoming Complex Orders
that seek to remove liquidity from the
Exchange’s Strategy Book. The Simple
Order Report includes information
about incoming orders seeking to
remove liquidity from the Simple Order
Book. This difference is immaterial
because both reports include basically
the same information and seek to serve
the same purpose, to provide the
Recipient Member with the same type of
data necessary for them to evaluate their
own trading behavior and order
interactions on the Exchange; however,
the Simple Order Report contains data
relevant to the Simple Order Book while
the proposed Complex Order Report
contains data relevant to the Strategy
Book.
The other two differences are that the
Simple Order Report includes the
EBBO, which is the Exchange’s best bid
or offer, and the ABBO, which is the
best bid or offer of away exchanges. In
their place, the proposed Complex
Order Report would include the
Complex EBBO and Complex ABBO. As
discussed above, the Complex EBBO is
calculated using the icEBBO combined
with the best price currently available
on the Strategy Book to establish the
Exchange’s best net bid or offer for a
Complex Strategy.39 The Complex
ABBO is calculated using the ABBO for
each component of a Complex Strategy
to establish the away markets’ best net
bid or offer for a Complex Strategy using
OPRA data. The Exchange is providing
the Complex EBBO and Complex ABBO
because both are relevant and tailored to
a Member that is entering a Complex
Order to remove liquidity as part of a
Complex Strategy and, therefore, more
germane to the purpose of the Complex
Order Report. The Exchange believes
33 See
34 See
PO 00000
Frm 00143
Fmt 4703
Sfmt 4703
37 Id.
38 See
39 See
E:\FR\FM\08FEN1.SGM
supra note 5.
also supra note 9.
08FEN1
khammond on DSKJM1Z7X2PROD with NOTICES
Federal Register / Vol. 87, No. 26 / Tuesday, February 8, 2022 / Notices
these differences are appropriate
because providing the Complex EBBO
in place of the EBBO and the Complex
ABBO in place of the ABBO are more
germane to the purpose of the proposed
Complex Order Report.
Like the Simple Order Report, the
Exchange believes the proposed
Complex Order 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 by providing
Members access to information
regarding their trading activity that they
may utilize to evaluate their own
Complex Order trading behavior and
order interactions. Also, like the Simple
Order Report, the proposed Complex
Order Report is designed for Members
that are interested in gaining insight
into latency in connection with
Complex Orders that failed to execute
against an order resting on the
Exchange’s Strategy Book by providing
those Members data to analyze by how
much time their Complex Order may
have missed an execution against a
contra-side order resting on the Strategy
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 that they may use 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.
This would, in turn, benefit other
market participants who may
experience better executions on the
Exchange because those that use the
proposed Complex Order Report may recalibrate their trading models and then
increase their trading on the Exchange
and volume of liquidity removing
orders. This could lead to an increase in
incoming liquidity removing orders
resulting in higher execution rates for
Members who primarily place resting
orders on the Strategy Book. The
proposed Complex Order Report may
benefit other market participants who
would receive greater fill rates, thereby
facilitating transactions in securities and
perfecting the mechanism of the
national market system.
As discussed above, the Exchange
currently fields ad hoc requests from
Members for information regarding the
VerDate Sep<11>2014
16:16 Feb 07, 2022
Jkt 256001
timeliness of their attempts to execute
against resting options liquidity on the
Exchange’s Strategy Book. The proposal
promotes just and equitable principles
of trade because it would provide
latency information in a systematized
way and standardized format to any
Member that chooses to subscribe to the
proposed Complex Order Report. As a
result, the proposal would also remove
impediments to and perfect the
mechanism of a free and open market
and a national market system by making
latency information for liquidity-seeking
orders available in a more equalized
manner. The proposal further promotes
just and equitable principles of trade by
increasing transparency, particularly for
Recipient Members that may not have
the expertise to generate the same
information on their own. The proposed
Complex Order Report may better
enable Recipient Members to increase
the fill rates for their liquidity-seeking
Complex Orders. At the same time, as is
also discussed above, the Complex
Order Report promotes just and
equitable principles of trade and
protects investors and the public
interest because it is designed to prevent
a Recipient Member from learning other
Members’ sensitive trading information.
The Complex Order Report would not
be a real-time market data product, as it
would provide only historical trading
data for the previous trading day,
generally on a T+1 basis. In addition,
the data in the Complex Order Report
regarding incoming orders that failed to
execute would be specific to the
Recipient Member’s Complex Orders,
and other information in the proposed
Complex Order Report regarding resting
orders and executions would be
anonymized if it relates to a Member
other than the Recipient Member.
The Complex Order Report generally
would contain three buckets of
information. The first two buckets
include information about the resting
order and the execution of the resting
order. This information is available from
the Exchange’s proprietary data feeds or
derivable from OPRA. For example, the
Exchange offers the Complex Top of
Market (‘‘cToM’’) feed which provides
real-time quote and last sale information
for all displayed orders on the Strategy
Book.40
Specifically, the first bucket of
information contained in the proposed
Complex Order Report for the resting
order would include the time the resting
order was received by the Exchange, the
symbol, unique reference number
assigned at the time of receipt, side (buy
40 See Section 6(a) of the Exchange’s Fee
Schedule.
PO 00000
Frm 00144
Fmt 4703
Sfmt 4703
7227
or sell), and the displayed price and size
of the resting order. The symbol, origin
type, side (buy or sell), and displayed
price and size are also available via the
Exchange’s proprietary data feeds. The
first bucket of information would also
indicate whether the Recipient Member
is an Affiliate of the Member that
entered the resting order. This data field
would 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.41
The second bucket of information
contained in the proposed Complex
Order Report pertains to the execution
of the resting order and includes the
Complex EBBO and Complex ABBO at
the time of execution. These data points
are also derivable from information
disseminated via OPRA or available via
the Exchange’s proprietary data feeds.
The second bucket of information
would also indicate whether the
response was entered by the Recipient
Member. This data point would be
simply provided as a convenience. If not
entered by the Recipient Member, this
data point would be left blank so as not
to include any identifying information
about other Member activity. The
second bucket of information would
also include the size, time and type of
first response 42 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 Strategy
Book.
The third bucket of information
would be about the Recipient Member’s
response(s) and the time their
response(s) is received by the Exchange.
This would include 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 Strategy Book. This
bucket would also include the size and
type of each response submitted by the
41 The Exchange surveils to monitor for aberrant
behavior related to internalized trades and identify
potential wash sales.
42 See supra note 25.
E:\FR\FM\08FEN1.SGM
08FEN1
7228
Federal Register / Vol. 87, No. 26 / Tuesday, February 8, 2022 / Notices
Recipient Member, the Recipient
Member identifier, and a response
reference number, which is selected by
the Recipient Member. Each of these
data points are unique to the Recipient
Member and should already be known
by the Recipient Member even if not
included in the Complex Order Report.
The Exchange proposes to provide the
Complex Order Report on a voluntary
basis and no Member will be required
to subscribe to the Complex Order
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 proposed Complex
Order Report. It would be entirely a
business decision of each Member to
subscribe to the proposed Complex
Order Report. The Exchange proposes to
offer the Complex Order 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
proposed Complex Order Report may
discontinue receiving the Complex
Order Report at any time if that Member
determines that the information
contained in the Complex Order Report
is no longer useful.
In summary, the proposed Complex
Order 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.43 Additionally, the proposal
would not permit unfair discrimination
because the proposed Complex Order
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.
Inter-Market Competition
The proposed Complex Order Report
will allow the Exchange to provide a
new option for Members to receive
historical latency related data. The
proposed Complex Order Report will
also further enhance inter-market
competition between exchanges by
allowing the Exchange to expand its
product offerings. The latency
information that would be provided in
43 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).
VerDate Sep<11>2014
16:16 Feb 07, 2022
Jkt 256001
the proposed Complex Order Report
would enhance competition between
exchanges that offer complex order
functionality because it would allow
Recipient Members to recalibrate their
models and trading strategies to
improve their overall trading experience
on the Exchange. This may improve the
Exchange’s overall trading environment
resulting in increased liquidity and
order flow on the Exchange. In
response, other exchanges may similarly
seek ways to provide latency related
data in an effort to improve their own
market quality.
Intra-Market Competition
The proposed rule change to offer the
optional Complex Order Report is in
response to Member interest and
requests for such information. The
Exchange does not believe the proposed
Complex Order Report will have an
inappropriate burden on intra-market
competition between Recipient
Members and other Members who
choose not to receive the Complex
Order Report. As discussed above, the
first two buckets of information
included in the Complex Order Report
contain information about the resting
order and the execution of the resting
order, both of which are generally
available to Members that choose not to
receive the Complex Order Report from
other sources, such as by deriving these
data points from OPRA or obtaining
them from the Exchange’s proprietary
data feeds. The third bucket of
information pertains to the Recipient
Member’s response and the time their
response is received by the Exchange,
information which latency sensitive
Members that do not subscribe to the
proposed Complex Order Report could
obtain on their own based on their
knowledge of when they sent their
response to the Exchange and via
timestamp information provided by the
acknowledgment message received from
the Exchange. However, latency
sensitive Members that do not subscribe
to the proposed Complex Order Report
would not be able to obtain 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. Such
latency sensitive Members may not view
this information as beneficial based on
their own trading models and systems.
Other Members that do not subscribe to
the proposed Complex Order Report
may not view the entire proposed
Complex Order Report as useful due to
their own trading behaviors and
business models. Such Members may
not be latency sensitive and may be
PO 00000
Frm 00145
Fmt 4703
Sfmt 4703
interested primarily in providing resting
liquidity on the Exchange’s Strategy
Book, or they may simply be connected
to the Exchange for best execution
purposes or to comply with the tradethrough requirements under Chapter
XIV of the Exchange’s Rules.44
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 Complex
Order 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
Because the foregoing proposed rule
change does not: (i) Significantly affect
the protection of investors or the public
interest; (ii) impose any significant
burden on competition; and (iii) become
operative for 30 days after the date of
the filing, or such shorter time as the
Commission may designate, it has
become effective pursuant to 19(b)(3)(A)
of the Act 45 and Rule 19b–4(f)(6) 46
thereunder.
At any time within 60 days of the
filing of the proposed rule change, the
Commission summarily may
temporarily suspend such rule change if
it appears to the Commission that such
action is necessary or appropriate in the
public interest, for the protection of
investors, or otherwise in furtherance of
the purposes of the Act.
IV. Solicitation of Comments
Interested persons are invited to
submit written data, views, and
44 Chapter XIV of the Exchange Rules
incorporates by reference Rule 1401, Order
Protection, of the Exchange’s affiliate, the Miami
International Securities Exchange, LLC.
45 15 U.S.C. 78s(b)(3)(A).
46 17 CFR 240.19b–4(f)(6). In addition, Rule 19b–
4(f)(6) requires a self-regulatory organization to give
the Commission written notice of its intent to file
the proposed rule change at least five business days
prior to the date of filing of the proposed rule
change, or such shorter time as designated by the
Commission. The Exchange has satisfied this
requirement.
E:\FR\FM\08FEN1.SGM
08FEN1
Federal Register / Vol. 87, No. 26 / Tuesday, February 8, 2022 / Notices
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–2022–02 on the subject line.
Paper Comments
khammond on DSKJM1Z7X2PROD with NOTICES
• 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–2022–02. 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–2022–02 and
should be submitted on or before March
1, 2022.
7229
For the Commission, by the Division of
Trading and Markets, pursuant to delegated
authority.47
J. Matthew DeLesDernier,
Assistant Secretary.
Dated: February 3, 2022.
Vanessa A. Countryman,
Secretary.
[FR Doc. 2022–02553 Filed 2–7–22; 8:45 am]
[FR Doc. 2022–02655 Filed 2–4–22; 11:15 am]
BILLING CODE 8011–01–P
BILLING CODE 8011–01–P
SECURITIES AND EXCHANGE
COMMISSION
SMALL BUSINESS ADMINISTRATION
Sunshine Act Meetings
2:00 p.m. on Thursday,
February 10, 2022.
PLACE: The meeting will be held via
remote means and/or at the
Commission’s headquarters, 100 F
Street NE, Washington, DC 20549.
STATUS: This meeting will be closed to
the public.
MATTERS TO BE CONSIDERED:
Commissioners, Counsel to the
Commissioners, the Secretary to the
Commission, and recording secretaries
will attend the closed meeting. Certain
staff members who have an interest in
the matters also may be present.
In the event that the time, date, or
location of this meeting changes, an
announcement of the change, along with
the new time, date, and/or place of the
meeting will be posted on the
Commission’s website at https://
www.sec.gov.
The General Counsel of the
Commission, or his designee, has
certified that, in his opinion, one or
more of the exemptions set forth in 5
U.S.C. 552b(c)(3), (5), (6), (7), (8), 9(B)
and (10) and 17 CFR 200.402(a)(3),
(a)(5), (a)(6), (a)(7), (a)(8), (a)(9)(ii) and
(a)(10), permit consideration of the
scheduled matters at the closed meeting.
The subject matter of the closed
meeting will consist of the following
topics:
Institution and settlement of
injunctive actions;
Institution and settlement of
administrative proceedings;
Resolution of litigation claims; and
Other matters relating to examinations
and enforcement proceedings.
At times, changes in Commission
priorities require alterations in the
scheduling of meeting agenda items that
may consist of adjudicatory,
examination, litigation, or regulatory
matters.
CONTACT PERSON FOR MORE INFORMATION:
For further information; please contact
Vanessa A. Countryman from the Office
of the Secretary at (202) 551–5400.
TIME AND DATE:
Authority: 5 U.S.C. 552b.
Audit and Financial Management
Advisory Committee
AGENCY:
Small Business Administration.
Notice of renewal of Audit and
Financial Management Advisory
Committee.
ACTION:
Pursuant to the Federal
Advisory Committee Act and its
implementing regulations, SBA is
issuing this notice to announce the
renewal of its Audit and Financial
Management Advisory Committee. This
advisory committee is being renewed to
provide advice and recommendations to
SBA on government accounting and
performance issues impacting the
agency.
SUMMARY:
FOR FURTHER INFORMATION CONTACT:
Questions about the Audit and
Financial Management Advisory
Committee may be directed to
Andrienne Johnson, Office of the
Administrator, U.S. Small Business
Administration, 409 Third Street SW,
Washington, DC 20416;
Andrienne.Johnson@sba.gov; 202–205–
6605.
Pursuant
to its authority in section 8(b)(13) of the
Small Business Act, (15 U.S.C. 637),
SBA is renewing the Audit and
Financial Management Advisory
Committee. This discretionary
committee is being renewed in
accordance with the provision of the
Federal Advisory Committee Act, as
amended (5 U.S.C. App.)
SUPPLEMENTARY INFORMATION:
The AFMAC is tasked with providing
recommendations and advice regarding
the Agency’s financial management,
including the financial reporting
process, systems of internal controls,
audit process and process for
monitoring compliance with relevant
law and regulations.
Dated: February 3, 2022.
Andrienne Johnson,
SBA Committee Management Officer.
[FR Doc. 2022–02627 Filed 2–7–22; 8:45 am]
47 17
VerDate Sep<11>2014
16:16 Feb 07, 2022
Jkt 256001
PO 00000
CFR 200.30–3(a)(12).
Frm 00146
Fmt 4703
Sfmt 4703
BILLING CODE P
E:\FR\FM\08FEN1.SGM
08FEN1
]]>Agencies
[Federal Register Volume 87, Number 26 (Tuesday, February 8, 2022)]
[Notices]
[Pages 7223-7229]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2022-02553]
-----------------------------------------------------------------------
SECURITIES AND EXCHANGE COMMISSION
[Release No. 34-94136; File No. SR-EMERALD-2022-02]
Self-Regulatory Organizations: MIAX Emerald, LLC; Notice of
Filing and Immediate Effectiveness of a Proposed Rule Change To Amend
Exchange Rule 531 To Provide for the New Liquidity Taker Event Report--
Complex Orders
February 2, 2022.
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 January 27, 2022, MIAX Emerald, LLC (``MIAX Emerald'' or
``Exchange'') filed with the Securities and Exchange Commission
(``Commission'') a proposed rule change as described in Items I and II
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 amend Exchange Rule 531(b) to provide for
the new ``Liquidity Taker Event Report--Complex Orders''.
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 currently offers the Liquidity Taker Event Report,
which is a Member \3\-specific report and helps Members to better
understand by how much time a particular order missed executing against
a specific order resting on the Exchange's Simple Order Book.\4\ The
current Liquidity Taker Event Report is described under Exchange Rule
531(a).\5\
---------------------------------------------------------------------------
\3\ 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.
\4\ The term ``Simple Order Book'' means ``the Exchange's
regular electronic book of orders and quotes.'' See Exchange Rule
518(a)(15).
\5\ See Securities Exchange Act Release No. 91787 (May 6, 2021),
86 FR 26111 (May 12, 2021) (SR-EMERALD-2021-09) (Order Approving
Proposed Rule Change To Adopt Exchange Rule 531(a), Reports, To
Provide for a New ``Liquidity Taker Event Report'').
---------------------------------------------------------------------------
[[Page 7224]]
The Exchange now proposes to amend Exchange Rule 531(b) \6\ to
provide for the new ``Liquidity Taker Event Report--Complex Orders''
(the ``Complex Order Report'') which would be substantially similar to
the existing Liquidity Taker Event Report, but would include data
concerning a Member's Complex Orders.\7\ The Exchange also proposes to
change the name of the existing Liquidity Taker Event Report to
``Liquidity Taker Event Report--Simple Orders'' and amend Exchange Rule
531(a) accordingly (the ``Liquidity Taker Event Report--Simple Orders''
shall be referred to herein as the ``Simple Order Report'').
---------------------------------------------------------------------------
\6\ Currently, Exchange Rule 531(b) is titled ``Market Data
Products'' and provides the rule text for the Open-Close Report. See
Exchange Rule 531(b). With this filing, the Exchange also proposes
to move the rule text for Market Data Products to now be renumbered
as Exchange Rule 531(c). The Exchange does not propose to amend any
of the rule text for Market Data Products as currently stated in
Exchange Rule 531.
\7\ In sum, a ``Complex Order'' is ``any order involving the
concurrent purchase and/or sale of two or more different options in
the same underlying security (the `legs' or `components' of the
complex order), for the same account . . . .'' See Exchange Rule
518(a)(5).
---------------------------------------------------------------------------
The Simple Order Report includes information about incoming orders
seeking to remove resting orders from the Simple Order Book. The
proposed Complex Order Report would include the same information about
incoming Complex Orders that seek to remove Complex Orders resting on
the Strategy Book.\8\ Two other differences between the proposed
Complex Order Report and the Simple Order Report are that the proposed
Complex Order Report will include the Complex EBBO \9\ in place of the
EBBO and Complex ABBO \10\ in place of the ABBO, as described further
below. These are minor differences designed to provide the EBBO and
ABBO that are relevant to trading Complex Orders. Otherwise, the
content and dissemination of the proposed Complex Order Report set
forth under amended Exchange Rule 531(b) will be identical to that of
the Simple Order Report under Exchange Rule 531(a). Other than the
difference set forth above, the Exchange represents that there are no
other differences between Simple Orders and Complex Orders that would
necessitate any other changes to the proposed Complex Order Report or
render the effects or use of the proposed Complex Order Report as
different from the Simple Order Report.
---------------------------------------------------------------------------
\8\ The term ``Complex Strategy'' means ``a particular
combination of components and their ratios to one another. New
complex strategies can be created as the result of the receipt of a
complex order or by the Exchange for a complex strategy that is not
currently in the System.'' See Exchange Rule 518(a)(6). The term
``Strategy Book'' means the Exchange's electronic book of complex
orders and complex quotes. See Exchange Rule 518(a)(17). The
Strategy Book is organized by Complex Strategy in that individual
orders for a defined Complex Strategy are organized together in a
book that is separate from the orders for a different Complex
Strategy.
\9\ The term ``EBBO'' means the Exchange's best bid or offer.
See Exchange Rule 100. The Complex EBBO for a particular Complex
Strategy is calculated using the Implied Complex MIAX Emerald Best
Bid or Offer (``icEBBO'') combined with the best price currently
available for that particular Complex Strategy on the Strategy Book
to establish the Exchange's best net bid or offer for that Complex
Strategy. The icEBBO is calculated using the best price from the
Simple Order Book for each component of a Complex Strategy including
displayed and non-displayed trading interest. For stock-option
orders, the icEBBO for a Complex Strategy is calculated using the
best price (whether displayed or non-displayed) on the Simple Order
Book in the individual option component(s), and the NBBO in the
stock component. See Exchange Rule 518(a)(12).
\10\ 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 the
Options Price Reporting Authority (``OPRA''). See Exchange Rule 100.
The Complex ABBO is calculated using the ABBO for each component of
a Complex Strategy to establish the away markets' best net bid or
offer for a Complex Strategy.
---------------------------------------------------------------------------
Like the Simple Order Report, the proposed Complex Order Report is
an optional product \11\ available to Members. 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
Complex Order interactions with the Exchange. The Exchange believes the
proposed Complex Order Report will provide Members with an opportunity
to learn more about better opportunities to access liquidity and
receive better execution rates when trading Complex Orders. The
proposed Complex Order Report will increase transparency and
democratize information so that all firms that subscribe to the
proposed Complex Order 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.
Like the Simple Order Report, none of the components of the proposed
Complex Order Report include real-time market data.
---------------------------------------------------------------------------
\11\ The Exchange intends to submit a separate filing with the
Commission pursuant to Section 19(b)(1) to propose fees for the
proposed Complex Order Report.
---------------------------------------------------------------------------
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 Simple Order Book. Like the Simple Order Report, the
proposed Complex Order Report would identify by how much time an order
that may have been marketable missed an execution. In the case of the
proposed Complex Order Report, the incoming order would be a Complex
Order submitted to trade against a resting order for a Complex
Strategy. The proposed Complex Order 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 when trading Complex Orders.
Like the Simple Order Report, the proposed Complex Order Report
will be a Member-specific report and will help Members to better
understand by how much time a particular order, in this case a Complex
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 Strategy Book. For example, Member A
submits a Complex Order that is posted to the Strategy Book and then,
within 200 microseconds of the entry of Member A's Complex Order,
Member B enters a marketable Complex Order to execute against Member
A's resting Complex Order. Immediately thereafter, Member C also within
200 microseconds of the entry of Member A's Complex Order, sends a
marketable Complex Order to execute against Member A's resting Complex
Order. Because Member B's Complex Order is received by the Exchange
before the Complex Order for Member C Member B's Complex Order executes
against Member A's resting Complex Order. If Member C were to subscribe
to the proposed Complex Order Report, it would be provided the data
points necessary for that firm to calculate by how much time they
missed executing against Member A's resting Complex Order.
Like the Simple Order Report, the Exchange proposes to provide the
proposed Complex Order Report on a T+1 basis. As further described
below, the proposed Complex Order Report will be specific and tailored
to the Member that is subscribed to the Complex Order Report and any
data included in the Complex Order Report that relates to a Member
other than the Member receiving the Complex Order Report will be
anonymized.
The Exchange proposes to provide the Complex Order Report in
response to Member demand for data concerning the timeliness of their
incoming Complex Orders and executions against resting
[[Page 7225]]
orders. Members have found the existing Simple Order Report helpful and
have periodically requested similar information from the Exchange
regarding their Complex Orders. This has come in the form of requests
by Members to the Exchange's trading operations personnel for
information concerning the timeliness of their incoming Complex Orders
and efficacy of their attempts to execute against resting liquidity on
the Exchange's Strategy Book. The purpose of the proposed Complex Order
Report is to provide Recipient Members the necessary data in a
standardized format on a T+1 and equal basis.
Similar to current Exchange Rule 531(a) regarding the Simple Order
Report, amended Exchange Rule 531(b) would provide that the proposed
Complex Order Report is a daily report that provides a Member
(``Recipient Member'') with its liquidity response time details for
executions of an order resting on the Strategy Book, where that
Recipient Member submitted a Complex Order that attempted to execute
against such resting Complex Order within a certain timeframe.
Report Content
The content of the proposed Complex Order Report would be identical
to the Simple Order Report, but for two minor differences discussed
below. Paragraph (b)(1) of Rule 531 would describe the content of the
proposed Complex Order Report and delineate which information would be
provided regarding the resting order,\12\ 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 proposed
Complex Order Report will be specific to the Recipient Member and the
proposed Complex Order 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.
---------------------------------------------------------------------------
\12\ Like the Simple Order Report, only displayed orders will be
included in the proposed Complex Order Report. The Exchange notes
that it does not currently offer any non-displayed order types on
its options trading platform.
---------------------------------------------------------------------------
Resting Order Information. The content of the proposed Complex
Order Report set forth under amended Exchange Rule 531(b)(1)(i) is
identical to the content of the Simple Order Report under Exchange Rule
531(a)(1)(i). However, as noted above, the content of the proposed
Complex Order Report would be limited to incoming Complex Orders that
seek to remove liquidity from the Exchange's Strategy Book.
Amended Exchange Rule 531(b)(1)(i) would provide that the following
information would be included in the proposed Complex Order Report
regarding the resting order: (A) The time the resting order was
received by the Exchange; \13\ (B) symbol; \14\ (C) order reference
number, which is a unique reference number assigned to a new Complex
Order at the time of receipt; \15\ (D) whether the Recipient Member is
an Affiliate \16\ of the Member that entered the resting order; \17\
(E) origin type (e.g., Priority Customer,\18\ Market Maker \19\); \20\
(F) side (buy or sell); \21\ and (G) displayed price and size of the
resting order.\22\
---------------------------------------------------------------------------
\13\ This information is also included in the Simple Order
Report. See Exchange Rule 531(a)(1)(i)(A).
\14\ This information is also included in the Simple Order
Report. See Exchange Rule 531(a)(1)(i)(B).
\15\ This information is also included in the Simple Order
Report. See Exchange Rule 531(a)(1)(i)(C).
\16\ 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.
\17\ This information is also included in the Simple Order
Report. See Exchange Rule 531(a)(1)(i)(D). The Report will simply
indicate whether the Recipient Member is an 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.
\18\ 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.
\19\ The term ``Market Maker'' refers to ``Lead Market Makers'',
``Primary Lead Market Makers'' and ``Registered Market Makers''
collectively. See Exchange Rule 100.
\20\ This information is also included in the Simple Order
Report. See Exchange Rule 531(a)(1)(i)(E).
\21\ This information is also included in the Simple Order
Report. See Exchange Rule 531(a)(1)(i)(F).
\22\ This information is also included in the Simple Order
Report. See Exchange Rule 531(a)(1)(i)(G). The Exchange notes that
the displayed price and size are also disseminated via the
Exchange's proprietary data feeds.
---------------------------------------------------------------------------
Execution Information. Amended Exchange Rule 531(b)(1)(ii) would
provide that the following information would be included in the
proposed Complex Order Report regarding the execution of the resting
order: (A) The Complex EBBO at the time of execution; \23\ (B) the
Complex ABBO at the time of execution; \24\ (C) the time the first
response that executes against the resting order was received by the
Exchange and the size of the execution and type of the response; \25\
(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; \26\ and (E) whether
the response was entered by the Recipient Member.\27\ If the resting
order executes against multiple contra-side responses, only the Complex
EBBO and Complex ABBO at the time of the execution against the first
response will be included.
---------------------------------------------------------------------------
\23\ Similar information is included in the Simple Order Report.
Exchange Rule 531(b)(1)(ii)(A) would similarly provide that if the
resting order executes against multiple contra-side responses, only
the Complex EBBO at the time of the execution against the first
response will be included.
\24\ Similar information is included in the Simple Order Report.
See Exchange Rule 531(a)(1)(ii)(B). Exchange Rule 531(b)(1)(ii)(B)
would similarly provide that if the resting order executes against
multiple contra-side responses, only the Complex ABBO at the time of
the execution against the first response will be included.
\25\ This information is also included in the Simple Order
Report. See Exchange Rule 531(a)(1)(ii)(C). 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. The
type of responses that would be identified in the proposed Complex
Order Report are Standard Quotes and eQuotes. A ``Standard Quote''
is a quote submitted by a Market Maker that cancels and replaces the
Market Maker's previous Standard Quote, if any. See Exchange Rule
517(a)(1). An ``eQuote'' is a quote with a specific time in force
that does not automatically cancel and replace a previous Standard
quote or eQuote. An eQuote can be cancelled by the Market Maker at
any time, or can be replaced by another eQuote that contains
specific instructions to cancel an existing eQuote. See Exchange
Rule 517(a)(2).
\26\ The time difference would be provided in nanoseconds. This
information is also included in the Simple Order Report. See
Exchange Rule 531(a)(1)(ii)(D).
\27\ This information is also included in the Simple Order
Report. See Exchange Rule 531(a)(1)(ii)(E).
---------------------------------------------------------------------------
The content of the proposed Complex Order Report set forth under
amended Exchange Rule 531(b)(1)(ii) is identical to the content of the
Simple Order Report under Exchange Rule 531(a)(1)(ii) with two minor
differences. The Simple Order Report includes the EBBO, which is the
Exchange's best bid or offer, and the ABBO, which is the best bid or
offer of away exchanges. In their place, the proposed Complex Order
Report would include the Complex EBBO and Complex ABBO. The Complex
EBBO is calculated using the EBBO for each component of a Complex
Strategy to establish the Exchange's best net bid or offer for a
Complex Strategy. As discussed above, the Complex EBBO is calculated
using the icEBBO combined with the best price currently available on
the Strategy Book to establish the Exchange's best net bid or offer for
a Complex Strategy.\28\ The Complex ABBO is calculated using the ABBO
for each component of a Complex Strategy to establish the away
[[Page 7226]]
markets' best net bid or offer for a Complex Strategy using OPRA data.
The Exchange is providing the Complex EBBO and Complex ABBO because
both are relevant and tailored to a Member that is entering a Complex
Order to remove liquidity as part of a Complex Strategy and, therefore,
more germane to the purpose of the Complex Order Report.
---------------------------------------------------------------------------
\28\ See also supra note 9.
---------------------------------------------------------------------------
Recipient Member's Response Information. The content of the
proposed Complex Order Report set forth under amended Exchange Rule
531(b)(1)(iii) is identical to the content of the Simple Order Report
under Exchange Rule 531(a)(1)(iii). Amended Exchange Rule
531(b)(1)(iii) would provide that the following information would be
included in the Complex Order Report regarding Complex Order(s) sent by
the Recipient Member: (A) Recipient Member identifier; \29\ (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 Complex Order sent by the Recipient Member, regardless of whether
it executed or not; \30\ (C) size and type of each Complex Order
submitted by the Recipient Member; \31\ and (D) response reference
number, which is a unique reference number attached to the response by
the Recipient Member.\32\
---------------------------------------------------------------------------
\29\ This information is also included in the Simple Order
Report. See Exchange Rule 531(a)(1)(iii)(A).
\30\ This information is also included in the Simple Order
Report. See Exchange Rule 531(a)(1)(iii)(B). 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.
\31\ This information is also included in the Simple Order
Report. See Exchange Rule 531(a)(1)(iii)(C).
\32\ This information is also included in the Simple Order
Report. See Exchange Rule 531(a)(1)(iii)(D).
---------------------------------------------------------------------------
Timeframe for Data Included in Report
The timeframe for data to be included the proposed Complex Order
Report set forth under amended Exchange Rule 531(b)(2) is identical to
the timeframe for data included in the Simple Order Report under
Exchange Rule 531(a)(2). Paragraph (b)(2) of Exchange Rule 531 would
provide that the Complex Order Report would include the data set forth
under Exchange Rule 531(b)(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. The Exchange believes
200 microseconds is the appropriate timeframe because it understands
most Members that would be interested in subscribing to the proposed
Complex Order Report would submit their incoming liquidity removing
Complex Orders within 200 microseconds of the time a contra-side
Complex Order is posted to the Strategy Book.
Scope of Data Included in the Report
The scope of data to be included the proposed Complex Order Report
set forth under amended Exchange Rule 531(b)(3) is identical to the
scope of data included in the Simple Order Report under Exchange Rule
531(a)(3). Paragraph (b)(3) of Exchange Rule 531 would provide that the
Complex Order Report will only include trading data related to the
Recipient Member and, subject to the proposed paragraph (4) of Exchange
Rule 531(b) 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(b), described above. Like the Simple Order Report,
the proposed Complex Order Report will not include information related
to any Member other than the Recipient Member.\33\
---------------------------------------------------------------------------
\33\ See Exchange Rule 531(a)(3).
---------------------------------------------------------------------------
Historical Data
Paragraph (b)(4) of Exchange Rule 531 would specify that the
Complex Order 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. This is identical to the timeframe for when
the Simple Order Report is made available.\34\
---------------------------------------------------------------------------
\34\ See Exchange Rule 531(a)(4).
---------------------------------------------------------------------------
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.\35\ Specifically, the Exchange believes the proposed rule change
is consistent with the Section 6(b)(5) \36\ requirements that the rules
of an exchange be designed to prevent fraudulent and manipulative acts
and practices, to promote just and equitable principles of trade, to
foster cooperation and coordination with persons engaged in 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
Complex Order 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) \37\ requirement that the rules of
an exchange not be designed to permit unfair discrimination between
customers, issuers, brokers, or dealers.
---------------------------------------------------------------------------
\35\ 15 U.S.C. 78f(b).
\36\ 15 U.S.C. 78f(b)(5).
\37\ Id.
---------------------------------------------------------------------------
But for three differences, the description of the proposed Complex
Order Report under Exchange Rule 531(b) is identical to that of the
Simple Order Report under Exchange Rule 531(a), which was recently
approved by the Commission.\38\ The first difference concerns the
content of the proposed Complex Order Report, which would be limited to
incoming Complex Orders that seek to remove liquidity from the
Exchange's Strategy Book. The Simple Order Report includes information
about incoming orders seeking to remove liquidity from the Simple Order
Book. This difference is immaterial because both reports include
basically the same information and seek to serve the same purpose, to
provide the Recipient Member with the same type of data necessary for
them to evaluate their own trading behavior and order interactions on
the Exchange; however, the Simple Order Report contains data relevant
to the Simple Order Book while the proposed Complex Order Report
contains data relevant to the Strategy Book.
---------------------------------------------------------------------------
\38\ See supra note 5.
---------------------------------------------------------------------------
The other two differences are that the Simple Order Report includes
the EBBO, which is the Exchange's best bid or offer, and the ABBO,
which is the best bid or offer of away exchanges. In their place, the
proposed Complex Order Report would include the Complex EBBO and
Complex ABBO. As discussed above, the Complex EBBO is calculated using
the icEBBO combined with the best price currently available on the
Strategy Book to establish the Exchange's best net bid or offer for a
Complex Strategy.\39\ The Complex ABBO is calculated using the ABBO for
each component of a Complex Strategy to establish the away markets'
best net bid or offer for a Complex Strategy using OPRA data. The
Exchange is providing the Complex EBBO and Complex ABBO because both
are relevant and tailored to a Member that is entering a Complex Order
to remove liquidity as part of a Complex Strategy and, therefore, more
germane to the purpose of the Complex Order Report. The Exchange
believes
[[Page 7227]]
these differences are appropriate because providing the Complex EBBO in
place of the EBBO and the Complex ABBO in place of the ABBO are more
germane to the purpose of the proposed Complex Order Report.
---------------------------------------------------------------------------
\39\ See also supra note 9.
---------------------------------------------------------------------------
Like the Simple Order Report, the Exchange believes the proposed
Complex Order 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 by providing Members access
to information regarding their trading activity that they may utilize
to evaluate their own Complex Order trading behavior and order
interactions. Also, like the Simple Order Report, the proposed Complex
Order Report is designed for Members that are interested in gaining
insight into latency in connection with Complex Orders that failed to
execute against an order resting on the Exchange's Strategy Book by
providing those Members data to analyze by how much time their Complex
Order may have missed an execution against a contra-side order resting
on the Strategy 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 that they may use 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.
This would, in turn, benefit other market participants who may
experience better executions on the Exchange because those that use the
proposed Complex Order Report may re-calibrate their trading models and
then increase their trading on the Exchange and volume of liquidity
removing orders. This could lead to an increase in incoming liquidity
removing orders resulting in higher execution rates for Members who
primarily place resting orders on the Strategy Book. The proposed
Complex Order Report may benefit other market participants who would
receive greater fill rates, thereby facilitating transactions in
securities and perfecting the mechanism of the national market system.
As discussed above, the Exchange currently fields ad hoc requests
from Members for information regarding the timeliness of their attempts
to execute against resting options liquidity on the Exchange's Strategy
Book. The proposal promotes just and equitable principles of trade
because it would provide latency information in a systematized way and
standardized format to any Member that chooses to subscribe to the
proposed Complex Order Report. As a result, the proposal would also
remove impediments to and perfect the mechanism of a free and open
market and a national market system by making latency information for
liquidity-seeking orders available in a more equalized manner. The
proposal further promotes just and equitable principles of trade by
increasing transparency, particularly for Recipient Members that may
not have the expertise to generate the same information on their own.
The proposed Complex Order Report may better enable Recipient Members
to increase the fill rates for their liquidity-seeking Complex Orders.
At the same time, as is also discussed above, the Complex Order Report
promotes just and equitable principles of trade and protects investors
and the public interest because it is designed to prevent a Recipient
Member from learning other Members' sensitive trading information. The
Complex Order Report would not be a real-time market data product, as
it would provide only historical trading data for the previous trading
day, generally on a T+1 basis. In addition, the data in the Complex
Order Report regarding incoming orders that failed to execute would be
specific to the Recipient Member's Complex Orders, and other
information in the proposed Complex Order Report regarding resting
orders and executions would be anonymized if it relates to a Member
other than the Recipient Member.
The Complex Order Report generally would contain three buckets of
information. The first two buckets include information about the
resting order and the execution of the resting order. This information
is available from the Exchange's proprietary data feeds or derivable
from OPRA. For example, the Exchange offers the Complex Top of Market
(``cToM'') feed which provides real-time quote and last sale
information for all displayed orders on the Strategy Book.\40\
---------------------------------------------------------------------------
\40\ See Section 6(a) of the Exchange's Fee Schedule.
---------------------------------------------------------------------------
Specifically, the first bucket of information contained in the
proposed Complex Order Report for the resting order would include 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. The symbol,
origin type, side (buy or sell), and displayed price and size are also
available via the Exchange's proprietary data feeds. The first bucket
of information would also indicate whether the Recipient Member is an
Affiliate of the Member that entered the resting order. This data field
would 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.\41\
---------------------------------------------------------------------------
\41\ The Exchange surveils to monitor for aberrant behavior
related to internalized trades and identify potential wash sales.
---------------------------------------------------------------------------
The second bucket of information contained in the proposed Complex
Order Report pertains to the execution of the resting order and
includes the Complex EBBO and Complex ABBO at the time of execution.
These data points are also derivable from information disseminated via
OPRA or available via the Exchange's proprietary data feeds. The second
bucket of information would also indicate whether the response was
entered by the Recipient Member. This data point would be simply
provided as a convenience. If not entered by the Recipient Member, this
data point would be left blank so as not to include any identifying
information about other Member activity. The second bucket of
information would also include the size, time and type of first
response \42\ 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 Strategy Book.
---------------------------------------------------------------------------
\42\ See supra note 25.
---------------------------------------------------------------------------
The third bucket of information would be about the Recipient
Member's response(s) and the time their response(s) is received by the
Exchange. This would include 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 Strategy Book. This bucket would also include the size
and type of each response submitted by the
[[Page 7228]]
Recipient Member, the Recipient Member identifier, and a response
reference number, which is selected by the Recipient Member. Each of
these data points are unique to the Recipient Member and should already
be known by the Recipient Member even if not included in the Complex
Order Report.
The Exchange proposes to provide the Complex Order Report on a
voluntary basis and no Member will be required to subscribe to the
Complex Order 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 proposed Complex Order Report. It would be
entirely a business decision of each Member to subscribe to the
proposed Complex Order Report. The Exchange proposes to offer the
Complex Order 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 proposed Complex Order Report may
discontinue receiving the Complex Order Report at any time if that
Member determines that the information contained in the Complex Order
Report is no longer useful.
In summary, the proposed Complex Order 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.\43\ Additionally, the proposal would not permit unfair
discrimination because the proposed Complex Order Report will be
available to all Exchange Members.
---------------------------------------------------------------------------
\43\ 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).
---------------------------------------------------------------------------
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.
Inter-Market Competition
The proposed Complex Order Report will allow the Exchange to
provide a new option for Members to receive historical latency related
data. The proposed Complex Order Report will also further enhance
inter-market competition between exchanges by allowing the Exchange to
expand its product offerings. The latency information that would be
provided in the proposed Complex Order Report would enhance competition
between exchanges that offer complex order functionality because it
would allow Recipient Members to recalibrate their models and trading
strategies to improve their overall trading experience on the Exchange.
This may improve the Exchange's overall trading environment resulting
in increased liquidity and order flow on the Exchange. In response,
other exchanges may similarly seek ways to provide latency related data
in an effort to improve their own market quality.
Intra-Market Competition
The proposed rule change to offer the optional Complex Order Report
is in response to Member interest and requests for such information.
The Exchange does not believe the proposed Complex Order Report will
have an inappropriate burden on intra-market competition between
Recipient Members and other Members who choose not to receive the
Complex Order Report. As discussed above, the first two buckets of
information included in the Complex Order Report contain information
about the resting order and the execution of the resting order, both of
which are generally available to Members that choose not to receive the
Complex Order Report from other sources, such as by deriving these data
points from OPRA or obtaining them from the Exchange's proprietary data
feeds. The third bucket of information pertains to the Recipient
Member's response and the time their response is received by the
Exchange, information which latency sensitive Members that do not
subscribe to the proposed Complex Order Report could obtain on their
own based on their knowledge of when they sent their response to the
Exchange and via timestamp information provided by the acknowledgment
message received from the Exchange. However, latency sensitive Members
that do not subscribe to the proposed Complex Order Report would not be
able to obtain 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. Such
latency sensitive Members may not view this information as beneficial
based on their own trading models and systems. Other Members that do
not subscribe to the proposed Complex Order Report may not view the
entire proposed Complex Order Report as useful due to their own trading
behaviors and business models. Such Members may not be latency
sensitive and may be interested primarily in providing resting
liquidity on the Exchange's Strategy Book, or they may simply be
connected to the Exchange for best execution purposes or to comply with
the trade-through requirements under Chapter XIV of the Exchange's
Rules.\44\ 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.
---------------------------------------------------------------------------
\44\ Chapter XIV of the Exchange Rules incorporates by reference
Rule 1401, Order Protection, of the Exchange's affiliate, the Miami
International Securities Exchange, LLC.
---------------------------------------------------------------------------
In sum, if the proposed Complex Order 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
Because the foregoing proposed rule change does not: (i)
Significantly affect the protection of investors or the public
interest; (ii) impose any significant burden on competition; and (iii)
become operative for 30 days after the date of the filing, or such
shorter time as the Commission may designate, it has become effective
pursuant to 19(b)(3)(A) of the Act \45\ and Rule 19b-4(f)(6) \46\
thereunder.
---------------------------------------------------------------------------
\45\ 15 U.S.C. 78s(b)(3)(A).
\46\ 17 CFR 240.19b-4(f)(6). In addition, Rule 19b-4(f)(6)
requires a self-regulatory organization to give the Commission
written notice of its intent to file the proposed rule change at
least five business days prior to the date of filing of the proposed
rule change, or such shorter time as designated by the Commission.
The Exchange has satisfied this requirement.
---------------------------------------------------------------------------
At any time within 60 days of the filing of the proposed rule
change, the Commission summarily may temporarily suspend such rule
change if it appears to the Commission that such action is necessary or
appropriate in the public interest, for the protection of investors, or
otherwise in furtherance of the purposes of the Act.
IV. Solicitation of Comments
Interested persons are invited to submit written data, views, and
[[Page 7229]]
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-2022-02 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-2022-02. 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-2022-02 and should be submitted
on or before March 1, 2022.
For the Commission, by the Division of Trading and Markets,
pursuant to delegated authority.\47\
---------------------------------------------------------------------------
\47\ 17 CFR 200.30-3(a)(12).
---------------------------------------------------------------------------
J. Matthew DeLesDernier,
Assistant Secretary.
[FR Doc. 2022-02553 Filed 2-7-22; 8:45 am]
BILLING CODE 8011-01-P
