[Federal Register Volume 87, Number 26 (Tuesday, February 8, 2022)]
[Notices]
[Pages 7223-7229]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2022-02553]


-----------------------------------------------------------------------

SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-94136; File No. SR-EMERALD-2022-02]


Self-Regulatory Organizations: MIAX Emerald, LLC; Notice of 
Filing and Immediate Effectiveness of a Proposed Rule Change To Amend 
Exchange Rule 531 To Provide for the New Liquidity Taker Event Report--
Complex Orders

February 2, 2022.
    Pursuant to Section 19(b)(1) of the Securities Exchange Act of 1934 
(``Act'') \1\ and Rule 19b-4 thereunder,\2\ notice is hereby given that 
on January 27, 2022, MIAX Emerald, LLC (``MIAX Emerald'' or 
``Exchange'') filed with the Securities and Exchange Commission 
(``Commission'') a proposed rule change as described in Items I and II 
below, which Items have been prepared by the Exchange. The Commission 
is publishing this notice to solicit comments on the proposed rule 
change from interested persons.
---------------------------------------------------------------------------

    \1\ 15 U.S.C. 78s(b)(1).
    \2\ 17 CFR 240.19b-4.
---------------------------------------------------------------------------

I. Self-Regulatory Organization's Statement of the Terms of Substance 
of the Proposed Rule Change

    The Exchange proposes to amend Exchange Rule 531(b) to provide for 
the new ``Liquidity Taker Event Report--Complex Orders''.
    The text of the proposed rule change is available on the Exchange's 
website at http://www.miaxoptions.com/rule-filings/emerald at MIAX 
Emerald's principal office, and at the Commission's Public Reference 
Room.

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

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

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

1. Purpose
    The Exchange currently offers the Liquidity Taker Event Report, 
which is a Member \3\-specific report and helps Members to better 
understand by how much time a particular order missed executing against 
a specific order resting on the Exchange's Simple Order Book.\4\ The 
current Liquidity Taker Event Report is described under Exchange Rule 
531(a).\5\
---------------------------------------------------------------------------

    \3\ The term ``Member'' means an individual or organization 
approved to exercise the trading rights associated with a Trading 
Permit. Members are deemed ``members'' under the Exchange Act. See 
Exchange Rule 100.
    \4\ The term ``Simple Order Book'' means ``the Exchange's 
regular electronic book of orders and quotes.'' See Exchange Rule 
518(a)(15).
    \5\ See Securities Exchange Act Release No. 91787 (May 6, 2021), 
86 FR 26111 (May 12, 2021) (SR-EMERALD-2021-09) (Order Approving 
Proposed Rule Change To Adopt Exchange Rule 531(a), Reports, To 
Provide for a New ``Liquidity Taker Event Report'').

---------------------------------------------------------------------------

[[Page 7224]]

    The Exchange now proposes to amend Exchange Rule 531(b) \6\ to 
provide for the new ``Liquidity Taker Event Report--Complex Orders'' 
(the ``Complex Order Report'') which would be substantially similar to 
the existing Liquidity Taker Event Report, but would include data 
concerning a Member's Complex Orders.\7\ The Exchange also proposes to 
change the name of the existing Liquidity Taker Event Report to 
``Liquidity Taker Event Report--Simple Orders'' and amend Exchange Rule 
531(a) accordingly (the ``Liquidity Taker Event Report--Simple Orders'' 
shall be referred to herein as the ``Simple Order Report'').
---------------------------------------------------------------------------

    \6\ Currently, Exchange Rule 531(b) is titled ``Market Data 
Products'' and provides the rule text for the Open-Close Report. See 
Exchange Rule 531(b). With this filing, the Exchange also proposes 
to move the rule text for Market Data Products to now be renumbered 
as Exchange Rule 531(c). The Exchange does not propose to amend any 
of the rule text for Market Data Products as currently stated in 
Exchange Rule 531.
    \7\ In sum, a ``Complex Order'' is ``any order involving the 
concurrent purchase and/or sale of two or more different options in 
the same underlying security (the `legs' or `components' of the 
complex order), for the same account . . . .'' See Exchange Rule 
518(a)(5).
---------------------------------------------------------------------------

    The Simple Order Report includes information about incoming orders 
seeking to remove resting orders from the Simple Order Book. The 
proposed Complex Order Report would include the same information about 
incoming Complex Orders that seek to remove Complex Orders resting on 
the Strategy Book.\8\ Two other differences between the proposed 
Complex Order Report and the Simple Order Report are that the proposed 
Complex Order Report will include the Complex EBBO \9\ in place of the 
EBBO and Complex ABBO \10\ in place of the ABBO, as described further 
below. These are minor differences designed to provide the EBBO and 
ABBO that are relevant to trading Complex Orders. Otherwise, the 
content and dissemination of the proposed Complex Order Report set 
forth under amended Exchange Rule 531(b) will be identical to that of 
the Simple Order Report under Exchange Rule 531(a). Other than the 
difference set forth above, the Exchange represents that there are no 
other differences between Simple Orders and Complex Orders that would 
necessitate any other changes to the proposed Complex Order Report or 
render the effects or use of the proposed Complex Order Report as 
different from the Simple Order Report.
---------------------------------------------------------------------------

    \8\ The term ``Complex Strategy'' means ``a particular 
combination of components and their ratios to one another. New 
complex strategies can be created as the result of the receipt of a 
complex order or by the Exchange for a complex strategy that is not 
currently in the System.'' See Exchange Rule 518(a)(6). The term 
``Strategy Book'' means the Exchange's electronic book of complex 
orders and complex quotes. See Exchange Rule 518(a)(17). The 
Strategy Book is organized by Complex Strategy in that individual 
orders for a defined Complex Strategy are organized together in a 
book that is separate from the orders for a different Complex 
Strategy.
    \9\ The term ``EBBO'' means the Exchange's best bid or offer. 
See Exchange Rule 100. The Complex EBBO for a particular Complex 
Strategy is calculated using the Implied Complex MIAX Emerald Best 
Bid or Offer (``icEBBO'') combined with the best price currently 
available for that particular Complex Strategy on the Strategy Book 
to establish the Exchange's best net bid or offer for that Complex 
Strategy. The icEBBO is calculated using the best price from the 
Simple Order Book for each component of a Complex Strategy including 
displayed and non-displayed trading interest. For stock-option 
orders, the icEBBO for a Complex Strategy is calculated using the 
best price (whether displayed or non-displayed) on the Simple Order 
Book in the individual option component(s), and the NBBO in the 
stock component. See Exchange Rule 518(a)(12).
    \10\ The term ``ABBO'' or ``Away Best Bid or Offer'' means the 
best bid(s) or offer(s) disseminated by other Eligible Exchanges 
(defined in Exchange Rule 1400(g)) and calculated by the Exchange 
based on market information received by the Exchange from the 
Options Price Reporting Authority (``OPRA''). See Exchange Rule 100. 
The Complex ABBO is calculated using the ABBO for each component of 
a Complex Strategy to establish the away markets' best net bid or 
offer for a Complex Strategy.
---------------------------------------------------------------------------

    Like the Simple Order Report, the proposed Complex Order Report is 
an optional product \11\ available to Members. Currently, the Exchange 
provides real-time prices and analytics in the marketplace. The 
Exchange believes the additional data points from the matching engine 
outlined below may help Members gain a better understanding about their 
Complex Order interactions with the Exchange. The Exchange believes the 
proposed Complex Order Report will provide Members with an opportunity 
to learn more about better opportunities to access liquidity and 
receive better execution rates when trading Complex Orders. The 
proposed Complex Order Report will increase transparency and 
democratize information so that all firms that subscribe to the 
proposed Complex Order Report have access to the same information on an 
equal basis, even for firms that do not have the appropriate resources 
to generate a similar report regarding interactions with the Exchange. 
Like the Simple Order Report, none of the components of the proposed 
Complex Order Report include real-time market data.
---------------------------------------------------------------------------

    \11\ The Exchange intends to submit a separate filing with the 
Commission pursuant to Section 19(b)(1) to propose fees for the 
proposed Complex Order Report.
---------------------------------------------------------------------------

    Members generally would use a liquidity accessing order if there is 
a high probability that it will execute against an order resting on the 
Exchange's Simple Order Book. Like the Simple Order Report, the 
proposed Complex Order Report would identify by how much time an order 
that may have been marketable missed an execution. In the case of the 
proposed Complex Order Report, the incoming order would be a Complex 
Order submitted to trade against a resting order for a Complex 
Strategy. The proposed Complex Order Report will provide greater 
visibility into the missed trading execution, which will allow Members 
to optimize their models and trading patterns to yield better execution 
results when trading Complex Orders.
    Like the Simple Order Report, the proposed Complex Order Report 
will be a Member-specific report and will help Members to better 
understand by how much time a particular order, in this case a Complex 
Order, missed executing against a specific resting order, thus allowing 
that Member to determine whether it wants to invest in the necessary 
resources and technology to mitigate missed executions against certain 
resting orders on the Exchange's Strategy Book. For example, Member A 
submits a Complex Order that is posted to the Strategy Book and then, 
within 200 microseconds of the entry of Member A's Complex Order, 
Member B enters a marketable Complex Order to execute against Member 
A's resting Complex Order. Immediately thereafter, Member C also within 
200 microseconds of the entry of Member A's Complex Order, sends a 
marketable Complex Order to execute against Member A's resting Complex 
Order. Because Member B's Complex Order is received by the Exchange 
before the Complex Order for Member C Member B's Complex Order executes 
against Member A's resting Complex Order. If Member C were to subscribe 
to the proposed Complex Order Report, it would be provided the data 
points necessary for that firm to calculate by how much time they 
missed executing against Member A's resting Complex Order.
    Like the Simple Order Report, the Exchange proposes to provide the 
proposed Complex Order Report on a T+1 basis. As further described 
below, the proposed Complex Order Report will be specific and tailored 
to the Member that is subscribed to the Complex Order Report and any 
data included in the Complex Order Report that relates to a Member 
other than the Member receiving the Complex Order Report will be 
anonymized.
    The Exchange proposes to provide the Complex Order Report in 
response to Member demand for data concerning the timeliness of their 
incoming Complex Orders and executions against resting

[[Page 7225]]

orders. Members have found the existing Simple Order Report helpful and 
have periodically requested similar information from the Exchange 
regarding their Complex Orders. This has come in the form of requests 
by Members to the Exchange's trading operations personnel for 
information concerning the timeliness of their incoming Complex Orders 
and efficacy of their attempts to execute against resting liquidity on 
the Exchange's Strategy Book. The purpose of the proposed Complex Order 
Report is to provide Recipient Members the necessary data in a 
standardized format on a T+1 and equal basis.
    Similar to current Exchange Rule 531(a) regarding the Simple Order 
Report, amended Exchange Rule 531(b) would provide that the proposed 
Complex Order Report is a daily report that provides a Member 
(``Recipient Member'') with its liquidity response time details for 
executions of an order resting on the Strategy Book, where that 
Recipient Member submitted a Complex Order that attempted to execute 
against such resting Complex Order within a certain timeframe.
Report Content
    The content of the proposed Complex Order Report would be identical 
to the Simple Order Report, but for two minor differences discussed 
below. Paragraph (b)(1) of Rule 531 would describe the content of the 
proposed Complex Order Report and delineate which information would be 
provided regarding the resting order,\12\ the response that 
successfully executed against the resting order, and the response 
submitted by the Recipient Member that missed executing against the 
resting order. It is important to note that the content of the proposed 
Complex Order Report will be specific to the Recipient Member and the 
proposed Complex Order Report will not include any information related 
to any Member other than the Recipient Member. The Exchange will 
restrict all other market participants, including the Recipient Member, 
from receiving another market participant's data.
---------------------------------------------------------------------------

    \12\ Like the Simple Order Report, only displayed orders will be 
included in the proposed Complex Order Report. The Exchange notes 
that it does not currently offer any non-displayed order types on 
its options trading platform.
---------------------------------------------------------------------------

    Resting Order Information. The content of the proposed Complex 
Order Report set forth under amended Exchange Rule 531(b)(1)(i) is 
identical to the content of the Simple Order Report under Exchange Rule 
531(a)(1)(i). However, as noted above, the content of the proposed 
Complex Order Report would be limited to incoming Complex Orders that 
seek to remove liquidity from the Exchange's Strategy Book.
    Amended Exchange Rule 531(b)(1)(i) would provide that the following 
information would be included in the proposed Complex Order Report 
regarding the resting order: (A) The time the resting order was 
received by the Exchange; \13\ (B) symbol; \14\ (C) order reference 
number, which is a unique reference number assigned to a new Complex 
Order at the time of receipt; \15\ (D) whether the Recipient Member is 
an Affiliate \16\ of the Member that entered the resting order; \17\ 
(E) origin type (e.g., Priority Customer,\18\ Market Maker \19\); \20\ 
(F) side (buy or sell); \21\ and (G) displayed price and size of the 
resting order.\22\
---------------------------------------------------------------------------

    \13\ This information is also included in the Simple Order 
Report. See Exchange Rule 531(a)(1)(i)(A).
    \14\ This information is also included in the Simple Order 
Report. See Exchange Rule 531(a)(1)(i)(B).
    \15\ This information is also included in the Simple Order 
Report. See Exchange Rule 531(a)(1)(i)(C).
    \16\ The term ``affiliate'' of or person ``affiliated with'' 
another person means a person who, directly, or indirectly, 
controls, is controlled by, or is under common control with, such 
other person. See Exchange Rule 100.
    \17\ This information is also included in the Simple Order 
Report. See Exchange Rule 531(a)(1)(i)(D). The Report will simply 
indicate whether the Recipient Member is an Affiliate of the Member 
that entered the resting order and not include any other information 
that may indicate the identity of the Member that entered the 
resting order.
    \18\ The term ``Priority Customer'' means a person or entity 
that (i) is not a broker or dealer in securities, and (ii) does not 
place more than 390 orders in listed options per day on average 
during a calendar month for its own beneficial account(s). The 
number of orders shall be counted in accordance with Interpretation 
and Policy .01 to Exchange Rule 100. See Exchange Rule 100.
    \19\ The term ``Market Maker'' refers to ``Lead Market Makers'', 
``Primary Lead Market Makers'' and ``Registered Market Makers'' 
collectively. See Exchange Rule 100.
    \20\ This information is also included in the Simple Order 
Report. See Exchange Rule 531(a)(1)(i)(E).
    \21\ This information is also included in the Simple Order 
Report. See Exchange Rule 531(a)(1)(i)(F).
    \22\ This information is also included in the Simple Order 
Report. See Exchange Rule 531(a)(1)(i)(G). The Exchange notes that 
the displayed price and size are also disseminated via the 
Exchange's proprietary data feeds.
---------------------------------------------------------------------------

    Execution Information. Amended Exchange Rule 531(b)(1)(ii) would 
provide that the following information would be included in the 
proposed Complex Order Report regarding the execution of the resting 
order: (A) The Complex EBBO at the time of execution; \23\ (B) the 
Complex ABBO at the time of execution; \24\ (C) the time the first 
response that executes against the resting order was received by the 
Exchange and the size of the execution and type of the response; \25\ 
(D) the time difference between the time the resting order was received 
by the Exchange and the time the first response that executes against 
the resting order was received by the Exchange; \26\ and (E) whether 
the response was entered by the Recipient Member.\27\ If the resting 
order executes against multiple contra-side responses, only the Complex 
EBBO and Complex ABBO at the time of the execution against the first 
response will be included.
---------------------------------------------------------------------------

    \23\ Similar information is included in the Simple Order Report. 
Exchange Rule 531(b)(1)(ii)(A) would similarly provide that if the 
resting order executes against multiple contra-side responses, only 
the Complex EBBO at the time of the execution against the first 
response will be included.
    \24\ Similar information is included in the Simple Order Report. 
See Exchange Rule 531(a)(1)(ii)(B). Exchange Rule 531(b)(1)(ii)(B) 
would similarly provide that if the resting order executes against 
multiple contra-side responses, only the Complex ABBO at the time of 
the execution against the first response will be included.
    \25\ This information is also included in the Simple Order 
Report. See Exchange Rule 531(a)(1)(ii)(C). The time the Exchange 
received the response order would be in nanoseconds and would be the 
time the response was received by the Exchange's network, which is 
before the time the response would be received by the System. The 
type of responses that would be identified in the proposed Complex 
Order Report are Standard Quotes and eQuotes. A ``Standard Quote'' 
is a quote submitted by a Market Maker that cancels and replaces the 
Market Maker's previous Standard Quote, if any. See Exchange Rule 
517(a)(1). An ``eQuote'' is a quote with a specific time in force 
that does not automatically cancel and replace a previous Standard 
quote or eQuote. An eQuote can be cancelled by the Market Maker at 
any time, or can be replaced by another eQuote that contains 
specific instructions to cancel an existing eQuote. See Exchange 
Rule 517(a)(2).
    \26\ The time difference would be provided in nanoseconds. This 
information is also included in the Simple Order Report. See 
Exchange Rule 531(a)(1)(ii)(D).
    \27\ This information is also included in the Simple Order 
Report. See Exchange Rule 531(a)(1)(ii)(E).
---------------------------------------------------------------------------

    The content of the proposed Complex Order Report set forth under 
amended Exchange Rule 531(b)(1)(ii) is identical to the content of the 
Simple Order Report under Exchange Rule 531(a)(1)(ii) with two minor 
differences. The Simple Order Report includes the EBBO, which is the 
Exchange's best bid or offer, and the ABBO, which is the best bid or 
offer of away exchanges. In their place, the proposed Complex Order 
Report would include the Complex EBBO and Complex ABBO. The Complex 
EBBO is calculated using the EBBO for each component of a Complex 
Strategy to establish the Exchange's best net bid or offer for a 
Complex Strategy. As discussed above, the Complex EBBO is calculated 
using the icEBBO combined with the best price currently available on 
the Strategy Book to establish the Exchange's best net bid or offer for 
a Complex Strategy.\28\ The Complex ABBO is calculated using the ABBO 
for each component of a Complex Strategy to establish the away

[[Page 7226]]

markets' best net bid or offer for a Complex Strategy using OPRA data. 
The Exchange is providing the Complex EBBO and Complex ABBO because 
both are relevant and tailored to a Member that is entering a Complex 
Order to remove liquidity as part of a Complex Strategy and, therefore, 
more germane to the purpose of the Complex Order Report.
---------------------------------------------------------------------------

    \28\ See also supra note 9.
---------------------------------------------------------------------------

    Recipient Member's Response Information. The content of the 
proposed Complex Order Report set forth under amended Exchange Rule 
531(b)(1)(iii) is identical to the content of the Simple Order Report 
under Exchange Rule 531(a)(1)(iii). Amended Exchange Rule 
531(b)(1)(iii) would provide that the following information would be 
included in the Complex Order Report regarding Complex Order(s) sent by 
the Recipient Member: (A) Recipient Member identifier; \29\ (B) the 
time difference between the time the first response that executes 
against the resting order was received by the Exchange and the time of 
each Complex Order sent by the Recipient Member, regardless of whether 
it executed or not; \30\ (C) size and type of each Complex Order 
submitted by the Recipient Member; \31\ and (D) response reference 
number, which is a unique reference number attached to the response by 
the Recipient Member.\32\
---------------------------------------------------------------------------

    \29\ This information is also included in the Simple Order 
Report. See Exchange Rule 531(a)(1)(iii)(A).
    \30\ This information is also included in the Simple Order 
Report. See Exchange Rule 531(a)(1)(iii)(B). For purposes of 
calculating this duration of time, the Exchange will use the time 
the resting order and the Recipient Member's response(s) is received 
by the Exchange's network, both of which would be before the order 
and response(s) would be received by the System. This time 
difference would be provided in nanoseconds.
    \31\ This information is also included in the Simple Order 
Report. See Exchange Rule 531(a)(1)(iii)(C).
    \32\ This information is also included in the Simple Order 
Report. See Exchange Rule 531(a)(1)(iii)(D).
---------------------------------------------------------------------------

Timeframe for Data Included in Report
    The timeframe for data to be included the proposed Complex Order 
Report set forth under amended Exchange Rule 531(b)(2) is identical to 
the timeframe for data included in the Simple Order Report under 
Exchange Rule 531(a)(2). Paragraph (b)(2) of Exchange Rule 531 would 
provide that the Complex Order Report would include the data set forth 
under Exchange Rule 531(b)(1) described above for executions and 
contra-side responses that occurred within 200 microseconds of the time 
the resting order was received by the Exchange. The Exchange believes 
200 microseconds is the appropriate timeframe because it understands 
most Members that would be interested in subscribing to the proposed 
Complex Order Report would submit their incoming liquidity removing 
Complex Orders within 200 microseconds of the time a contra-side 
Complex Order is posted to the Strategy Book.
Scope of Data Included in the Report
    The scope of data to be included the proposed Complex Order Report 
set forth under amended Exchange Rule 531(b)(3) is identical to the 
scope of data included in the Simple Order Report under Exchange Rule 
531(a)(3). Paragraph (b)(3) of Exchange Rule 531 would provide that the 
Complex Order Report will only include trading data related to the 
Recipient Member and, subject to the proposed paragraph (4) of Exchange 
Rule 531(b) described below, will not include any other Member's 
trading data other than that listed in paragraphs (1)(i) and (ii) of 
Exchange Rule 531(b), described above. Like the Simple Order Report, 
the proposed Complex Order Report will not include information related 
to any Member other than the Recipient Member.\33\
---------------------------------------------------------------------------

    \33\ See Exchange Rule 531(a)(3).
---------------------------------------------------------------------------

Historical Data
    Paragraph (b)(4) of Exchange Rule 531 would specify that the 
Complex Order Report will contain historical data from the prior 
trading day and will be available after the end of the trading day, 
generally on a T+1 basis. This is identical to the timeframe for when 
the Simple Order Report is made available.\34\
---------------------------------------------------------------------------

    \34\ See Exchange Rule 531(a)(4).
---------------------------------------------------------------------------

2. Statutory Basis
    The Exchange believes the proposed rule change is consistent with 
the Act and the rules and regulations thereunder applicable to the 
Exchange and, in particular, the requirements of Section 6(b) of the 
Act.\35\ Specifically, the Exchange believes the proposed rule change 
is consistent with the Section 6(b)(5) \36\ requirements that the rules 
of an exchange be designed to prevent fraudulent and manipulative acts 
and practices, to promote just and equitable principles of trade, to 
foster cooperation and coordination with persons engaged in regulating, 
clearing, settling, processing information with respect to, and 
facilitating transactions in securities, to remove impediments to and 
perfect the mechanism of a free and open market and a national market 
system, and, in general, to protect investors and the public interest. 
This proposal is in keeping with those principles in that it promotes 
increased transparency through the dissemination of the optional 
Complex Order Report to those interested in subscribing to receive the 
data. Additionally, the Exchange believes the proposed rule change is 
consistent with the Section 6(b)(5) \37\ requirement that the rules of 
an exchange not be designed to permit unfair discrimination between 
customers, issuers, brokers, or dealers.
---------------------------------------------------------------------------

    \35\ 15 U.S.C. 78f(b).
    \36\ 15 U.S.C. 78f(b)(5).
    \37\ Id.
---------------------------------------------------------------------------

    But for three differences, the description of the proposed Complex 
Order Report under Exchange Rule 531(b) is identical to that of the 
Simple Order Report under Exchange Rule 531(a), which was recently 
approved by the Commission.\38\ The first difference concerns the 
content of the proposed Complex Order Report, which would be limited to 
incoming Complex Orders that seek to remove liquidity from the 
Exchange's Strategy Book. The Simple Order Report includes information 
about incoming orders seeking to remove liquidity from the Simple Order 
Book. This difference is immaterial because both reports include 
basically the same information and seek to serve the same purpose, to 
provide the Recipient Member with the same type of data necessary for 
them to evaluate their own trading behavior and order interactions on 
the Exchange; however, the Simple Order Report contains data relevant 
to the Simple Order Book while the proposed Complex Order Report 
contains data relevant to the Strategy Book.
---------------------------------------------------------------------------

    \38\ See supra note 5.
---------------------------------------------------------------------------

    The other two differences are that the Simple Order Report includes 
the EBBO, which is the Exchange's best bid or offer, and the ABBO, 
which is the best bid or offer of away exchanges. In their place, the 
proposed Complex Order Report would include the Complex EBBO and 
Complex ABBO. As discussed above, the Complex EBBO is calculated using 
the icEBBO combined with the best price currently available on the 
Strategy Book to establish the Exchange's best net bid or offer for a 
Complex Strategy.\39\ The Complex ABBO is calculated using the ABBO for 
each component of a Complex Strategy to establish the away markets' 
best net bid or offer for a Complex Strategy using OPRA data. The 
Exchange is providing the Complex EBBO and Complex ABBO because both 
are relevant and tailored to a Member that is entering a Complex Order 
to remove liquidity as part of a Complex Strategy and, therefore, more 
germane to the purpose of the Complex Order Report. The Exchange 
believes

[[Page 7227]]

these differences are appropriate because providing the Complex EBBO in 
place of the EBBO and the Complex ABBO in place of the ABBO are more 
germane to the purpose of the proposed Complex Order Report.
---------------------------------------------------------------------------

    \39\ See also supra note 9.
---------------------------------------------------------------------------

    Like the Simple Order Report, the Exchange believes the proposed 
Complex Order Report will serve to promote just and equitable 
principles of trade, remove impediments to and perfect the mechanism of 
a free and open market and a national market system, and, in general 
protect investors and the public interest by providing Members access 
to information regarding their trading activity that they may utilize 
to evaluate their own Complex Order trading behavior and order 
interactions. Also, like the Simple Order Report, the proposed Complex 
Order Report is designed for Members that are interested in gaining 
insight into latency in connection with Complex Orders that failed to 
execute against an order resting on the Exchange's Strategy Book by 
providing those Members data to analyze by how much time their Complex 
Order may have missed an execution against a contra-side order resting 
on the Strategy Book. The Exchange believes that providing this 
optional latency data to interested Members is consistent with 
facilitating transactions in securities, removing impediments to and 
perfecting the mechanism of a free and open market and a national 
market system, and, in general, protecting investors and the public 
interest because it provides greater visibility into the latency of 
Members' incoming orders that they may use to optimize their models and 
trading patterns in an effort to yield better execution results by 
calculating by how much time their order may have missed an execution. 
This would, in turn, benefit other market participants who may 
experience better executions on the Exchange because those that use the 
proposed Complex Order Report may re-calibrate their trading models and 
then increase their trading on the Exchange and volume of liquidity 
removing orders. This could lead to an increase in incoming liquidity 
removing orders resulting in higher execution rates for Members who 
primarily place resting orders on the Strategy Book. The proposed 
Complex Order Report may benefit other market participants who would 
receive greater fill rates, thereby facilitating transactions in 
securities and perfecting the mechanism of the national market system.
    As discussed above, the Exchange currently fields ad hoc requests 
from Members for information regarding the timeliness of their attempts 
to execute against resting options liquidity on the Exchange's Strategy 
Book. The proposal promotes just and equitable principles of trade 
because it would provide latency information in a systematized way and 
standardized format to any Member that chooses to subscribe to the 
proposed Complex Order Report. As a result, the proposal would also 
remove impediments to and perfect the mechanism of a free and open 
market and a national market system by making latency information for 
liquidity-seeking orders available in a more equalized manner. The 
proposal further promotes just and equitable principles of trade by 
increasing transparency, particularly for Recipient Members that may 
not have the expertise to generate the same information on their own. 
The proposed Complex Order Report may better enable Recipient Members 
to increase the fill rates for their liquidity-seeking Complex Orders. 
At the same time, as is also discussed above, the Complex Order Report 
promotes just and equitable principles of trade and protects investors 
and the public interest because it is designed to prevent a Recipient 
Member from learning other Members' sensitive trading information. The 
Complex Order Report would not be a real-time market data product, as 
it would provide only historical trading data for the previous trading 
day, generally on a T+1 basis. In addition, the data in the Complex 
Order Report regarding incoming orders that failed to execute would be 
specific to the Recipient Member's Complex Orders, and other 
information in the proposed Complex Order Report regarding resting 
orders and executions would be anonymized if it relates to a Member 
other than the Recipient Member.
    The Complex Order Report generally would contain three buckets of 
information. The first two buckets include information about the 
resting order and the execution of the resting order. This information 
is available from the Exchange's proprietary data feeds or derivable 
from OPRA. For example, the Exchange offers the Complex Top of Market 
(``cToM'') feed which provides real-time quote and last sale 
information for all displayed orders on the Strategy Book.\40\
---------------------------------------------------------------------------

    \40\ See Section 6(a) of the Exchange's Fee Schedule.
---------------------------------------------------------------------------

    Specifically, the first bucket of information contained in the 
proposed Complex Order Report for the resting order would include the 
time the resting order was received by the Exchange, the symbol, unique 
reference number assigned at the time of receipt, side (buy or sell), 
and the displayed price and size of the resting order. The symbol, 
origin type, side (buy or sell), and displayed price and size are also 
available via the Exchange's proprietary data feeds. The first bucket 
of information would also indicate whether the Recipient Member is an 
Affiliate of the Member that entered the resting order. This data field 
would not indicate the identity of the Member that entered the resting 
order and would simply allow the Recipient Member to better understand 
the scenarios in which it may execute against the orders of its 
Affiliates.\41\
---------------------------------------------------------------------------

    \41\ The Exchange surveils to monitor for aberrant behavior 
related to internalized trades and identify potential wash sales.
---------------------------------------------------------------------------

    The second bucket of information contained in the proposed Complex 
Order Report pertains to the execution of the resting order and 
includes the Complex EBBO and Complex ABBO at the time of execution. 
These data points are also derivable from information disseminated via 
OPRA or available via the Exchange's proprietary data feeds. The second 
bucket of information would also indicate whether the response was 
entered by the Recipient Member. This data point would be simply 
provided as a convenience. If not entered by the Recipient Member, this 
data point would be left blank so as not to include any identifying 
information about other Member activity. The second bucket of 
information would also include the size, time and type of first 
response \42\ that executes against the resting order; as well as the 
time difference between the time the resting order and first response 
that executes against the resting order are received by the Exchange. 
These data points would assist the Recipient Member in analyzing by how 
much time their order may have missed an execution against a contra-
side order resting on the Strategy Book.
---------------------------------------------------------------------------

    \42\ See supra note 25.
---------------------------------------------------------------------------

    The third bucket of information would be about the Recipient 
Member's response(s) and the time their response(s) is received by the 
Exchange. This would include the time difference between the time the 
first response that executes against the resting order was received by 
the Exchange and the time of each response sent by the Recipient 
Member, regardless of whether it executed or not. As above, this data 
point would assist the Recipient Member in analyzing by how much time 
their order may have missed an execution against a contra-side order 
resting on the Strategy Book. This bucket would also include the size 
and type of each response submitted by the

[[Page 7228]]

Recipient Member, the Recipient Member identifier, and a response 
reference number, which is selected by the Recipient Member. Each of 
these data points are unique to the Recipient Member and should already 
be known by the Recipient Member even if not included in the Complex 
Order Report.
    The Exchange proposes to provide the Complex Order Report on a 
voluntary basis and no Member will be required to subscribe to the 
Complex Order Report. The Exchange notes that there is no rule or 
regulation that requires the Exchange to produce, or that a Member 
elect to receive, the proposed Complex Order Report. It would be 
entirely a business decision of each Member to subscribe to the 
proposed Complex Order Report. The Exchange proposes to offer the 
Complex Order Report as a convenience to Members to provide them with 
additional information regarding trading activity on the Exchange on a 
delayed basis after the close of regular trading hours. A Member that 
chooses to subscribe to the proposed Complex Order Report may 
discontinue receiving the Complex Order Report at any time if that 
Member determines that the information contained in the Complex Order 
Report is no longer useful.
    In summary, the proposed Complex Order Report will help to protect 
a free and open market by providing additional data (offered on an 
optional basis) to the marketplace and by providing investors with 
greater choices.\43\ Additionally, the proposal would not permit unfair 
discrimination because the proposed Complex Order Report will be 
available to all Exchange Members.
---------------------------------------------------------------------------

    \43\ See Sec. Indus. Fin. Mkts. Ass'n (SIFMA), Initial Decision 
Release No. 1015, 2016 SEC LEXIS 2278 (ALJ June 1, 2016) (finding 
the existence of vigorous competition with respect to non-core 
market data).
---------------------------------------------------------------------------

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

    The Exchange does not believe that the proposed rule change will 
result in any burden on competition that is not necessary or 
appropriate in furtherance of the purposes of the Act, as amended.
Inter-Market Competition
    The proposed Complex Order Report will allow the Exchange to 
provide a new option for Members to receive historical latency related 
data. The proposed Complex Order Report will also further enhance 
inter-market competition between exchanges by allowing the Exchange to 
expand its product offerings. The latency information that would be 
provided in the proposed Complex Order Report would enhance competition 
between exchanges that offer complex order functionality because it 
would allow Recipient Members to recalibrate their models and trading 
strategies to improve their overall trading experience on the Exchange. 
This may improve the Exchange's overall trading environment resulting 
in increased liquidity and order flow on the Exchange. In response, 
other exchanges may similarly seek ways to provide latency related data 
in an effort to improve their own market quality.
Intra-Market Competition
    The proposed rule change to offer the optional Complex Order Report 
is in response to Member interest and requests for such information. 
The Exchange does not believe the proposed Complex Order Report will 
have an inappropriate burden on intra-market competition between 
Recipient Members and other Members who choose not to receive the 
Complex Order Report. As discussed above, the first two buckets of 
information included in the Complex Order Report contain information 
about the resting order and the execution of the resting order, both of 
which are generally available to Members that choose not to receive the 
Complex Order Report from other sources, such as by deriving these data 
points from OPRA or obtaining them from the Exchange's proprietary data 
feeds. The third bucket of information pertains to the Recipient 
Member's response and the time their response is received by the 
Exchange, information which latency sensitive Members that do not 
subscribe to the proposed Complex Order Report could obtain on their 
own based on their knowledge of when they sent their response to the 
Exchange and via timestamp information provided by the acknowledgment 
message received from the Exchange. However, latency sensitive Members 
that do not subscribe to the proposed Complex Order Report would not be 
able to obtain the time difference between the time the first response 
that executes against the resting order was received by the Exchange 
and the time of each response sent by the Recipient Member. Such 
latency sensitive Members may not view this information as beneficial 
based on their own trading models and systems. Other Members that do 
not subscribe to the proposed Complex Order Report may not view the 
entire proposed Complex Order Report as useful due to their own trading 
behaviors and business models. Such Members may not be latency 
sensitive and may be interested primarily in providing resting 
liquidity on the Exchange's Strategy Book, or they may simply be 
connected to the Exchange for best execution purposes or to comply with 
the trade-through requirements under Chapter XIV of the Exchange's 
Rules.\44\ Additionally, some Members may already be able to derive a 
substantial amount of the same data that is provided by some of the 
components based on their own executions and algorithms.
---------------------------------------------------------------------------

    \44\ Chapter XIV of the Exchange Rules incorporates by reference 
Rule 1401, Order Protection, of the Exchange's affiliate, the Miami 
International Securities Exchange, LLC.
---------------------------------------------------------------------------

    In sum, if the proposed Complex Order Report is unattractive to 
Members, Members will opt not to receive it. Accordingly, the Exchange 
does not believe that the proposed change will impair the ability of 
Members or competing order execution venues to maintain their 
competitive standing in the financial markets.

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

    Written comments were neither solicited nor received.

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

    Because the foregoing proposed rule change does not: (i) 
Significantly affect the protection of investors or the public 
interest; (ii) impose any significant burden on competition; and (iii) 
become operative for 30 days after the date of the filing, or such 
shorter time as the Commission may designate, it has become effective 
pursuant to 19(b)(3)(A) of the Act \45\ and Rule 19b-4(f)(6) \46\ 
thereunder.
---------------------------------------------------------------------------

    \45\ 15 U.S.C. 78s(b)(3)(A).
    \46\ 17 CFR 240.19b-4(f)(6). In addition, Rule 19b-4(f)(6) 
requires a self-regulatory organization to give the Commission 
written notice of its intent to file the proposed rule change at 
least five business days prior to the date of filing of the proposed 
rule change, or such shorter time as designated by the Commission. 
The Exchange has satisfied this requirement.
---------------------------------------------------------------------------

    At any time within 60 days of the filing of the proposed rule 
change, the Commission summarily may temporarily suspend such rule 
change if it appears to the Commission that such action is necessary or 
appropriate in the public interest, for the protection of investors, or 
otherwise in furtherance of the purposes of the Act.

IV. Solicitation of Comments

    Interested persons are invited to submit written data, views, and

[[Page 7229]]

arguments concerning the foregoing, including whether the proposed rule 
change is consistent with the Act. Comments may be submitted by any of 
the following methods:

Electronic Comments

     Use the Commission's internet comment form (http://www.sec.gov/rules/sro.shtml); or
     Send an email to [email protected]. Please include 
File Number SR-EMERALD-2022-02 on the subject line.

Paper Comments

     Send paper comments in triplicate to: Secretary, 
Securities and Exchange Commission, 100 F Street NE, Washington, DC 
20549-1090.

All submissions should refer to File Number SR-EMERALD-2022-02. This 
file number should be included on the subject line if email is used. To 
help the Commission process and review your comments more efficiently, 
please use only one method. The Commission will post all comments on 
the Commission's internet website (http://www.sec.gov/rules/sro.shtml). 
Copies of the submission, all subsequent amendments, all written 
statements with respect to the proposed rule change that are filed with 
the Commission, and all written communications relating to the proposed 
rule change between the Commission and any person, other than those 
that may be withheld from the public in accordance with the provisions 
of 5 U.S.C. 552, will be available for website viewing and printing in 
the Commission's Public Reference Room, 100 F Street NE, Washington, DC 
20549 on official business days between the hours of 10:00 a.m. and 
3:00 p.m. Copies of the filing also will be available for inspection 
and copying at the principal office of the Exchange. All comments 
received will be posted without change. Persons submitting comments are 
cautioned that we do not redact or edit personal identifying 
information from comment submissions. You should submit only 
information that you wish to make available publicly. All submissions 
should refer to File Number SR-EMERALD-2022-02 and should be submitted 
on or before March 1, 2022.

    For the Commission, by the Division of Trading and Markets, 
pursuant to delegated authority.\47\
---------------------------------------------------------------------------

    \47\ 17 CFR 200.30-3(a)(12).
---------------------------------------------------------------------------

J. Matthew DeLesDernier,
Assistant Secretary.
[FR Doc. 2022-02553 Filed 2-7-22; 8:45 am]
BILLING CODE 8011-01-P