82 FR 24412 - Self-Regulatory Organizations; Chicago Stock Exchange, Inc.; Order Instituting Proceedings To Determine Whether To Approve or Disapprove a Proposed Rule Change To Adopt the CHX Liquidity Enhancing Access Delay
SECURITIES AND EXCHANGE COMMISSION Federal Register Volume 82, Issue 101 (May 26, 2017)
Federal Register Volume 82, Issue 101 (May 26, 2017)
| Page Range | 24412-24417 | |
| FR Document | 2017-10807 |
[Federal Register Volume 82, Number 101 (Friday, May 26, 2017)] [Notices] [Pages 24412-24417] From the Federal Register Online [www.thefederalregister.org] [FR Doc No: 2017-10807] ----------------------------------------------------------------------- SECURITIES AND EXCHANGE COMMISSION [Release No. 34-80740; File No. SR-CHX-2017-04] Self-Regulatory Organizations; Chicago Stock Exchange, Inc.; Order Instituting Proceedings To Determine Whether To Approve or Disapprove a Proposed Rule Change To Adopt the CHX Liquidity Enhancing Access Delay May 22, 2017. I. Introduction On February 10, 2017, the Chicago Stock Exchange, Inc. (``CHX'' or ``Exchange'') filed with the Securities and Exchange Commission (``Commission''), pursuant to Section 19(b)(1) of the Securities Exchange Act of 1934 (``Exchange Act'') \1\ and Rule 19b-4 thereunder,\2\ a proposed rule change to adopt the CHX Liquidity Enhancing Access Delay (``LEAD''). The proposed rule change was published for comment in the Federal Register on February 21, 2017.\3\ On April 3, 2017, the Commission designated a longer period within which to approve the proposed rule change, disapprove the proposed rule change, or institute proceedings to determine whether the proposed rule change should be disapproved.\4\ The Commission received eleven comment letters on the proposed rule change, including a response from the Exchange.\5\ This order institutes proceedings under Section 19(b)(2)(B) of the Exchange Act \6\ to determine whether to approve or disapprove the proposed rule change. --------------------------------------------------------------------------- \1\ 15 U.S.C. 78s(b)(1). \2\ 17 CFR 240.19b-4. \3\ See Securities Exchange Act Release No. 80041 (February 14, 2017), 82 FR 11252 (``Notice''). \4\ See Securities Exchange Act Release No. 80364, 82 FR 11252 (April 7, 2017). \5\ See letters from: (1) Ryan Hitch, Head of Equities Trading, XR Securities LLC, dated February 24, 2017 (``XR Securities Letter''); (2) Douglas A. Cifu, Chief Executive Officer, Virtu Financial LLC, dated February 27, 2017 (``Virtu Letter''); (3) Joanna Mallers, Secretary, FIA Principal Traders Group, dated March 13, 2017 (``FIA PTG Letter''); (4) Adam Nunes, Head of Business Development, Hudson River Trading LLC, dated March 13, 2017 (``Hudson River Trading Letter''); (5) R.T. Leuchtkafer, dated March 14, 2017 (``Leuchtkafter Letter''); (6) Stephen John Berger, Managing Director, Government & Regulatory Policy, Citadel Securities, dated March 14, 2017 (``Citadel Letter''); (7) Tyler Gellasch, Executive Director, Healthy Markets Association, March 17, 2017 (``Healthy Markets Letter''); (8) Elizabeth K. King, General Counsel and Corporate Secretary, New York Stock Exchange, dated March 20, 2017 (``NYSE Letter''); (9) James G. Ongena, Executive Vice President and General Counsel, CHX, dated March 24, 2017 (``CHX Letter''); (10) Steve Crutchfield, Head of Market Structure, CTC Trading Group, LLC, dated April 4, 2017 (``CTC Trading Letter''); and (11) Theodore R. Lazo, Managing Director and Associate General Counsel, Securities Industry and Financial Markets Association, dated May 17, 2017 (``SIFMA Letter''). All comments on the proposed rule change are available at: https://www.sec.gov/comments/sr-chx-2017-04/chx201704.htm. \6\ 15 U.S.C. 78s(b)(2)(B). --------------------------------------------------------------------------- II. Summary of the Proposal The Exchange proposes to adopt the LEAD, which would subject all new incoming orders,\7\ cancel and cancel/replace messages to a 350- microsecond intentional access delay, provided that certain types of messages would not be subject to the delay: (1) New incoming orders submitted by LEAD Market Makers (``LEAD MM''), a new class of CHX Market Maker \8\ with heightened quoting and trading obligations (referred to collectively as the ``minimum performance standards''), which would be immediately ranked on the CHX book without executing against any resting orders on the CHX book; (2) certain cancel messages related to resting orders that were submitted by LEAD MMs; (3) cancel/ replace messages related to resting orders that were submitted by LEAD MMs (except that any part of the replace portion of the order that would immediately execute against a resting order would be intentionally delayed); and (4) the portion of a routable order that is to be routed away, regardless of who submitted the routable order. A message will be subject to a 350 [[Page 24413]] microsecond delay after initial receipt by the Exchange (``Fixed LEAD Period''), but will only be processed after the Exchange's matching system\9\ has evaluated and processed, if applicable, all messages in the security received by the Exchange during the Fixed LEAD Period. A delayed message will retain its original sequence number and may be delayed only once. The LEAD would be applied to all securities traded on the Exchange throughout the trading day. --------------------------------------------------------------------------- \7\ New incoming orders are orders received by the Matching System for the first time. The LEAD would not apply to other situations where existing orders or portions thereof are treated as incoming orders, such as: (1) Resting orders that are price slid into a new price point pursuant to the CHX only price sliding or limit up-limit down price sliding processes; and (2) unexecuted remainders of routed orders released into the matching system. \8\ See CHX Article 1, Rule 1(tt) (defining ``Market Maker''); see also generally CHX Article 16 (Market Makers). \9\ The matching system is an automated order execution system, which is a part of the Exchange's ``Trading Facilities,'' as defined under CHX Article 1, Rule 1(z). --------------------------------------------------------------------------- The Exchange states that the LEAD is designed to enhance displayed liquidity and price discovery by minimizing the effectiveness of ``latency arbitrage'' strategies,\10\ which the Exchange says diminish displayed liquidity and impair price discovery. According to the Exchange, latency arbitrage is and has been effected at CHX by low- latency market participants that leverage microsecond speed advantages to take resting liquidity at stale prices from the CHX limit order book. Specifically, in 2016, the Exchange experienced a decline in volume in the SPDR S&P 500 trust exchange-traded fund (``SPY''), which the Exchange attributes to latency arbitrage activity in SPY first observed at CHX in January 2016. Between January and July 2016, the Exchange found that SPY latency arbitrage activity caused CHX liquidity providers to dramatically reduce displayed trading interest in SPY (and at times withdraw from the market altogether). --------------------------------------------------------------------------- \10\ The Exchange defines ``latency arbitrage'' as the practice of exploiting disparities in the price of a security or related securities that are being traded in different markets by taking advantage of the time it takes to access and respond to symmetric public information. --------------------------------------------------------------------------- The Exchange believes that the LEAD would not materially impact the ability of liquidity takers not engaged in latency arbitrage, such as retail investors, to access displayed liquidity at CHX.\11\ The Exchange also contends that, to the extent a sophisticated market participant seeks to take displayed liquidity pursuant to better or different information (as opposed to the same information exploited by latency arbitrageurs), the LEAD would be too short to have an incrementally negative impact on such non-latency arbitrage strategies.\12\ --------------------------------------------------------------------------- \11\ See Notice, supra note 3, 82 FR at 11268. \12\ See id. at 11253. --------------------------------------------------------------------------- A LEAD MM would be required to meet the proposed minimum performance standards in return for undelayed access to submit liquidity providing orders and to cancel its resting orders. The proposed minimum performance standards require:a LEAD MM to satisfy the Quotation Requirements and Obligations prescribed under current CHX Article 16, Rule 4(d),\13\ except that the Designated Percentages described under current Article 16, Rule 4(d)(2)(B) shall be halved; \14\ --------------------------------------------------------------------------- \13\ Currently, CHX Market Makers must disseminate throughout the ``Open Trading State'' a continuous two-sided quote with bids and offers being no further away from the National Best Bid (``NBB'') and National Best Offer (``NBO''), respectively, than the Designated Percentage or Defined Limit, as applicable. See CHX Article 16, Rule 4(d). \14\ See proposed CHX Article 16, Rule 4(f)(2)(A). For example, the 8% Designated Percentage for securities subject to the Article 20, Rule 2A(c)(1)(A) pursuant to current CHX Article 16, Rule 4(d)(2)(A) and (B) would be 4% for LEAD MMs. --------------------------------------------------------------------------- a LEAD MM to maintain a ``Monthly Average NBBO Quoting Percentage,'' as defined in proposed CHX Article 16, Rule 4(f)(2)(B)(iv), in each of the securities assigned to the LEAD MM (``LEAD MM Securities''), of at least 10% over the course of a calendar month; \15\ --------------------------------------------------------------------------- \15\ See proposed CHX Rule Article 16, Rule 4(f)(2)(B). For each such security, the Exchange will determine: (1) The ``Daily NBB Quoting Percentage'' by determining the percentage of time the LEAD MM has at least one Round Lot (as defined in CHX Article 1, Rule 2(f)(3)) of displayed interest in an Exchange bid at the NBB during the Open Trading State (as defined in CHX Article 1, Rule 1(qq)) of each trading day for a calendar month; (2) the ``Daily NBO Quoting Percentage'' by determining the percentage of time the LEAD MM has at least one Round Lot of displayed interest in an Exchange offer at the NBO during the Open Trading State of each trading day for a calendar month; (3) the ``Average Daily NBBO Quoting Percentage'' for each trading day by summing the ``Daily NBB Quoting Percentage'' and the ``Daily NBO Quoting Percentage'' then dividing such sum by two; and (4) the ``Monthly Average NBBO Quoting Percentage'' for each security by summing the security's ``Average Daily NBBO Quoting Percentages'' for each trading day in a calendar month then dividing the resulting sum by the total number of trading days in such calendar month. --------------------------------------------------------------------------- a LEAD MM's Qualified Executions; \16\ in each of its LEAD MM Securities must comprise on an equally-weighted daily average at least 2% of all Qualified Executions in the same security over the course of a calendar month; \17\ and --------------------------------------------------------------------------- \16\ ``Qualified Executions'' are all executed shares at CHX, during all trading sessions resulting from single-sided orders, excluding any executed shares resulting from auctions. See proposed CHX Article 16, Rule 4(f)(1)(D). \17\ See proposed CHX Article 16, Rule 4(f)(2)(C). --------------------------------------------------------------------------- that at least 80% of the LEAD MM's Qualified Executions in each of its LEAD MM Securities must result from its resting orders that originated from the corresponding LEAD MM trading account \18\ over the course of a calendar month.\19\ --------------------------------------------------------------------------- \18\ Prior to commencing LEAD market making activities in a security, a LEAD MM must, among other things, establish at least one separately designated LEAD MM trading account through which all and only LEAD market making activities in LEAD MM Securities must originate. See proposed CHX Article 16, Rule 4(f)(3)(B)(i). \19\ See proposed CHX Article 16, Rule 4(f)(2)(D). Unlike the standards provided under proposed paragraphs (f)(2)(A)-(C), this standard would be measured based on aggregate activity over the course of a calendar month. Trading days on which the Exchange does not open for trading would be excluded from the Exchange's calculations regarding compliance with the proposed minimum performance standards. --------------------------------------------------------------------------- The proposed rule change also establishes the procedure for CHX to designate LEAD MMs in a security. Only a Market Maker could apply to be a LEAD MM in one or more securities,\20\ and Market Makers must receive written approval from the Exchange to be assigned securities as a LEAD MM. LEAD MMs would be selected by the Exchange based on factors including, but not limited to, experience with making markets in securities, adequacy of capital, willingness to promote the Exchange as a marketplace, issuer preference, operational capacity, support personnel and history of adherence to Exchange rules and securities laws. Current Article 16, Rules 2(c)-(e) govern Market Maker withdrawal from assigned securities, and would apply to LEAD MMs and LEAD MM Securities. The Exchange could approve at its discretion more than one LEAD MM to be assigned to any LEAD MM Security and limit the number of LEAD MMs assigned to any security.\21\ --------------------------------------------------------------------------- \20\ See proposed CHX Article 16, Rule 4(f)(3)(A). \21\ See proposed CHX Article 16, Rule 4(f)(3)(C). --------------------------------------------------------------------------- Proposed CHX Article 16, Rule 4(f)(3)(D) outlines requirements regarding LEAD MM trading accounts and, according to the Exchange, facilitates the ability of the Exchange to monitor compliance with the proposed minimum performance standards. The Exchange would review each LEAD MM's quoting and trading activity on a monthly basis to determine whether the LEAD MM has met the minimum performance standards.\22\ A LEAD MM's failure to meet the minimum performance standards on any given month would result in the Exchange: (1) Suspending or terminating a LEAD MM's registration as a Market Maker pursuant to current Article 16, Rule 1(d); or (2) suspending or terminating assignment to a LEAD MM Security pursuant to proposed CHX Article 16, [[Page 24414]] Rule 4(f)(3)(A).\23\ These proposed provisions would not limit any other power of the Exchange to discipline a LEAD MM pursuant to other CHX rules.\24\ --------------------------------------------------------------------------- \22\ See proposed CHX Article 16, Rule 4(f)(3)(D). \23\ See id. \24\ See id. --------------------------------------------------------------------------- III. Summary of the Comments The Commission has received eleven comments on the proposed rule change, including a response letter from the Exchange.\25\ Two commenters expressed support for the proposal,\26\ and eight commenters expressed opposition to the proposal.\27\ --------------------------------------------------------------------------- \25\ See supra note 5. \26\ See Virtu Letter, supra note 5; and CTC Trading Group Letter, supra note 5. \27\ See XR Securities Letter, supra note 5; FIA PTG Letter, supra note 5; Hudson River Trading Letter, supra note 5; Leuchtkafer Letter, supra note 5; Citadel Letter, supra note 5; Healthy Markets Letter, supra note 5; NYSE Letter, supra note 5; and SIFMA Letter, supra note 5. --------------------------------------------------------------------------- Some commenters questioned whether, as asserted by CHX, latency arbitrage is to blame for the decline in CHX's market share, and whether the LEAD would solve the purported problem.\28\ One commenter questioned CHX's assertion that there is structural bias against displayed liquidity, and the need for an asymmetrical remedy.\29\ Another commenter opined that the proposed rule change is overbroad because the proposed LEAD is a systemic solution to a problem--namely a decline in CHX's market share in one security--that CHX has not demonstrated to be market-wide.\30\ In addition, a commenter questioned whether CHX could address what it perceives as latency arbitrage by improving its technology to reduce the time to cancel for liquidity providers.\31\ Another commenter suggested other ways to confront latency arbitrage, including that the Exchange could move its servers closer to the Chicago Mercantile Exchange's (``CME'') servers or to New Jersey, apply a delay to messages coming from CME's data centers, implement a random delay for everyone, or prohibit latency arbitrage by rule.\32\ --------------------------------------------------------------------------- \28\ See FIA PTG Letter, supra note 5, at 2; and Hudson River Trading Letter, supra note 5, at 2, 5. \29\ See FIA PTG Letter, supra note 5, at 2. \30\ See Citadel Letter, supra note 5, at 7. \31\ See SIFMA Letter, supra note 5, at 7-8. \32\ See Leuchtkafer Letter, supra note 5, at 6-7. --------------------------------------------------------------------------- Several commenters discussed the potential impact of the proposal on displayed liquidity and price discovery. Two commenters asserted that the LEAD would enable liquidity providers to improve displayed liquidity.\33\ Six commenters, however, expressed concern that the LEAD could deteriorate the accessibility of quotes and overall market quality.\34\ For example, one commenter predicted that, while overall spreads and liquidity may improve, the increased liquidity would be more conditional and less accessible.\35\ In addition, a commenter predicted that spreads made by ``real'' liquidity providers--as distinguished from ``fleeting'' quotes submitted by LEAD MMs--would widen.\36\ In response, the Exchange asserted that the proposal would promote tighter spreads and larger size, and that there is no evidence that it would result in CHX quotes being less accessible to ``natural'' buyers and sellers.\37\ --------------------------------------------------------------------------- \33\ See Virtu Letter, supra note 5, at 2 (stating that the proposal would improve displayed liquidity available to institutional investors without limiting the ability of ``natural'' buyers and sellers to access liquidity); and CTC Trading Letter, supra note 5, at 3 (asserting that the LEAD would result in tighter bid-ask spreads). \34\ See Healthy Markets Letter, supra note 5, at 4-5; XR Securities Letter, supra note 5, at 2; FIA PTG Letter, supra note 5, at 4; SIFMA Letter, supra note 5, at 6; Citadel Letter, supra note 5, at 3; and Hudson River Trading Letter supra note 5, at 6. \35\ See Hudson River Trading Letter, supra note 5, at 6. Another commenter similarly predicted that the LEAD would result in complex trickle-down impacts on the NBBO including CHX quotes that would not be accessible. See FIA PTG Letter, supra note 5, at 3. \36\ See XR Securities Letter, supra note 5, at 2. See also FIA PTG Letter, supra note 5, at 4 (expressing concern that non-LEAD MMS would be forced to widen their bid/ask spreads across the marketplace). \37\ See CHX Letter, supra note 5, at 4-5. --------------------------------------------------------------------------- In addition, some commenters stated that the LEAD would impinge upon price discovery across the national market system.\38\ Some commenters noted that an asymmetric delay on TSX Alpha, a Canadian exchange, degraded overall market quality, harmed institutional order routers, and increased effective spreads.\39\ One commenter noted that while quoted depth increased on TSX Alpha, the exchange did not demonstrate tighter spreads, and the accessibility of quotes significantly degraded.\40\ In addition, a commenter asserted that the only counterbalance to the negative impact on market quality caused by an asymmetric delay (such as that exhibited due to TSX Alpha) would be coupling it with ``robust and rigorous'' affirmative obligations for those benefitting from the delay.\41\ In response, the Exchange asserted that the TSX Alpha delay is materially different from LEAD because it is randomized and, unlike CHX, TSX Alpha utilizes an inverted maker-taker model.\42\ The Exchange also observed that TSX Alpha does not require its liquidity providers to meet heightened requirements designed to enhance market quality.\43\ --------------------------------------------------------------------------- \38\ See XR Securities Letter, supra note 5, at 3; FIA PTG Letter, supra note 5, at 3-4, and Hudson River Trading Letter supra note 5, at 5. \39\ See Hudson River Trading Letter, supra note 5, at 2. See also Healthy Markets Letter, supra note 5, at 5; and SIFMA Letter, supra note 5, at 6. These commenters cite a recent study regarding TSX Alpha: See Chen, Haoming, Foley, Sean, Goldstein, Michael, and Ruf, Thomas, ``The Value of a Millisecond: Harnessing Information in Fast, Fragmented Markets'' https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2860359. \40\ See Hudson River Trading Letter, supra note 5, at 2. \41\ See Healthy Markets Letter, supra note 5, at 5. \42\ See CHX Letter, supra note 5, at 8. \43\ See id. at 8-9. --------------------------------------------------------------------------- One commenter asserted that the indeterminacy of the proposed delay may result in the LEAD producing delays that are not de minimis.\44\ In response, the Exchange stated that processing delays and message queuing currently exists in every market.\45\ The Exchange also asserted that these delays would not provide LEAD MMs with more than a 350 microsecond window to adjust or cancel their resting orders at CHX.\46\ --------------------------------------------------------------------------- \44\ See Leuchtkafer Letter, supra note 5, at 2. See also Healthy Markets Letter, supra note 5, at 5 (urging the Commission to consider concerns about the delay being implemented by software as opposed to hardware, what happens in periods of high volume, and how CHX would ensure that the delay does not vary under different circumstances). \45\ See CHX Letter, supra note 5, at 9. See also CTC Letter, supra note 5, at 5. \46\ See CHX Letter, supra note 5, at 9. --------------------------------------------------------------------------- Several commenters stated that the LEAD would unfairly discriminate in favor of the LEAD MMs.\47\ Specifically, commenters asserted that the LEAD would harm market participants seeking to access liquidity provided by LEAD MMs as the LEAD MMs may alter their prices while incoming orders are being delayed.\48\ In addition, a commenter stated that the LEAD would give LEAD MMs an unfair advantage.\49\ One commenter asserted that the LEAD could make it more difficult for non- LEAD MMs to quote better prices at larger size.\50\ Two commenters stated that the LEAD would unfairly discriminate against market participants that are primarily liquidity takers, such [[Page 24415]] as retail investors or institutions.\51\ Another commenter expressed concern that, unlike other examples of ``permissible'' discrimination, the LEAD would affect the regulatory mechanics of trading because, in some cases, traders would be required to route orders to the Exchange pursuant to Rule 611 of Regulation NMS.\52\ In addition, one commenter asserted that the delay would only benefit market participants who become LEAD MMs and subscribe to the CME's data feeds.\53\ In response, CHX stated that the LEAD would discriminate on fair terms because it is designed to correct the current asymmetry that CHX says currently exists in the market.\54\ In addition, CHX asserted that the LEAD would reduce the cost of providing liquidity to the LEAD MMs, which CHX asserted would result in efficient price discovery for retail and institutional investors.\55\ --------------------------------------------------------------------------- \47\ See FIA PTG Letter, supra note 5, at 2-3; Leuchtkafer Letter, supra note 5, at 4; Citadel Letter, supra note 5, at 4; Hudson River Trading Letter, supra note 5, at 5-6. See also XR Securities Letter, supra note 5, at 2 (stating that the LEAD would give LEAD MMs an ``unfair advantage''); and Healthy Markets Letter, supra note 5, at 4 (stating that the proposal would ``venture into unchartered discriminatory waters, and offers little explanation or justification''). See also SIFMA Letter, supra note 5, at 5 (asserting that any intentional delay should be universally applied to all market participants in a non-discriminatory manner). \48\ See Hudson River Trading Letter, supra note 5, at 2. \49\ See XR Securities Letter, supra note 5, at 2. \50\ See Hudson River Trading Letter, supra note 5, at 1-2. \51\ See Citadel Letter, supra note 5, at 5-6; Leuchtkafer Letter, supra note 5, at 4. \52\ See FIA PTG Letter, supra note 5, at 4. \53\ See Leuchtkafer Letter, supra note 5, at 4. \54\ See CHX Letter, supra note 5, at 10-11. \55\ See id. at 4. --------------------------------------------------------------------------- Other commenters expressed concern that the proposal would be unfairly discriminatory because only firms selected by CHX as LEAD MMs would be given the speed advantage,\56\ and LEAD MMs would be named based on subjective criteria.\57\ CHX responded that the LEAD MM factors are designed to forecast how well that applicant would perform as a LEAD MM if approved.\58\ CHX further noted that the criteria are ``virtually identical'' to the criteria under Bats BZX's rules for its lead market maker program.\59\ --------------------------------------------------------------------------- \56\ See XR Securities Letter, supra note 5, at 1; and FIA PTG Letter, supra note 5, at 2. \57\ See Citadel Letter, supra note 5, at 4. \58\ See CHX Letter, supra note 5, at 11-12. \59\ See id. --------------------------------------------------------------------------- Several commenters commented on the proposed minimum performance standards. Two commenters expressed support for the proposed minimum performance standards.\60\ One of these commenters asserted that the proposal would effectively couple heightened quoting and trading requirements with the ability to adequately manage the heightened risks of such requirements.\61\ Other commenters expressed concern that the minimum performance standards may not be adequate to justify the benefits that LEAD MMs would receive under the proposal.\62\ Two commenters suggested that CHX should provide data regarding the materiality of the minimum performance standards, how they will improve market quality, and whether CHX market makers already satisfy these criteria.\63\ In response, the Exchange asserted that the proposed minimum performance standards are ``substantial and proportionate to the benefits conferred upon LEAD MMs,'' and that they would minimize the risk of incremental quote fading and other non-bona fide liquidity provision strategies.\64\ Further, the Exchange stated that the minimum performance standards are appropriate in light of the requirements imposed upon and benefits incurred by market makers on other exchanges.\65\ --------------------------------------------------------------------------- \60\ See Virtu Letter, supra note 5, at 2; and CTC Trading Letter, supra note 5, at 4. \61\ See Virtu Letter, supra note 5, at 2. \62\ See Leuchtkafter Letter, supra note 5, at 5; NYSE Letter, supra note 5, at 4-5 (stating that the benefit is ``disproportionate'' to the proposed standards); Citadel Letter, supra note 5, at 7 (asserting that the minimum performance standards appear to be ``largely immaterial in substance'' and the benefits of the LEAD would be ``entirely disproportionate'' to these obligations). \63\ See Citadel Letter, supra note 5, at 3; and Healthy Markets Letter, supra note 5, at 4. \64\ See CHX Letter, supra note 5, at 6. Another commenter agreed with CHX that the proposed quoting requirements are ``substantial and proportionate.'' See CTC Trading Letter, supra note 5, at 4. \65\ See CHX Letter, supra note 5, at 6. --------------------------------------------------------------------------- Some commenters suggested that the LEAD could increase the risk of manipulative activity. One commenter argued that the LEAD would enable intra-exchange latency arbitrage because CHX would impose neither negative obligations on its LEAD MMs nor information barriers to segregate LEAD market making from other proprietary trading.\66\ Another commenter expressed concern that the LEAD would frustrate strategies that involve taking prices across multiple venues by giving extra time to LEAD MMs to pull their quotes in the middle of a multi- venue order.\67\ The Exchange responded that sophisticated order routing strategies would minimize incremental leakage, and that the LEAD is much shorter than the time that it would take for information regarding a CHX routed order that is executed away to be consumed and processed by the LEAD MM.\68\ --------------------------------------------------------------------------- \66\ See Leuchtkafer Letter, supra note 5, at 6. \67\ See FIA PTG Letter, supra note 5, at 3. \68\ See CHX Letter, supra note 5, at 8. --------------------------------------------------------------------------- One commenter asserted that the LEAD would unduly burden competition among CHX members and among national securities exchanges.\69\ Another commenter stated that the LEAD would alter the competitive balance in the market by benefitting only LEAD MMs.\70\ --------------------------------------------------------------------------- \69\ See Hudson River Trading Letter, supra note 5, at 8. \70\ See Citadel Letter, supra note 5, at 8. --------------------------------------------------------------------------- In addition, some commenters asserted that the LEAD may be inconsistent with the ``firm quote'' provisions of Rule 602 of Regulation NMS (``Quote Rule'') because commenters asserted that it would allow liquidity providers to back away from their quotes.\71\ The Exchange responded that the LEAD would not violate the Quote Rule because the duty of a broker or dealer to stand behind its quote would not vest because the LEAD would prevent the liquidity provider from receiving (i.e., being presented with) a marketable contra-side order.\72\ --------------------------------------------------------------------------- \71\ See FIA PTG Letter, supra note 5, at 5; Hudson River Trading Letter, supra note 5, at 6; Citadel Letter, supra note 5, at 5; NYSE Letter, supra note 5, at 2. \72\ See CHX Letter, supra note 5, at 12. --------------------------------------------------------------------------- Several commenters asserted that the adoption of the LEAD could be inconsistent with CHX's protected quotation status under Regulation NMS.\73\ In particular, some commenters asserted that by providing LEAD MMs with a structural advantage, the LEAD would frustrate the purposes of Rule 611 by impairing fair and efficient access to an exchange's quotations.\74\ In response, the Exchange stated that it believes that LEAD would be a de minimis delay so short as not to: (1) Frustrate the purposes of the Rule 611 by impairing fair and efficient access to the Exchange's quotations; and (2) neither provide an incremental advantage other than neutralizing structural bias nor permit a LEAD MM to back away from a quote on a quotation-by-quotation basis.\75\ --------------------------------------------------------------------------- \73\ See Hudson River Trading Letter, supra note 5, at 7; Citadel Letter, supra note 5, at 6; NYSE Letter, supra note 5, at 4; XR Securities Letter, supra note 5, at 1. See also SIFMA Letter, supra note 5, at 7 (suggesting that the Commission should ``carefully consider the implications'' of market participants routing orders to CHX to access a protected quote when the accessibility of such quote is ``questionable''). \74\ See FIA PTG Letter, supra note 5, at 2; Hudson River Trading Letter, supra note 5, at 7; Citadel Letter, supra note 5, at 6; NYSE Letter, supra note 5, at 4; XR Securities, supra note 5, at 1; and SIFMA Letter, supra note 5, at 6 (questioning the effect of an access delay coupled with existing geographic or technological latencies on the fair and efficient access to an exchange's protected quotations). \75\ See CHX Letter, supra note 5, at 14. --------------------------------------------------------------------------- Certain commenters also asserted that the LEAD would result in unfair allocation of consolidated market data revenue by generating an increase in quoting, but not necessarily trading, on the Exchange.\76\ The Exchange responded that the LEAD would not encourage non-bona fide quote activity for the purpose of earning rebates because quotes cancelled within the 350-microsecond LEAD would not be eligible for market data revenue rebates, [[Page 24416]] and cancellation of such quotes could result in the CHX participant being assessed an order cancellation fee.\77\ --------------------------------------------------------------------------- \76\ See Hudson River Trading Letter, supra note 5, at 7; Citadel Letter, supra note 5, at 6; and SIFMA Letter, supra note 5, at 7. \77\ See CHX Letter, supra note 5, at 10. --------------------------------------------------------------------------- IV. Proceedings To Determine Whether To Approve or Disapprove SR-CHX- 2017-04 and Grounds for Disapproval Under Consideration The Commission is instituting proceedings pursuant to Section 19(b)(2)(B) of the Exchange Act \78\ to determine whether the proposed rule change should be approved or disapproved. Institution of such proceedings is appropriate at this time in view of the legal and policy issues raised by the proposed rule change. Institution of proceedings does not indicate that the Commission has reached any conclusions with respect to any of the issues involved. Rather, as stated below, the Commission seeks and encourages interested persons to provide comments on the proposed rule change. --------------------------------------------------------------------------- \78\ 15 U.S.C. 78s(b)(2)(B). --------------------------------------------------------------------------- Pursuant to Section 19(b)(2)(B) of the Exchange Act,\79\ the Commission is providing notice of the grounds for disapproval under consideration. The Commission is instituting proceedings to allow for additional analysis of the proposed rule change's consistency with: (1) Section 6(b)(5) of the Exchange Act, which requires, among other things, that the rules of a national securities exchange not be designed to permit unfair discrimination between customers, issuers, brokers, or dealers; \80\ (2) Section 6(b)(8) of the Exchange Act, which requires that the rules of a national securities exchange not impose any burden on competition not necessary or appropriate in furtherance of the purposes of the Exchange Act; \81\ and (3) Section 11A of the Exchange Act.\82\ --------------------------------------------------------------------------- \79\ Id. \80\ 15 U.S.C. 78f(b)(5). \81\ 15 U.S.C. 78f(b)(8). \82\ 15 U.S.C. 78k-1. --------------------------------------------------------------------------- IV. Procedure: Request for Written Comments The Commission requests that interested persons provide written submissions of their views, data, and arguments with respect to the issues identified above, as well as any other concerns they may have with the proposal. In particular, the Commission invites the written views of interested persons concerning whether the proposal is consistent with Sections 6(b)(5), 6(b)(8), and 11A of the Exchange Act, any other provision of the Exchange Act, or any other rule or regulation under the Exchange Act. Although there do not appear to be any issues relevant to approval or disapproval that would be facilitated by an oral presentation of views, data, and arguments, the Commission will consider, pursuant to Rule 19b-4, any request for an opportunity to make an oral presentation.\83\ --------------------------------------------------------------------------- \83\ Section 19(b)(2) of the Exchange Act, as amended by the Securities Act Amendments of 1975, Public Law 94-29 (June 4, 1975), grants the Commission flexibility to determine what type of proceeding--either oral or notice and opportunity for written comments--is appropriate for consideration of a particular proposal by a self-regulatory organization. See Securities Act Amendments of 1975, Senate Comm. on Banking, Housing & Urban Affairs, S. Rep. No. 75, 94th Cong., 1st Sess. 30 (1975). --------------------------------------------------------------------------- Interested persons are invited to submit written data, views, and arguments regarding whether the proposal should be approved or disapproved by June 16, 2017. Any person who wishes to file a rebuttal to any other person's submission must file that rebuttal by June 30, 2017. The Commission asks that commenters address the sufficiency of the Exchange's statements in support of the proposal, in addition to any other comments they may wish to submit about the proposed rule change. In particular, the Commission seeks comment on the following: 1. Would the proposed minimum performance standards for LEAD MMs enhance market quality? Why or why not? What metrics would help determine any enhancement to market quality? How should enhancements to market quality be measured with the delay in effect? 2. How would the proposal affect price volatility during stressed trading conditions? 3. How would the proposal affect transaction costs for retail and institutional investors? 4. How would the proposal affect an institutional investor's experience providing liquidity and removing liquidity on CHX? 5. Would the proposal provide an unfair advantage to LEAD MMs providing liquidity vis-[agrave]-vis other liquidity providers and in particular when the price of a security moves? 6. Do commenters agree with the Exchange's assertion that the proposed rule change would increase displayed liquidity on the Exchange? 7. Do the obligations for LEAD MMs to comply with the proposed minimum performance standards justify the LEAD MMs' speed advantage? 8. According to several commenters, liquidity provided by LEAD MMs would be ``fleeting'' because they could update their quotations while incoming orders are delayed. Do commenters agree? If so, what are commenters' views on how significant ``fleeting'' liquidity would be in comparison to the overall liquidity provided on the Exchange? 9. How would the proposal affect the national market system if exchanges with a larger percentage of overall trading volume were to adopt a similar proposal? In particular, how would the proposal affect market quality? 10. One of the stated goals of the proposal is to minimize the effectiveness of latency arbitrage strategies. What metrics would help determine if latency arbitrage is currently a problem on CHX? Is 350 microsecond necessary to minimize the effectiveness of latency arbitrage strategies? Should the delay be shorter or longer to accomplish this goal? Is the 350 microsecond delay appropriate for trading at both CHX's Chicago data center and its East Coast data center? Why or why not? 11. Does the proposal's protection against latency arbitrage strategies for LEAD MMs warrant the benefits of the delay? 12. Is the delay short enough that it would not harm liquidity takers or providers other than those engaging in latency arbitrage? 13. What are commenters' views on how the proposal would affect liquidity providers on CHX other than LEAD Market Makers as well as liquidity providers on other markets? 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-CHX-2017-04 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 Numbers SR-CHX-2017-04. 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 Web site (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 [[Page 24417]] 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 Web site 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 these filings also will be available for inspection and copying at the principal office of the Exchange. All comments received will be posted without change; the Commission does not edit personal identifying information from submissions. You should submit only information that you wish to make available publicly. All submissions should refer to File Number SR-CHX-2017-04 and should be submitted on or before June 16, 2017. Rebuttal comments should be submitted by June 30, 2017. For the Commission, by the Division of Trading and Markets, pursuant to delegated authority.\84\ --------------------------------------------------------------------------- \84\ 17 CFR 200.30-3(a)(57). --------------------------------------------------------------------------- Eduardo A. Aleman, Assistant Secretary. [FR Doc. 2017-10807 Filed 5-25-17; 8:45 am] BILLING CODE 8011-01-P
![24412 Federal Register / Vol. 82, No. 101 / Friday, May 26, 2017 / Notices
the Securities Exchange Act of 1934 (15 Securities and Exchange Commission, proceedings under Section 19(b)(2)(B) of
U.S.C. 78a et seq.). Office of Information and Regulatory the Exchange Act 6 to determine
Rule 17a–5 is the basic financial Affairs, Office of Management and whether to approve or disapprove the
reporting rule for brokers and dealers.1 Budget, Room 10102, New Executive proposed rule change.
The rule requires the filing of Form X– Office Building, Washington, DC 20503,
17A–5, the Financial and Operational II. Summary of the Proposal
or by sending an email to: Shagufta_
Combined Uniform Single Report Ahmed@omb.eop.gov; and (ii) Pamela The Exchange proposes to adopt the
(‘‘FOCUS Report’’), which was the result Dyson, Director/Chief Information LEAD, which would subject all new
of years of study and comments by Officer, Securities and Exchange incoming orders,7 cancel and cancel/
representatives of the securities industry Commission, c/o Remi Pavlik-Simon, replace messages to a 350-microsecond
through advisory committees and 100 F Street NE., Washington, DC intentional access delay, provided that
through the normal rule proposal 20549, or by sending an email to: PRA_ certain types of messages would not be
methods. The FOCUS Report was Mailbox@sec.gov. Comments must be subject to the delay: (1) New incoming
designed to eliminate the overlapping submitted to OMB within 30 days of orders submitted by LEAD Market
regulatory reports required by various this notice. Makers (‘‘LEAD MM’’), a new class of
self-regulatory organizations and the CHX Market Maker 8 with heightened
Dated: May 19, 2017. quoting and trading obligations (referred
Commission and to reduce reporting
Eduardo A. Aleman, to collectively as the ‘‘minimum
burdens as much as possible. The rule
also requires the filing of an annual Assistant Secretary. performance standards’’), which would
audited report of financial statements. [FR Doc. 2017–10794 Filed 5–25–17; 8:45 am] be immediately ranked on the CHX book
The FOCUS Report consists of: (1) BILLING CODE 8011–01–P without executing against any resting
Part I, which is a monthly report that orders on the CHX book; (2) certain
must be filed by brokers or dealers that cancel messages related to resting orders
clear transactions or carry customer SECURITIES AND EXCHANGE that were submitted by LEAD MMs; (3)
securities; (2) one of three alternative COMMISSION cancel/replace messages related to
quarterly reports: Part II, which must be resting orders that were submitted by
[Release No. 34–80740; File No. SR–CHX–
filed by brokers or dealers that clear 2017–04]
LEAD MMs (except that any part of the
transactions or carry customer replace portion of the order that would
securities; Part IIA, which must be filed Self-Regulatory Organizations; immediately execute against a resting
by brokers or dealers that do not clear Chicago Stock Exchange, Inc.; Order order would be intentionally delayed);
transactions or carry customer Instituting Proceedings To Determine and (4) the portion of a routable order
securities; and Part IIB, which must be Whether To Approve or Disapprove a that is to be routed away, regardless of
filed by specialized broker-dealers Proposed Rule Change To Adopt the who submitted the routable order. A
registered with the Commission as OTC CHX Liquidity Enhancing Access Delay message will be subject to a 350
derivatives dealers; 2 (3) supplemental
schedules, which must be filed May 22, 2017. February 24, 2017 (‘‘XR Securities Letter’’); (2)
Douglas A. Cifu, Chief Executive Officer, Virtu
annually; and (4) a facing page, which I. Introduction Financial LLC, dated February 27, 2017 (‘‘Virtu
must be filed with the annual audited Letter’’); (3) Joanna Mallers, Secretary, FIA
On February 10, 2017, the Chicago Principal Traders Group, dated March 13, 2017
report of financial statements. Under the
Stock Exchange, Inc. (‘‘CHX’’ or (‘‘FIA PTG Letter’’); (4) Adam Nunes, Head of
rule, a broker or dealer that computes
‘‘Exchange’’) filed with the Securities Business Development, Hudson River Trading LLC,
certain of its capital charges in dated March 13, 2017 (‘‘Hudson River Trading
and Exchange Commission
accordance with Appendix E to Letter’’); (5) R.T. Leuchtkafer, dated March 14, 2017
(‘‘Commission’’), pursuant to Section (‘‘Leuchtkafter Letter’’); (6) Stephen John Berger,
Exchange Act Rule 15c3–1 must file
19(b)(1) of the Securities Exchange Act Managing Director, Government & Regulatory
additional monthly, quarterly, and Policy, Citadel Securities, dated March 14, 2017
of 1934 (‘‘Exchange Act’’) 1 and Rule
annual reports with the Commission. (‘‘Citadel Letter’’); (7) Tyler Gellasch, Executive
The Commission estimates that the 19b–4 thereunder,2 a proposed rule Director, Healthy Markets Association, March 17,
total hours burden under Rule 17a–5 is change to adopt the CHX Liquidity 2017 (‘‘Healthy Markets Letter’’); (8) Elizabeth K.
approximately 353,510 hours per year Enhancing Access Delay (‘‘LEAD’’). The King, General Counsel and Corporate Secretary,
proposed rule change was published for New York Stock Exchange, dated March 20, 2017
when annualized, and the total cost (‘‘NYSE Letter’’); (9) James G. Ongena, Executive
burden under Rule 17a–5 is comment in the Federal Register on Vice President and General Counsel, CHX, dated
approximately $45,131,475 per year. February 21, 2017.3 On April 3, 2017, March 24, 2017 (‘‘CHX Letter’’); (10) Steve
An agency may not conduct or the Commission designated a longer Crutchfield, Head of Market Structure, CTC Trading
period within which to approve the Group, LLC, dated April 4, 2017 (‘‘CTC Trading
sponsor, and a person is not required to Letter’’); and (11) Theodore R. Lazo, Managing
respond to, a collection of information proposed rule change, disapprove the Director and Associate General Counsel, Securities
under the PRA unless it displays a proposed rule change, or institute Industry and Financial Markets Association, dated
currently valid OMB control number. proceedings to determine whether the May 17, 2017 (‘‘SIFMA Letter’’). All comments on
proposed rule change should be the proposed rule change are available at: https://
The public may view background www.sec.gov/comments/sr-chx-2017–04/
documentation for this information disapproved.4 The Commission received chx201704.htm.
collection at the following Web site: eleven comment letters on the proposed 6 15 U.S.C. 78s(b)(2)(B).
www.reginfo.gov. Comments should be rule change, including a response from 7 New incoming orders are orders received by the
the Exchange.5 This order institutes Matching System for the first time. The LEAD
directed to: (i) Desk Officer for the would not apply to other situations where existing
1 15
orders or portions thereof are treated as incoming
1 Rule 17a–5(c) requires a broker or dealer to U.S.C. 78s(b)(1). orders, such as: (1) Resting orders that are price slid
2 17 CFR 240.19b–4.
furnish certain of its financial information to into a new price point pursuant to the CHX only
3 See Securities Exchange Act Release No. 80041
customers and is subject to a separate PRA filing price sliding or limit up-limit down price sliding
(OMB Control Number 3235–0199). (February 14, 2017), 82 FR 11252 (‘‘Notice’’). processes; and (2) unexecuted remainders of routed
2 Part IIB of Form X–17A–5 must be filed by OTC 4 See Securities Exchange Act Release No. 80364, orders released into the matching system.
derivatives dealers under Exchange Act Rule 17a– 82 FR 11252 (April 7, 2017). 8 See CHX Article 1, Rule 1(tt) (defining ‘‘Market
12 and is subject to a separate PRA filing (OMB 5 See letters from: (1) Ryan Hitch, Head of Maker’’); see also generally CHX Article 16 (Market
control number 3235–0498). Equities Trading, XR Securities LLC, dated Makers).
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![Federal Register / Vol. 82, No. 101 / Friday, May 26, 2017 / Notices 24417
Commission, and all written second to a time period designated by III. Discussion and Commission’s
communications relating to the the Exchange of no less than 100 Findings
proposed rule change between the milliseconds and no more than 1 After careful review, the Commission
Commission and any person, other than second. The proposed rule change was finds that the proposed rule change is
those that may be withheld from the published for comment in the Federal consistent with the requirements of the
public in accordance with the Register on April 14, 2017.3 The Act and the rules and regulations
provisions of 5 U.S.C. 552, will be Commission received no comment thereunder applicable to a national
available for Web site viewing and letters on the proposed rule change. securities exchange.8 In particular, the
printing in the Commission’s Public This order approves the proposed rule Commission finds that the proposed
Reference Room, 100 F Street NE., change. rule change is consistent with Section
Washington, DC 20549 on official 6(b)(5) of the Act,9 which requires,
business days between the hours of II. Description of the Proposed Rule among other things, that the rules of a
10:00 a.m. and 3:00 p.m. Copies of these Change national securities exchange be
filings also will be available for designed to promote just and equitable
inspection and copying at the principal CBOE’s AIM auction allows a Trading
Permit Holder (‘‘TPH’’) to execute principles of trade, to foster cooperation
office of the Exchange. All comments
and coordination with persons engaged
received will be posted without change; electronically an order it represents as
in regulating transactions in securities,
the Commission does not edit personal agent against principal interest or
to remove impediments to and perfect
identifying information from against a solicited order.4 CBOE’s SAM
the mechanism of a free and open
submissions. You should submit only auction allows a TPH to execute market and a national market system
information that you wish to make electronically an agency order of 500 and, in general, to protect investors and
available publicly. All submissions contracts or more against solicited the public interest, and not be designed
should refer to File Number SR–CHX– orders.5 After an agency order is to permit unfair discrimination between
2017–04 and should be submitted on or properly designated for AIM or SAM customers, issuers, brokers, or dealers.
before June 16, 2017. Rebuttal processing, the Exchange will send a The Commission also finds that the
comments should be submitted by June Request for Responses (‘‘RFR’’) to all proposed rule change is consistent with
30, 2017. TPHs who have elected to receive Section 6(b)(8) of the Act,10 which
For the Commission, by the Division of RFRs.6 Orders entered in the AIM or requires that the rules of an exchange
Trading and Markets, pursuant to delegated SAM are currently exposed for a period not impose any burden on competition
authority.84
of 1 second, during which time that is not necessary or appropriate in
Eduardo A. Aleman,
competitive responses to the auction furtherance of the purposes of the Act.
Assistant Secretary. The Commission believes that, given
may be submitted. The Exchange
[FR Doc. 2017–10807 Filed 5–25–17; 8:45 am] proposes to revise the RFR response the electronic nature of the AIM and
BILLING CODE 8011–01–P
periods for AIM and SAM to permit the SAM mechanisms and the ability of
Exchange to designate a specific time TPHs to respond within the proposed
within a range of no less than 100 exposure periods, reducing each of the
SECURITIES AND EXCHANGE exposure periods from 1 second to no
COMMISSION milliseconds and no more than 1
second.7 less than 100 milliseconds could
[Release No. 34–80738; File No. SR–CBOE– facilitate the prompt execution of
2017–029] 3 See Securities Exchange Act Release No. 80421
orders, while continuing to provide
(April 10, 2017), 82 FR 18048 (‘‘Notice’’). market participants with an opportunity
Self-Regulatory Organizations; 4 See CBOE Rule 6.74A. to compete to trade with the exposed
Chicago Board Options Exchange, 5 See CBOE Rule 6.74B. order by submitting responses to the
Incorporated; Order Approving a 6 The AIM RFR specifies the side and size of the auctions. According to the Exchange,
Proposed Rule Change Relating to the order, while the SAM RFR specifies the price, side, numerous TPHs have the capability to
Exposure Periods of the Automated and size of the order. See CBOE Rule 6.74A(b)(1)(B) and do respond within a 100
Improvement Mechanism and the and 6.74B(b)(1)(B). millisecond exposure period or less on
7 Although the proposed rule change would allow
Solicitation Auction Mechanism the Hybrid Trading System.11 The
the Exchange to select an exposure period from a
May 22, 2017. range of 1 second to 100 milliseconds, the Exchange
Exchange notes that the response timers
stated that it currently plans to decrease the time for its Exchange’s Hybrid Agency
I. Introduction period allowed for responses to 100 milliseconds. Liaison (‘‘HAL’’), Complex Order
On March 31, 2017, Chicago Board See Notice, supra note 3, at 18050. The Exchange Auction (‘‘COA’’), and Simple Auction
noted that its proposal is consistent with exposure Liaison (‘‘SAL’’) mechanisms are set at
Options Exchange, Incorporated (the periods permitted in similar mechanisms on other
‘‘Exchange’’ or ‘‘CBOE’’) filed with the 100 milliseconds or less and numerous
options exchanges. See id. at 18049; see also
Securities and Exchange Commission Securities Exchange Act Release Nos. 76301 TPHs can and do respond to HAL, SAL,
(‘‘Commission’’) pursuant to Section (October 29, 2015), 80 FR 68347 (November 4, 2015) and COA messages within these time
19(b)(1) of the Securities Exchange Act (SR–BX–2015–032) (establishing an exposure frames.12 The Exchange also notes that
of 1934 (‘‘Act’’) 1 and Rule 19b–4 period for the Nasdaq BX’s options price the AIM and SAM mechanisms operate
improvement mechanism (‘‘PRISM’’) of no less than on the Hybrid Trading System and
thereunder,2 a proposed rule change to 100 milliseconds and no more than 1 second);
amend CBOE Rules 6.74A and 6.74B to 77557 (April 7, 2016), 81 FR 21935 (April 13, 2016)
employ the same type of mechanical
reduce the exposure periods of the (SR–Phlx–2016–40) (amending the exposure period
8 In approving this proposed rule change, the
Exchange’s Automated Improvement for the Nasdaq Phlx’s Price Improvement XL
(‘‘PIXL’’) to be no less than 100 milliseconds and Commission has considered the proposed rule’s
Mechanism (‘‘AIM’’) and Solicitation impact on efficiency, competition, and capital
no more than 1 second); and 79733 (January 4,
Auction Mechanism (‘‘SAM’’) from 1 2017), 82 FR 3055 (January 10, 2017) (SR–ISE– formation. See 15 U.S.C. 78c(f).
9 15 U.S.C. 78f(b)(5).
2016–26) (amending the exposure period for the
84 17 CFR 200.30–3(a)(57). 10 15 U.S.C. 78f(b)(8).
Nasdaq ISE’s Price Improvement Mechanism
1 15 U.S.C. 78s(b)(1). 11 See Notice, supra note 3, at 18049 n.4.
(‘‘PIM’’) to be no less than 100 milliseconds and no
2 17 CFR 240.19b–4. more than 1 second). 12 See id.
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Document Created: 2017-05-26 02:24:13
Document Modified: 2017-05-26 02:24:13
| Category | Regulatory Information | |
| Collection | Federal Register | |
| sudoc Class | AE 2.7: GS 4.107: AE 2.106: | |
| Publisher | Office of the Federal Register, National Archives and Records Administration | |
| Section | Notices | |
| FR Citation | 82 FR 24412 |
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