Self-Regulatory Organizations; Cboe EDGX Exchange, Inc.; Notice of Filing and Immediate Effectiveness of a Proposed Rule Change To Adopt New Market Data Reports, 68952-68956 [2024-19267]
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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]
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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).
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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.
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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 Exchangedetermined 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
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.
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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
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
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.
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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68953
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
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
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).
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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
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
21 15
U.S.C. 78f(b)(8).
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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
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
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.
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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:
• Recipient Member identifier
24 Supra
Note 18.
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.
25 The
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• 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
• 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
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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.
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
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’’).
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68955
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
28 See
e.g., MIAX Emerald Rule 531.
U.S.C. 78s(b)(3)(A).
30 17 CFR 240.19b–4(f)(6).
29 15
E:\FR\FM\28AUN1.SGM
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68956
Federal Register / Vol. 89, No. 167 / Wednesday, August 28, 2024 / Notices
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:
[FR Doc. 2024–19267 Filed 8–27–24; 8:45 am]
BILLING CODE 8011–01–P
SECURITIES AND EXCHANGE
COMMISSION
Electronic Comments
[Release No. 34–100804; File No. SR–
MEMX–2024–32]
• 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–
CboeEDGX–2024–053 on the subject
line.
Self-Regulatory Organizations; MEMX
LLC; Notice of Filing and Immediate
Effectiveness of a Proposed Rule
Change To Amend the Fee Schedule
Concerning Options Transaction Fees
Paper Comments
• Send paper comments in triplicate
to Secretary, Securities and Exchange
Commission, 100 F Street NE,
Washington, DC 20549–1090.
khammond on DSKJM1Z7X2PROD with NOTICES
For the Commission, by the Division of
Trading and Markets, pursuant to delegated
authority.31
Vanessa A. Countryman,
Secretary.
All submissions should refer to file
number SR–CboeEDGX–2024–053. 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–CboeEDGX–2024–053 and should be
submitted on or before September 18,
2024.
VerDate Sep<11>2014
18:13 Aug 27, 2024
Jkt 262001
August 22, 2024.
Pursuant to Section 19(b)(1) of the
Securities Exchange Act of 1934 (the
‘‘Act’’),1 and Rule 19b–4 thereunder,2
notice is hereby given that on August 9,
2024, MEMX LLC (‘‘MEMX’’ 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.
I. Self-Regulatory Organization’s
Statement of the Terms of Substance of
the Proposed Rule Change
The Exchange is filing with the
Commission a proposed rule change to
amend the Exchange’s fee schedule
applicable to Members 3 pursuant to
Exchange Rules 15.1(a) and (c).
Specifically, the Exchange proposes to
amend the Options Fee Schedule to (i)
increase the transaction rebate for
executions of contracts where the
underlying security of the applicable
option is not in the Penny Interval
program (‘‘Non-Penny options’’) 4 which
add liquidity to the MEMX Options
Book 5 and which are made in the
Customer capacity (‘‘Customer’’); 6 and
31 17
CFR 200.30–3(a)(12).
U.S.C. 78s(b)(1).
2 17 CFR 240.19b–4.
3 See Exchange Rule 1.5(p).
4 MEMX Options provides Fee Code ‘‘N’’ for
transactions in Non-Penny options. Fee Codes are
provided by the Exchange on the monthly invoices
provided to Options Members.
5 MEMX Options provides Fee Code ‘‘D’’ for
transactions which add liquidity to the MEMX
Options Book.
6 Customer capacity applies to any order for the
account of a Priority Customer. ‘‘Priority Customer’’
means any person or entity that is neither a broker
or dealer in securities nor a Professional. See Rule
16.1 of the MEMX Rulebook. MEMX Options
provides fee qualifier ‘‘c’’ for Customer transactions.
1 15
PO 00000
Frm 00108
Fmt 4703
Sfmt 4703
(ii) increase the transaction fee for
executions of contracts where the
underlying security of the applicable
option is a Non-Penny option which
remove liquidity from the MEMX
Options Book 7 and which are not made
in the Customer capacity (‘‘NonCustomer’’),8 each as further described
below. The Exchange proposes to
implement the changes to the Options
Fee Schedule pursuant to this proposal
immediately. The text of the proposed
rule change is provided in Exhibit 5.
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 purpose of the proposed rule
change is to amend the Options Fee
Schedule to (i) increase the transaction
rebate for executions of contracts where
the underlying security of the applicable
option is not in the Penny Interval
program (‘‘Non-Penny options’’) 9 which
add liquidity to the MEMX Options
Book 10 and which are made in the
Customer capacity (‘‘Customer’’); 11 and
7 MEMX Options provides Fee Code ‘‘R’’ for
transactions that remove liquidity from the MEMX
Options Book.
8 Non-Customer capacity applies to any
transaction that is not a Customer order. Each of
market maker transactions, professional
transactions, firm transactions, away market maker
transactions, and broker-dealer transactions shall be
referred to as ‘‘Non-Customer’’ transactions. MEMX
Options provides fee qualifier ‘‘m’’ for market
maker transactions, fee qualifier ‘‘p’’ for
professional transactions, fee qualifier ‘‘f’’ for firm
transactions, fee qualifier ‘‘a’’ for away market
maker transactions, and fee qualifier ‘‘b’’ for brokerdealer transactions. Fee qualifiers are provided by
the Exchange on the monthly invoices provided to
Options Members.
9 MEMX Options provides Fee Code ‘‘N’’ for
transactions in Non-Penny options. Fee Codes are
provided by the Exchange on the monthly invoices
provided to Options Members.
10 MEMX Options provides Fee Code ‘‘D’’ for
transactions which add liquidity to the MEMX
Options Book.
11 Customer capacity applies to any order for the
account of a Priority Customer. ‘‘Priority Customer’’
E:\FR\FM\28AUN1.SGM
28AUN1
]]>Agencies
[Federal Register Volume 89, Number 167 (Wednesday, August 28, 2024)]
[Notices]
[Pages 68952-68956]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2024-19267]
-----------------------------------------------------------------------
SECURITIES AND EXCHANGE COMMISSION
[Release No. 34-100802; File No. SR-CboeEDGX-2024-053]
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.
---------------------------------------------------------------------------
\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).
---------------------------------------------------------------------------
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.
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\
---------------------------------------------------------------------------
\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
[[Page 68953]]
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-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\
---------------------------------------------------------------------------
\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\
---------------------------------------------------------------------------
\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.
---------------------------------------------------------------------------
\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.
---------------------------------------------------------------------------
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\
---------------------------------------------------------------------------
\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
[[Page 68954]]
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 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
[[Page 68955]]
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
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.
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\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'').
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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\
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\28\ See e.g., MIAX Emerald Rule 531.
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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
[[Page 68956]]
change should be approved or disapproved.
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\29\ 15 U.S.C. 78s(b)(3)(A).
\30\ 17 CFR 240.19b-4(f)(6).
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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-CboeEDGX-2024-053 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-CboeEDGX-2024-053. 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-CboeEDGX-2024-053 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. 2024-19267 Filed 8-27-24; 8:45 am]
BILLING CODE 8011-01-P
