Federal Register / Vol. 87, No. 26 / Tuesday, February 8, 2022 / Notices 7217 

1Applicant represents that it possess an 

economic interest in WC, through a convertible loan 

arrangement, that results in Applicant having the 

right to substantially all of the rewards and bearing 

substantially all of the risks of ownership of WC 

through this convertible loan arrangement. 

Applicant states that WC has no steady income, that 

Applicant funds virtually all of WC’s expenses 

through the convertible loan arrangement, and that 

WC’s sole managing member is the president of 

Millennium Cannabis, LLC, a wholly-owned 

subsidiary of Applicant. Applicant further states 

that even if its interest in WC were not considered 

sufficient to make WC the equivalent of a majorityowned subsidiary of Applicant for purposes of the 

Act, Applicant would (a) consider the fair value of 

its loan to WC as of September 30, 2021 to be 

$671,000, which is the value advanced under the 

loan as of September 30, 2021 and (b) remove the 

‘‘right of use’’ asset on its balance sheet attributable 

to WC of $5,325,848. Applicant states that this 

would result in the WC loan representing 

approximately 1.71% of Applicant’s Adjusted Total 

Assets, which is less than 40% of the value of 

Applicant’s Adjusted Total Assets. Therefore, 

Applicant represents that the treatment of WC is 

immaterial to the analysis of whether Applicant is 

an investment company within the meaning of 

Section 3(a)(1)(C) of the Act. 

1 15 U.S.C. 78s(b)(1). 

2 17 CFR 240.19b–4. 

represents that upon deregistering as an 

investment company, Applicant and its 

consolidated subsidiaries will not 

derive a material portion of their gross 

income from investment security assets. 

10. Upon the issuance of the 

requested Order, Applicant represents 

that it will issue a press release to 

shareholders indicating that it is no 

longer a registered investment company 

and will cease indicating in its financial 

statements that it is a registered 

investment company. 

11. Applicant states that it is not 

currently a party to any administrative 

proceeding or material litigation. 

Applicant’s Legal Analysis 

1. Section 8(f) of the Act provides that 

whenever the Commission, upon 

application or its own motion, finds that 

a registered investment company has 

ceased to be an investment company, 

the Commission shall so declare by 

order and upon the taking effect of such 

order, the registration of such company 

shall cease to be in effect. 

2. Section 3(a)(1)(A) of the Act defines 

an ‘‘investment company’’ as any issuer 

which ‘‘is or holds itself out as being 

engaged primarily, or proposes to 

engage primarily, in the business of 

investing, reinvesting, or trading in 

securities.’’ Section 3(a)(1)(B) of the Act 

defines an ‘‘investment company’’ as 

any issuer which ‘‘is engaged or 

proposes to engage in the business of 

issuing face-amount certificates of the 

installment type, or has been engaged in 

such business and has any such 

certificate outstanding.’’ 

3. Section 3(a)(1)(C) of the Act defines 

an ‘‘investment company’’ as any issuer 

which ‘‘is engaged or proposes to engage 

in the business of investing, reinvesting, 

owning, holding, or trading in 

securities, and owns or proposes to 

acquire investment securities having a 

value exceeding 40 per centum of the 

value of such issuer’s total assets 

(exclusive of Government securities and 

cash items) on an unconsolidated 

basis.’’ Section 3(a)(2) of the Act defines 

‘‘investment securities’’ as ‘‘all 

securities except (A) Government 

securities, (B) securities issued by 

employees’ securities companies, and 

(C) securities issued by majority-owned 

subsidiaries of the owner which (i) are 

not investment companies, and (ii) are 

not relying on the exception from the 

definition of investment company in 

paragraph (1) or (7) of subsection (c).’’ 

4. Applicant states that it is no longer 

an investment company as defined in 

section 3(a)(1)(A), 3(a)(1)(B) or section 

3(a)(1)(C). With regard to section 

3(a)(1)(A), Applicant represents that it is 

currently focused primarily on owning 

and operating businesses that produce 

activated carbon or cultivate cannabis, 

and argues that its historical 

development, its public representations, 

the activities of its directors and 

officers, and the nature of its present 

assets support this assertion. 

5. With regard to section 3(a)(1)(B), 

Applicant represents that it is not 

engaged, and does not propose to 

engage, in the business of issuing faceamount certificates of the installment 

type, has not been engaged in such 

business and does not have any such 

certificate outstanding. 

6. With regard to section 3(a)(1)(C), 

Applicant represents that it owns more 

than 50% of the voting securities of 

each of its consolidated subsidiaries 

(other than WC until Applicant receives 

approval for Colorado regulators to hold 

cannabis licenses at which point it will 

own more than 50% of the voting 

securities of WC) and will own at least 

50% of the voting securities of other 

non-investment company subsidiaries it 

may form or acquire to ensure the value 

of investment securities owned by 

Applicant is less than 40% of the value 

of Applicant’s Adjusted Total Assets.1

7. Applicant states that none of its 

consolidated subsidiaries is an 

‘‘investment company’’ within the 

meaning of Section 3(a) of the Act, and 

no consolidated subsidiary is relying on 

the exception from the definition of 

investment company for private funds 

set forth in Section 3(c)(1) or 3(c)(7) of 

the Act. 

8. Applicant states that it is thus 

qualified for an order of the Commission 

pursuant to section 8(f) of the Act. 

For the Commission, by the Division of 

Investment Management, under delegated 

authority. 

J. Matthew DeLesDernier, 

Assistant Director. 

[FR Doc. 2022–02523 Filed 2–7–22; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–94135; File No. SR–MIAX– 

2022–06] 

Self-Regulatory Organizations; Miami 

International Securities Exchange, 

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 

28, 2022, Miami International Securities 

Exchange, LLC (‘‘MIAX Options’’ 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. 

I. Self-Regulatory Organization’s 

Statement of the Terms of Substance of 

the Proposed Rule Change 

The Exchange is filing a proposal 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/rulefilings/ at MIAX Options’ 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 


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3The 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. 

4The term ‘‘Simple Order Book’’ means ‘‘the 

Exchange’s regular electronic book of orders and 

quotes.’’ See Exchange Rule 518(a)(15). 

5See Securities Exchange Act Release No. 92081 

(June 1, 2021), 86 FR 30344 (June 7, 2021) (SR– 

MIAX–2021–21) (Notice of Filing and Immediate 

Effectiveness of a Proposed Rule Change to Amend 

Rule 531, Reports and Market Data Products, to 

Adopt the Liquidity Taker Event Report). 

6Currently, 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). 

8The 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. 

9The term ‘‘MBBO’’ means the Exchange’s best 

bid or offer. See Exchange Rule 100. The Complex 

MBBO for a particular Complex Strategy is 

calculated using the Implied Complex MIAX 

Emerald Best Bid or Offer (‘‘icMBBO’’) 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 icMBBO 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 icMBBO 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)(11). 

10The 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. 

11The 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. 

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

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’’). 

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 MBBO 9 in place of 

the MBBO and Complex ABBO 10 in 

place of the ABBO, as described further 

below. These are minor differences 

designed to provide the MBBO 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. 

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. 

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 


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12Like 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. 

13This information is also included in the Simple 

Order Report. See Exchange Rule 531(a)(1)(i)(A). 

14This information is also included in the Simple 

Order Report. See Exchange Rule 531(a)(1)(i)(B). 

15This information is also included in the Simple 

Order Report. See Exchange Rule 531(a)(1)(i)(C). 

16The 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. 

17This 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. 

18The 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. 19The term ‘‘Market Maker’’ refers to ‘‘Lead 

Market Makers’’, ‘‘Primary Lead Market Makers’’ 

and ‘‘Registered Market Makers’’ collectively. See 

Exchange Rule 100. 20This information is also included in the Simple 

Order Report. See Exchange Rule 531(a)(1)(i)(E). 21This information is also included in the Simple 

Order Report. See Exchange Rule 531(a)(1)(i)(F). 22This 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. 23Similar 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 MBBO at the time of the execution against 

the first response will be included. 24Similar 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. 25This 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). 

26The time difference would be provided in 

nanoseconds. This information is also included in 

Continued 

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 

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. 

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

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 MBBO 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 


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the Simple Order Report. See Exchange Rule 

531(a)(1)(ii)(D). 27This information is also included in the Simple 

Order Report. See Exchange Rule 531(a)(1)(ii)(E). 28See also supra note 9. 

29This information is also included in the Simple 

Order Report. See Exchange Rule 531(a)(1)(iii)(A). 

30This 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. 

31This information is also included in the Simple 

Order Report. See Exchange Rule 531(a)(1)(iii)(C). 

32This information is also included in the Simple 

Order Report. See Exchange Rule 531(a)(1)(iii)(D). 

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

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

35 15 U.S.C. 78f(b). 

36 15 U.S.C. 78f(b)(5). 

37 Id. 

38See supra note 5. 

response was entered by the Recipient 

Member.27 If the resting order executes 

against multiple contra-side responses, 

only the Complex MBBO and Complex 

ABBO at the time of the execution 

against the first response will be 

included. 

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 

MBBO, 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 MBBO and Complex ABBO. 

The Complex MBBO is calculated using 

the MBBO 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 MBBO is calculated using 

the icMBBO 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 

markets’ best net bid or offer for a 

Complex Strategy using OPRA data. The 

Exchange is providing the Complex 

MBBO 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. 

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

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

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

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. 

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).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 


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39See also supra note 9. 

40See Section 6(a) of the Exchange’s Fee 

Schedule. 

41The Exchange surveils to monitor for aberrant 

behavior related to internalized trades and identify 

potential wash sales. 

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. 

The other two differences are that the 

Simple Order Report includes the 

MBBO, 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 MBBO and Complex ABBO. 

As discussed above, the Complex MBBO 

is calculated using the icMBBO 

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 

MBBO 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 

these differences are appropriate 

because providing the Complex MBBO 

in place of the MBBO and the Complex 

ABBO in place of the ABBO are more 

germane to the purpose of the proposed 

Complex Order Report. 

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 recalibrate 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

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

The second bucket of information 

contained in the proposed Complex 

Order Report pertains to the execution 

of the resting order and includes the 

Complex MBBO 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 


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7222 Federal Register / Vol. 87, No. 26 / Tuesday, February 8, 2022 / Notices 

42See supra note 25. 

43See 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). 44See Exchange Rule 1401, Order Protection. 

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. 

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 

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. 

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 tradethrough 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. 

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. 


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Federal Register / Vol. 87, No. 26 / Tuesday, February 8, 2022 / Notices 7223 

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. 

47 17 CFR 200.30–3(a)(12). 

1 15 U.S.C. 78s(b)(1). 

2 17 CFR 240.19b–4. 

3The 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. 

4The term ‘‘Simple Order Book’’ means ‘‘the 

Exchange’s regular electronic book of orders and 

quotes.’’ See Exchange Rule 518(a)(15). 

5See 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’’). 

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. 

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 

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 rule-comments@

sec.gov. Please include File Number SR– 

MIAX–2022–06 on the subject line. 

Paper Comments 

• Send paper comments in triplicate 

to Secretary, Securities and Exchange 

Commission, 100 F Street NE, 

Washington, DC 20549–1090. 

All submissions should refer to File 

Number SR–MIAX–2022–06. This file 

number should be included on the 

subject line if email is used. To help the 

Commission process and review your 

comments more efficiently, please use 

only one method. The Commission will 

post all comments on the Commission’s 

internet website (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–MIAX–2022–06, 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

J. Matthew DeLesDernier, 

Assistant Secretary. 

[FR Doc. 2022–02551 Filed 2–7–22; 8:45 am] 

BILLING CODE 8011–01–P 

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. 

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/rulefilings/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


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