Self-Regulatory Organizations; Cboe EDGA Exchange, Inc.; Notice of Filing and Immediate Effectiveness of a Proposed Rule Change To Adopt New Market Data Reports, 68948-68952 [2024-19265]

Download as PDF 68948 Federal Register / Vol. 89, No. 167 / Wednesday, August 28, 2024 / Notices should be received by the Commission by 5:30 p.m. on September 17, 2024, and should be accompanied by proof of service on the Applicants, in the form of an affidavit or, for lawyers, a certificate of service. Pursuant to rule 0– 5 under the Act, hearing requests should state the nature of the writer’s interest, any facts bearing upon the desirability of a hearing on the matter, the reason for the request, and the issues contested. Persons who wish to be notified of a hearing may request notification by emailing the Commission’s Secretary. ADDRESSES: The Commission: Secretarys-Office@sec.gov. The Applicants: Mark Manley, AB Private Credit Investors LLC, 405 Colorado Street, Suite 1500, Austin, Texas 78701. FOR FURTHER INFORMATION CONTACT: Chris Chase, Senior Counsel, or Lisa Reid Ragen, Branch Chief, at (202) 551– 6825 (Division of Investment Management, Chief Counsel’s Office). SUPPLEMENTARY INFORMATION: For Applicants’ representations, legal analysis, and condition, please refer to Applicants’ second amended and restated application, dated August 7, 2024, which may be obtained via the Commission’s website by searching for the file number at the top of this document, or for an Applicant using the Company name search field, on the SEC’s EDGAR system. The SEC’s EDGAR system may be searched at https://www.sec.gov/edgar/searchedgar/ legacy/companysearch.html. You may also call the SEC’s Public Reference Room at (202) 551–8090. For the Commission, by the Division of Investment Management, under delegated authority. Vanessa A. Countryman, Secretary. [FR Doc. 2024–19316 Filed 8–27–24; 8:45 am] 15, 2024, Cboe EDGA Exchange, Inc. (the ‘‘Exchange’’ or ‘‘EDGA’’) filed with the Securities and Exchange Commission (‘‘Commission’’) the proposed rule change as described in Items I, II, and III below, which Items have been prepared by the Exchange. The Exchange filed the proposal as a ‘‘non-controversial’’ proposed rule change pursuant to Section 19(b)(3)(A)(iii) of the Act 3 and Rule 19b–4(f)(6) thereunder.4 The Commission is publishing this notice to solicit comments on the proposed rule change from interested persons. I. Self-Regulatory Organization’s Statement of the Terms of Substance of the Proposed Rule Change Cboe EDGA Exchange, Inc. (the ‘‘Exchange’’ or ‘‘EDGA’’) proposes to adopt new market data reports. The text of the proposed rule change is provided in Exhibit 5. The text of the proposed rule change is also available on the Exchange’s website (https://markets.cboe.com/us/ equities/regulation/rule_filings/edga/), at the Exchange’s Office of the Secretary, and at the Commission’s Public Reference Room. II. Self-Regulatory Organization’s Statement of the Purpose of, and Statutory Basis for, the Proposed Rule Change In its filing with the Commission, the Exchange included statements concerning the purpose of and basis for the proposed rule change and discussed any comments it received on the proposed rule change. The text of these statements may be examined at the places specified in Item IV below. The Exchange has prepared summaries, set forth in sections A, B, and C below, of the most significant aspects of such statements. BILLING CODE 8011–01–P A. Self-Regulatory Organization’s Statement of the Purpose of, and Statutory Basis for, the Proposed Rule Change SECURITIES AND EXCHANGE COMMISSION [Release No. 34–100803; File No. SRCboeEDGA–2024–034] khammond on DSKJM1Z7X2PROD with NOTICES Self-Regulatory Organizations; Cboe EDGA Exchange, Inc.; Notice of Filing and Immediate Effectiveness of a Proposed Rule Change To Adopt New Market Data Reports August 22, 2024. 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 August 1 15 2 17 U.S.C. 78s(b)(1). CFR 240.19b–4. VerDate Sep<11>2014 18:13 Aug 27, 2024 1. Purpose The Exchange proposes to amend Rule 13.8 (EDGA Book Feeds) to adopt the Cboe Timestamping Service, which is a market data service comprised of two distinct market data reports. The Cboe Timestamping Service will provide timestamp information for orders and cancels for market participants. More specifically, the Cboe Timestamping Service reports will provide various timestamps relating to the message lifecycle throughout the 3 15 4 17 Jkt 262001 PO 00000 U.S.C. 78s(b)(3)(A)(iii). CFR 240.19b–4(f)(6). Frm 00100 Fmt 4703 Sfmt 4703 exchange system. The first report—the Missed Liquidity Report—will cover order messages and the second report— Cancels Report—will cover cancel messages. The proposed reports are optional products that will be available to all Members and Members may opt to choose both reports, one report, or neither report. Corresponding fees will be assessed based on the number of reports selected.5 The Exchange notes that the data included in the proposed reports will be based only on the data of the market participant that opts to subscribe to the reports (‘‘Recipient Member’’) and will not include information related to any Member other than the Recipient Member. The Exchange will restrict all other market participants from receiving another market participant’s data. Additionally, neither report includes real-time market data. Rather, the reports will contain historical data from the prior trading day and will be available after the end of the trading day, generally on a T+1 basis. Currently, the Exchange provides realtime prices and analytics in the marketplace. The Exchange proposes to introduce the Missed Liquidity and Cancel Reports in response to Member demand for additional data concerning the timeliness of their incoming orders, cancel messages and executions against resting orders. Members have frequently requested from the Exchange’s trading operations personnel information concerning the timeliness of their incoming orders, cancel messages and efficacy of their attempts to execute against resting liquidity on the Exchange’s Book. The Exchange believes the additional data points outlined below may help Members gain a better understanding about their interactions with the Exchange. The Exchange believes these reports will provide Members with an opportunity to learn more about better opportunities to access liquidity and receive better execution rates and improve order cancel success. The proposed reports will also increase transparency and democratize information so that all Members that subscribe to either or both reports have access to the same information on an equal basis. The proposed Missed Liquidity Report will provide time details for executions of orders that rest on the book where the Member receiving the report attempted to execute against that resting order within an Exchange5 The Exchange plans to submit a separate filing with the Commission pursuant to Section 19(b)(1) to propose fees for the Missed Liquidity Report and Cancels Report. E:\FR\FM\28AUN1.SGM 28AUN1 Federal Register / Vol. 89, No. 167 / Wednesday, August 28, 2024 / Notices khammond on DSKJM1Z7X2PROD with NOTICES determined amount of time (not to exceed 1 millisecond) after receipt of the first attempt to execute against the resting order and within an Exchangedetermined amount of time (not to exceed 100 microseconds) before receipt of the first attempt to execute against the resting order.6 For example, if a Member sends in a marketable order, but an order resting on the Exchange order book was subsequently executed, the Missed Liquidity Report can assist the Member in determining by how much time that order missed an execution.7 The Cancels Report will provide liquidity response time details for orders that rest on the book where the Member receiving the report attempted to cancel that resting order or any other resting order within an Exchangedetermined amount of time (not to exceed 1 millisecond) after receipt of the order that executed against the resting order and within an Exchangedetermined amount of time (not to exceed 100 microseconds) before receipt of the order that executed against the resting order.8 For example, if a market participant sends in a cancel message, but an order resting on the Exchange order book was executed prior to the system processing the cancel message, the Cancel report can assist the market participant in determining by how much time that order missed being canceled instead of executing.9 Both the Missed Liquidity Report and Cancels Report will include the 6 The Exchange will announce the Exchangedetermined timeframes with reasonable advance notice via Exchange Notice. 7 For example, Participant A submits an order that is posted to the Exchange’s Book. Participant B at some point thereafter enters a marketable order to execute against Participant A’s resting order. Within 500 microseconds of Participant B’s submission, Participant C, also sends a marketable order to execute against Participant A’s resting order. Because Participant B’s order is received by the Exchange before Participant C’s order, Participant B’s order executes against Participant A’s resting order. The proposed Report would provide Participant C (the Recipient Member of the report) the data points necessary for that firm to calculate by how much time they missed executing against Participant A’s resting order. 8 The Exchange will announce the Exchangedetermined timeframes with reasonable advance notice via Exchange Notice. 9 For example, Participant A submits an order that is posted to the Exchange’s Book and Participant B at some point thereafter submits a marketable order to execute against Participant A’s resting order. Within 500 microseconds of submission of Participant B’s order, Participant A sends a cancel message to cancel its resting order. Because Participant B’s order is processed at the Matching Engine by the Exchange before Participant A’s cancel message, Participant B’s order executes against Participant A’s resting order. The proposed Report would provide Participant A the data points necessary for that firm to calculate by how much time they missed canceling its resting order. VerDate Sep<11>2014 18:13 Aug 27, 2024 Jkt 262001 following data elements for orders 10 and cancel messages,11, respectively: (1) Recipient Member Firm ID; (2) Symbol; (3) Execution ID; 12 (3) Exchange System Timestamps for orders and cancels; 13 (4) Matching Unit number; 14 (5) Queued; 15 (6) Port Type; 16 and (7) Aggressor Order Type.17 No specific information about resting orders on the Exchange book will be provided. Market participants generally would use liquidity accessing orders if there is a high probability that it will execute an order resting on the Exchange order book. As noted above, the Missed Liquidity Report helps subscribing market participants to better understand by how much time they missed executing against certain resting orders. The Exchange therefore believes this report will provide greater visibility into what was missed in trading so market participants can better determine whether they want to invest in the technology to mitigate the misses. It may also allow for them to optimize their models and trading patterns to yield better execution results. Similarly, the Cancels Report will provide information that helps subscribing market participants determine how best to improve success rates with respect to canceling their orders, which reduces exposure and manages risk. 10 The Missed Liquidity Report will only include trade events which are triggered by an order that removed liquidity on entry and will exclude trade events resulting from: elected stop orders, orders routed and executed at away venues, and peg order movements, and auctions. 11 Includes individual order cancellations, mass cancels, and purge orders messages that are sent via Financial Information Exchange (‘‘FIX’’) protocol or Binary Order Entry (BOE) protocol by a subscriber. 12 The Execution ID is a unique reference number assigned by the Exchange for each trade. 13 Includes Network Discovery Time (which is a network hardware switch timestamp taken at the network capture point); Order Handler NIC Timestamp (which is a hardware timestamp that represents when a BOE order handler server NIC observed the message); Order Handler Received Timestamp (which is software timestamp that represents when the FIX or BOE order handler has begun processing the order after the socket read); Order Handler Send Timestamp (which represents when the FIX or BOE order handler has finished processing the order and begun sending to the matching engine); Matching Engine NIC Timestamp (which is a hardware timestamp that represents when the target matching engine server NIC observed the message); and Matching Engine Transaction Timestamp (which is a software timestamp that represents when the matching engine has started processing an event). 14 Represents the matching unit number. 15 Flag to indicate whether a message was delayed due to message in flight limits (i.e., a limit on the total number of messages in flight between an order handler and a matching engine). 16 Refers to the port type used by the session to send the applicable message. 17 Indicates whether the order type of the response order that executed against the resting order was a new order or modify message. PO 00000 Frm 00101 Fmt 4703 Sfmt 4703 68949 The Exchange notes the data information contained within the proposed Missed Opportunities Report and Cancels Report are similar to data provided in reports that currently are, or historically have been, offered by other exchanges.18 Implementation The Exchange will announce via Exchange Notice the implementation date of the proposed rule change, which shall occur no later than 60 days after the operative date of this rule filing. 2. Statutory Basis The Exchange believes that the proposed Cboe One Options Feed [sic] is consistent with Section 6(b) of the Act,19 in general, and furthers the objectives of Section 6(b)(5) of the Act,20 in particular, in that it is designed to prevent fraudulent and manipulative acts and practices, 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 to protect investors and the public interest, and that it is not designed to permit unfair discrimination among customers, brokers, or dealers. The Exchange also believes this proposal is consistent with Section 6(b)(5) of the Act because it protects investors and the public interest and promotes just and equitable principles of trade by providing investors with new options for receiving market data as requested by market participants and Section 6(b)(8) of the Act, which requires that the rules of an exchange not impose any burden on competition that is not necessary or appropriate in furtherance of the purposes of the Act.21 This proposal is in keeping with those principles in that it promotes increased transparency through the dissemination of the optional Missed Liquidity and Cancels 18 The proposed Report is based on a similar report previously provided by the NASDAQ Stock Market LLC (‘‘NASDAQ’’) for equity securities called the Missed Opportunity—Latency report as part of its NASDAQ Trader Insights offering. See Securities Exchange Act Release No. 78886 (September 20, 2016), 81 FR 66113 (September 26, 2016) (SR–NASDAQ–2016–101) (Order Granting Approval of Proposed Rule Change, as Modified by Amendment Nos. 1 and 2, To Add NASDAQ Rule 7046 (Nasdaq Trading Insights)) (‘‘NASDAQ Approval Order’’). The report is also similar to a report currently provided by MIAX Emerald, LLC (‘‘MIAX Emerald’’) and its affiliates, called the Liquidity Taker Event Report. See e.g., MIAX Emerald Rule 531. See also Securities Exchange Act Release No. 91356 (March 18, 2021), 86 FR 15759 (March 24, 2021) (SR–EMERALD–2021–09). 19 15 U.S.C. 78f. 20 15 U.S.C. 78f(b)(5). 21 15 U.S.C. 78f(b)(8). E:\FR\FM\28AUN1.SGM 28AUN1 khammond on DSKJM1Z7X2PROD with NOTICES 68950 Federal Register / Vol. 89, No. 167 / Wednesday, August 28, 2024 / Notices Report to those interested in paying to receive either or both of these reports. The Exchange also believes this proposal is consistent with Section 6(b)(5) of the Act because it protects investors and the public interest and promotes just and equitable principles of trade by providing investors with new options for receiving market data as requested by potential purchasers. The proposed rule change would benefit investors by facilitating their prompt access to the value-added information that is included in the proposed reports. The reports will allow Members to access information regarding their trading activity that they may utilize to evaluate their own trading behavior and order interactions. It also promotes just and equitable principles of trade because it would provide latency information in a systematized way and standardized format to any Member that chooses to subscribe to the proposed reports. As discussed, the proposed reports are also not real-time market data products, but rather provide only historical trading data for the previous trading day, generally on a T+1 basis. In addition, the data in the reports regarding incoming orders that failed to execute or incoming cancels that failed to cancel would be specific to the Recipient Member’s messages. As noted above, no specific information about the resting orders on the Exchange book will be provided and any information relating to another Member would be anonymized. In adopting Regulation NMS, the Commission granted self-regulatory organizations (‘‘SROs’’) and broker dealers increased authority and flexibility to offer new and unique market data to consumers of such data. It was believed that this authority would expand the amount of data available to users and consumers of such data and also spur innovation and competition for the provision of market data. The Exchange believes that the proposed reports are the sort of market data product that the Commission envisioned when it adopted Regulation NMS. The Commission concluded that Regulation NMS—by deregulating the market in proprietary data—would itself further the Act’s goals of facilitating efficiency and competition: ‘‘[E]fficiency is promoted when broker-dealers who do not need the data beyond the prices, sizes, market center identifications of the NBBO and consolidated last sale information are not required to receive (and pay for) such data. The Commission also believes that efficiency is promoted when broker-dealers may choose to VerDate Sep<11>2014 18:13 Aug 27, 2024 Jkt 262001 receive (and pay for) additional market data based on their own internal analysis of the need for such data.’’ 22 By removing ‘‘unnecessary regulatory restrictions’’ on the ability of exchanges to sell their own data, Regulation NMS advanced the goals of the Act and the principles reflected in its legislative history. This proposed Cboe Timestamping Service (i.e., the Missed Liquidity and Cancels Reports) provides investors with new options for receiving market data, which was a primary goal of the market data amendments adopted by Regulation NMS.23 The proposed reports are designed for Members that are interested in gaining insight into latency in connection with their respective (1) orders that failed to execute against an order resting on the Exchange order book and/or (2) cancel messages that failed to cancel resting orders. The Exchange believes that providing this optional data to interested market participants for a fee is consistent with facilitating transactions in securities, removing impediments to and perfecting the mechanism of a free and open market and a national market system, and, in general, protecting investors and the public interest because it provides additional information and insight to subscribing market participants regarding their trading activity on the Exchange. More specifically, the proposed reports provide greater visibility into exactly what was missed in trading so market participants may optimize their models and trading patterns to yield better execution results by identifying by how much time an order that may have been marketable missed executing and by how much time a cancel message missed canceling. As mentioned above, other exchanges currently offer, or have previously offered, similar trading related reports that have been reviewed and approved by the Commission.24 For example, MIAX Emerald currently offers the Liquidity Taker Event Report and Nasdaq historically provided the Missed Opportunity—Latency report as part of its NASDAQ Trader Insights offering.25 22 See Securities Exchange Act Release No. 51808 (June 9, 2005), 70 FR 37496 (June 29, 2005) (‘‘Regulation NMS Adopting Release’’). 23 See Regulation NMS Adopting Release, supra, at 37503. 24 Supra Note 18. 25 The Exchange notes that like Nasdaq’s Missed Opportunity—Latency report, the proposed reports cover equity securities, whereas the MIAX Emerald Liquidity Taker Event Report covers options trading. The Exchange believes this difference is of no consequence as each of these reports are intended to serve the same purpose—providing firms with an opportunity to learn more about when they may have better opportunities to access PO 00000 Frm 00102 Fmt 4703 Sfmt 4703 MIAX Emerald’s Liquidity Taker Event Report and Nasdaq’s prior Missed Opportunity—Latency report, like the proposed Missed Liquidity Report, identify by how much time an order missed executing against a resting order. Also, like the MIAX Emerald and Nasdaq’s analogous reports, the Exchange’s proposed reports are provided on a T+1 basis and include data specific to one Member, and only that Member would receive the report. The proposed reports, like the reports of MIAX Emerald and Nasdaq, restrict all other market participants, including the Recipient Member, from receiving another market participant’s data. In addition, the proposed reports, like the MIAX Emerald and Nasdaq reports, are each intended to provide the Recipient Member with the time duration by which the order entered by the Recipient Member missed an execution or similarly, missed canceling an order before it could execute.26 The proposed reports, along with the MIAX Emerald Liquidity Taker Event Report and/or Nasdaq Missed Opportunities—Latency reports, each include the following information: • Recipient Member identifier • Symbol • Execution ID • Order reference number (unique reference number assigned to a new order at the time of receipt) • Exchange System Timestamps for incoming orders and cancels, including timestamps to determine the time difference between the time the first response that executes against the resting order was received by the Exchange and the time of each response sent by the Recipient Member, regardless of whether it executed or not liquidity and to receive better execution rates or cancel success. 26 Although not clearly defined, the Exchange believes that MIAX Emerald’s Liquidity Taker Event Report also provides information relating to cancel messages. Particularly, MIAX Emerald Liquidity Taker Event Report provides, among other things, data relating to the ‘‘type of each response submitted by the Recipient Member.’’ See MIAX Emerald Rule 5.31(a)(iii)(C). MIAX Emerald’s technical specifications outline the various types of available liquidity messages including, Simple Mass Quote Cancel Request and Mass Liquidity Cancel Request See MIAX Express Interface for Quoting and Trading Options, MEI Interface Specification, Section 4.1 (Liquidity Messages), available at: MIAX_Express_Interface_MEI_ v2.2a.pdf (miaxglobal.com). The Exchange also believes that providing the same data points for cancel messages as the data provided for orders messages is of no materials consequence as the Cancels Report is intended to serve a similar purpose as the proposed Missed Liquidity Report— providing Members additional information to better understand the efficacy of their incoming orders and cancel messages. E:\FR\FM\28AUN1.SGM 28AUN1 khammond on DSKJM1Z7X2PROD with NOTICES Federal Register / Vol. 89, No. 167 / Wednesday, August 28, 2024 / Notices • The order type of the response that executes against the resting order The proposed reports include the following information that are/were not included in either the MIAX Emerald Liquidity Taker Event Report and/or Nasdaq Missed Opportunities—Latency Report: • Matching Unit Number. This information is specific to the Exchange’s matching unit architecture • Queued. This information indicates whether or not a message was delayed due to message in flight limits, which limits are specific to the Exchange only • The port type Lastly, the proposed reports do not include the following information that is/was included in both the MIAX Emerald Liquidity Taker Event Report and Nasdaq Missed Opportunities— Latency Report: • Side (buy or sell). This information is already available via OPRA or the Exchange’s proprietary data feeds • Displayed price and size. This information is already available via OPRA or the Exchange’s proprietary data feeds • The time a resting order was received by the Exchange. The Exchange does not believe information relating to the time a resting order was received is as relevant as the above-described data that will be included nor is it necessary with respect to the goal of the proposed reports which is to better understand by how much time a particular order missed executing against an order resting on the Book or a cancel message missed canceling against an order resting on the Book. As illustrated above, the proposed reports are substantially similar to the MIAX Emerald Liquidity Taker Event Report and Nasdaq’s former Missed Opportunities—Latency Report and includes a number of the same data elements designed to assist Members in better understanding their trading activity on the Exchange and augment their trading strategies to improve their execution opportunities. In approving Nasdaq’s Missed Opportunity—Latency report, the Commission noted that the report ‘‘would increase transparency, particularly for Members who may not have the expertise to generate the same information.’’ 27 The Exchange’s 27 See Securities Exchange Act Release No. 78886 (September 20, 2016), 81 FR 66113 (September 26, 2016) (SR–NASDAQ–2016–101) (Order Granting Approval of Proposed Rule Change, as Modified by Amendment Nos. 1 and 2, To Add NASDAQ Rule 7046 (Nasdaq Trading Insights)) (‘‘NASDAQ Approval Order’’). VerDate Sep<11>2014 18:13 Aug 27, 2024 Jkt 262001 proposed reports would achieve the same goal for Members seeking to better understand the efficacy of their incoming orders and cancel messages. Further, the proposed reports promote just and equitable principles of trade because it will increase transparency and democratize information so that all firms may elect to subscribe to either, or both, reports even though some firms may not have the appropriate resources to generate a similar report themselves. The Exchange proposes to provide the reports on a voluntary basis and no Member will be required to subscribe to either report. The Exchange notes that there is no rule or regulation that requires the Exchange to produce, or that a Member elect to receive, either report. It is entirely a business decision of each Member to subscribe to one, both, or neither report. The Exchange proposes to offer the reports as a convenience to Members to provide them with additional information regarding trading activity on the Exchange on a delayed basis after the close of regular trading hours. A Member that chooses to subscribe to the reports may discontinue receiving either report at any time if that Member determines that the information contained in the Report is no longer useful. In summary, the proposed reports will help to protect a free and open market by providing additional historical data (offered on an optional basis) to the marketplace and by providing investors with greater choices. Additionally, the proposal would not permit unfair discrimination because the proposed reports will be available to all Exchange Members. B. Self-Regulatory Organization’s Statement on Burden on Competition The Exchange does not believe that the proposed rule change will impose any burden on competition that is not necessary or appropriate in furtherance of the purposes of the Act. Rather, the Exchange believes that the proposed Report will enhance competition by providing a new option for receiving market data to Members. The proposed Report will also further enhance competition between exchanges by allowing the Exchange to expand its product offerings to include reports similar to a report that is currently offered by other exchanges.28 Additionally, the Exchange believes the proposed rule change does not impose any burden on intramarket competition that is not necessary or appropriate in furtherance of the purposes of the Act. Market participants are not required to purchase either proposed report, and the Exchange is not required to make either report available to investors. Rather, the Exchange is voluntarily making these reports available, as requested by Members, and Members may choose to receive (and pay for) this data based on their own business needs. Potential purchasers may request the data at any time if they believe it to be valuable or may decline to purchase such data. C. Self-Regulatory Organization’s Statement on Comments on the Proposed Rule Change Received From Members, Participants, or Others The Exchange neither solicited nor received comments on the proposed rule change. III. Date of Effectiveness of the Proposed Rule Change and Timing for Commission Action Because the foregoing proposed rule change does not: A. significantly affect the protection of investors or the public interest; B. impose any significant burden on competition; and C. become operative for 30 days from the date on which it was filed, or such shorter time as the Commission may designate, it has become effective pursuant to Section 19(b)(3)(A) of the Act 29 and Rule 19b–4(f)(6) 30 thereunder. At any time within 60 days of the filing of the proposed rule change, the Commission summarily may temporarily suspend such rule change if it appears to the Commission that such action is necessary or appropriate in the public interest, for the protection of investors, or otherwise in furtherance of the purposes of the Act. If the Commission takes such action, the Commission will institute proceedings to determine whether the proposed rule change should be approved or 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– 29 15 28 See PO 00000 e.g., MIAX Emerald Rule 531. Frm 00103 Fmt 4703 Sfmt 4703 68951 30 17 E:\FR\FM\28AUN1.SGM U.S.C. 78s(b)(3)(A). CFR 240.19b–4(f)(6). 28AUN1 68952 Federal Register / Vol. 89, No. 167 / Wednesday, August 28, 2024 / Notices CboeEDGA–2024–034 on the subject line. SECURITIES AND EXCHANGE COMMISSION Paper Comments [Release No. 34–100802; File No. SR– CboeEDGX–2024–053] • 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–CboeEDGA–2024–034. 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 a.m. and 3 p.m. Copies of the filing also will be available for inspection and copying at the principal office of the Exchange. Do not include personal identifiable information in submissions; you should submit only information that you wish to make available publicly. We may redact in part or withhold entirely from publication submitted material that is obscene or subject to copyright protection. All submissions should refer to file number SR–CboeEDGA–2024–034 and should be submitted on or before September 18, 2024. For the Commission, by the Division of Trading and Markets, pursuant to delegated authority.31 Vanessa A. Countryman, Secretary. [FR Doc. 2024–19265 Filed 8–27–24; 8:45 am] khammond on DSKJM1Z7X2PROD with NOTICES BILLING CODE 8011–01–P Self-Regulatory Organizations; Cboe EDGX Exchange, Inc.; Notice of Filing and Immediate Effectiveness of a Proposed Rule Change To Adopt New Market Data Reports August 22, 2024. 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 August 15, 2024, Cboe EDGX Exchange, Inc. (the ‘‘Exchange’’ or ‘‘EDGX’’) filed with the Securities and Exchange Commission (‘‘Commission’’) the proposed rule change as described in Items I, II, and III below, which Items have been prepared by the Exchange. The Exchange filed the proposal as a ‘‘non-controversial’’ proposed rule change pursuant to Section 19(b)(3)(A)(iii) of the Act 3 and Rule 19b–4(f)(6) thereunder.4 The Commission is publishing this notice to solicit comments on the proposed rule change from interested persons. I. Self-Regulatory Organization’s Statement of the Terms of Substance of the Proposed Rule Change Cboe EDGX Exchange, Inc. (the ‘‘Exchange’’ or ‘‘EDGX’’) proposes to adopt new market data reports. The text of the proposed rule change is provided in Exhibit 5. The text of the proposed rule change is also available on the Exchange’s website (https://markets.cboe.com/us/ options/regulation/rule_filings/edgx/), at the Exchange’s Office of the Secretary, and at the Commission’s Public Reference Room. II. Self-Regulatory Organization’s Statement of the Purpose of, and Statutory Basis for, the Proposed Rule Change In its filing with the Commission, the Exchange included statements concerning the purpose of and basis for the proposed rule change and discussed any comments it received on the proposed rule change. The text of these statements may be examined at the places specified in Item IV below. The Exchange has prepared summaries, set forth in sections A, B, and C below, of the most significant aspects of such statements. 1 15 U.S.C. 78s(b)(1). CFR 240.19b–4. 3 15 U.S.C. 78s(b)(3)(A)(iii). 4 17 CFR 240.19b–4(f)(6). 2 17 31 17 CFR 200.30–3(a)(12). VerDate Sep<11>2014 18:13 Aug 27, 2024 Jkt 262001 PO 00000 Frm 00104 Fmt 4703 Sfmt 4703 A. Self-Regulatory Organization’s Statement of the Purpose of, and Statutory Basis for, the Proposed Rule Change 1. Purpose The Exchange proposes to amend Rule 13.8 (EDGX Book Feeds) to adopt the Cboe Timestamping Service, which is a market data service comprised of two distinct market data reports. The Cboe Timestamping Service will provide timestamp information for orders and cancels for market participants. More specifically, the Cboe Timestamping Service reports will provide various timestamps relating to the message lifecycle throughout the exchange system. The first report—the Missed Liquidity Report—will cover order messages and the second report— Cancels Report—will cover cancel messages. The proposed reports are optional products that will be available to all Members and Members may opt to choose both reports, one report, or neither report. Corresponding fees will be assessed based on the number of reports selected.5 The Exchange notes that the data included in the proposed reports will be based only on the data of the market participant that opts to subscribe to the reports (‘‘Recipient Member’’) and will not include information related to any Member other than the Recipient Member. The Exchange will restrict all other market participants from receiving another market participant’s data. Additionally, neither report includes real-time market data. Rather, the reports will contain historical data from the prior trading day and will be available after the end of the trading day, generally on a T+1 basis. Currently, the Exchange provides realtime prices and analytics in the marketplace. The Exchange proposes to introduce the Missed Liquidity and Cancel Reports in response to Member demand for additional data concerning the timeliness of their incoming orders, cancel messages and executions against resting orders. Members have frequently requested from the Exchange’s trading operations personnel information concerning the timeliness of their incoming orders, cancel messages and efficacy of their attempts to execute against resting liquidity on the Exchange’s Book. The Exchange believes the additional data points outlined below may help Members gain a better understanding about their 5 The Exchange plans to submit a separate filing with the Commission pursuant to Section 19(b)(1) to propose fees for the Missed Liquidity Report and Cancels Report. E:\FR\FM\28AUN1.SGM 28AUN1

Agencies

[Federal Register Volume 89, Number 167 (Wednesday, August 28, 2024)]
[Notices]
[Pages 68948-68952]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2024-19265]


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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-100803; File No. SR-CboeEDGA-2024-034]


Self-Regulatory Organizations; Cboe EDGA Exchange, Inc.; Notice 
of Filing and Immediate Effectiveness of a Proposed Rule Change To 
Adopt New Market Data Reports

August 22, 2024.
    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 August 15, 2024, Cboe EDGA Exchange, Inc. (the ``Exchange'' or 
``EDGA'') filed with the Securities and Exchange Commission 
(``Commission'') the proposed rule change as described in Items I, II, 
and III below, which Items have been prepared by the Exchange. The 
Exchange filed the proposal as a ``non-controversial'' proposed rule 
change pursuant to Section 19(b)(3)(A)(iii) of the Act \3\ and Rule 
19b-4(f)(6) thereunder.\4\ The Commission is publishing this notice to 
solicit comments on the proposed rule change from interested persons.
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    \1\ 15 U.S.C. 78s(b)(1).
    \2\ 17 CFR 240.19b-4.
    \3\ 15 U.S.C. 78s(b)(3)(A)(iii).
    \4\ 17 CFR 240.19b-4(f)(6).
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I. Self-Regulatory Organization's Statement of the Terms of Substance 
of the Proposed Rule Change

    Cboe EDGA Exchange, Inc. (the ``Exchange'' or ``EDGA'') proposes to 
adopt new market data reports. The text of the proposed rule change is 
provided in Exhibit 5.
    The text of the proposed rule change is also available on the 
Exchange's website (https://markets.cboe.com/us/equities/regulation/rule_filings/edga/), at the Exchange's Office of the Secretary, and at 
the Commission's Public Reference Room.

II. Self-Regulatory Organization's Statement of the Purpose of, and 
Statutory Basis for, the Proposed Rule Change

    In its filing with the Commission, the Exchange included statements 
concerning the purpose of and basis for the proposed rule change and 
discussed any comments it received on the proposed rule change. The 
text of these statements may be examined at the places specified in 
Item IV below. The Exchange has prepared summaries, set forth in 
sections A, B, and C below, of the most significant aspects of such 
statements.

A. Self-Regulatory Organization's Statement of the Purpose of, and 
Statutory Basis for, the Proposed Rule Change

1. Purpose
    The Exchange proposes to amend Rule 13.8 (EDGA Book Feeds) to adopt 
the Cboe Timestamping Service, which is a market data service comprised 
of two distinct market data reports. The Cboe Timestamping Service will 
provide timestamp information for orders and cancels for market 
participants. More specifically, the Cboe Timestamping Service reports 
will provide various timestamps relating to the message lifecycle 
throughout the exchange system. The first report--the Missed Liquidity 
Report--will cover order messages and the second report--Cancels 
Report--will cover cancel messages. The proposed reports are optional 
products that will be available to all Members and Members may opt to 
choose both reports, one report, or neither report. Corresponding fees 
will be assessed based on the number of reports selected.\5\
---------------------------------------------------------------------------

    \5\ The Exchange plans to submit a separate filing with the 
Commission pursuant to Section 19(b)(1) to propose fees for the 
Missed Liquidity Report and Cancels Report.
---------------------------------------------------------------------------

    The Exchange notes that the data included in the proposed reports 
will be based only on the data of the market participant that opts to 
subscribe to the reports (``Recipient Member'') and will not include 
information related to any Member other than the Recipient Member. The 
Exchange will restrict all other market participants from receiving 
another market participant's data. Additionally, neither report 
includes real-time market data. Rather, the reports will contain 
historical data from the prior trading day and will be available after 
the end of the trading day, generally on a T+1 basis.
    Currently, the Exchange provides real-time prices and analytics in 
the marketplace. The Exchange proposes to introduce the Missed 
Liquidity and Cancel Reports in response to Member demand for 
additional data concerning the timeliness of their incoming orders, 
cancel messages and executions against resting orders. Members have 
frequently requested from the Exchange's trading operations personnel 
information concerning the timeliness of their incoming orders, cancel 
messages and efficacy of their attempts to execute against resting 
liquidity on the Exchange's Book. The Exchange believes the additional 
data points outlined below may help Members gain a better understanding 
about their interactions with the Exchange. The Exchange believes these 
reports will provide Members with an opportunity to learn more about 
better opportunities to access liquidity and receive better execution 
rates and improve order cancel success. The proposed reports will also 
increase transparency and democratize information so that all Members 
that subscribe to either or both reports have access to the same 
information on an equal basis.
    The proposed Missed Liquidity Report will provide time details for 
executions of orders that rest on the book where the Member receiving 
the report attempted to execute against that resting order within an 
Exchange-

[[Page 68949]]

determined amount of time (not to exceed 1 millisecond) after receipt 
of the first attempt to execute against the resting order and within an 
Exchange-determined amount of time (not to exceed 100 microseconds) 
before receipt of the first attempt to execute against the resting 
order.\6\ For example, if a Member sends in a marketable order, but an 
order resting on the Exchange order book was subsequently executed, the 
Missed Liquidity Report can assist the Member in determining by how 
much time that order missed an execution.\7\
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    \6\ The Exchange will announce the Exchange-determined 
timeframes with reasonable advance notice via Exchange Notice.
    \7\ For example, Participant A submits an order that is posted 
to the Exchange's Book. Participant B at some point thereafter 
enters a marketable order to execute against Participant A's resting 
order. Within 500 microseconds of Participant B's submission, 
Participant C, also sends a marketable order to execute against 
Participant A's resting order. Because Participant B's order is 
received by the Exchange before Participant C's order, Participant 
B's order executes against Participant A's resting order. The 
proposed Report would provide Participant C (the Recipient Member of 
the report) the data points necessary for that firm to calculate by 
how much time they missed executing against Participant A's resting 
order.
---------------------------------------------------------------------------

    The Cancels Report will provide liquidity response time details for 
orders that rest on the book where the Member receiving the report 
attempted to cancel that resting order or any other resting order 
within an Exchange-determined amount of time (not to exceed 1 
millisecond) after receipt of the order that executed against the 
resting order and within an Exchange-determined amount of time (not to 
exceed 100 microseconds) before receipt of the order that executed 
against the resting order.\8\ For example, if a market participant 
sends in a cancel message, but an order resting on the Exchange order 
book was executed prior to the system processing the cancel message, 
the Cancel report can assist the market participant in determining by 
how much time that order missed being canceled instead of executing.\9\
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    \8\ The Exchange will announce the Exchange-determined 
timeframes with reasonable advance notice via Exchange Notice.
    \9\ For example, Participant A submits an order that is posted 
to the Exchange's Book and Participant B at some point thereafter 
submits a marketable order to execute against Participant A's 
resting order. Within 500 microseconds of submission of Participant 
B's order, Participant A sends a cancel message to cancel its 
resting order. Because Participant B's order is processed at the 
Matching Engine by the Exchange before Participant A's cancel 
message, Participant B's order executes against Participant A's 
resting order. The proposed Report would provide Participant A the 
data points necessary for that firm to calculate by how much time 
they missed canceling its resting order.
---------------------------------------------------------------------------

    Both the Missed Liquidity Report and Cancels Report will include 
the following data elements for orders \10\ and cancel messages,\11\, 
respectively: (1) Recipient Member Firm ID; (2) Symbol; (3) Execution 
ID; \12\ (3) Exchange System Timestamps for orders and cancels; \13\ 
(4) Matching Unit number; \14\ (5) Queued; \15\ (6) Port Type; \16\ and 
(7) Aggressor Order Type.\17\ No specific information about resting 
orders on the Exchange book will be provided.
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    \10\ The Missed Liquidity Report will only include trade events 
which are triggered by an order that removed liquidity on entry and 
will exclude trade events resulting from: elected stop orders, 
orders routed and executed at away venues, and peg order movements, 
and auctions.
    \11\ Includes individual order cancellations, mass cancels, and 
purge orders messages that are sent via Financial Information 
Exchange (``FIX'') protocol or Binary Order Entry (BOE) protocol by 
a subscriber.
    \12\ The Execution ID is a unique reference number assigned by 
the Exchange for each trade.
    \13\ Includes Network Discovery Time (which is a network 
hardware switch timestamp taken at the network capture point); Order 
Handler NIC Timestamp (which is a hardware timestamp that represents 
when a BOE order handler server NIC observed the message); Order 
Handler Received Timestamp (which is software timestamp that 
represents when the FIX or BOE order handler has begun processing 
the order after the socket read); Order Handler Send Timestamp 
(which represents when the FIX or BOE order handler has finished 
processing the order and begun sending to the matching engine); 
Matching Engine NIC Timestamp (which is a hardware timestamp that 
represents when the target matching engine server NIC observed the 
message); and Matching Engine Transaction Timestamp (which is a 
software timestamp that represents when the matching engine has 
started processing an event).
    \14\ Represents the matching unit number.
    \15\ Flag to indicate whether a message was delayed due to 
message in flight limits (i.e., a limit on the total number of 
messages in flight between an order handler and a matching engine).
    \16\ Refers to the port type used by the session to send the 
applicable message.
    \17\ Indicates whether the order type of the response order that 
executed against the resting order was a new order or modify 
message.
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    Market participants generally would use liquidity accessing orders 
if there is a high probability that it will execute an order resting on 
the Exchange order book. As noted above, the Missed Liquidity Report 
helps subscribing market participants to better understand by how much 
time they missed executing against certain resting orders. The Exchange 
therefore believes this report will provide greater visibility into 
what was missed in trading so market participants can better determine 
whether they want to invest in the technology to mitigate the misses. 
It may also allow for them to optimize their models and trading 
patterns to yield better execution results. Similarly, the Cancels 
Report will provide information that helps subscribing market 
participants determine how best to improve success rates with respect 
to canceling their orders, which reduces exposure and manages risk.
    The Exchange notes the data information contained within the 
proposed Missed Opportunities Report and Cancels Report are similar to 
data provided in reports that currently are, or historically have been, 
offered by other exchanges.\18\
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    \18\ The proposed Report is based on a similar report previously 
provided by the NASDAQ Stock Market LLC (``NASDAQ'') for equity 
securities called the Missed Opportunity--Latency report as part of 
its NASDAQ Trader Insights offering. See Securities Exchange Act 
Release No. 78886 (September 20, 2016), 81 FR 66113 (September 26, 
2016) (SR-NASDAQ-2016-101) (Order Granting Approval of Proposed Rule 
Change, as Modified by Amendment Nos. 1 and 2, To Add NASDAQ Rule 
7046 (Nasdaq Trading Insights)) (``NASDAQ Approval Order''). The 
report is also similar to a report currently provided by MIAX 
Emerald, LLC (``MIAX Emerald'') and its affiliates, called the 
Liquidity Taker Event Report. See e.g., MIAX Emerald Rule 531. See 
also Securities Exchange Act Release No. 91356 (March 18, 2021), 86 
FR 15759 (March 24, 2021) (SR-EMERALD-2021-09).
---------------------------------------------------------------------------

Implementation
    The Exchange will announce via Exchange Notice the implementation 
date of the proposed rule change, which shall occur no later than 60 
days after the operative date of this rule filing.
2. Statutory Basis
    The Exchange believes that the proposed Cboe One Options Feed [sic] 
is consistent with Section 6(b) of the Act,\19\ in general, and 
furthers the objectives of Section 6(b)(5) of the Act,\20\ in 
particular, in that it is designed to prevent fraudulent and 
manipulative acts and practices, 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 to protect 
investors and the public interest, and that it is not designed to 
permit unfair discrimination among customers, brokers, or dealers. The 
Exchange also believes this proposal is consistent with Section 6(b)(5) 
of the Act because it protects investors and the public interest and 
promotes just and equitable principles of trade by providing investors 
with new options for receiving market data as requested by market 
participants and Section 6(b)(8) of the Act, which requires that the 
rules of an exchange not impose any burden on competition that is not 
necessary or appropriate in furtherance of the purposes of the Act.\21\ 
This proposal is in keeping with those principles in that it promotes 
increased transparency through the dissemination of the optional Missed 
Liquidity and Cancels

[[Page 68950]]

Report to those interested in paying to receive either or both of these 
reports.
---------------------------------------------------------------------------

    \19\ 15 U.S.C. 78f.
    \20\ 15 U.S.C. 78f(b)(5).
    \21\ 15 U.S.C. 78f(b)(8).
---------------------------------------------------------------------------

    The Exchange also believes this proposal is consistent with Section 
6(b)(5) of the Act because it protects investors and the public 
interest and promotes just and equitable principles of trade by 
providing investors with new options for receiving market data as 
requested by potential purchasers. The proposed rule change would 
benefit investors by facilitating their prompt access to the value-
added information that is included in the proposed reports. The reports 
will allow Members to access information regarding their trading 
activity that they may utilize to evaluate their own trading behavior 
and order interactions. It also promotes just and equitable principles 
of trade because it would provide latency information in a systematized 
way and standardized format to any Member that chooses to subscribe to 
the proposed reports. As discussed, the proposed reports are also not 
real-time market data products, but rather provide only historical 
trading data for the previous trading day, generally on a T+1 basis. In 
addition, the data in the reports regarding incoming orders that failed 
to execute or incoming cancels that failed to cancel would be specific 
to the Recipient Member's messages. As noted above, no specific 
information about the resting orders on the Exchange book will be 
provided and any information relating to another Member would be 
anonymized.
    In adopting Regulation NMS, the Commission granted self-regulatory 
organizations (``SROs'') and broker dealers increased authority and 
flexibility to offer new and unique market data to consumers of such 
data. It was believed that this authority would expand the amount of 
data available to users and consumers of such data and also spur 
innovation and competition for the provision of market data. The 
Exchange believes that the proposed reports are the sort of market data 
product that the Commission envisioned when it adopted Regulation NMS.
    The Commission concluded that Regulation NMS--by deregulating the 
market in proprietary data--would itself further the Act's goals of 
facilitating efficiency and competition:
    ``[E]fficiency is promoted when broker-dealers who do not need the 
data beyond the prices, sizes, market center identifications of the 
NBBO and consolidated last sale information are not required to receive 
(and pay for) such data. The Commission also believes that efficiency 
is promoted when broker-dealers may choose to receive (and pay for) 
additional market data based on their own internal analysis of the need 
for such data.'' \22\
---------------------------------------------------------------------------

    \22\ See Securities Exchange Act Release No. 51808 (June 9, 
2005), 70 FR 37496 (June 29, 2005) (``Regulation NMS Adopting 
Release'').
---------------------------------------------------------------------------

    By removing ``unnecessary regulatory restrictions'' on the ability 
of exchanges to sell their own data, Regulation NMS advanced the goals 
of the Act and the principles reflected in its legislative history. 
This proposed Cboe Timestamping Service (i.e., the Missed Liquidity and 
Cancels Reports) provides investors with new options for receiving 
market data, which was a primary goal of the market data amendments 
adopted by Regulation NMS.\23\
---------------------------------------------------------------------------

    \23\ See Regulation NMS Adopting Release, supra, at 37503.
---------------------------------------------------------------------------

    The proposed reports are designed for Members that are interested 
in gaining insight into latency in connection with their respective (1) 
orders that failed to execute against an order resting on the Exchange 
order book and/or (2) cancel messages that failed to cancel resting 
orders. The Exchange believes that providing this optional data to 
interested market participants for a fee is consistent with 
facilitating transactions in securities, removing impediments to and 
perfecting the mechanism of a free and open market and a national 
market system, and, in general, protecting investors and the public 
interest because it provides additional information and insight to 
subscribing market participants regarding their trading activity on the 
Exchange. More specifically, the proposed reports provide greater 
visibility into exactly what was missed in trading so market 
participants may optimize their models and trading patterns to yield 
better execution results by identifying by how much time an order that 
may have been marketable missed executing and by how much time a cancel 
message missed canceling.
    As mentioned above, other exchanges currently offer, or have 
previously offered, similar trading related reports that have been 
reviewed and approved by the Commission.\24\ For example, MIAX Emerald 
currently offers the Liquidity Taker Event Report and Nasdaq 
historically provided the Missed Opportunity--Latency report as part of 
its NASDAQ Trader Insights offering.\25\ MIAX Emerald's Liquidity Taker 
Event Report and Nasdaq's prior Missed Opportunity--Latency report, 
like the proposed Missed Liquidity Report, identify by how much time an 
order missed executing against a resting order. Also, like the MIAX 
Emerald and Nasdaq's analogous reports, the Exchange's proposed reports 
are provided on a T+1 basis and include data specific to one Member, 
and only that Member would receive the report. The proposed reports, 
like the reports of MIAX Emerald and Nasdaq, restrict all other market 
participants, including the Recipient Member, from receiving another 
market participant's data. In addition, the proposed reports, like the 
MIAX Emerald and Nasdaq reports, are each intended to provide the 
Recipient Member with the time duration by which the order entered by 
the Recipient Member missed an execution or similarly, missed canceling 
an order before it could execute.\26\ The proposed reports, along with 
the MIAX Emerald Liquidity Taker Event Report and/or Nasdaq Missed 
Opportunities--Latency reports, each include the following information:
---------------------------------------------------------------------------

    \24\ Supra Note 18.
    \25\ The Exchange notes that like Nasdaq's Missed Opportunity--
Latency report, the proposed reports cover equity securities, 
whereas the MIAX Emerald Liquidity Taker Event Report covers options 
trading. The Exchange believes this difference is of no consequence 
as each of these reports are intended to serve the same purpose--
providing firms with an opportunity to learn more about when they 
may have better opportunities to access liquidity and to receive 
better execution rates or cancel success.
    \26\ Although not clearly defined, the Exchange believes that 
MIAX Emerald's Liquidity Taker Event Report also provides 
information relating to cancel messages. Particularly, MIAX Emerald 
Liquidity Taker Event Report provides, among other things, data 
relating to the ``type of each response submitted by the Recipient 
Member.'' See MIAX Emerald Rule 5.31(a)(iii)(C). MIAX Emerald's 
technical specifications outline the various types of available 
liquidity messages including, Simple Mass Quote Cancel Request and 
Mass Liquidity Cancel Request See MIAX Express Interface for Quoting 
and Trading Options, MEI Interface Specification, Section 4.1 
(Liquidity Messages), available at: 
MIAX_Express_Interface_MEI_v2.2a.pdf (miaxglobal.com). The Exchange 
also believes that providing the same data points for cancel 
messages as the data provided for orders messages is of no materials 
consequence as the Cancels Report is intended to serve a similar 
purpose as the proposed Missed Liquidity Report--providing Members 
additional information to better understand the efficacy of their 
incoming orders and cancel messages.

 Recipient Member identifier
 Symbol
 Execution ID
 Order reference number (unique reference number assigned to a 
new order at the time of receipt)
 Exchange System Timestamps for incoming orders and cancels, 
including timestamps to determine the time difference between the time 
the first response that executes against the resting order was received 
by the Exchange and the time of each response sent by the Recipient 
Member, regardless of whether it executed or not

[[Page 68951]]

 The order type of the response that executes against the 
resting order

    The proposed reports include the following information that are/
were not included in either the MIAX Emerald Liquidity Taker Event 
Report and/or Nasdaq Missed Opportunities--Latency Report:

 Matching Unit Number. This information is specific to the 
Exchange's matching unit architecture
 Queued. This information indicates whether or not a message 
was delayed due to message in flight limits, which limits are specific 
to the Exchange only
 The port type

    Lastly, the proposed reports do not include the following 
information that is/was included in both the MIAX Emerald Liquidity 
Taker Event Report and Nasdaq Missed Opportunities--Latency Report:

 Side (buy or sell). This information is already available via 
OPRA or the Exchange's proprietary data feeds
 Displayed price and size. This information is already 
available via OPRA or the Exchange's proprietary data feeds
 The time a resting order was received by the Exchange. The 
Exchange does not believe information relating to the time a resting 
order was received is as relevant as the above-described data that will 
be included nor is it necessary with respect to the goal of the 
proposed reports which is to better understand by how much time a 
particular order missed executing against an order resting on the Book 
or a cancel message missed canceling against an order resting on the 
Book.

    As illustrated above, the proposed reports are substantially 
similar to the MIAX Emerald Liquidity Taker Event Report and Nasdaq's 
former Missed Opportunities--Latency Report and includes a number of 
the same data elements designed to assist Members in better 
understanding their trading activity on the Exchange and augment their 
trading strategies to improve their execution opportunities.
    In approving Nasdaq's Missed Opportunity--Latency report, the 
Commission noted that the report ``would increase transparency, 
particularly for Members who may not have the expertise to generate the 
same information.'' \27\ The Exchange's proposed reports would achieve 
the same goal for Members seeking to better understand the efficacy of 
their incoming orders and cancel messages. Further, the proposed 
reports promote just and equitable principles of trade because it will 
increase transparency and democratize information so that all firms may 
elect to subscribe to either, or both, reports even though some firms 
may not have the appropriate resources to generate a similar report 
themselves.
---------------------------------------------------------------------------

    \27\ See Securities Exchange Act Release No. 78886 (September 
20, 2016), 81 FR 66113 (September 26, 2016) (SR-NASDAQ-2016-101) 
(Order Granting Approval of Proposed Rule Change, as Modified by 
Amendment Nos. 1 and 2, To Add NASDAQ Rule 7046 (Nasdaq Trading 
Insights)) (``NASDAQ Approval Order'').
---------------------------------------------------------------------------

    The Exchange proposes to provide the reports on a voluntary basis 
and no Member will be required to subscribe to either report. The 
Exchange notes that there is no rule or regulation that requires the 
Exchange to produce, or that a Member elect to receive, either report. 
It is entirely a business decision of each Member to subscribe to one, 
both, or neither report. The Exchange proposes to offer the reports as 
a convenience to Members to provide them with additional information 
regarding trading activity on the Exchange on a delayed basis after the 
close of regular trading hours. A Member that chooses to subscribe to 
the reports may discontinue receiving either report at any time if that 
Member determines that the information contained in the Report is no 
longer useful.
    In summary, the proposed reports will help to protect a free and 
open market by providing additional historical data (offered on an 
optional basis) to the marketplace and by providing investors with 
greater choices. Additionally, the proposal would not permit unfair 
discrimination because the proposed reports will be available to all 
Exchange Members.

B. Self-Regulatory Organization's Statement on Burden on Competition

    The Exchange does not believe that the proposed rule change will 
impose any burden on competition that is not necessary or appropriate 
in furtherance of the purposes of the Act. Rather, the Exchange 
believes that the proposed Report will enhance competition by providing 
a new option for receiving market data to Members. The proposed Report 
will also further enhance competition between exchanges by allowing the 
Exchange to expand its product offerings to include reports similar to 
a report that is currently offered by other exchanges.\28\
---------------------------------------------------------------------------

    \28\ See e.g., MIAX Emerald Rule 531.
---------------------------------------------------------------------------

    Additionally, the Exchange believes the proposed rule change does 
not impose any burden on intramarket competition that is not necessary 
or appropriate in furtherance of the purposes of the Act. Market 
participants are not required to purchase either proposed report, and 
the Exchange is not required to make either report available to 
investors. Rather, the Exchange is voluntarily making these reports 
available, as requested by Members, and Members may choose to receive 
(and pay for) this data based on their own business needs. Potential 
purchasers may request the data at any time if they believe it to be 
valuable or may decline to purchase such data.

C. Self-Regulatory Organization's Statement on Comments on the Proposed 
Rule Change Received From Members, Participants, or Others

    The Exchange neither solicited nor received comments on the 
proposed rule change.

III. Date of Effectiveness of the Proposed Rule Change and Timing for 
Commission Action

    Because the foregoing proposed rule change does not:
    A. significantly affect the protection of investors or the public 
interest;
    B. impose any significant burden on competition; and
    C. become operative for 30 days from the date on which it was 
filed, or such shorter time as the Commission may designate, it has 
become effective pursuant to Section 19(b)(3)(A) of the Act \29\ and 
Rule 19b-4(f)(6) \30\ thereunder. At any time within 60 days of the 
filing of the proposed rule change, the Commission summarily may 
temporarily suspend such rule change if it appears to the Commission 
that such action is necessary or appropriate in the public interest, 
for the protection of investors, or otherwise in furtherance of the 
purposes of the Act. If the Commission takes such action, the 
Commission will institute proceedings to determine whether the proposed 
rule change should be approved or disapproved.
---------------------------------------------------------------------------

    \29\ 15 U.S.C. 78s(b)(3)(A).
    \30\ 17 CFR 240.19b-4(f)(6).
---------------------------------------------------------------------------

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-

[[Page 68952]]

CboeEDGA-2024-034 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-CboeEDGA-2024-034. 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 
a.m. and 3 p.m. Copies of the filing also will be available for 
inspection and copying at the principal office of the Exchange. Do not 
include personal identifiable information in submissions; you should 
submit only information that you wish to make available publicly. We 
may redact in part or withhold entirely from publication submitted 
material that is obscene or subject to copyright protection. All 
submissions should refer to file number SR-CboeEDGA-2024-034 and should 
be submitted on or before September 18, 2024.

    For the Commission, by the Division of Trading and Markets, 
pursuant to delegated authority.\31\
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    \31\ 17 CFR 200.30-3(a)(12).
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Vanessa A. Countryman,
Secretary.
[FR Doc. 2024-19265 Filed 8-27-24; 8:45 am]
BILLING CODE 8011-01-P
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