Self-Regulatory Organizations; Investors Exchange LLC; Notice of Filing of Proposed Rule Change To Amend Rule 11.190(g) To Provide an Alternative Calculation for Pegged Order Types for Determining Whether a Quote Instability Condition Exists, 62903-62910 [2022-22447]
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Federal Register / Vol. 87, No. 199 / Monday, October 17, 2022 / Notices
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[FR Doc. 2022–22603 Filed 10–13–22; 4:15 pm]
BILLING CODE 8011–01–P
[Release No. 34–96014; File No. SR–IEX–
2022–06]
Self-Regulatory Organizations;
Investors Exchange LLC; Notice of
Filing of Proposed Rule Change To
Amend Rule 11.190(g) To Provide an
Alternative Calculation for Pegged
Order Types for Determining Whether
a Quote Instability Condition Exists
lotter on DSK11XQN23PROD with NOTICES1
October 11, 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
September 27, 2022, the Investors
Exchange LLC (‘‘IEX’’ or the
‘‘Exchange’’) filed with the Securities
and Exchange Commission (‘‘SEC’’ or
‘‘Commission’’) the 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
2 17
U.S.C. 78s(b)(1).
CFR 240.19b–4.
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I. Self-Regulatory Organization’s
Statement of the Terms of Substance of
the Proposed Rule Change
Pursuant to the provisions of section
19(b)(1) under the Act,3 and Rule 19b–
4 thereunder,4 IEX is filing with the
Commission a proposed rule change to
amend Rule 11.190(g) to provide an
alternative calculation for pegged order
types for determining whether a quote
instability condition exists.
The text of the proposed rule change
is available at the Exchange’s website at
www.iextrading.com, at the principal
office of the Exchange, 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
self-regulatory organization 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 self-regulatory organization 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
SECURITIES AND EXCHANGE
COMMISSION
1 15
comments on the proposed rule change
from interested persons.
1. Purpose
The purpose of the proposed rule
change is to amend Rule 11.190(g) to
provide an alternative quote calculation
for pegged order types for determining
whether a quote instability condition
exists.
Background
Currently, as specified in Rule
11.190(g), the Exchange utilizes quoting
activity of eight away exchanges’
Protected Quotations 5 and a proprietary
mathematical calculation to assess the
probability of an imminent change to
the current Protected NBB 6 to a lower
3 15
U.S.C. 78s(b)(1).
CFR 240.19b–4.
5 Each exchange’s Protected Quotation is its best
displayed bid or offer. See Rule 1.160(bb). Current
Rule 11.190(g) uses the following eight exchanges’
Protected Quotations: New York Stock Exchange
LLC (‘‘XNYS’’), the Nasdaq Stock Market LLC
(‘‘XNGS’’), NYSE Arca, Inc. (‘‘ARCX’’), Nasdaq BX,
Inc. (‘‘XBOS’’), Cboe BYX Exchange, Inc. (‘‘BATY’’),
Cboe Bats BZX Exchange, Inc. (‘‘BATS’’), Cboe
EDGA Exchange, Inc. (‘‘EDGA’’), and Cboe EDGX
Exchange, Inc. (‘‘EDGX’’).
6 See Rule 1.160(cc).
4 17
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price or imminent change to the current
Protected NBO 7 to a higher price for a
particular security. When the quoting
activity meets predetermined criteria,
the System 8 treats the quote as not
stable (‘‘quote instability’’ or a
‘‘crumbling quote’’) and the crumbling
quote indicator (‘‘CQI’’) is ‘‘on’’ at that
price level for two milliseconds. During
all other times, the quote is considered
stable (‘‘quote stability’’), and the CQI is
considered to be ‘‘off’’. The System
independently assesses the stability of
the Protected NBB and Protected NBO
for each security.
When the CQI is on, Discretionary Peg
(‘‘D-Peg’’) 9 orders, primary peg (‘‘PPeg’’) 10 orders, and Corporate
Discretionary Peg (‘‘C-Peg’’) 11 orders do
not exercise price discretion to meet the
limit price of an active (i.e., taking)
order. Specifically, D-Peg, P-Peg, and CPeg orders peg to a price that is the less
aggressive of one (1) minimum price
variant (‘‘MPV’’) 12 less aggressive than
the primary quote (i.e., one MPV below
(above) the NBB 13 (NBO 14) for buy
(sell) orders) or the order’s limit price,
if any.15 When the CQI is on at the NBB
(in the case of a buy order) or NBO (in
the case of a sell order), P-Peg orders are
restricted by the System from exercising
price discretion to trade at the quote
instability determination price level (the
‘‘CQI Price’’), and D-Peg and C-Peg
orders are restricted by the System from
exercising price discretion to trade at
the CQI Price or at more aggressive
prices than the CQI Price.
The manner in which D-Peg orders
operate is described in Rule
11.190(b)(10). Specifically, a D-Peg
order is a non-displayed, pegged order
whose price, upon entry into the
System, is automatically adjusted by the
System to be equal to the less aggressive
of the Midpoint Price 16 or the order’s
limit price, if any. When unexecuted
shares of such an order are posted to the
Order Book,17 the price of the order is
automatically adjusted by the System to
be equal to and ranked at the less
aggressive of one (1) MPV less
7 See
Rule 1.160(cc).
Rule 1.160(nn).
9 See Rule 11.190(b)(10).
10 See Rule 11.190(b)(8).
11 See Rule 11.190(b)(16). Note that C-Peg orders
can only be buy orders, so any discussion of D-Peg
sell orders does not apply to C-Peg orders.
12 See Rule 11.210.
13 See Rule 1.160(u).
14 See Rule 1.160(u).
15 C-Peg orders are also constrained by the
consolidated last sale price of the security, and
therefore cannot trade, book, or exercise discretion
at a price that is more aggressive than the
consolidated last sale price. See Rule 11.190(b)(16).
16 See Rule 1.160(t).
17 See Rule 1.160(p).
8 See
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aggressive than the primary quote or the
order’s limit price and is automatically
adjusted by the System in response to
changes in the NBB (NBO) for buy (sell)
orders up (down) to the order’s limit
price, if any. In order to meet the limit
price of active orders on the Order Book,
a D-Peg order will exercise the least
amount of price discretion necessary
from the D-Peg order’s resting price to
its discretionary price (defined as the
less aggressive of the Midpoint Price or
the D-Peg order’s limit price, if any),
except during periods of quote
instability as defined in Rule 11.190(g).
The manner in which P-Peg orders
operate is described in Rule
11.190(b)(8). Specifically, a P-Peg order
is a non-displayed, pegged order whose
price, upon entry and when posting to
the Order Book, is automatically
adjusted by the System to be equal to
and ranked at the less aggressive of one
(1) MPV less aggressive than the
primary quote (i.e., the NBB for buy
orders and the NBO for sell orders) or
the order’s limit price, if any. When
unexecuted shares of such an order are
posted to the Order Book, the order is
automatically adjusted by the System in
response to changes in the NBB (NBO)
for buy (sell) orders up (down) to the
order’s limit price, if any. In order to
meet the limit price of active orders on
the Order Book, a P-Peg order will
exercise price discretion to its
discretionary price (defined as the
primary quote), except during periods of
quote instability as defined in Rule
11.190(g).
The manner in which C-Peg orders
operate is described in Rule
11.190(b)(16). Specifically, a C-Peg
order is a non-displayed, pegged buy
order whose price, upon entry into the
System, is automatically adjusted by the
System to be equal to the less aggressive
of the Midpoint Price, the consolidated
last sale price, or the order’s limit price,
if any. When unexecuted shares of such
an order are posted to the Order Book,
the price of the order is automatically
adjusted by the System to be equal to
and ranked at the less aggressive of one
(1) MPV less aggressive than the
primary quote or the order’s limit price
and is automatically adjusted by the
System in response to changes in the
NBB and the consolidated last sale price
up to the order’s limit price, if any. In
order to meet the limit price of active
orders on the Order Book, a C-Peg order
will exercise the least amount of price
discretion necessary from the C-Peg
order’s resting price to its discretionary
price (defined as the less aggressive of
the Midpoint Price, the consolidated
last sale price, or the C-Peg order’s limit
price, if any), except during periods of
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quote instability as defined in Rule
11.190(g).
IEX has consistently sought to
innovate by offering order types that
counter the costs of ‘‘adverse selection’’
that participants supplying liquidity
incur when their orders are executed at
worse prices as a result of certain speedbased trading strategies. Restricting
resting D-Peg, P-Peg, and C-Peg orders
from exercising price discretion during
periods of quote instability, as described
in Rule 11.190, is designed to protect
such orders from unfavorable
executions at prices that the Exchange’s
probabilistic model predicts are about to
become ‘‘stale.’’
As proposed, Users 18 of D-Peg, P-Peg
and C-Peg orders will be able to
designate whether the order’s price will
be adjusted using the existing quote
instability calculation or a new
alternative quote instability calculation.
The alternative calculation is designed
to incrementally increase the coverage
of the quote instability calculation in
predicting whether a particular quote is
unstable by adjusting the logic
underlying the quote instability
calculation and introducing enhanced
functionality designed to increase the
number of crumbling quotes identified,
while maintaining the quote instability
calculation’s accuracy in predicting the
direction and timing of the next price
change in the NBB or NBO, as
applicable.
Current Crumbling Quote Calculation
In determining whether a crumbling
quote exists, the Exchange utilizes real
time relative quoting activity of eight
exchanges’ Protected Quotations 19 and
a proprietary mathematical calculation
(the ‘‘quote instability calculation’’) to
assess the probability of an imminent
change to the current Protected NBB to
a lower price or Protected NBO to a
higher price for a particular security
(‘‘quote instability factor’’). When the
quoting activity meets predefined
criteria and the quote instability factor
calculated is greater than the Exchange’s
defined threshold (‘‘quote instability
threshold’’), the System treats the quote
as not stable (‘‘quote instability’’ or a
‘‘crumbling quote’’), which turns the
CQI on. During all other times, the quote
is considered stable (‘‘quote stability’’)
and the CQI is off. The System
independently assesses the stability of
the Protected NBB and Protected NBO
for each security.
Quote instability (i.e., a crumbling
quote) is an assessment that the
Exchange System makes on a real-time
18 See
19 See
PO 00000
IEX Rule 1.160(qq).
supra note 2. [sic]
Frm 00123
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basis, based on a pre-determined,
objective set of conditions specified in
Rule 11.190(g)(1) during the Regular
Market Session.20 Specifically, the
presence of a crumbling quote is
determined by the System when the
quote instability factor result from the
quote stability calculation is greater
than the defined quote instability
threshold. As set forth in Rule
11.190(g)(1)(i), this calculation applies
ten fixed coefficients to nine quote
stability variables. The quote stability
variables are measures of the status of
Protected Quotations of the eight
exchanges, including the number of
such Protected Quotations on the near
and far side of the market and the
relationship and recent changes thereto.
The quote instability calculation inputs
these variables into a formula comprised
of the ten fixed coefficients to determine
the quote instability factor and whether
it is greater than the defined quote
instability threshold. The quote stability
variables, fixed coefficients and formula
were developed by the Exchange based
on extensive research, analysis and
validation to identify when there is a
heightened probability of an imminent
quote change to the NBB or NBO. The
Exchange has made incremental
changes to optimize and enhance the
effectiveness of the quote instability
calculation in determining whether a
crumbling quote exists three times since
Exchange launch.21
When the CQI is on, it remains in
effect at that price level (the ‘‘CQI
Price’’) for two milliseconds, unless a
new determination is made before the
CQI turns off. Only one determination
may be in effect at any given time for
a particular security (i.e., the System
will only treat one side of the Protected
NBBO as unstable in a particular
security at any given time and the CQI
can only be on at one price level).22 A
new determination may be made after at
least 200 microseconds have elapsed
since the preceding determination, or a
price change on either side of the best
displayed bid or offer of the eight
exchanges used for the current quote
instability calculation occurs,
whichever is first. If a new
20 See IEX Rule 1.160(gg). Quote instability
assessments are only made by the Exchange System
during the Regular Market Session because the
order types that utilize the assessment (i.e., D-Peg,
P-Peg and C-Peg orders) are only eligible to trade
during the Regular Market Session.
21 See Securities Exchange Act Release 34–78510
(August 9, 2016), 81 FR 54166 (August 15, 2016)
(SR–IEX–2016–11); Securities Exchange Act Release
No. 80202 (March 10, 2017), 82 FR 14058 (March
16, 2017) (SR–IEX–2017–06); and Securities
Exchange Act Release No. 83048 (April 13, 2018),
83 FR 17467 (April 19, 2018) (SR–IEX–2018–07).
22 See Rule 11.190(g)(1).
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determination is made, the original
determination is no longer in effect. A
new determination can be on either side
of the best displayed bid or offer of the
eight exchanges used for the current
quote instability calculation and at the
same or different price level as the
original determination.
Rule 11.190(g)(1)(A)(iii) provides that
the Exchange reserves the right to
modify the quote instability coefficients
or quote instability threshold at any
time, subject to a filing of a proposed
rule change with the SEC. In this rule
filing, the Exchange is proposing to
make such changes by adding an
alternative quote instability calculation
approach.
lotter on DSK11XQN23PROD with NOTICES1
Proposed Alternative Quote Instability
Calculation
IEX periodically reviews the
performance of the quote instability
calculation in predicting imminent
quote changes, and potential alternative
approaches. Based on that review, IEX
identified an alternative approach that
is designed to achieve two related
objectives. First, we sought to increase
the ‘‘coverage’’ of the CQI, meaning the
percentage of all ‘‘adverse’’ NBBO
changes per symbol (lower for bids,
higher for offers) that were predicted by
the CQI (meaning the CQI was ‘‘on’’ at
the time of the adverse NBBO change).
Second, we sought to preserve the
‘‘accuracy rate’’ of the CQI, meaning the
percentage of time that the CQI
accurately predicted the direction of the
next price change. IEX reviewed market
data from March 2022 to consider these
factors.23 The analysis indicated that the
current CQI calculation predicted 43%
of such adverse NBBO changes on a
volume weighted basis, while the
alternative CQI calculation would have
predicted 62% of such adverse NBBO
changes. As to the accuracy rate, the
analysis indicated that the CQI had an
accuracy rate of 78%, and the
alternative CQI calculation would have
had an accuracy rate of 79%.
Based on informal feedback from
Members, IEX understands that different
firms may prefer different levels of
coverage, i.e., how frequently a pegged
order refrains from exercising price
discretion to meet the price of an
23 Data regarding the proposed alternative
approach is based on comprehensive back testing.
Specifically, IEX adjusts TAQ (i.e., NYSE Trade and
Quote) data by fixed latency offsets per-venue to
simulate market data seen by the IEX system. This
simulated data is used to compute CQI models and
evaluate their performance. Using this process to
simulate the current CQI model confirms that
performance estimates are similar to the actual IEX
production system, and applying this process to the
proposed model produces the back testing
performance estimates described herein.
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incoming order in response to
crumbling quote predictions.
Accordingly, IEX proposes to add the
alternative quote instability calculation
approach for determining whether a
crumbling quote exists as an option for
Users of pegged orders.
As described in more detail below,
the alternative approach would: expand
the sources and types of market data
used, utilize a more plain English rulesbased approach, modify the minimum
time period between quote instability
determinations, and include a real-time
accuracy assessment of each rule with
the effect of deactivating a rule that is
not meeting specified metrics. In
addition, pegged orders would be
restricted from exercising price
discretion when the CQI is on,
regardless of whether the current NBB
or NBO (as applicable) is the same as
the CQI Price.
The following describes the proposed
alternative approach:
Expanded Sources and Types of Market
Data
The Exchange is proposing to use the
Protected Quotations of the current
eight exchanges 24 in the quote
instability calculation, and to add the
Protected Quotations of three additional
exchanges: MIAX PEARL, LLC
(‘‘EPRL’’), MEMX LLC (‘‘MEMX’’), and
Nasdaq PHLX LLC (‘‘XPHL’’)
(collectively the ‘‘Signal Exchanges’’).
Additionally, as detailed below, the
Exchange is proposing to use quotation
size data 25 from the Signal Exchanges,
as well as quotation price data, which
is also used in the current approach. In
connection with the Exchange’s analysis
of market data,26 the Exchange
considered several different
permutations of which exchanges to
include in the model. The analysis
identified that using Protected
Quotations from the 11 Signal
Exchanges in the aggregate, as well as
adding quotation size data, enhanced
the predictive power of the alternative
approach for determining a crumbling
quote.
Use of a Rules-Based System
As proposed, the alternative model
utilizes a quote instability calculation in
which nine separate rules—each with
24 Current Rule 11.190(g) uses the following eight
exchanges’ Protected Quotations: XNYS; XNGS;
ARCX; XBOS; BATY; BATS; EDGA; and EDGX.
25 All references to quotation size are measured in
round lot multiples.
26 IEX conducted an analysis to develop a model
for predicting crumbling quotes by reviewing
market data from randomly selected days in 2018,
2019, and 2020. This model was validated by
testing across randomly selected days from the
same time period, as well as 2021.
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specific conditions based on either the
price, size, or price and size of the
Signal Exchanges’ Protected
Quotations—can trigger a quote
instability determination for either the
NBB or the NBO of a particular
security.27 The current quote instability
calculation utilizes a logistic regression
model with multiple coefficients and
variables that must exceed a pre-defined
threshold in order for the System to
treat the quote as unstable. Based upon
the analysis noted above, the Exchange
believes that the proposed alternative
rules-based model (which incorporates
and expands on the existing approach)
will incrementally increase the coverage
of the Exchange’s probabilistic model
for determining whether a crumbling
quote will occur at the same level of
precision. In other words, the
alternative model is expected to
increase the number of quote instability
determinations while maintaining the
same degree of accuracy in predicting
the timing and direction of price
changes in the NBB and NBO. The
proposed quote instability rules include
four categories of Protected Quotation
changes (each comprised of one or more
rules) that IEX has determined are
predictive of whether the NBB or NBO
is about to move to a less aggressive
price, as follows:
• Disappearing bids (or offers)—This
category includes four rules that focus
on whether one or more of the Signal
Exchanges is no longer disseminating a
bid or offer at the Signal Best Bid 28 or
Signal Best Offer 29 as applicable; 30
• Recent changes in quote size—This
category includes two rules that focus
27 The nine rules are designed to work together
in determining whether a quote instability
determination is triggered, so if a User selects the
alternative model all nine rules would be
applicable. Users cannot elect that only some of the
rules would apply.
28 ‘‘Signal Best Bid’’ means the highest Protected
Bid of the Signal Exchanges. See proposed IEX Rule
11.190(g)(2)(B)(i).
29 ‘‘Signal Best Offer’’ means the lowest Protected
Offer of the Signal Exchanges. See proposed IEX
Rule 11.190(g)(2)(B)(v).
30 The proposed disappearing bid/offers rules are
closely related to the current approach to the quote
instability calculation, in that both approaches
share the Delta quote instability variable, which is
heavily weighted in the current quote instability
calculation. In the current calculation, Delta is
additively incorporated into the logistic formula
(after scaling by its relevant coefficient) whereas in
the proposed disappearing bid/offer rules, specific
Delta values are explicitly required for the relevant
rule to be True. See IEX Rule 11.190(g)(1)(A)(i)(b)(9)
and proposed IEX Rule 11.190(g)(2)(B)(x) and (xi),
each of which reflect a count of the number of three
specified exchanges that have moved away from the
best near side Protected NBBO of the Signal
exchanges, as specified. IEX expects that the overall
behavior of the proposed disappearing bid/offer
rules will be similar to the behavior of the current
approach.
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on whether there is an imbalance in the
size of bids and offers at the Signal Best
Bid or Signal Best Offer;
• Locked or crossed market—This
category includes one rule that focuses
on situations where the Signal Best Bid
and Signal Best Offer are locked or
crossed; and
• Quotation Changes—This category
includes two rules that focus on changes
to the Signal Best Bid or Signal Best
Offer.
On a security-by-security basis, if the
specified conditions of any of the quote
instability rules are met, then the rule is
deemed to be True for that security. As
described in more detail below, each
rule must be active before it can trigger
a quote instability determination. When
one or more quote instability rules is
deemed to be True and any of such rules
are active, the System will treat the
quote as unstable. The following
describes the proposed rules:
• Rule DB1 (DO1) is True if two or
more exchanges among BATS, EDGX,
and XNGS have fallen off the Signal
Best Bid (Offer) (i.e., the exchange was
at the Signal Best Bid (Offer) but is no
longer at the Signal Best Bid (Offer) )
within the past millisecond or within
the time period since the start of the
current Signal Best Bid (Offer) if
shorter.31
• Rule DB2 (DO2) is True if two or
more exchanges among BATS, EDGX,
and XNGS have fallen off the Signal
Best Bid (Offer) (i.e., the exchange was
at the Signal Best Bid (Offer) but is no
longer at the Signal Best Bid (Offer))
within the past millisecond or within
the time period since the start of the
current Signal Best Bid (Offer) if shorter
AND the total notional value of
protected displayed interest at the
Signal Best Bid (Offer) is less than
$60,000.
• Rule DB3 (DO3) is True if two or
more exchanges among BATS, EDGX,
and XNGS have fallen off the Signal
Best Bid (Offer) (i.e., the exchange was
at the Signal Best Bid (Offer) but is no
longer at the Signal Best Bid (Offer))
within the past millisecond or within
the time period since the start of the
current Signal Best Bid (Offer) if shorter
AND there is only one Signal Exchange
at the Signal Best Bid (Offer).
• Rule DB4 (DO4) is True if two or
more exchanges among BATS, EDGX,
31 Note that rule DB2 (DO2/DB4/DO4) being True
logically implies that rule DB1 (DO1/DB3/DO3) is
True. These rules are not redundant however, since
a rule must be both True AND Active to generate
a quote instability determination. It is possible for
Rule DB2 (DO2/DB4/DO4) to be Active while Rule
DB1 (DO1/DB3/DO3) is not Active, so these logical
subset rules can add a distinct contribution to
output behavior.
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and XNGS have fallen off the Signal
Best Bid (Offer) (i.e., the exchange was
at the Signal Best Bid (Offer) but is no
longer at the Signal Best Bid (Offer))
within the past millisecond or within
the time period since the start of the
current Signal Best Bid (Offer) if shorter
AND the total notional value of
protected displayed interest at the
Signal Best Bid (Offer) is less than
$60,000 AND there is only one Signal
Exchange at the Signal Best Bid (Offer).
• Rule SB1 (SO1) is True if there is
one Signal Exchange at the Signal Best
Bid (Offer) AND the Bid (Offer)
Pressure 32 is greater than or equal to
Offer (Bid) Pressure AND the aggregate
total shares displayed at the Signal Best
Offer (Bid) is greater than the aggregate
total shares displayed at the Signal Best
Bid (Offer) AND Bid (Offer) Pressure is
greater than two.
• Rule SB2 (SO2) is True if there is
one Signal Exchange at the Signal Best
Bid (Offer) AND Bid (Offer) Pressure is
greater than or equal to Offer (Bid)
Pressure AND the aggregate total shares
displayed at the Signal Best Offer (Bid)
is greater than the aggregate total shares
displayed at the Signal Best Bid (Offer)
AND Bid (Offer) Pressure is greater than
one AND the spread is less than the
average of the spread over the past
twenty Updates 33 to either the Protected
Bid or Offer of any Signal Exchange.
• Rule LB1 (LO1) is True if either of
the following conditions are met: (A) the
Signal Best Bid is greater than or equal
to the Signal Best Offer AND the Signal
Best Offer (Bid) is less than (greater
than) the Signal Best Offer (Bid) as of
the last Update; OR the Signal Best Bid
is greater than or equal to the Signal
Best Offer AND the aggregate total
shares displayed at the Signal Best Offer
(Bid) is greater than the aggregate total
shares displayed at the Signal Best Offer
(Bid) as of the last Update AND the
aggregate total shares displayed at the
Signal Best Offer (Bid) is greater than
the aggregate total shares displayed at
the Signal Best Bid (Offer).
• Rule FB1 (FO1) is True if the Signal
Best Bid (Offer) is greater (less) than the
Signal Best Bid (Offer) as of the last
Update.
• Rule FB2 (FO2) is True if the Signal
Best Bid (Offer) is less (greater) than the
Signal Best Bid (Offer) as of the last
Update.
32 See proposed IEX Rules 11.190(g)(2)(B)(xii) and
(xiii).
33 ‘‘Update’’ means any change to either the price
or size of any Signal Exchange’s Protected Bid or
Offer, or a change to the quote condition (e.g., when
the quote becomes slow or non-firm, or the security
is halted).
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Time and Direction Constraints on the
CQI
The Exchange proposes three distinct
changes for the alternative model to the
time and direction constraints on the
CQI in the current model. These
changes are designed to provide a more
dynamic methodology for quote
instability determinations, thereby
incrementally increasing the coverage of
the formula in predicting a crumbling
quote by expanding the scope of the
model to additional situations where the
Exchange’s probabilistic model predicts
that the NBB or NBO is in the process
of moving to a less aggressive price and
is about to become stale.
First, the quote instability calculation
could turn on concurrently on both
sides of the market (i.e., the NBB and
NBO) and always remains on for the full
two millisecond period each time it
turns on. In the current model, the quote
instability calculation independently
assesses the stability of the Protected
NBB and Protected NBO for each
security, but it can only turn on for one
side of the market for each security at
a time. Thus, if the quote instability
calculation determines that the
Protected NBB is unstable, the CQI turns
on for the NBB. If thereafter the quote
instability calculation determines that
the Protected NBO for that same
security is also unstable while the CQI
is still on for the NBB, the System will
turn off the CQI for NBB and turn it on
for the NBO. As proposed, the CQI
could be on concurrently on the buy
and sell side of the market and will be
able to remain on for the full two
millisecond period after turning on
because a subsequent determination on
the opposite side of the market will not
turn off a prior determination. While
both sides of the market do not
frequently crumble concurrently, IEX
nonetheless believes that when they do,
providing corresponding protection to
orders on both sides of the market is
appropriate.
Second, pursuant to the alternative
model, when the CQI turns on it would
not be constrained to a specific price
level. Currently the CQI is on at a
specific CQI Price, the particular price
in effect at the time it turned on, and if
the NBB or NBO (as applicable) changes
during the time it is on, the CQI does
not constrain D-Peg, P-Peg, and C-Peg
orders from exercising discretion since
the CQI Price is no longer set by
reference to the current NBB or NBO (as
applicable).34 As proposed, pursuant to
the alternative approach, the CQI will
continue to turn on at a specific price,
34 See IEX Rules 11.190(b)(8)(K)(i) and (ii),
(b)(10)(K)(i) and (ii), (b)(16)(K).
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but it will restrict D-Peg, P-Peg, and CPeg orders from exercising discretion
past their resting price when the CQI is
on for the same side of the market as
such orders regardless of whether the
price at which it turned on is currently
equal to the NBB or NBO (as
applicable). The Exchange also proposes
conforming changes to Rules
11.190(b)(8)(K)(i) and (ii), (b)(10)(K)(i)
and (ii), and (b)(16)(K) to reflect this
change to D-Peg, P-Peg, and C-Peg
orders’ behavior if the User selects the
alternative quote instability calculation.
Based on IEX’s analysis of market data,
as described above, the Exchange has
determined that continuing to restrict DPeg, P-Peg, and C-Peg orders from
exercising discretion when the CQI is
on, even if the CQI Price has changed,
will protect such orders from potential
adverse selection at the new price level.
Third, pursuant to the alternative
model, IEX proposes to change the
amount of time the System waits after
the CQI turns on before it can make a
new quote instability determination on
the same side of the market from 200
microseconds to 250 microseconds
(irrespective of any change in the Signal
Best Bid or Offer). Because pegged
orders will be constrained from
exercising price discretion when the
CQI is on, regardless of whether the
current NBB or NBO (as applicable) is
the same as the CQI price, CQI triggers
in extremely rapid succession are
unnecessary to continuously restrict
discretion across successive NBBO
changes. Moreover, increasing the 200
microsecond ‘‘cooldown’’ period to 250
microseconds before the System can
make another quote instability
determination is designed to reduce the
technical processing burden on the
System.
Activation Values/Activation
Thresholds
As proposed, in applying the
alternative approach, consistent with
using a rules-based model instead of a
logistic regression model for the quote
instability calculation, the Exchange
would maintain an activation value
(‘‘Activation Value’’) for each quote
instability rule. Each rule’s Activation
Value is computed (on a security-bysecurity basis for the Bid and Offer side)
in real time as a function of the number
of times the quote moves to a less
aggressive price within the two
milliseconds (or the start time of the
current Signal Best Bid or Signal Best
Offer, as applicable, if shorter) following
the time the rule was True and the total
number of times the rule was True.
Whenever the Activation Value for a
given rule exceeds a fixed
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predetermined activation threshold
specific to that rule (‘‘Activation
Threshold’’), the rule is active (i.e., it is
eligible to trigger a quote instability
determination when True).
The Activation Value and Activation
Threshold computations are intended to
optimize the overall accuracy of the
quote instability determinations by
providing a mechanism to turn off a
particular rule when market conditions
are such that it is relatively less accurate
in predicting a crumbling quote. IEX
believes that utilizing Activation
Thresholds is a useful innovation
because it enables the use of rules that
can be highly predictive in certain
market conditions but not in others. The
Activation Thresholds are tailored for
each rule based on the rule’s expected
general accuracy in predicting a
crumbling quote, based on IEX’s market
data analysis, so that a rule that has a
higher potential to be less accurate has
a higher activation threshold burden to
meet. The Activation Thresholds are
designed to increase the coverage for the
alternative quote instability calculation
by enabling more frequent triggers than
the current approach but with accuracy
controls safeguards.
As proposed, the Activation
Threshold for the DB, DO, SB and SO
rules is 0.30; the Activation Threshold
for Rules LB and LO is 0, and the
Activation Threshold for the FB and FO
rules is 0.50.35 The Exchange would
utilize an initial activation value of 0.50
for all rules at the start of the Regular
Market Session, which is then modified
during the course of the Regular Market
Session to reflect each rule’s predictive
performance. Specifically, each time a
rule is True 36 its existing Activation
Value is multiplied by a Decay Factor of
0.94. In addition, each time the Signal
Best Bid or Signal Best Offer moves to
less aggressive price within two
milliseconds of a rule being True at that
price level, 0.06 will be added to that
rule’s existing Activation Threshold
(i.e., (1¥decay factor) + previous
Activation Value as specified in IEX
Rule 11.190(g)(2)(D)(ii).
When a rule is active, the System
continues to evaluate if its Activation
Value exceeds its Activation Threshold.
If the rule’s Activation Value
subsequently does not exceed its
35 Note that the FB/FO rules will not have
activation values strictly above their activation
thresholds of 0.5 upon the first time they are
satisfied (they are initialized daily at 0.5 and
multiplied by the decay factor of 0.94 when they
are satisfied), therefore the first time each day that
either or both of these rules is True will not trigger
a quote instability determination.
36 Excluding instances where the rule was already
True at the same unchanged price level in the prior
two milliseconds.
PO 00000
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62907
Activation Threshold, the rule will not
trigger the System to treat the relevant
quote as unstable even if the rule is
True. The System continues to track the
Activation Value for rules that are
inactive, and if the Activation Value
subsequently exceeds the rule’s
Activation Threshold, the System will
reactivate the rule.
Based on IEX’s market data analysis,
the Exchange believes that the use of
Activation Thresholds, as proposed,
would provide a dynamic performance
evaluation methodology that will
optimize the frequency and accuracy of
the quote instability calculation, by
enabling IEX to utilize a broader array
of rules that may be predictive of a
crumbling quote in certain market
conditions but not others. Moreover, as
proposed all aspects of the activation
calculations are fully transparent in IEX
rules thus enabling Members, market
participants and others to perform the
same calculations to determine whether
a particular security is subject to a quote
instability determination.
Specific Rule Changes
IEX proposes to make the following
changes to Rule 11.190(g) to specify that
there are two alternative proprietary
mathematical calculations (Option 1
and Option 2) to assess the probability
of an imminent change to the current
Protected NBB to a lower price or a
Protected NBO to a higher price for a
particular security:
• Add new language to the
introductory section of Rule 11.190(g)
after the phrase ‘‘Quote Stability’’ at the
beginning of the Rule specifying that the
Exchange utilizes two User Selected
alternative proprietary mathematical
calculations to assess the probability of
an imminent change to the current
Protected NBB to a lower price or a
Protected NBO to a higher price for a
particular security.
• Add language immediately
following the new language described in
the preceding bullet and prior to the
existing text stating that ‘‘[f]or Option 1,
as set forth in subparagraph (1) of Rule
11.190(g),’’.
• Add a new paragraph after the
current first paragraph providing
introductory language describing Option
2 and specifying that Option 2 is set
forth in subparagraph (2) of Rule
11.190(g).
• Add ‘‘Option 1’’ prior to
‘‘Crumbling Quote’’ in the heading to
subparagraph (1) of Rule 11.190(g).
• Relocate and revise subparagraph
(1)(A)(iii) of Rule 11.190(g) with new
subparagraph (3) of Rule 11.190(g)
which makes clarifying changes to the
terminology in current subsection
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(1)(A)(iii) of Rule 11.190(g), which
specifies that the Exchange reserves the
right to modify the quote instability
coefficients or quote instability
threshold at any time, subject to a filing
of a proposed rule change with the SEC.
IEX proposes to revise the rule
provision to reference ‘‘the proprietary
mathematical calculations used to
assess the probability of an imminent
change to the current Protected NBB to
a lower price or a Protected NBO to a
higher price for a particular security’’
rather than existing references to ‘‘the
quote instability coefficients or quote
instability threshold.’’ Current language
that provides that such changes are
‘‘subject to a filing of a proposed rule
change with the SEC’’ would be
retained. In addition, IEX proposes to
renumber this subsection to be
subsection (3) of Rule 11.190(g).
• Add new subparagraph (2)
(including subparagraphs) of Rule
11.190(g) to describe the alternative
quote instability model and refer to such
model as ‘‘Option 2 Crumbling Quote’’.
The Exchange also proposes to make
conforming changes to Rules
11.190(b)(8)(K)(i) and (ii) (‘‘P-Peg’’),
(b)(10)(K)(i) and (ii) (‘‘D-Peg’’), and
(b)(16)(K) (‘‘C-Peg’’) to reflect
differences in whether the System will
restrict applicable orders from
exercising price discretion when the
CQI is on. Specifically, if the User
selected the existing quote instability
model (Option 1), D-Peg, P-Peg, and CPeg orders will be restricted from
exercising discretion while the CQI is
on for the same side of the market if the
current NBB/NBO (as applicable) is the
same as the NBB/NBO that the quote
instability determination was based on.
If the User selected the alternative quote
instability model (Option 2),
D-Peg, P-Peg, and C-Peg orders will be
restricted from exercising discretion
while the CQI is on for the same side of
the market, even if the current NBB/
NBO (as applicable) is different than the
NBB/NBO upon which the quote
instability determination was based. In
addition, the Exchange proposes to
make a conforming change to Rule
11.190(b)(7) to reflect that only Option
1 will be applicable to Discretionary
Limit orders.
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Implementation
The Exchange will announce the
implementation date of the proposed
rule change by Trading Alert at least ten
business days in advance of such
implementation date and within 90 days
of effectiveness of this proposed rule
change.
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2. Statutory Basis
IEX believes that the proposed rule
change is consistent with section 6(b) 37
of the Act in general, and furthers the
objectives of section 6(b)(5) of the Act,38
in particular, in that it is designed to
promote just and equitable principles of
trade, 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.
Specifically, and as discussed in the
Purpose section, the proposal is
designed to provide an alternative quote
instability approach for pegged orders
that is designed to make more frequent
predictions while maintaining a similar
true positive ratio as the existing
approach. Based on informal feedback
from Members, IEX understands that
different firms prefer different levels of
coverage with respect to the CQI and its
impact on pegged orders exercising
price discretion to meet the price of an
incoming order. The alternative quote
instability approach is responsive to
that feedback and would provide
additional coverage to Users of D-Peg,
P-Peg and C-Peg orders, i.e., as
discussed in the Purpose section, it
would result in more frequent
predictions and thereby increase the
circumstances in which the order would
not exercise discretion.
The Exchange believes it is consistent
with the protection of investors and the
public interest to provide an alternative
quote instability calculation model that
is designed to protect pegged orders
from potential unfavorable executions
during periods of quote instability when
the Exchange’s probabilistic model
identifies that the market appears to be
moving adversely to them. IEX believes
that the alternative approach, in the
aggregate and with respect to the
specific changes proposed, is rigorously
sound, supported by market data
analysis, and consistent with the Act as
described below.
The Exchange believes that it is
consistent with the Act to expand the
sources and types of market data used
by the quote instability calculation. As
described in the Purpose section, based
on market data analysis and testing, the
Exchange believes that using the market
data of three additional exchanges, and
using quotation size data (in addition to
quotation price data) of all eleven Signal
Exchanges, will result in robust
predictive power and accuracy of the
quote instability calculation.
The Exchange also believes that it is
consistent with the Act to utilize a
37 15
38 15
PO 00000
U.S.C. 78f.
U.S.C. 78f(b)(5).
Frm 00127
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rules-based model to determine whether
a crumbling quote will occur. As
discussed in the Purpose section, based
on market data analysis, the Exchange
believes that the nine proposed quote
instability rules—each with specific
conditions based on either the price,
size, or price and size of the Signal
Exchange’s Protected Quotations—will
result in robust predictive power and
accuracy of the Exchange’s alternative
probabilistic model for determining
whether a crumbling quote will occur
by expanding the scope of the model to
additional situations where the
Exchange’s probabilistic model predicts
that the NBB or NBO is about to become
stale. IEX believes that this proposed
change will potentially enhance the
protection available to market
participants using pegged order types
that elect to use the alternative model.
Moreover, IEX believes that the
alternative quote instability calculation,
as a plain English rules-based system,
will be more readily understood by
market participants, thereby increasing
the transparency of IEX’s rules and
removing impediments to a free and
open market.
The Exchange further believes that it
is consistent with the Act to restrict DPeg, P-Peg, and C-Peg orders from
exercising price discretion when the
alternative quote instability calculation
model is on for the same side of the
market as the order regardless of the
triggering price. As discussed in the
Purpose section, based on market data
analysis, the Exchange believes that
continuing to restrict D-Peg, P-Peg, and
C-Peg orders from exercising discretion
when the CQI is on even if the CQI Price
has changed will protect such orders
from potential adverse selection at new
price levels resulting from consecutive
closely timed price moves as the market
‘‘settles’’ at a new price level.
Additionally, the Exchange believes
that it is consistent with the Act to
change the time and direction
constraints on the alternative quote
instability calculation model. As
discussed in the Purpose section, these
differences—keeping the CQI on for a
full two millisecond period every time
it turns on and allowing the CQI to turn
on concurrently on both sides of the
market (i.e., the NBB and NBO)—are
designed to incrementally increase the
coverage of the alternative quote
instability calculation model in
predicting a crumbling quote by
increasing the duration of time in which
the CQI is on. Based on market data
analysis, the Exchange believes these
changes to the CQI’s time and direction
constraints will increase the coverage of
quote instability determinations.
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The Exchange additionally believes
that it is consistent with the protection
of investors and the public interest to
extend by 50 microseconds the
‘‘cooldown’’ period before the System
can make another quote instability
determination (extending it from 200
microseconds to 250 microseconds). As
discussed in the Purpose section, based
on market data analysis, because pegged
orders will be constrained from
exercising price discretion when the
CQI is on regardless of whether the
current NBB or NBO (as applicable) is
the same as the CQI price, CQI triggers
in extremely rapid succession are
unnecessary to continuously restrict
discretion across successive NBBO
changes. Moreover, increasing the
‘‘cooldown’’ period before the System
can make another quote instability
determination is designed to reduce the
technical processing burden on the
System thereby supporting the
resiliency of the Exchange and removing
impediments to and perfecting the
mechanism of a free and open market
and a national market system.
The Exchange also believes that using
activation thresholds instead of a quote
stability threshold is consistent with the
Act because the activation thresholds
are designed to enable broader coverage
while controlling for overall accuracy of
the quote instability determinations by
providing a mechanism to turn off a
particular rule when market conditions
are such that it is relatively less accurate
in predicting a crumbling quote. Based
upon market data analysis, IEX believes
that utilizing activation thresholds is a
useful innovation because it enables the
use of rules that can be highly
predictive in certain market conditions
but not in others. The activation
thresholds are tailored for each rule
based on the rule’s general accuracy in
predicting a crumbling quote so that a
rule that has a higher potential to be less
accurate has a higher activation
threshold burden to meet.
The Exchange believes that it is
consistent with the protection of
investors and the public interest to offer
an alternative User selected quote
instability calculation model for pegged
orders. As discussed in the Purpose
section and above, IEX understands that
different market participants seek
differing levels of coverage with respect
to the CQI and its impact on when a
pegged order exercises price discretion
to meet the price of an incoming order.
The proposed rule change is designed to
provide a market-based approach to
such differing objectives in a manner
that is transparent to market
participants. Moreover, IEX’s market
data analysis evidences that both quote
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instability calculations will be ‘‘on’’ for
a small portion of the trading day while
providing robust protection to pegged
orders.
The Exchange believes that the
proposed rule change may result in
more and larger sized pegged orders
being entered on IEX as a result of the
ability to select the quote instability
calculation alternative which, as
discussed above, is designed to provide
greater coverage with respect to the CQI
and its impact on pegged orders
exercising price discretion to meet the
price of an incoming order. To the
extent more orders are entered, the
increased liquidity would benefit all
IEX members and their customers.
Regardless of whether a User selects
to use the current or proposed
alternative quote instability calculation,
when multiple pegged orders exercise
discretion at the same time, their
relative priority is retained.39 Thus, the
Exchange notes that the proposed rule
change does not raise any new or novel
issues in this regard.
Furthermore, the Exchange notes that
all Members are eligible to use D-Peg,
P-Peg, and C-Peg orders, and therefore
all Members are eligible to benefit from
these order types’ protections against
adverse selection, and will also benefit
if use of the alternative quote instability
calculation bring more liquidity to the
Exchange. Thus, the Exchange believes
that application of the rule change is
equitable and not unfairly
discriminatory.
Further, the Exchange believes that
the proposed changes (as described in
the Purpose section) to relocate and
revise subparagraph (1)(A)(iii) of Rule
11.190(g) with new subparagraph (3) of
Rule 11.190(g) and to make clarifying
changes to the terminology in current
subsection (1)(A)(iii) of Rule 11.190(g),
which specifies that the Exchange
reserves the right to modify the quote
instability coefficients or quote
instability threshold at any time, subject
to a filing of a proposed rule change
with the SEC are consistent with the
Act. The proposed changes merely
update terms and descriptive language
to describe both alternative quote
instability calculations, and without
changing the operative language that
any future changes would continue to
be subject to a filing of a proposed rule
change with the SEC.
The Exchange also believes that the
proposed conforming rule changes, as
described in the Purpose section are
consistent with the Act because the
changes would promote clarity in IEX’s
rules.
39 See
PO 00000
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62909
Finally, the Exchange notes that, as
proposed, both quote instability
calculations will continue to be fixed
formulas specified transparently in
IEX’s rules. The Exchange is not
proposing to add any new functionality,
but merely to provide an alternative
quote instability calculation for pegged
orders based on market data analysis
designed to increase its accuracy in
predicting a crumbling quote, and as
contemplated by the rule.
B. Self-Regulatory Organization’s
Statement on Burden on Competition
IEX 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. To the
contrary, as discussed in the Statutory
Basis section, the proposal is designed
to enhance IEX’s competitiveness by
incentivizing the entry of increased
liquidity.
With regard to intra-market
competition, the proposed changes to
the quote instability calculation will
apply equally to all Members on a fair,
impartial and nondiscriminatory basis
without imposing any new burdens on
the Members. The Commission has
already considered the Exchange’s DPeg order type in connection with its
grant of IEX’s application for
registration as a national securities
exchange under sections 6 and 19 of the
Act 40 and approved the Exchange’s PPeg 41 order type. The Commission has
also allowed the Exchange’s C-Peg 42
order type to become effective. As
discussed in the Purpose and Statutory
Basis sections, the proposed rule change
is designed to merely provide an
optional alternative quote instability
calculation; therefore, no new burdens
are being proposed.
With regard to inter-market
competition, other exchanges are free to
adopt similar quote instability
calculations. In this regard, the
Exchange notes that that NYSE
American LLC has adopted a rule
copying an earlier iteration of the
Exchange’s Discretionary Peg Order type
and quote instability calculation.43
40 See Securities Exchange Act Release 78101
(June 17, 2016), 81 FR 41142 (June 23, 2016) (File
No. 10–222).
41 See Securities Exchange Act Release No. 80223
(March 13, 2017), 82 FR 14240 (March 17, 2017)
(SR–IEX–2016–18).
42 See Securities Exchange Act Release No. 87019
(September 19, 2019), 84 FR 50485 (September 25,
2019) (SR–IEX–2019–10).
43 See NYSE American LLC Rule 7.31E(h)(3)(D).
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C. Self-Regulatory Organization’s
Statement on Comments on the
Proposed Rule Change Received From
Members, Participants, or Others
Written comments were neither
solicited nor received.
III. Date of Effectiveness of the
Proposed Rule Change and Timing for
Commission Action
Within 45 days of the date of
publication of this notice in the Federal
Register or within such longer period
up to 90 days of such date (i) as the
Commission may designate if it finds
such longer period to be appropriate
and publishes its reasons for so finding
or (ii) as to which the Exchange
consents, the Commission shall: (a) by
order approve or disapprove such
proposed rule change, or (b) institute
proceedings to determine whether the
proposed rule change should be
disapproved.
IV. Solicitation of Comments
Interested persons are invited to
submit written data, views, and
arguments concerning the foregoing,
including whether the proposed rule
change is consistent with the Act.
Comments may be submitted by any of
the following methods:
Electronic Comments:
• Use the Commission’s internet
comment form (https://www.sec.gov/
rules/sro.shtml); or
• Send an email to rule-comments@
sec.gov. Please include File Number SR–
IEX–2022–06 on the subject line.
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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–IEX–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
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
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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
offices 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–IEX–2022–06, and should
be submitted on or before November 7,
2022.
For the Commission, by the Division of
Trading and Markets, pursuant to delegated
authority.44
J. Matthew DeLesDernier,
Deputy Secretary.
[FR Doc. 2022–22447 Filed 10–14–22; 8:45 am]
BILLING CODE 8011–01–P
SECURITIES AND EXCHANGE
COMMISSION
[Release No. 34–96021; File No. SR–
NYSEAMER–2022–42]
Self-Regulatory Organizations; NYSE
American LLC; Notice of Filing and
Immediate Effectiveness of Proposed
Change To Amend Sections 140 and
141 of the NYSE American Company
Guide To Waive Initial Listing Fees and
Annual Listing Fees for the Remainder
of the Year the Listing Occurs for an
Issuer Listing Upon Closing of Its
Acquisition of an Exchange-Listed
Special Purpose Acquisition Company
October 11, 2022.
Pursuant to section 19(b)(1) 1 of the
Securities Exchange Act of 1934 (the
‘‘Act’’) 2 and Rule 19b–4 thereunder,3
notice is hereby given that, on
September 30, 2022, NYSE American
LLC (‘‘NYSE American’’ or the
‘‘Exchange’’) filed with the Securities
and Exchange Commission (the
‘‘Commission’’) the proposed rule
change as described in Items I, II, and
III below, which Items have been
prepared by the Exchange. The
Commission is publishing this notice to
solicit comments on the proposed rule
change from interested persons.
44 17
CFR 200.30–3(a)(12).
15 U.S.C. 78s(b)(1).
2 15 U.S.C. 78a.
3 17 CFR 240.19b–4.
1
PO 00000
Frm 00129
Fmt 4703
Sfmt 4703
I. Self-Regulatory Organization’s
Statement of the Terms of Substance of
the Proposed Rule Change
The Exchange proposes to amend
sections 140 and 141 of the NYSE
American Company Guide (‘‘Company
Guide’’) to waive initial listing fees and
the prorated annual fee for the first
partial year of listing for any issuer that
is not itself listed on a national
securities exchange immediately prior
to its initial listing on the Exchange but
is listing a class of equity securities
upon closing of its acquisition of a
special purpose acquisition company
which had a class of equity securities
listed on the Exchange or another
national securities exchange prior to the
closing of such acquisition. The
proposed change is available on the
Exchange’s website at www.nyse.com, at
the principal office of the Exchange, 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
self-regulatory organization 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 those 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 parts of such
statements.
A. Self-Regulatory Organization’s
Statement of the Purpose of, and the
Statutory Basis for, the Proposed Rule
Change
1. Purpose
The Exchange proposes to amend
sections 140 and 141 of the Company
Guide to waive initial listing fees and
the prorated annual fee for the first
partial year of listing for any issuer that
is not itself listed on a national
securities exchange immediately prior
to its initial listing on the Exchange but
is listing a class of equity securities
upon closing of its acquisition of a
special purpose acquisition company
(‘‘SPAC’’) which had a class of equity
securities listed on the Exchange or
another national securities exchange
prior to the closing of such acquisition.
When a SPAC consummates its
business combination, the SPAC is
typically the legal acquirer in the
transaction and, provided it meets the
initial listing standards applied in
connection with a business combination
E:\FR\FM\17OCN1.SGM
17OCN1
]]>Agencies
[Federal Register Volume 87, Number 199 (Monday, October 17, 2022)]
[Notices]
[Pages 62903-62910]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2022-22447]
-----------------------------------------------------------------------
SECURITIES AND EXCHANGE COMMISSION
[Release No. 34-96014; File No. SR-IEX-2022-06]
Self-Regulatory Organizations; Investors Exchange LLC; Notice of
Filing of Proposed Rule Change To Amend Rule 11.190(g) To Provide an
Alternative Calculation for Pegged Order Types for Determining Whether
a Quote Instability Condition Exists
October 11, 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 September 27, 2022, the Investors Exchange LLC (``IEX'' or the
``Exchange'') filed with the Securities and Exchange Commission
(``SEC'' or ``Commission'') the 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
Pursuant to the provisions of section 19(b)(1) under the Act,\3\
and Rule 19b-4 thereunder,\4\ IEX is filing with the Commission a
proposed rule change to amend Rule 11.190(g) to provide an alternative
calculation for pegged order types for determining whether a quote
instability condition exists.
---------------------------------------------------------------------------
\3\ 15 U.S.C. 78s(b)(1).
\4\ 17 CFR 240.19b-4.
---------------------------------------------------------------------------
The text of the proposed rule change is available at the Exchange's
website at www.iextrading.com, at the principal office of the Exchange,
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 self-regulatory organization
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 self-regulatory organization
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 purpose of the proposed rule change is to amend Rule 11.190(g)
to provide an alternative quote calculation for pegged order types for
determining whether a quote instability condition exists.
Background
Currently, as specified in Rule 11.190(g), the Exchange utilizes
quoting activity of eight away exchanges' Protected Quotations \5\ and
a proprietary mathematical calculation to assess the probability of an
imminent change to the current Protected NBB \6\ to a lower price or
imminent change to the current Protected NBO \7\ to a higher price for
a particular security. When the quoting activity meets predetermined
criteria, the System \8\ treats the quote as not stable (``quote
instability'' or a ``crumbling quote'') and the crumbling quote
indicator (``CQI'') is ``on'' at that price level for two milliseconds.
During all other times, the quote is considered stable (``quote
stability''), and the CQI is considered to be ``off''. The System
independently assesses the stability of the Protected NBB and Protected
NBO for each security.
---------------------------------------------------------------------------
\5\ Each exchange's Protected Quotation is its best displayed
bid or offer. See Rule 1.160(bb). Current Rule 11.190(g) uses the
following eight exchanges' Protected Quotations: New York Stock
Exchange LLC (``XNYS''), the Nasdaq Stock Market LLC (``XNGS''),
NYSE Arca, Inc. (``ARCX''), Nasdaq BX, Inc. (``XBOS''), Cboe BYX
Exchange, Inc. (``BATY''), Cboe Bats BZX Exchange, Inc. (``BATS''),
Cboe EDGA Exchange, Inc. (``EDGA''), and Cboe EDGX Exchange, Inc.
(``EDGX'').
\6\ See Rule 1.160(cc).
\7\ See Rule 1.160(cc).
\8\ See Rule 1.160(nn).
---------------------------------------------------------------------------
When the CQI is on, Discretionary Peg (``D-Peg'') \9\ orders,
primary peg (``P-Peg'') \10\ orders, and Corporate Discretionary Peg
(``C-Peg'') \11\ orders do not exercise price discretion to meet the
limit price of an active (i.e., taking) order. Specifically, D-Peg, P-
Peg, and C-Peg orders peg to a price that is the less aggressive of one
(1) minimum price variant (``MPV'') \12\ less aggressive than the
primary quote (i.e., one MPV below (above) the NBB \13\ (NBO \14\) for
buy (sell) orders) or the order's limit price, if any.\15\ When the CQI
is on at the NBB (in the case of a buy order) or NBO (in the case of a
sell order), P-Peg orders are restricted by the System from exercising
price discretion to trade at the quote instability determination price
level (the ``CQI Price''), and D-Peg and C-Peg orders are restricted by
the System from exercising price discretion to trade at the CQI Price
or at more aggressive prices than the CQI Price.
---------------------------------------------------------------------------
\9\ See Rule 11.190(b)(10).
\10\ See Rule 11.190(b)(8).
\11\ See Rule 11.190(b)(16). Note that C-Peg orders can only be
buy orders, so any discussion of D-Peg sell orders does not apply to
C-Peg orders.
\12\ See Rule 11.210.
\13\ See Rule 1.160(u).
\14\ See Rule 1.160(u).
\15\ C-Peg orders are also constrained by the consolidated last
sale price of the security, and therefore cannot trade, book, or
exercise discretion at a price that is more aggressive than the
consolidated last sale price. See Rule 11.190(b)(16).
---------------------------------------------------------------------------
The manner in which D-Peg orders operate is described in Rule
11.190(b)(10). Specifically, a D-Peg order is a non-displayed, pegged
order whose price, upon entry into the System, is automatically
adjusted by the System to be equal to the less aggressive of the
Midpoint Price \16\ or the order's limit price, if any. When unexecuted
shares of such an order are posted to the Order Book,\17\ the price of
the order is automatically adjusted by the System to be equal to and
ranked at the less aggressive of one (1) MPV less
[[Page 62904]]
aggressive than the primary quote or the order's limit price and is
automatically adjusted by the System in response to changes in the NBB
(NBO) for buy (sell) orders up (down) to the order's limit price, if
any. In order to meet the limit price of active orders on the Order
Book, a D-Peg order will exercise the least amount of price discretion
necessary from the D-Peg order's resting price to its discretionary
price (defined as the less aggressive of the Midpoint Price or the D-
Peg order's limit price, if any), except during periods of quote
instability as defined in Rule 11.190(g).
---------------------------------------------------------------------------
\16\ See Rule 1.160(t).
\17\ See Rule 1.160(p).
---------------------------------------------------------------------------
The manner in which P-Peg orders operate is described in Rule
11.190(b)(8). Specifically, a P-Peg order is a non-displayed, pegged
order whose price, upon entry and when posting to the Order Book, is
automatically adjusted by the System to be equal to and ranked at the
less aggressive of one (1) MPV less aggressive than the primary quote
(i.e., the NBB for buy orders and the NBO for sell orders) or the
order's limit price, if any. When unexecuted shares of such an order
are posted to the Order Book, the order is automatically adjusted by
the System in response to changes in the NBB (NBO) for buy (sell)
orders up (down) to the order's limit price, if any. In order to meet
the limit price of active orders on the Order Book, a P-Peg order will
exercise price discretion to its discretionary price (defined as the
primary quote), except during periods of quote instability as defined
in Rule 11.190(g).
The manner in which C-Peg orders operate is described in Rule
11.190(b)(16). Specifically, a C-Peg order is a non-displayed, pegged
buy order whose price, upon entry into the System, is automatically
adjusted by the System to be equal to the less aggressive of the
Midpoint Price, the consolidated last sale price, or the order's limit
price, if any. When unexecuted shares of such an order are posted to
the Order Book, the price of the order is automatically adjusted by the
System to be equal to and ranked at the less aggressive of one (1) MPV
less aggressive than the primary quote or the order's limit price and
is automatically adjusted by the System in response to changes in the
NBB and the consolidated last sale price up to the order's limit price,
if any. In order to meet the limit price of active orders on the Order
Book, a C-Peg order will exercise the least amount of price discretion
necessary from the C-Peg order's resting price to its discretionary
price (defined as the less aggressive of the Midpoint Price, the
consolidated last sale price, or the C-Peg order's limit price, if
any), except during periods of quote instability as defined in Rule
11.190(g).
IEX has consistently sought to innovate by offering order types
that counter the costs of ``adverse selection'' that participants
supplying liquidity incur when their orders are executed at worse
prices as a result of certain speed-based trading strategies.
Restricting resting D-Peg, P-Peg, and C-Peg orders from exercising
price discretion during periods of quote instability, as described in
Rule 11.190, is designed to protect such orders from unfavorable
executions at prices that the Exchange's probabilistic model predicts
are about to become ``stale.''
As proposed, Users \18\ of D-Peg, P-Peg and C-Peg orders will be
able to designate whether the order's price will be adjusted using the
existing quote instability calculation or a new alternative quote
instability calculation. The alternative calculation is designed to
incrementally increase the coverage of the quote instability
calculation in predicting whether a particular quote is unstable by
adjusting the logic underlying the quote instability calculation and
introducing enhanced functionality designed to increase the number of
crumbling quotes identified, while maintaining the quote instability
calculation's accuracy in predicting the direction and timing of the
next price change in the NBB or NBO, as applicable.
---------------------------------------------------------------------------
\18\ See IEX Rule 1.160(qq).
---------------------------------------------------------------------------
Current Crumbling Quote Calculation
In determining whether a crumbling quote exists, the Exchange
utilizes real time relative quoting activity of eight exchanges'
Protected Quotations \19\ and a proprietary mathematical calculation
(the ``quote instability calculation'') to assess the probability of an
imminent change to the current Protected NBB to a lower price or
Protected NBO to a higher price for a particular security (``quote
instability factor''). When the quoting activity meets predefined
criteria and the quote instability factor calculated is greater than
the Exchange's defined threshold (``quote instability threshold''), the
System treats the quote as not stable (``quote instability'' or a
``crumbling quote''), which turns the CQI on. During all other times,
the quote is considered stable (``quote stability'') and the CQI is
off. The System independently assesses the stability of the Protected
NBB and Protected NBO for each security.
---------------------------------------------------------------------------
\19\ See supra note 2. [sic]
---------------------------------------------------------------------------
Quote instability (i.e., a crumbling quote) is an assessment that
the Exchange System makes on a real-time basis, based on a pre-
determined, objective set of conditions specified in Rule 11.190(g)(1)
during the Regular Market Session.\20\ Specifically, the presence of a
crumbling quote is determined by the System when the quote instability
factor result from the quote stability calculation is greater than the
defined quote instability threshold. As set forth in Rule
11.190(g)(1)(i), this calculation applies ten fixed coefficients to
nine quote stability variables. The quote stability variables are
measures of the status of Protected Quotations of the eight exchanges,
including the number of such Protected Quotations on the near and far
side of the market and the relationship and recent changes thereto. The
quote instability calculation inputs these variables into a formula
comprised of the ten fixed coefficients to determine the quote
instability factor and whether it is greater than the defined quote
instability threshold. The quote stability variables, fixed
coefficients and formula were developed by the Exchange based on
extensive research, analysis and validation to identify when there is a
heightened probability of an imminent quote change to the NBB or NBO.
The Exchange has made incremental changes to optimize and enhance the
effectiveness of the quote instability calculation in determining
whether a crumbling quote exists three times since Exchange launch.\21\
---------------------------------------------------------------------------
\20\ See IEX Rule 1.160(gg). Quote instability assessments are
only made by the Exchange System during the Regular Market Session
because the order types that utilize the assessment (i.e., D-Peg, P-
Peg and C-Peg orders) are only eligible to trade during the Regular
Market Session.
\21\ See Securities Exchange Act Release 34-78510 (August 9,
2016), 81 FR 54166 (August 15, 2016) (SR-IEX-2016-11); Securities
Exchange Act Release No. 80202 (March 10, 2017), 82 FR 14058 (March
16, 2017) (SR-IEX-2017-06); and Securities Exchange Act Release No.
83048 (April 13, 2018), 83 FR 17467 (April 19, 2018) (SR-IEX-2018-
07).
---------------------------------------------------------------------------
When the CQI is on, it remains in effect at that price level (the
``CQI Price'') for two milliseconds, unless a new determination is made
before the CQI turns off. Only one determination may be in effect at
any given time for a particular security (i.e., the System will only
treat one side of the Protected NBBO as unstable in a particular
security at any given time and the CQI can only be on at one price
level).\22\ A new determination may be made after at least 200
microseconds have elapsed since the preceding determination, or a price
change on either side of the best displayed bid or offer of the eight
exchanges used for the current quote instability calculation occurs,
whichever is first. If a new
[[Page 62905]]
determination is made, the original determination is no longer in
effect. A new determination can be on either side of the best displayed
bid or offer of the eight exchanges used for the current quote
instability calculation and at the same or different price level as the
original determination.
---------------------------------------------------------------------------
\22\ See Rule 11.190(g)(1).
---------------------------------------------------------------------------
Rule 11.190(g)(1)(A)(iii) provides that the Exchange reserves the
right to modify the quote instability coefficients or quote instability
threshold at any time, subject to a filing of a proposed rule change
with the SEC. In this rule filing, the Exchange is proposing to make
such changes by adding an alternative quote instability calculation
approach.
Proposed Alternative Quote Instability Calculation
IEX periodically reviews the performance of the quote instability
calculation in predicting imminent quote changes, and potential
alternative approaches. Based on that review, IEX identified an
alternative approach that is designed to achieve two related
objectives. First, we sought to increase the ``coverage'' of the CQI,
meaning the percentage of all ``adverse'' NBBO changes per symbol
(lower for bids, higher for offers) that were predicted by the CQI
(meaning the CQI was ``on'' at the time of the adverse NBBO change).
Second, we sought to preserve the ``accuracy rate'' of the CQI, meaning
the percentage of time that the CQI accurately predicted the direction
of the next price change. IEX reviewed market data from March 2022 to
consider these factors.\23\ The analysis indicated that the current CQI
calculation predicted 43% of such adverse NBBO changes on a volume
weighted basis, while the alternative CQI calculation would have
predicted 62% of such adverse NBBO changes. As to the accuracy rate,
the analysis indicated that the CQI had an accuracy rate of 78%, and
the alternative CQI calculation would have had an accuracy rate of 79%.
---------------------------------------------------------------------------
\23\ Data regarding the proposed alternative approach is based
on comprehensive back testing. Specifically, IEX adjusts TAQ (i.e.,
NYSE Trade and Quote) data by fixed latency offsets per-venue to
simulate market data seen by the IEX system. This simulated data is
used to compute CQI models and evaluate their performance. Using
this process to simulate the current CQI model confirms that
performance estimates are similar to the actual IEX production
system, and applying this process to the proposed model produces the
back testing performance estimates described herein.
---------------------------------------------------------------------------
Based on informal feedback from Members, IEX understands that
different firms may prefer different levels of coverage, i.e., how
frequently a pegged order refrains from exercising price discretion to
meet the price of an incoming order in response to crumbling quote
predictions. Accordingly, IEX proposes to add the alternative quote
instability calculation approach for determining whether a crumbling
quote exists as an option for Users of pegged orders.
As described in more detail below, the alternative approach would:
expand the sources and types of market data used, utilize a more plain
English rules-based approach, modify the minimum time period between
quote instability determinations, and include a real-time accuracy
assessment of each rule with the effect of deactivating a rule that is
not meeting specified metrics. In addition, pegged orders would be
restricted from exercising price discretion when the CQI is on,
regardless of whether the current NBB or NBO (as applicable) is the
same as the CQI Price.
The following describes the proposed alternative approach:
Expanded Sources and Types of Market Data
The Exchange is proposing to use the Protected Quotations of the
current eight exchanges \24\ in the quote instability calculation, and
to add the Protected Quotations of three additional exchanges: MIAX
PEARL, LLC (``EPRL''), MEMX LLC (``MEMX''), and Nasdaq PHLX LLC
(``XPHL'') (collectively the ``Signal Exchanges''). Additionally, as
detailed below, the Exchange is proposing to use quotation size data
\25\ from the Signal Exchanges, as well as quotation price data, which
is also used in the current approach. In connection with the Exchange's
analysis of market data,\26\ the Exchange considered several different
permutations of which exchanges to include in the model. The analysis
identified that using Protected Quotations from the 11 Signal Exchanges
in the aggregate, as well as adding quotation size data, enhanced the
predictive power of the alternative approach for determining a
crumbling quote.
---------------------------------------------------------------------------
\24\ Current Rule 11.190(g) uses the following eight exchanges'
Protected Quotations: XNYS; XNGS; ARCX; XBOS; BATY; BATS; EDGA; and
EDGX.
\25\ All references to quotation size are measured in round lot
multiples.
\26\ IEX conducted an analysis to develop a model for predicting
crumbling quotes by reviewing market data from randomly selected
days in 2018, 2019, and 2020. This model was validated by testing
across randomly selected days from the same time period, as well as
2021.
---------------------------------------------------------------------------
Use of a Rules-Based System
As proposed, the alternative model utilizes a quote instability
calculation in which nine separate rules--each with specific conditions
based on either the price, size, or price and size of the Signal
Exchanges' Protected Quotations--can trigger a quote instability
determination for either the NBB or the NBO of a particular
security.\27\ The current quote instability calculation utilizes a
logistic regression model with multiple coefficients and variables that
must exceed a pre-defined threshold in order for the System to treat
the quote as unstable. Based upon the analysis noted above, the
Exchange believes that the proposed alternative rules-based model
(which incorporates and expands on the existing approach) will
incrementally increase the coverage of the Exchange's probabilistic
model for determining whether a crumbling quote will occur at the same
level of precision. In other words, the alternative model is expected
to increase the number of quote instability determinations while
maintaining the same degree of accuracy in predicting the timing and
direction of price changes in the NBB and NBO. The proposed quote
instability rules include four categories of Protected Quotation
changes (each comprised of one or more rules) that IEX has determined
are predictive of whether the NBB or NBO is about to move to a less
aggressive price, as follows:
---------------------------------------------------------------------------
\27\ The nine rules are designed to work together in determining
whether a quote instability determination is triggered, so if a User
selects the alternative model all nine rules would be applicable.
Users cannot elect that only some of the rules would apply.
---------------------------------------------------------------------------
Disappearing bids (or offers)--This category includes four
rules that focus on whether one or more of the Signal Exchanges is no
longer disseminating a bid or offer at the Signal Best Bid \28\ or
Signal Best Offer \29\ as applicable; \30\
---------------------------------------------------------------------------
\28\ ``Signal Best Bid'' means the highest Protected Bid of the
Signal Exchanges. See proposed IEX Rule 11.190(g)(2)(B)(i).
\29\ ``Signal Best Offer'' means the lowest Protected Offer of
the Signal Exchanges. See proposed IEX Rule 11.190(g)(2)(B)(v).
\30\ The proposed disappearing bid/offers rules are closely
related to the current approach to the quote instability
calculation, in that both approaches share the Delta quote
instability variable, which is heavily weighted in the current quote
instability calculation. In the current calculation, Delta is
additively incorporated into the logistic formula (after scaling by
its relevant coefficient) whereas in the proposed disappearing bid/
offer rules, specific Delta values are explicitly required for the
relevant rule to be True. See IEX Rule 11.190(g)(1)(A)(i)(b)(9) and
proposed IEX Rule 11.190(g)(2)(B)(x) and (xi), each of which reflect
a count of the number of three specified exchanges that have moved
away from the best near side Protected NBBO of the Signal exchanges,
as specified. IEX expects that the overall behavior of the proposed
disappearing bid/offer rules will be similar to the behavior of the
current approach.
---------------------------------------------------------------------------
Recent changes in quote size--This category includes two
rules that focus
[[Page 62906]]
on whether there is an imbalance in the size of bids and offers at the
Signal Best Bid or Signal Best Offer;
Locked or crossed market--This category includes one rule
that focuses on situations where the Signal Best Bid and Signal Best
Offer are locked or crossed; and
Quotation Changes--This category includes two rules that
focus on changes to the Signal Best Bid or Signal Best Offer.
On a security-by-security basis, if the specified conditions of any
of the quote instability rules are met, then the rule is deemed to be
True for that security. As described in more detail below, each rule
must be active before it can trigger a quote instability determination.
When one or more quote instability rules is deemed to be True and any
of such rules are active, the System will treat the quote as unstable.
The following describes the proposed rules:
Rule DB1 (DO1) is True if two or
more exchanges among BATS, EDGX, and XNGS have fallen off the Signal
Best Bid (Offer) (i.e., the exchange was at the Signal Best Bid (Offer)
but is no longer at the Signal Best Bid (Offer) ) within the past
millisecond or within the time period since the start of the current
Signal Best Bid (Offer) if shorter.\31\
---------------------------------------------------------------------------
\31\ Note that rule DB2 (DO2/DB4/DO4) being True logically
implies that rule DB1 (DO1/DB3/DO3) is True. These rules are not
redundant however, since a rule must be both True AND Active to
generate a quote instability determination. It is possible for Rule
DB2 (DO2/DB4/DO4) to be Active while Rule DB1 (DO1/DB3/DO3) is not
Active, so these logical subset rules can add a distinct
contribution to output behavior.
---------------------------------------------------------------------------
Rule DB2 (DO2) is True if two or
more exchanges among BATS, EDGX, and XNGS have fallen off the Signal
Best Bid (Offer) (i.e., the exchange was at the Signal Best Bid (Offer)
but is no longer at the Signal Best Bid (Offer)) within the past
millisecond or within the time period since the start of the current
Signal Best Bid (Offer) if shorter AND the total notional value of
protected displayed interest at the Signal Best Bid (Offer) is less
than $60,000.
Rule DB3 (DO3) is True if two or
more exchanges among BATS, EDGX, and XNGS have fallen off the Signal
Best Bid (Offer) (i.e., the exchange was at the Signal Best Bid (Offer)
but is no longer at the Signal Best Bid (Offer)) within the past
millisecond or within the time period since the start of the current
Signal Best Bid (Offer) if shorter AND there is only one Signal
Exchange at the Signal Best Bid (Offer).
Rule DB4 (DO4) is True if two or
more exchanges among BATS, EDGX, and XNGS have fallen off the Signal
Best Bid (Offer) (i.e., the exchange was at the Signal Best Bid (Offer)
but is no longer at the Signal Best Bid (Offer)) within the past
millisecond or within the time period since the start of the current
Signal Best Bid (Offer) if shorter AND the total notional value of
protected displayed interest at the Signal Best Bid (Offer) is less
than $60,000 AND there is only one Signal Exchange at the Signal Best
Bid (Offer).
Rule SB1 (SO1) is True if there is
one Signal Exchange at the Signal Best Bid (Offer) AND the Bid (Offer)
Pressure \32\ is greater than or equal to Offer (Bid) Pressure AND the
aggregate total shares displayed at the Signal Best Offer (Bid) is
greater than the aggregate total shares displayed at the Signal Best
Bid (Offer) AND Bid (Offer) Pressure is greater than two.
---------------------------------------------------------------------------
\32\ See proposed IEX Rules 11.190(g)(2)(B)(xii) and (xiii).
---------------------------------------------------------------------------
Rule SB2 (SO2) is True if there is
one Signal Exchange at the Signal Best Bid (Offer) AND Bid (Offer)
Pressure is greater than or equal to Offer (Bid) Pressure AND the
aggregate total shares displayed at the Signal Best Offer (Bid) is
greater than the aggregate total shares displayed at the Signal Best
Bid (Offer) AND Bid (Offer) Pressure is greater than one AND the spread
is less than the average of the spread over the past twenty Updates
\33\ to either the Protected Bid or Offer of any Signal Exchange.
---------------------------------------------------------------------------
\33\ ``Update'' means any change to either the price or size of
any Signal Exchange's Protected Bid or Offer, or a change to the
quote condition (e.g., when the quote becomes slow or non-firm, or
the security is halted).
---------------------------------------------------------------------------
Rule LB1 (LO1) is True if either of
the following conditions are met: (A) the Signal Best Bid is greater
than or equal to the Signal Best Offer AND the Signal Best Offer (Bid)
is less than (greater than) the Signal Best Offer (Bid) as of the last
Update; OR the Signal Best Bid is greater than or equal to the Signal
Best Offer AND the aggregate total shares displayed at the Signal Best
Offer (Bid) is greater than the aggregate total shares displayed at the
Signal Best Offer (Bid) as of the last Update AND the aggregate total
shares displayed at the Signal Best Offer (Bid) is greater than the
aggregate total shares displayed at the Signal Best Bid (Offer).
Rule FB1 (FO1) is True if the Signal
Best Bid (Offer) is greater (less) than the Signal Best Bid (Offer) as
of the last Update.
Rule FB2 (FO2) is True if the Signal
Best Bid (Offer) is less (greater) than the Signal Best Bid (Offer) as
of the last Update.
Time and Direction Constraints on the CQI
The Exchange proposes three distinct changes for the alternative
model to the time and direction constraints on the CQI in the current
model. These changes are designed to provide a more dynamic methodology
for quote instability determinations, thereby incrementally increasing
the coverage of the formula in predicting a crumbling quote by
expanding the scope of the model to additional situations where the
Exchange's probabilistic model predicts that the NBB or NBO is in the
process of moving to a less aggressive price and is about to become
stale.
First, the quote instability calculation could turn on concurrently
on both sides of the market (i.e., the NBB and NBO) and always remains
on for the full two millisecond period each time it turns on. In the
current model, the quote instability calculation independently assesses
the stability of the Protected NBB and Protected NBO for each security,
but it can only turn on for one side of the market for each security at
a time. Thus, if the quote instability calculation determines that the
Protected NBB is unstable, the CQI turns on for the NBB. If thereafter
the quote instability calculation determines that the Protected NBO for
that same security is also unstable while the CQI is still on for the
NBB, the System will turn off the CQI for NBB and turn it on for the
NBO. As proposed, the CQI could be on concurrently on the buy and sell
side of the market and will be able to remain on for the full two
millisecond period after turning on because a subsequent determination
on the opposite side of the market will not turn off a prior
determination. While both sides of the market do not frequently crumble
concurrently, IEX nonetheless believes that when they do, providing
corresponding protection to orders on both sides of the market is
appropriate.
Second, pursuant to the alternative model, when the CQI turns on it
would not be constrained to a specific price level. Currently the CQI
is on at a specific CQI Price, the particular price in effect at the
time it turned on, and if the NBB or NBO (as applicable) changes during
the time it is on, the CQI does not constrain D-Peg, P-Peg, and C-Peg
orders from exercising discretion since the CQI Price is no longer set
by reference to the current NBB or NBO (as applicable).\34\ As
proposed, pursuant to the alternative approach, the CQI will continue
to turn on at a specific price,
[[Page 62907]]
but it will restrict D-Peg, P-Peg, and C-Peg orders from exercising
discretion past their resting price when the CQI is on for the same
side of the market as such orders regardless of whether the price at
which it turned on is currently equal to the NBB or NBO (as
applicable). The Exchange also proposes conforming changes to Rules
11.190(b)(8)(K)(i) and (ii), (b)(10)(K)(i) and (ii), and (b)(16)(K) to
reflect this change to D-Peg, P-Peg, and C-Peg orders' behavior if the
User selects the alternative quote instability calculation. Based on
IEX's analysis of market data, as described above, the Exchange has
determined that continuing to restrict D-Peg, P-Peg, and C-Peg orders
from exercising discretion when the CQI is on, even if the CQI Price
has changed, will protect such orders from potential adverse selection
at the new price level.
---------------------------------------------------------------------------
\34\ See IEX Rules 11.190(b)(8)(K)(i) and (ii), (b)(10)(K)(i)
and (ii), (b)(16)(K).
---------------------------------------------------------------------------
Third, pursuant to the alternative model, IEX proposes to change
the amount of time the System waits after the CQI turns on before it
can make a new quote instability determination on the same side of the
market from 200 microseconds to 250 microseconds (irrespective of any
change in the Signal Best Bid or Offer). Because pegged orders will be
constrained from exercising price discretion when the CQI is on,
regardless of whether the current NBB or NBO (as applicable) is the
same as the CQI price, CQI triggers in extremely rapid succession are
unnecessary to continuously restrict discretion across successive NBBO
changes. Moreover, increasing the 200 microsecond ``cooldown'' period
to 250 microseconds before the System can make another quote
instability determination is designed to reduce the technical
processing burden on the System.
Activation Values/Activation Thresholds
As proposed, in applying the alternative approach, consistent with
using a rules-based model instead of a logistic regression model for
the quote instability calculation, the Exchange would maintain an
activation value (``Activation Value'') for each quote instability
rule. Each rule's Activation Value is computed (on a security-by-
security basis for the Bid and Offer side) in real time as a function
of the number of times the quote moves to a less aggressive price
within the two milliseconds (or the start time of the current Signal
Best Bid or Signal Best Offer, as applicable, if shorter) following the
time the rule was True and the total number of times the rule was True.
Whenever the Activation Value for a given rule exceeds a fixed
predetermined activation threshold specific to that rule (``Activation
Threshold''), the rule is active (i.e., it is eligible to trigger a
quote instability determination when True).
The Activation Value and Activation Threshold computations are
intended to optimize the overall accuracy of the quote instability
determinations by providing a mechanism to turn off a particular rule
when market conditions are such that it is relatively less accurate in
predicting a crumbling quote. IEX believes that utilizing Activation
Thresholds is a useful innovation because it enables the use of rules
that can be highly predictive in certain market conditions but not in
others. The Activation Thresholds are tailored for each rule based on
the rule's expected general accuracy in predicting a crumbling quote,
based on IEX's market data analysis, so that a rule that has a higher
potential to be less accurate has a higher activation threshold burden
to meet. The Activation Thresholds are designed to increase the
coverage for the alternative quote instability calculation by enabling
more frequent triggers than the current approach but with accuracy
controls safeguards.
As proposed, the Activation Threshold for the DB, DO, SB and SO
rules is 0.30; the Activation Threshold for Rules LB and LO is 0, and
the Activation Threshold for the FB and FO rules is 0.50.\35\ The
Exchange would utilize an initial activation value of 0.50 for all
rules at the start of the Regular Market Session, which is then
modified during the course of the Regular Market Session to reflect
each rule's predictive performance. Specifically, each time a rule is
True \36\ its existing Activation Value is multiplied by a Decay Factor
of 0.94. In addition, each time the Signal Best Bid or Signal Best
Offer moves to less aggressive price within two milliseconds of a rule
being True at that price level, 0.06 will be added to that rule's
existing Activation Threshold (i.e., (1-decay factor) + previous
Activation Value as specified in IEX Rule 11.190(g)(2)(D)(ii).
---------------------------------------------------------------------------
\35\ Note that the FB/FO rules will not have activation values
strictly above their activation thresholds of 0.5 upon the first
time they are satisfied (they are initialized daily at 0.5 and
multiplied by the decay factor of 0.94 when they are satisfied),
therefore the first time each day that either or both of these rules
is True will not trigger a quote instability determination.
\36\ Excluding instances where the rule was already True at the
same unchanged price level in the prior two milliseconds.
---------------------------------------------------------------------------
When a rule is active, the System continues to evaluate if its
Activation Value exceeds its Activation Threshold. If the rule's
Activation Value subsequently does not exceed its Activation Threshold,
the rule will not trigger the System to treat the relevant quote as
unstable even if the rule is True. The System continues to track the
Activation Value for rules that are inactive, and if the Activation
Value subsequently exceeds the rule's Activation Threshold, the System
will reactivate the rule.
Based on IEX's market data analysis, the Exchange believes that the
use of Activation Thresholds, as proposed, would provide a dynamic
performance evaluation methodology that will optimize the frequency and
accuracy of the quote instability calculation, by enabling IEX to
utilize a broader array of rules that may be predictive of a crumbling
quote in certain market conditions but not others. Moreover, as
proposed all aspects of the activation calculations are fully
transparent in IEX rules thus enabling Members, market participants and
others to perform the same calculations to determine whether a
particular security is subject to a quote instability determination.
Specific Rule Changes
IEX proposes to make the following changes to Rule 11.190(g) to
specify that there are two alternative proprietary mathematical
calculations (Option 1 and Option 2) to assess the probability of an
imminent change to the current Protected NBB to a lower price or a
Protected NBO to a higher price for a particular security:
Add new language to the introductory section of Rule
11.190(g) after the phrase ``Quote Stability'' at the beginning of the
Rule specifying that the Exchange utilizes two User Selected
alternative proprietary mathematical calculations to assess the
probability of an imminent change to the current Protected NBB to a
lower price or a Protected NBO to a higher price for a particular
security.
Add language immediately following the new language
described in the preceding bullet and prior to the existing text
stating that ``[f]or Option 1, as set forth in subparagraph (1) of Rule
11.190(g),''.
Add a new paragraph after the current first paragraph
providing introductory language describing Option 2 and specifying that
Option 2 is set forth in subparagraph (2) of Rule 11.190(g).
Add ``Option 1'' prior to ``Crumbling Quote'' in the
heading to subparagraph (1) of Rule 11.190(g).
Relocate and revise subparagraph (1)(A)(iii) of Rule
11.190(g) with new subparagraph (3) of Rule 11.190(g) which makes
clarifying changes to the terminology in current subsection
[[Page 62908]]
(1)(A)(iii) of Rule 11.190(g), which specifies that the Exchange
reserves the right to modify the quote instability coefficients or
quote instability threshold at any time, subject to a filing of a
proposed rule change with the SEC. IEX proposes to revise the rule
provision to reference ``the proprietary mathematical calculations used
to assess the probability of an imminent change to the current
Protected NBB to a lower price or a Protected NBO to a higher price for
a particular security'' rather than existing references to ``the quote
instability coefficients or quote instability threshold.'' Current
language that provides that such changes are ``subject to a filing of a
proposed rule change with the SEC'' would be retained. In addition, IEX
proposes to renumber this subsection to be subsection (3) of Rule
11.190(g).
Add new subparagraph (2) (including subparagraphs) of Rule
11.190(g) to describe the alternative quote instability model and refer
to such model as ``Option 2 Crumbling Quote''.
The Exchange also proposes to make conforming changes to Rules
11.190(b)(8)(K)(i) and (ii) (``P-Peg''), (b)(10)(K)(i) and (ii) (``D-
Peg''), and (b)(16)(K) (``C-Peg'') to reflect differences in whether
the System will restrict applicable orders from exercising price
discretion when the CQI is on. Specifically, if the User selected the
existing quote instability model (Option 1), D-Peg, P-Peg, and C-Peg
orders will be restricted from exercising discretion while the CQI is
on for the same side of the market if the current NBB/NBO (as
applicable) is the same as the NBB/NBO that the quote instability
determination was based on. If the User selected the alternative quote
instability model (Option 2), D-Peg, P-Peg, and C-Peg orders will be
restricted from exercising discretion while the CQI is on for the same
side of the market, even if the current NBB/NBO (as applicable) is
different than the NBB/NBO upon which the quote instability
determination was based. In addition, the Exchange proposes to make a
conforming change to Rule 11.190(b)(7) to reflect that only Option 1
will be applicable to Discretionary Limit orders.
Implementation
The Exchange will announce the implementation date of the proposed
rule change by Trading Alert at least ten business days in advance of
such implementation date and within 90 days of effectiveness of this
proposed rule change.
2. Statutory Basis
IEX believes that the proposed rule change is consistent with
section 6(b) \37\ of the Act in general, and furthers the objectives of
section 6(b)(5) of the Act,\38\ in particular, in that it is designed
to promote just and equitable principles of trade, 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. Specifically, and as discussed in the Purpose section,
the proposal is designed to provide an alternative quote instability
approach for pegged orders that is designed to make more frequent
predictions while maintaining a similar true positive ratio as the
existing approach. Based on informal feedback from Members, IEX
understands that different firms prefer different levels of coverage
with respect to the CQI and its impact on pegged orders exercising
price discretion to meet the price of an incoming order. The
alternative quote instability approach is responsive to that feedback
and would provide additional coverage to Users of D-Peg, P-Peg and C-
Peg orders, i.e., as discussed in the Purpose section, it would result
in more frequent predictions and thereby increase the circumstances in
which the order would not exercise discretion.
---------------------------------------------------------------------------
\37\ 15 U.S.C. 78f.
\38\ 15 U.S.C. 78f(b)(5).
---------------------------------------------------------------------------
The Exchange believes it is consistent with the protection of
investors and the public interest to provide an alternative quote
instability calculation model that is designed to protect pegged orders
from potential unfavorable executions during periods of quote
instability when the Exchange's probabilistic model identifies that the
market appears to be moving adversely to them. IEX believes that the
alternative approach, in the aggregate and with respect to the specific
changes proposed, is rigorously sound, supported by market data
analysis, and consistent with the Act as described below.
The Exchange believes that it is consistent with the Act to expand
the sources and types of market data used by the quote instability
calculation. As described in the Purpose section, based on market data
analysis and testing, the Exchange believes that using the market data
of three additional exchanges, and using quotation size data (in
addition to quotation price data) of all eleven Signal Exchanges, will
result in robust predictive power and accuracy of the quote instability
calculation.
The Exchange also believes that it is consistent with the Act to
utilize a rules-based model to determine whether a crumbling quote will
occur. As discussed in the Purpose section, based on market data
analysis, the Exchange believes that the nine proposed quote
instability rules--each with specific conditions based on either the
price, size, or price and size of the Signal Exchange's Protected
Quotations--will result in robust predictive power and accuracy of the
Exchange's alternative probabilistic model for determining whether a
crumbling quote will occur by expanding the scope of the model to
additional situations where the Exchange's probabilistic model predicts
that the NBB or NBO is about to become stale. IEX believes that this
proposed change will potentially enhance the protection available to
market participants using pegged order types that elect to use the
alternative model. Moreover, IEX believes that the alternative quote
instability calculation, as a plain English rules-based system, will be
more readily understood by market participants, thereby increasing the
transparency of IEX's rules and removing impediments to a free and open
market.
The Exchange further believes that it is consistent with the Act to
restrict D-Peg, P-Peg, and C-Peg orders from exercising price
discretion when the alternative quote instability calculation model is
on for the same side of the market as the order regardless of the
triggering price. As discussed in the Purpose section, based on market
data analysis, the Exchange believes that continuing to restrict D-Peg,
P-Peg, and C-Peg orders from exercising discretion when the CQI is on
even if the CQI Price has changed will protect such orders from
potential adverse selection at new price levels resulting from
consecutive closely timed price moves as the market ``settles'' at a
new price level.
Additionally, the Exchange believes that it is consistent with the
Act to change the time and direction constraints on the alternative
quote instability calculation model. As discussed in the Purpose
section, these differences--keeping the CQI on for a full two
millisecond period every time it turns on and allowing the CQI to turn
on concurrently on both sides of the market (i.e., the NBB and NBO)--
are designed to incrementally increase the coverage of the alternative
quote instability calculation model in predicting a crumbling quote by
increasing the duration of time in which the CQI is on. Based on market
data analysis, the Exchange believes these changes to the CQI's time
and direction constraints will increase the coverage of quote
instability determinations.
[[Page 62909]]
The Exchange additionally believes that it is consistent with the
protection of investors and the public interest to extend by 50
microseconds the ``cooldown'' period before the System can make another
quote instability determination (extending it from 200 microseconds to
250 microseconds). As discussed in the Purpose section, based on market
data analysis, because pegged orders will be constrained from
exercising price discretion when the CQI is on regardless of whether
the current NBB or NBO (as applicable) is the same as the CQI price,
CQI triggers in extremely rapid succession are unnecessary to
continuously restrict discretion across successive NBBO changes.
Moreover, increasing the ``cooldown'' period before the System can make
another quote instability determination is designed to reduce the
technical processing burden on the System thereby supporting the
resiliency of the Exchange and removing impediments to and perfecting
the mechanism of a free and open market and a national market system.
The Exchange also believes that using activation thresholds instead
of a quote stability threshold is consistent with the Act because the
activation thresholds are designed to enable broader coverage while
controlling for overall accuracy of the quote instability
determinations by providing a mechanism to turn off a particular rule
when market conditions are such that it is relatively less accurate in
predicting a crumbling quote. Based upon market data analysis, IEX
believes that utilizing activation thresholds is a useful innovation
because it enables the use of rules that can be highly predictive in
certain market conditions but not in others. The activation thresholds
are tailored for each rule based on the rule's general accuracy in
predicting a crumbling quote so that a rule that has a higher potential
to be less accurate has a higher activation threshold burden to meet.
The Exchange believes that it is consistent with the protection of
investors and the public interest to offer an alternative User selected
quote instability calculation model for pegged orders. As discussed in
the Purpose section and above, IEX understands that different market
participants seek differing levels of coverage with respect to the CQI
and its impact on when a pegged order exercises price discretion to
meet the price of an incoming order. The proposed rule change is
designed to provide a market-based approach to such differing
objectives in a manner that is transparent to market participants.
Moreover, IEX's market data analysis evidences that both quote
instability calculations will be ``on'' for a small portion of the
trading day while providing robust protection to pegged orders.
The Exchange believes that the proposed rule change may result in
more and larger sized pegged orders being entered on IEX as a result of
the ability to select the quote instability calculation alternative
which, as discussed above, is designed to provide greater coverage with
respect to the CQI and its impact on pegged orders exercising price
discretion to meet the price of an incoming order. To the extent more
orders are entered, the increased liquidity would benefit all IEX
members and their customers.
Regardless of whether a User selects to use the current or proposed
alternative quote instability calculation, when multiple pegged orders
exercise discretion at the same time, their relative priority is
retained.\39\ Thus, the Exchange notes that the proposed rule change
does not raise any new or novel issues in this regard.
---------------------------------------------------------------------------
\39\ See IEX Rule 11.190(b)(8), (10) and (16).
---------------------------------------------------------------------------
Furthermore, the Exchange notes that all Members are eligible to
use D-Peg, P-Peg, and C-Peg orders, and therefore all Members are
eligible to benefit from these order types' protections against adverse
selection, and will also benefit if use of the alternative quote
instability calculation bring more liquidity to the Exchange. Thus, the
Exchange believes that application of the rule change is equitable and
not unfairly discriminatory.
Further, the Exchange believes that the proposed changes (as
described in the Purpose section) to relocate and revise subparagraph
(1)(A)(iii) of Rule 11.190(g) with new subparagraph (3) of Rule
11.190(g) and to make clarifying changes to the terminology in current
subsection (1)(A)(iii) of Rule 11.190(g), which specifies that the
Exchange reserves the right to modify the quote instability
coefficients or quote instability threshold at any time, subject to a
filing of a proposed rule change with the SEC are consistent with the
Act. The proposed changes merely update terms and descriptive language
to describe both alternative quote instability calculations, and
without changing the operative language that any future changes would
continue to be subject to a filing of a proposed rule change with the
SEC.
The Exchange also believes that the proposed conforming rule
changes, as described in the Purpose section are consistent with the
Act because the changes would promote clarity in IEX's rules.
Finally, the Exchange notes that, as proposed, both quote
instability calculations will continue to be fixed formulas specified
transparently in IEX's rules. The Exchange is not proposing to add any
new functionality, but merely to provide an alternative quote
instability calculation for pegged orders based on market data analysis
designed to increase its accuracy in predicting a crumbling quote, and
as contemplated by the rule.
B. Self-Regulatory Organization's Statement on Burden on Competition
IEX 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. To the contrary, as discussed
in the Statutory Basis section, the proposal is designed to enhance
IEX's competitiveness by incentivizing the entry of increased
liquidity.
With regard to intra-market competition, the proposed changes to
the quote instability calculation will apply equally to all Members on
a fair, impartial and nondiscriminatory basis without imposing any new
burdens on the Members. The Commission has already considered the
Exchange's D-Peg order type in connection with its grant of IEX's
application for registration as a national securities exchange under
sections 6 and 19 of the Act \40\ and approved the Exchange's P-Peg
\41\ order type. The Commission has also allowed the Exchange's C-Peg
\42\ order type to become effective. As discussed in the Purpose and
Statutory Basis sections, the proposed rule change is designed to
merely provide an optional alternative quote instability calculation;
therefore, no new burdens are being proposed.
---------------------------------------------------------------------------
\40\ See Securities Exchange Act Release 78101 (June 17, 2016),
81 FR 41142 (June 23, 2016) (File No. 10-222).
\41\ See Securities Exchange Act Release No. 80223 (March 13,
2017), 82 FR 14240 (March 17, 2017) (SR-IEX-2016-18).
\42\ See Securities Exchange Act Release No. 87019 (September
19, 2019), 84 FR 50485 (September 25, 2019) (SR-IEX-2019-10).
---------------------------------------------------------------------------
With regard to inter-market competition, other exchanges are free
to adopt similar quote instability calculations. In this regard, the
Exchange notes that that NYSE American LLC has adopted a rule copying
an earlier iteration of the Exchange's Discretionary Peg Order type and
quote instability calculation.\43\
---------------------------------------------------------------------------
\43\ See NYSE American LLC Rule 7.31E(h)(3)(D).
---------------------------------------------------------------------------
[[Page 62910]]
C. Self-Regulatory Organization's Statement on Comments on the Proposed
Rule Change Received From Members, Participants, or Others
Written comments were neither solicited nor received.
III. Date of Effectiveness of the Proposed Rule Change and Timing for
Commission Action
Within 45 days of the date of publication of this notice in the
Federal Register or within such longer period up to 90 days of such
date (i) as the Commission may designate if it finds such longer period
to be appropriate and publishes its reasons for so finding or (ii) as
to which the Exchange consents, the Commission shall: (a) by order
approve or disapprove such proposed rule change, or (b) institute
proceedings to determine whether the proposed rule change should be
disapproved.
IV. Solicitation of Comments
Interested persons are invited to submit written data, views, and
arguments concerning the foregoing, including whether the proposed rule
change is consistent with the Act. Comments may be submitted by any of
the following methods:
Electronic Comments:
Use the Commission's internet comment form (https://www.sec.gov/rules/sro.shtml); or
Send an email to [email protected]. Please include
File Number SR-IEX-2022-06 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-IEX-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 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 offices 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-IEX-2022-06, and should be submitted on
or before November 7, 2022.
For the Commission, by the Division of Trading and Markets,
pursuant to delegated authority.\44\
---------------------------------------------------------------------------
\44\ 17 CFR 200.30-3(a)(12).
---------------------------------------------------------------------------
J. Matthew DeLesDernier,
Deputy Secretary.
[FR Doc. 2022-22447 Filed 10-14-22; 8:45 am]
BILLING CODE 8011-01-P
