49058 Federal Register / Vol. 82, No. 203 / Monday, October 23, 2017 / Notices 

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

2 17 CFR 240.19b–4. 

3See Securities Exchange Act Release No. 81137 

(July 13, 2017), 82 FR 33170 (‘‘Notice’’). 

4 15 U.S.C. 78s(b)(2). 

5See Securities Exchange Act Release No. 81468 

(August 23, 2017), 82 FR 41079 (August 29, 2017). 

6Amendment No. 1 revises the proposal to: (1) 

Limit the availability of Complex Only orders to 

EDGX Market Makers: (2) Limit to 30 seconds or 

less the configurable time the Exchange would wait 

in the event the System cannot determine an 

equilibrium price or a permissible equilibrium price 

prior to opening a strategy; (3) provide additional 

justification and rational for giving first priority to 

Priority Customer Orders on the Simple Book in the 

allocation of interest at the conclusion of a COA; 

(4) expand the discussion and justification for the 

proposed market data feeds; (5) provide additional 

clarification of the provisions addressing trading 

halts, Legging, and the and complex order opening 

process; (6) provide an example relating to the 

operation of concurrent COAs, and make other 

minor structural, technical, and clarifying 

amendments to improve the understandability of 

the rules. To promote transparency of its proposed 

amendment, when EDGX filed Amendment No. 1 

with the Commission, it also submitted 

Amendment No. 1 as a comment letter to the file, 

which the Commission posted on its Web site and 

placed in the public comment file for SR– 

BatsEDGX–2017–29. The Exchange also posted a 

copy of its Amendment No. 1 on its Web site 

(available at: http://cdn.batstrading.com/resources/ 

regulation/rule_filings/pending/2017/SRBatsEDGX-2017-29-Amendment-No-1.pdf) when it 

filed Amendment No. 1 with the Commission. 

7EDGX Rule 21.20(a)(1) defines the term ABBO 

to mean the best bid(s) or offer(s) disseminated by 

other Eligible Exchanges (as defined in Rule 

27.1(a)(7)) and calculated by the Exchange based on 

market information received by the Exchange from 

OPRA. 

8EDGX Rule 21.20(a)(2) defines the term BBO to 

mean the best bid or offer on the Simple Book on 

the Exchange. 

9EDGX Rule 21.20(a)(3) defines the Complex 

Order Auction (‘‘COA’’) as an auction of a complex 

order as set forth in EDGX Rule 21.20(d). 

10EDGX Rule 21.20(a)(4) defines a COA-eligible 

order as a complex order designated to be placed 

into a Complex Order Auction upon receipt that 

meets the requirements of EDGX Rule 21.20(d)(1). 

11EDGX Rule 21.20(a)(5) defines a complex order 

as 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, in a ratio that is equal to or greater than 

one-to-three (.333) and less than or equal to threeto-one (3.00) and for the purposes of executing a 

particular investment strategy. Only those complex 

orders in the classes designated by the Exchange 

and communicated to Members with no more than 

the applicable number of legs, as determined by the 

Exchange on a class-by-class basis and 

communicated to Members, are eligible for 

processing. The Exchange will communicate such 

information to Members by making publicly 

available specifications and/or publishing a 

Regulatory Circular. See Notice, 82 FR at 33171. 

12EDGX Rule 21.20(a)(6) defines the Complex 

Order Book (‘‘COB’’) as the Exchange’s electronic 

book of complex orders. 

13EDGX Rule 21.20(a)(7) defines the term 

complex strategy to mean 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 instrument creation request 

or complex order for a complex strategy that is not 

currently in the System. The Exchange may limit 

the number of new complex strategies that may be 

in the System at a particular time and will 

communicate any such limitation to Members via 

specifications and/or Regulatory Circular. EDGX 

notes that the two methods for creating a new 

complex strategy will be equally available to all 

EDGX Members. See Notice, 82 FR at 33171. 

14EDGX Rule 21.20(a)(8) defines the term NBBO 

to mean the national best bid or offer as calculated 

by the Exchange based on market information 

received by the Exchange from OPRA. 

15EDGX Rule 21.20(a)(9) defines the term regular 

trading to mean the trading of complex orders that 

occurs during a trading session other than: (i) At the 

opening or re-opening of the COB for trading 

following a halt; or (ii) during the COA process (as 

described in EDGX Rule 21.20(d)). 

16EDG Rule 21.20(a)(10) defines the Simple Book 

as the Exchange’s regular electronic book of orders. 

17EDGX Rule 21.20(a)(11) states that the 

Synthetic Best Bid or Offer (‘‘SBBO’’) is calculated 

using the best displayed price for each component 

of a complex strategy from the Simple Book. 

18EDGX Rule 21.20(a)(12) states that the 

Synthetic National Best Bid or Offer (‘‘SNBBO’’) is 

calculated using the NBBO for each component of 

a complex strategy to establish the best net bid and 

offer for a complex strategy. The NBBO is the 

national best bid or offer as calculated by the 

Exchange based on market information received by 

the Exchange from OPRA. See EDGX Rule 

21.20(a)(8). 

19See Notice, 82 FR at 33182. GTC means, for an 

order so designated, that if after entry into the 

System, the order is not fully executed, the order 

(or the unexecuted portion thereof) shall remain 

available for potential display and/or execution 

unless cancelled by the entering party, or until the 

option expires, whichever comes first. See EDGX 

Rule 21.1(f)(4). 

20OPG means, for an order so designated, an 

order that shall only participate in the opening 

process on the Exchange. An OPG order not 

executed in the opening process will be cancelled. 

See EDGX Rule 21.1(f)(6). 

21See Notice, 82 FR at 33182, and EDGX Rules 

21.1(f)(4) and (f)(6), and 21.20(b). 

22See Notice, 82 FR at 33184–33185 (citing C2 

Rules 6.10(e)(2) and 610(c)(7) and ISE Rules 715(o) 

and 715(r)). 

23See EDGX Rule 21.20(b). 

24See id. 

25Complex orders that are marked as IOC will, by 

default, not initiate a COA upon arrival, but a 

Member that submits an order marked IOC may 

elect to opt-in to initiating a COA and any quantity 

of the IOC order not executed will be cancelled at 

the end of the COA. All other Times in Force will 

by default initiate a COA, but a Member may elect 

to opt-out of initiating a COA. Orders with 

instructions to (or which default to) initiate a COA 

are referred to as COA-eligible orders, subject to the 

additional eligibility requirements set forth in Rule 

21.20, while orders with instructions not to (or 

which default not to) initiate a COA are referred to 

as do-not-COA orders. See EDGX Rule 21.20(b)(2). 

26EDGX’s System will support, when trading 

against other complex orders on the COB, complex 

orders with the following MTP Modifiers defined in 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–81891; File No. SR– 

BatsEDGX–2017–29] 

Self-Regulatory Organizations; Bats 

EDGX Exchange, Inc.; Notice of Filing 

of Amendment No. 1 and Order 

Granting Accelerated Approval of a 

Proposed Rule Change, as Modified by 

Amendment No. 1, To Adopt New 

Rules Governing the Trading of 

Complex Orders on the Exchange 

October 17, 2017. 

I. Introduction 

On June 30, 2017, Bats EDGX 

Exchange, Inc. (‘‘EDGX’’ or the 

‘‘Exchange’’) filed with the Securities 

and Exchange Commission 

(‘‘Commission’’), pursuant to Section 

19(b)(1) of the Securities Exchange Act 

of 1934 (‘‘Act’’) 1 and Rule 19b–4 

thereunder,2 a proposed rule change to 

adopt rules to govern the trading of 

complex orders on EDGX. The proposed 

rule change was published for comment 

in the Federal Register on July 19, 

2017.3 The Commission received no 

comments regarding the proposal. On 

August 23, 2017, pursuant to Section 

19(b)(2) of the Act,4 the Commission 

extended the time for Commission 

action on the proposal until October 17, 

2017.5 EDGX filed Amendment No. 1 to 

the proposal on October 16, 2017.6 The 

Commission is publishing this notice to 

solicit comment on Amendment No. 1 

to the proposed rule change from 

interested persons and is approving the 

proposed rule change, as modified by 

Amendment No. 1, on an accelerated 

basis. 

II. Description of the Proposed Rule 

Change, as Modified by Amendment 

No. 1 

A. Definitions 

New EDGX Rule 21.20 establishes the 

following defined terms that will apply 

to the trading of complex orders: 

ABBO,7 BBO,8 Complex Order Auction 

(‘‘COA’’),9 COA-Eligible Order,10

Complex Order,11 Complex Order Book 

(‘‘COB’’),12 Complex Strategy,13

NBBO,14 Regular Trading,15 Simple 

Book,16 Synthetic Best Bid or Offer 

(‘‘SBBO’’),17 and Synthetic National 

Best Bid or Offer (‘‘SNBBO’’).18

B. Order Types and Times in Force 

EDGX proposes to amend EDGX Rule 

21.1 to add two new Times in Force that 

are not currently available on EDGX, 

Good Til Cancelled (‘‘GTC’’) 19 and At 

the Open (‘‘OPG’’) orders.20 Both GTC 

and OPG ultimately will be available on 

both the Simple Book and on the COB.21

EDGX notes that other exchanges offer 

GTC orders and orders that, like OPG 

orders, participate only in the 

exchange’s opening process.22 Complex 

orders also may be submitted with a 

Time in Force of GTD, IOC, or DAY.23

EDGX proposes to allow Members to 

submit limit and market complex 

orders,24 COA-eligible and Do Not COA 

Orders,25 and Complex Orders with 

Match Trade Prevention Modifiers.26


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Rule 21.1(g): MTP Cancel Newest, MTP Cancel 

Oldest and MTP Cancel Both. When Legging into 

the Simple Book, a complex order with any MTP 

Modifier will be cancelled if it would execute 

against any leg on the Simple Book that includes 

an order with an MTP Modifier and the same 

Unique Identifier as the complex order. See EDGX 

Rule 21.20(b)(3). 

27A Market Maker is an Options Member that is 

registered with the Exchange for the purpose of 

making markets in options contracts traded on the 

Exchange and that is vested with the rights and 

responsibilities specified in Chapter XXII of EDGX’s 

Rules. See EDGX Rule 16.1(a)(37). 

28See Amendment No. 1. Complex Only Orders 

allow an EDGX Market Maker to designate a 

complex order with a time in force of DAY or IOC 

to only check against the COB. Unless designated 

as Complex Only, and for all other Times in Force 

and complex order origin codes, a complex order 

will check against both the COB and the Simple 

Book. See EDGX Rule 21.20(b)(1) and Amendment 

No. 1. 

29See Amendment No. 1. EDGX believes that 

Market Makers may use Complex Only orders as 

part of their strategy to maintain additional control 

over their executions, in connection with their 

attempt to provide and not remove liquidity, or in 

connection with applicable fees for executions. See 

id. 

30See Amendment No. 1 and EDGX Rule 

21.20(b). 

31See Amendment No. 1. 

32See EDGX Rule 21.20(c). 

33See id. 

34See EDGX Rule 21.20(c)(l). 

35The Simple Book is EDGX’s regular electronic 

book of orders. See EDGX Rule 21.20(a)(10). 

36See EDGX Rule 21.20(c)(l)(B). The BBO is the 

best bid or offer on the Simple Book on EDGX. See 

EDGX Rule 21.20(a)(2). 

37See EDGX Rule 21.20(c)(1)(C). 

38See EDGX Rule 21.20(c)(2)(A). 

39See id. and Amendment No. 1. 

40See EDGX Rule 21.20(c)(2)(A). 

41See id. 

42See id. and Amendment No. 1. 

43See EDGX Rule 21.20(c)(2)(A). 

44See id. 

45The ‘‘System’’ is the electronic 

communications and trading facility designated by 

EDGX’s Board of Directors through which securities 

orders of Users are consolidated for ranking, 

execution and, when applicable, routing away. See 

EDGX Rule 1.5(cc). 

46See EDGX Rule 21.20(c)(2)(B) and Amendment 

No. 1. 

47See EDGX Rule 21.20(c)(2)(C). EDGX Rule 

21.20(c)(2)(C) further provides that if there are 

multiple price levels that would result in the same 

number of strategies executed, the System will 

choose the price that would result in the smallest 

remaining imbalance. If there are multiple price 

levels that would result in the same number of 

strategies executed and would leave the same 

‘‘smallest’’ imbalance, the System will choose the 

price that is closest to the Volume Based Tie 

Breaker (‘‘VBTB’’) as the opening price. For 

purposes of Rule 21.20(c)(2)(C), the VBTB is the 

midpoint of the SNBBO. If there is no valid VBTB 

available, the System will use the midpoint of the 

highest and lowest potential opening prices as the 

opening price. If the midpoint price would result 

in an invalid increment, the System will round up 

to the nearest permissible increment and use that 

as the opening price. If executing at the equilibrium 

price would require printing at the same price as 

a Priority Customer on any leg in the Simple Book, 

the System will adjust the equilibrium price to a 

price that is better than the corresponding bid or 

offer in the marketplace by at least a $0.01 

increment. See id. 

48See footnote 18, supra. 

49See EDGX Rule 21.20(c)(2)(D) and Amendment 

No. 1. 

50See EDGX Rule 21.20(c)(2)(D). 

51See EDGX Rule 21.20(c)(2)(D) and Amendment 

No. 1. EDGX believes that the proposed 

configurable time period is important because the 

Continued 

EDGX Market Makers 27 also will be able 

to submit Complex Only orders.28 EDGX 

notes that limiting Complex Only orders 

to EDGX Market Makers is equivalent to 

approved functionality on MIAX and 

will encourage use by participants that 

are most likely to provide liquidity to 

EDGX on the COB.29

EDGX will communicate to Members 

via specifications and/or Regulatory 

Circular when the complex order types, 

among those listed in EDGX Rule 

21.20(b), are available for use on 

EDGX.30 EDGX expects to launch the 

COB with all of the proposed order 

types, except for orders with a Time in 

Force of GTC.31

C. Trading of Complex Orders 

EDGX will determine and 

communicate to Members via 

specifications and/or Regulatory 

Circular which complex order origin 

codes (i.e., non-broker-dealer customers, 

broker-dealers that are not Market 

Makers on an options exchange, and/or 

Market Makers on an options exchange) 

are eligible for entry onto the COB.32

Complex orders will be subject to all 

other EDGX rules that pertain to orders 

submitted to EDGX generally, unless 

otherwise provided in Rule 21.20.33

1. Minimum Increments and Trade 

Prices 

Under the proposed rules, bids and 

offers on complex orders may be 

expressed in $0.01 increments, and the 

component(s) of a complex order may 

be executed in $0.01 increments, 

regardless of the minimum increments 

otherwise applicable to individual 

components of the complex order.34 If 

any component of a complex strategy 

would be executed at a price that is 

equal to a Priority Customer bid or offer 

on the Simple Book,35 at least one other 

component of the complex strategy must 

trade at a price that is better than the 

corresponding BBO.36 A complex order 

will not be executed at a net price that 

would cause any component of the 

complex strategy to be executed: (i) At 

a price of zero; or (ii) ahead of a Priority 

Customer Order on the Simple Book 

without improving the BBO of at least 

one component of the complex 

strategy.37

2. Execution of Complex Orders 

a. Opening and Reopening 

The Opening Process for the COB 

(‘‘Opening Process’’) will operate at the 

beginning of each trading session and 

upon re-opening after a halt.38 Members 

may submit complex orders to EDGX as 

set forth in EDGX Rule 21.6(c).39 Any 

complex orders designated for the 

Opening Process for the COB will be 

queued until 9:30 a.m., at which time 

they will be eligible to be executed in 

the Opening Process for the COB.40 Any 

complex orders designated for a reopening following a halt will be queued 

until the halt has ended, at which time 

they will be eligible to be executed in 

the Opening Process for the COB.41

Beginning at 7:30 a.m. and updated 

every five seconds thereafter, EDGX will 

disseminate through the data feeds 

described in EDGX Rule 21.15 

indicative prices and order imbalance 

information associated with the 

Opening Process for the COB while 

complex orders are queued prior to 9:30 

a.m. or, in the case of a halt, prior to reopening.42

Complex orders do not participate in 

the Opening Process for the individual 

option series conducted pursuant to 

EDGX Rule 21.7.43 The Opening Process 

will commence when all legs of the 

complex strategy are open on the 

Simple Book.44 If there are complex 

orders in a strategy that have been 

queued but none that can match, the 

System 45 will open that strategy 

without a trade and transition such 

orders to the COB, subject to Legging 

into the Simple Book, as described in 

EDGX Rule 21.20(c)(2)(F).46

If there are complex orders that can 

match, the System will determine the 

equilibrium price where the most 

complex orders can trade.47 When an 

equilibrium price is established at or 

within the SNBBO,48 EDGX will execute 

matching complex orders in price/time 

priority at the equilibrium price (i.e., 

orders better than the equilibrium price 

are executed first in price/time priority 

and thereafter orders at the equilibrium 

price are executed in time priority).49

Any remaining complex order or the 

remaining portion thereof will be 

entered into the COB, subject to the 

Member’s instructions.50 If, after a 

configurable time period established by 

EDGX that may not exceed thirty 

seconds, the System cannot match 

orders because it cannot determine an 

equilibrium price (i.e., all queued orders 

are Market Orders) or a permissible 

equilibrium price (i.e., within the 

SNBBO that also satisfies proposed 

EDGX Rule 21.20(c)(1)(C)), the System 

will open the strategy without a trade 

and transition such orders to the COB.51


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opening price protections are relatively restrictive 

(i.e., based on the SNBBO) and EDGX wants to have 

the ability to periodically adjust the process to 

improve its operation. EDGX states that it will 

adjust the process to include the amount of delay 

that the Exchange believes will allow sufficient 

opportunity to have Opening Process executions 

while also transitioning to regular trading as 

quickly as possible. The Exchange believes that 

limiting this time period to thirty seconds or less 

will ensure that the COB opens promptly and 

efficiently but that the Exchange also allows enough 

time for the individual leg markets across all 

options exchanges, including the Exchange, to open 

and stabilize. EDGX notes that, although not 

configurable, in an analogous opening process for 

its equities market (set forth in EDGX Rule 11.7(d)), 

when a security cannot be opened through such 

process based on orders received and market 

conditions, the Exchange waits fifteen minutes 

before transitioning such orders to its order book. 

See Amendment No. 1. 

52See EDGX Rule 21.20(c)(2)(D) and Amendment 

No. 1. 

53A ‘‘Priority Customer’’ is any person or entity 

that is not: (A) A broker or dealer in securities; or 

(B) a Professional, and a ‘‘Priority Customer Order’’ 

is an order for the account of a Priority Customer. 

See EDGX Rule 16.1(a)(45). A ‘‘Professional’’ is any 

person or entity that: (A) Is not a broker or dealer 

in securities; and (B) places more than 390 orders 

in listed options per day on average during a 

calendar month for its own beneficial account(s). 

See EDGX Rule 16.1(a)(46). 

54See EDGX Rule 21.20(c)(2)(E). 

55See id. 

56See id. 

57See Section II.G, infra, for a discussion of the 

Drill-Through Price Protection feature. 

58See EDGX Rule 21.20(c)(3)(A). EDGX notes that 

other options exchanges have adopted similar rules. 

See Notice, 82 FR at 33175, n.34. 

59See EDGX Rule 21.20(c)(3)(B). 

60See id. 

61See Notice, 82 FR at 33184. 

62Complex orders will not be routed outside of 

EDGX regardless of the prices displayed by away 

markets. See EDGX Rule 21.20(c)(4). 

63See Notice, 82 FR at 33175. 

64See EDGX Rule 21.20(c)(4). A complex order 

for which the Drill-Through Price Protection is 

engaged will be managed to the Drill-Through Price, 

as described in EDGX Rule 21.20, Interpretations 

and Policy .04(f). See Notice, 82 FR at 33175, n.36. 

65See EDGX Rule 21.20(c)(4)(A). 

66See id. 

67See id. 

68See id. 

69See id. For an example of the complex order 

managed interest process when the SBBO includes 

Priority Customer Interest, see Notice, 82 FR at 

33176. 

70See EDGX Rule 21.20(c)(4)(A) and Notice, 82 

FR at 33176. For an example of the complex order 

managed interest process when the ratio to allow 

Legging does not exist and there is no Priority 

Customer Interest at the SBBO, see Notice, 82 FR 

at 33176. 

All complex orders received by EDGX 

prior to EDGX opening the strategy, 

including complex orders received 

during any delay that EDGX applies 

pursuant to EDGX Rule 21.20(c)(2)(D), 

will be eligible to be matched in the 

Opening Process.52

b. Pricing 

Incoming complex orders will not be 

executed at prices inferior to the SBBO 

or at a price that is equal to the SBBO 

when there is a Priority Customer 

Order 53 at the best SBBO price.54

Complex orders will never be executed 

at a price that is outside of the 

individual component prices on the 

Simple Book, and the net price of a 

complex order executed against another 

complex order on the COB will never be 

inferior to the price that would be 

available if the complex order legged 

into the Simple Book.55

Incoming complex orders that cannot 

be executed because the executions 

would be priced (i) outside of the SBBO, 

or (ii) equal to the SBBO due to a 

Priority Customer Order at the best 

SBBO price, will be cancelled if such 

complex orders are not eligible to be 

placed on the COB.56 Complex orders 

will be executed without consideration 

of any prices for the complex strategy 

that might be available on other 

exchanges trading the same complex 

strategy provided, however, that such 

complex order price may be subject to 

the Drill-Through Price Protection set 

forth in Interpretation and Policy .04(f) 

of EDGX Rule 21.20.57

3. Priority 

A complex order may be executed at 

a net credit or debit price against 

another complex order without giving 

priority to bids or offers established in 

the marketplace that are no better than 

the bids or offers comprising such net 

credit or debit; provided, however, that 

if any of the bids or offers established 

in the marketplace consist of a Priority 

Customer Order, at least one component 

of the complex strategy must trade at a 

price that is better than the 

corresponding BBO by at least a $0.01 

increment.58

Complex orders will be automatically 

executed against bids and offers on the 

COB in price priority, and bids and 

offers at the same price on the COB will 

be executed in time priority.59 Complex 

orders that leg into the Simple Book will 

be executed in accordance with EDGX 

Rule 21.8.60 EDGX notes that a complex 

order on EDGX would execute first 

against orders on the Simple Book 

(except in the limited circumstances 

described in EDGX Rule 21.20(c)(2)(F)) 

if any of the bids or offers established 

in the simple marketplace consist of a 

Priority Customer Order.61

4. Managed Interest Process 

EDGX Rule 21.20(c)(4) sets forth the 

managed interest process that describes 

how the System handles a complex 

order that is not immediately executed 

upon receipt, including how such an 

order is priced and re-priced on the 

COB.62 The managed interest process, 

which is initiated when a complex order 

that is eligible to be placed on the COB 

cannot be executed against either the 

COB or the Simple Book at the complex 

order’s net price, is intended to ensure 

that a complex order to be managed 

does not result in a locked or crossed 

market on the Exchange.63 Once 

initiated, the managed interest process 

for complex orders will be based upon 

the SBBO.64

Under the managed interest process, a 

complex order that is resting on the 

COB and is either a complex market 

order, as described in EDGX Rule 

21.20(c)(6), or a complex order with a 

limit price that locks or crosses the 

current opposite side SBBO when the 

SBBO is the best price, may be subject 

to the managed interest process for 

complex orders.65 If the order is not a 

COA-eligible order, as defined in EDGX 

Rule 21.20(a)(4), the System will first 

determine if the inbound complex order 

can be matched against other complex 

orders resting on the COB at a price that 

is at or inside the SBBO (provided there 

are no Priority Customer Orders on the 

Simple Book at that price).66 Second, 

the System will determine if the 

inbound complex order can be executed 

by Legging against individual orders 

resting on the Simple Book at the SBBO. 

A complex order subject to the managed 

interest process will never be executed 

at a price that is through the individual 

component prices on the Simple 

Book.67 The net price of a complex 

order subject to the managed interest 

process that is executed against another 

complex order on the COB will never be 

inferior to the price that would be 

available if the complex order legged 

into the Simple Book.68 When the 

opposite side SBBO includes a Priority 

Customer Order, the System will book 

and display the booked complex order 

on the COB at a price (the ‘‘book and 

display price’’) that is $0.01 away from 

the current opposite side SBBO.69

When the opposite side SBBO does 

not include a Priority Customer Order 

and is not available for execution in the 

ratio of the complex order, or cannot be 

executed through Legging with the 

Simple Book, as described in EDGX 

Rule 21.20(c)(2)(F), the System will 

place the complex order on the COB and 

display the booked complex order at a 

book and display price that will lock the 

current opposite side SBBO (i.e., 

because it is a price at which another 

complex order can trade).70

If the SBBO changes, the complex 

order’s book and display price will 

continuously re-price to the new SBBO 

until: (i) The complex order has been 


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71See EDGX Rule 21.20(c)(4)(B). 72See id. 73See id. 74See Notice, 82 FR at 33176. 75See id. EDGX Rule 21.20(c)(5)(A) states that 

new complex orders are evaluated upon receipt to 

determine if they are COA eligible or (i) eligible for 

full or partial execution against another complex 

order resting on the COB; (ii) eligible for full or 

partial execution through Legging with the Simple 

Book; (iii) whether all or any remaining portion of 

such an order should be placed on the COB; (iv) the 

eligibility of such orders for the managed interest 

process; (v) whether such orders should be 

cancelled. EDGX Rule 21.20(c)(5)(B) states that the 

System will continue to evaluate complex orders on 

the COB and also will continue to evaluate (i) 

whether such complex orders are eligible for full or 

partial execution against a complex order resting on 

the COB; (ii) whether such complex orders are 

eligible for full or partial execution through Legging 

with the Simple Book; (iii) whether any remaining 

portion of a complex order should be placed on the 

COB; (iv) whether all or the remaining portion of 

a complex should be placed on the COB; and (v) 

whether such complex orders should be cancelled. 

EDGX Rule 21.20(c)(5)(B) also states that the System 

will continue to evaluate whether there is a trading 

halt affecting any component of a complex strategy 

and, if so, the System will handle complex orders 

as set forth in EDGX Rule 21.20, Interpretation and 

Policy .05. 

76See EDGX Rule 21.20(c)(5)(C). If the System 

determines that a complex order is not COAeligible, the complex order may be (i) immediately 

matched and executed against a complex order 

resting on the COB; (ii) executed against the 

individual components of the complex order on the 

Simple Book through Legging; (iii) placed on the 

COB and managed pursuant to the managed interest 

process; or (iv) cancelled by the System if the timein-force of the complex order does not allow it to 

rest on the COB. See EDGX Rule 21.20(c)(5)(D). 

77See Notice, 82 FR at 33175. 

78See id. 

79See EDGX Rule 21.20(c)(6). 

80See EDGX Rule 21.20(c)(6)(A). 

81See EDGX Rule 21.20(c)(6)(B). See Sections 

II.C.4 and II.C.5, supra, respectively, for a 

discussion of the managed interest process and the 

evaluation process. 

82See Notice, 82 FR at 33174. 

83See EDGX Rule 21.20(c)(2)(F). 

84See id. 

85See id. EDGX notes that Legging against the 

individual components of a complex order on the 

Simple Book allows complex orders to access the 

full liquidity of the Exchange’s Simple Book, thus 

enhancing the possibility of executions at the best 

available prices on the Exchange. EDGX believes 

this is particularly true for Customer complex 

orders and, thus, does not propose to limit the 

ability of such orders to leg into the Simple Book 

(when such orders are two-legged orders). See 

Amendment No. 1. 

86See EDGX Rule 21.20(c)(2)(F). EDGX notes that 

its restrictions on Legging are substantially similar 

to those in ISE Rules 722(b)(3)(ii)(A) and (B). See 

Amendment No. 1. 

87See EDGX Rule 21.20(d). 

88See id. 

executed in its entirety; (ii) if not 

executed, the complex order’s book and 

display price has reached its limit price 

or, in the case of a complex market 

order, the new SBBO, subject to any 

applicable price protections; (iii) the 

complex order has been partially 

executed and the remainder of the 

order’s book and display price has 

reached its limit price or, in the case of 

a complex market order, the new SBBO, 

subject to any applicable price 

protections; or (iv) the complex order or 

any remaining portion of the complex 

order is cancelled.71 If EDGX receives a 

new complex order for the complex 

strategy on the opposite side of the 

market from the managed complex order 

that can be executed, the System will 

immediately execute the remaining 

contracts from the managed complex 

order to the extent possible at the 

complex order’s current book and 

display price.72 If unexecuted contracts 

remain from the complex order on the 

COB, the complex order’s size will be 

revised and disseminated to reflect the 

complex order’s remaining contracts at 

its current managed book and display 

price.73

5. Evaluation Process 

EDGX Rule 21.20(c)(5) describes how 

and when the System determines to 

execute or otherwise handle complex 

orders in the System.74 EDGX notes that 

the System will evaluate complex orders 

initially once all components of the 

complex strategy are open, upon receipt 

as set forth in EDGX Rule 21.20(c)(5)(A), 

and continually, as set forth in EDGX 

Rule 21.20(c)(5)(B).75 EDGX Rule 

21.20(c)(5)(C) states that if the System 

determines that a complex order is 

COA-eligible, the order will be 

submitted into the COA process 

described in EDGX Rule 21.20(d).76

EDGX states that the purpose of the 

evaluation process for complex orders is 

to determine (i) their eligibility to 

initiate, or to participate in, a COA; (ii) 

their eligibility to participate in the 

managed interest process; (iii) their 

eligibility for full or partial execution 

against a complex order resting on the 

COB or through the Legging into the 

Simple Book; (iv) whether the complex 

order should be cancelled; and (v) 

whether the complex order or any 

remaining portion thereof should be 

placed or remain on the COB.77 EDGX 

states that the continual and eventtriggered evaluation process ensures 

that the System is monitoring and 

assessing the COB for incoming 

complex orders, and changes in market 

conditions or events that cause complex 

orders to re-price and/or execute, and 

conditions or events that result in the 

cancellation of complex orders on the 

COB.78

6. Complex Market Orders 

EDGX Rule 21.20(c)6) describes the 

handling of complex market orders. 

Complex orders may be submitted as 

market orders and may be designated as 

COA-eligible.79 Complex market orders 

designated as COA-eligible may initiate 

a COA upon arrival.80 Complex market 

orders not designated as COA-eligible 

will trade with any contra-side complex 

orders, or against the individual legs, up 

to and including the SBBO, and if not 

fully executed due to applicable price 

protection may be posted to the COB, 

subject to the managed interest process 

and the evaluation process.81

D. Legging 

EDGX Rule 21.20(c)(2)(F) describes 

the Legging process through which 

complex orders, under certain 

circumstances, are executed against the 

individual components of a complex 

strategy on the Simple Book.82 EDGX 

Rule 21.20(c)(2)(F) provides that 

complex orders up to a maximum 

number of legs (determined by the 

Exchange on a class-by-class basis as 

either two, three, or four legs and 

communicated to Members via 

specifications and/or Regulatory 

Circular) may be automatically executed 

against bids and offers on the Simple 

Book for the individual legs of the 

complex order (‘‘Legging’’), provided 

the complex order can be executed in 

full or in a permissible ratio by such 

bids and offers.83 Complex orders with 

two option legs where both legs are 

buying or both legs are selling and both 

legs are calls or both legs are puts may 

only trade against other complex orders 

on the COB and will not be permitted 

to leg into the Simple Book.84

Notwithstanding the foregoing, all two 

leg COA-eligible Customer complex 

orders will be allowed to leg into the 

Simple Book without restriction.85

Complex orders with three or four 

option legs where all legs are buying or 

all legs are selling may only trade 

against other complex orders on the 

COB and will not leg into the Simple 

Book, regardless of whether the option 

leg is a call or a put.86

E. COA Process 

EDGX Rule 21.20(d) describes the 

COA process. All option classes will be 

eligible to participate in a COA.87 Upon 

evaluation, as set forth in EDGX Rule 

21.20(c)(5), EDGX may determine to 

automatically submit a COA-eligible 

order into a COA.88

1. Eligibility and Initiation 

A ‘‘COA-eligible order’’ is a complex 

order that, as determined by the 

Exchange, is eligible to initiate a COA 

based upon the Member’s instructions, 

the order’s marketability (i.e., if the 

price of such order is equal to or better 

than the current SBBO, subject to 


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89See EDGX Rule 21.20(d)(1). EDGX notes that 

other options exchanges have limited auction 

eligibility for complex orders based on order origin 

code (citing MIAX Rule 518(d)(1), CBOE Rule 

6.53C(d)(i), and NYSE American Rule 980NY(e)(1)). 

See Notice, 82 FR at 33177. 

90See EDGX Rule 21.20(d)(1). 91Complex orders that are marked as IOC will, by 

default, not initiate a COA upon arrival, but a 

Member that submits an order marked IOC may 

elect to opt-in to initiating a COA and any quantity 

of the IOC order not executed will be cancelled at 

the end of the COA. All other Times in Force will 

by default initiate a COA, but a Member may elect 

to opt-out of initiating a COA. See EDGX Rule 

21.20(b)(2). As noted above, market orders may be 

designated as COA-eligible. See EDGX Rule 

21.20(c)(6). See also Notice, 82 FR at 33172. 

92EDGX Rule 21.20, Interpretation and Policy .02 

provides that if a COA-eligible order is priced equal 

to, or improves, the SBBO and is also priced to 

improve other complex orders resting at the top of 

the COB, the complex order will be eligible to 

initiate a COA, provided that if any of the bids or 

offers on the Simple Book that comprise the SBBO 

consists of a Priority Customer Order, the COA will 

only be initiated if it will trade at a price that is 

better than the corresponding bid or offer by at least 

a $0.01 increment. EDGX believes that if a complex 

order is not priced equal to, or better than, the 

SBBO or is not priced to improve other complex 

orders resting at the top of the COB, it would not 

be reasonable to anticipate that the complex order 

would generate a meaningful number of COA 

Responses such that there would be price 

improvement of the complex order’s limit price. 

Thus, EDGX believes that these criteria ensure that 

a COA will be conducted only when there is a 

reasonable and realistic chance for price 

improvement through the COA. See Notice, 82 FR 

at 33185. 

93See EDGX Rule 21.20, Interpretation and Policy 

.03. 94See EDGX Rule 21.20(d)(2). EDGX notes that 

any Member may subscribe to EDGX’s data feeds 

that include auction notifications. See Notice, 82 FR 

at 33814. 

95See EDGX Rule 21.20(d)(2). 

96See id. The price included in the COA auction 

message will be the limit order price, unless the 

COA is initiated by a complex market order, in 

which case such price will be the SBBO, subject to 

any applicable price protections. See id. 

97See EDGX Rule 21.20(d)(4). The Response Time 

Interval is the period of time during which 

responses to the COA may be entered. The 

Exchange will determine the duration of the 

Response Time Interval, which shall not exceed 500 

milliseconds, and will communicate it to Members 

via specifications and/or Regulatory Circular. See 

EDGX Rule 21.20(d)(3). EDGX notes that the 

Response Time Interval is based on MIAX Rule 

518(d)(3). See Notice, 82 FR at 33177, n.45. 

98See EDGX Rule 21.20(d)(4). 

99See id. 

100See id. 

101See id. 

102See id. 

103See id. 

104See id. 

105See EDGX Rule 21.20(d)(5)(A). 

106See EDGX Rule 21.20(d)(5)(B). 

107See EDGX Rule 21.20(d)(5)(C). 

108See EDGX Rule 21.20, Interpretation and 

Policy .05(b). 

109See EDGX Rule 21.20(d)(6). For an example of 

pricing in a COA, see Notice, 82 FR at 33178. 

110See EDGX Rule 21.20(d)(7). For examples of 

allocations at the conclusion of a COA, see Notice, 

82 FR at 33178–79 and Amendment No. 1. 

applicable restrictions when a Priority 

Customer Order comprises a portion of 

the SBBO) as determined by the 

Exchange, number of components, and 

complex order origin codes (i.e., nonbroker-dealer customers, broker-dealers 

that are not market makers on an 

options exchange, and/or market makers 

on an options exchange as determined 

by the Exchange).89 Determinations by 

the EDGX with respect to COA 

eligibility will be communicated to 

Members via specifications and/or 

Regulatory Circular.90

To initiate a COA, a COA-eligible 

order must be designated as such (either 

affirmatively or by default) 91 and must 

meet the criteria described in proposed 

EDGX Rule 21.20, Interpretation and 

Policy .02.92 Dissemination of 

information related to COA-eligible 

orders by the submitting Member to 

third parties will be deemed conduct 

inconsistent with just and equitable 

principles of trade, as described in 

EDGX Rule 3.1.93

2. Commencement of a COA 

Upon receipt of a COA-eligible order, 

EDGX will send a COA auction message 

to all subscribers to EDGX’s data feeds 

that deliver COA Auction messages.94

The COA auction message will identify 

the COA auction ID, instrument ID (i.e., 

the complex strategy), origin code, 

quantity, and side of the market of the 

COA-eligible order.95 EDGX may also 

determine to include the price in COA 

auction messages, and if it does so it 

will announce that determination in 

published specifications and/or 

Regulatory Circular to Members.96

3. COA Responses 

A Member with any origin code, 

including a Priority Customer, may 

submit a response to the COA auction 

message (a ‘‘COA Response’’) during the 

Response Time Interval.97 COA 

Responses may be submitted in $0.01 

increments and must specify the price, 

size, side of the market (i.e., a response 

to a buy COA as a sell or a response to 

a sell COA as a buy) and COA auction 

ID for the COA to which the response 

is targeted.98 Multiple COA Responses 

from the same Member may be 

submitted during the Response Time 

Interval.99 COA Responses represent 

non-firm interest that can be modified 

or withdrawn at any time prior to the 

end of the Response Time Interval, 

though any modification to a COA 

Response other than a decrease of size 

will result in a new timestamp and a 

loss of priority.100 COA Responses will 

not be displayed by the Exchange.101 At 

the end of the Response Time Interval, 

COA Responses are firm (i.e., 

guaranteed at their price and size).102

Any COA Responses not executed in 

full will expire at the end of the COA.103

Any COA Responses not executable 

based on the price of the COA will be 

cancelled immediately.104

4. Processing of COA-Eligible Orders 

At the end of the Response Time 

Interval, COA-eligible orders may be 

executed in whole or in part against the 

best priced contra side interest.105 Any 

unexecuted portion of a COA-eligible 

order remaining at the end of the 

Response Time Interval will be placed 

on the COB and ranked pursuant to 

EDGX Rule 21.20(c)(3) or cancelled, if 

IOC.106

The COA will terminate: (i) Upon 

receipt of a new non-COA-eligible order 

on the same side as the COA but with 

a better price, in which case the COA 

will be processed and the new order 

will be posted to the COB; (ii) if an 

order is received that would improve 

the SBBO on the same side as the COA 

in progress to a price better than the 

auction price, in which case the COA 

will be processed, the new order will be 

posted to the Simple Book and the 

SBBO will be updated; or (iii) if a 

Priority Customer Order is received that 

would join or improve the SBBO on the 

same side as the COA in progress to a 

price equal to or better than the auction 

price, in which case the COA will be 

processed, the new order will be posted 

to the Simple Book and the SBBO will 

be updated.107 In addition, a COA will 

terminate immediately without trading 

if any individual component or 

underlying security of a complex 

strategy in the COA process is subject to 

a halt as described in EDGX Rule 21.20, 

Interpretation and Policy .05.108

5. COA Pricing and Allocations at the 

Conclusion of a COA 

A complex strategy will not be 

executed at a net price that would cause 

any component of the complex strategy 

to be executed: (A) At a price of zero; 

or (B) ahead of a Priority Customer 

Order on the Simple Book without 

improving the BBO on at least one 

component of the complex strategy by at 

least $.01.109 Orders executed in a COA 

will be allocated first in price priority 

based on their original limit price as 

follows: (A) Priority Customer Orders 

resting on the Simple Book; (B) COA 

Responses and unrelated orders on the 

COB in time priority; and (C) remaining 

individual orders in the Simple Book 

(i.e., non-Priority Customer), which will 

be allocated pursuant to EDGX Rule 

21.8.110 EDGX believes the priority 

model to provide highest priority to 

Priority Customer Orders resting on the 


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111See EDGX Rule 21.8 and Amendment No. 1. 

112See Amendment No. 1. EDGX states that the 

Exchange currently applies the Customer Overlay to 

all options traded on the Exchange. See id. 

113See id. 

114See id. 

115See id. 

116See id. 

117EDGX Rule 21.20, Interpretation and Policy 

.02 states that to the extent there is more than one 

COA for a specific complex strategy underway at a 

time, each COA will conclude sequentially based 

on the exact time each COA commenced, unless 

terminated early pursuant to EDGX Rule 

21.20(d)(5)(C). At the time each COA concludes, the 

COA will be allocated pursuant to this Rule and 

will take into account all COA Responses and 

unrelated complex orders on the COB at the exact 

time of conclusion. In the event there are multiple 

COAs underway that are each terminated early 

pursuant to EDGX Rule 21.20(d)(5)(C) of this Rule, 

the COAs will be processed sequentially based on 

the order in which they commenced. Because a 

COA Response must specifically identify the COA 

for which it is targeted, and if not fully executed 

will be cancelled back at the conclusion of the 

COA, COA Responses will only be considered in 

the specified COA. For examples of the processing 

of overlapping auctions, see Notice, 82 FR at 

33178–79 and Amendment No. 1. 

118See Notice, 82 FR at 33177. 

119See id., 82 FR at 33186. 

120See id., 82 FR at 33179. 

121See EDGX Rule 21.20, Interpretation and 

Policy .01. 

122See id. 

123See id. 

124See Notice, 82 FR at 33186. 

125See id. 

126See Notice, 82 FR at 33180. 

127See EDGX Rule 21.20, Interpretation and 

Policy .04(b). This functionality is similar to the 

price protections that are currently operative on 

other exchanges. See, e.g., CBOE Rule 6.53C, 

Interpretation and Policy .08(b). 

128The System would not apply this check to an 

order for when the System cannot define whether 

the order is a debit or credit. See EDGX Rule 21.20, 

Interpretation and Policy .04(c)(2). EDGX states that 

this would primarily occur prior to the opening of 

trading as orders are being queued because prices 

may not be available to make such determination. 

See Notice, 82 FR at 33181, n.54. 

129See EDGX Rule 21.20, Interpretation and 

Policy .04(c)(1). EDGX notes that ISE Rule 722, 

Supplementary Material .07(c) also includes 

variable pre-set values in connection with the 

analogous price protections included in that rule. 

See Notice, 82 FR at 33181, n.55. 

130See EDGX Rule 21.20, Interpretation and 

Policy .04(c)(3). 

131See EDGX Rule 21.20, Interpretation and 

Policy .04(c)(4). 

132A ‘‘butterfly’’ spread is a three-legged complex 

order with two legs to buy (sell) the same number 

of calls (puts) and one leg to sell (buy) twice as 

many calls (puts), all with the same expiration date 

but different exercise prices, and the exercise price 

of the middle leg is between the exercise prices of 

the other legs. If the exercise price of the middle 

leg is halfway between the exercise prices of the 

other legs, it is a ‘‘true’’ butterfly; otherwise, it is 

Continued 

Simple Book is consistent with the longstanding policies of customer protection 

found throughout the Act and the rules 

of options exchanges, and maintains the 

Exchange’s current practice by affording 

such priority.111 EDGX notes that the 

current priority model for the Exchange 

provides first priority to Priority 

Customers prior to execution of any 

orders of other participants (‘‘nonCustomers’’) pursuant to the Customer 

Overlay set forth in EDGX Rule 

21.8(d)(1).112 Thus, orders of nonCustomers on the Simple Book are 

already afforded last priority as 

compared to Priority Customers.113

EDGX states that because all listed 

options are traded on options 

exchanges, there is significant retail 

customer participation directly on 

exchanges.114 In turn, because of such 

direct retail customer participation, 

EDGX states that the exchanges have 

taken steps to afford those retail 

customers—generally Priority 

Customers—more favorable treatment in 

some circumstances.115 EDGX believes 

this treatment is appropriate to 

encourage retail participation in the 

market generally, and in light of the fact 

that Priority Customers are not 

necessarily immersed in the day-to-day 

trading of the markets and may have 

less understanding of how complex 

order books operate and interact with 

leg markets.116

6. Overlapping COAs 

EDGX Rule 21.20, Interpretation and 

Policy .02 provides that a COA will be 

allowed to commence even when a COA 

for the same strategy is already 

underway.117 EDGX represents that it 

has systems capacity to process multiple 

overlapping COAs consistent with the 

proposal, including systems necessary 

to conduct surveillance of activity 

occurring in such auctions.118 EDGX 

states that if it does not permit 

overlapping COAs, a Member who 

wishes to submit a COA-eligible order 

but has its order rejected because 

another COA is already underway in the 

complex strategy must either wait for 

that COA to conclude and re-submit the 

order to the Exchange (possibly 

constantly resubmitting the complex 

order to ensure it is received by the 

Exchange before another COA 

commences) or must send the order to 

another options exchange that accepts 

complex orders.119

F. Market-Maker Complex Quotes 

EDGX has not proposed different 

standards for participation by Market 

Makers on the COB (i.e., no specific 

benefits or obligations).120 Market 

Makers are not required to quote on the 

COB.121 Complex strategies are not 

subject to any requirements that are 

applicable to Market Makers in the 

simple market for individual options 

series or classes.122 Volume executed in 

complex strategies is not taken into 

consideration when determining 

whether Market Makers are meeting 

quoting obligations applicable to Market 

Makers in the simple market for 

individual options.123

G. Price and Other Protections 

The proposal establishes several price 

and other protections for complex 

orders. Exchange believes that the 

complex order price protections will 

provide market participants with 

valuable price and order size 

protections to enable them to better 

manage their risk exposure when 

trading complex orders.124 In particular, 

EDGX believes the price protection 

mechanisms will mitigate potential risks 

associated with market participants 

entering orders at clearly unintended 

prices and orders trading at prices that 

are extreme and potentially erroneous, 

which may likely have resulted from 

human or operational error.125

EDGX Rule 21.20, Interpretation and 

Policy .04 provides several price 

protection standards that are designed 

to ensure that certain types of complex 

strategies will not be executed outside 

of a preset standard minimum and/or 

maximum price limit.126

Under the Credit-to-Debit parameter 

in EDGX Rule 21.20, Interpretation and 

Policy .04(b), market orders that would 

be executed at a net debit price after 

receiving a partial execution at a net 

credit price will be cancelled.127 The 

Debit/Credit Price Reasonability Check 

provisions in EDGX Rule 21.20, 

Interpretation and Policy .04(c) state 

that, to the extent a price check 

parameter is applicable, EDGX will not 

accept a complex order that is a limit 

order for a debit strategy with a net 

credit price that exceeds a pre-set buffer, 

a limit order for a credit strategy with 

a net debit price that exceeds a pre-set 

buffer, or a market order for a credit 

strategy that would be executed at a net 

debit price that exceeds a pre-set 

buffer.128 EDGX will determine these 

pre-set buffer amounts and 

communicate them to Members via 

specifications and/or Regulatory 

Circular.129 The System will reject or 

cancel back to the Member any limit 

order or any market order (or any 

remaining size after partial execution of 

the order) that does not satisfy the 

Debit/Credit Price Reasonability 

check.130 The Debit/Credit Price 

Reasonability Check applies to auction 

responses in the same manner as it does 

to orders.131

The System defines a complex order 

as a debit or credit as follows: (A) A call 

butterfly spread 132 for which the 


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a ‘‘skewed’’ butterfly. See EDGX Rule 21.20, 

Interpretation and Policy .04(a)(2). 

133See EDGX Rule 21.20, Interpretation and 

Policy .04(c)(2). For purposes of the debit/credit 

price reasonability checks, a ‘‘pair’’ is a pair of legs 

in an order for which both legs are calls or both legs 

are puts, one leg is a buy and one leg is a sell, and 

both legs have the same expiration date but 

different exercise prices or, for all options except 

European-style index options, the same exercise 

price but different expiration dates. A ‘‘loner’’ is 

any leg in an order that the System cannot pair with 

another leg in the order (including legs in orders for 

European-style index options that have the same 

exercise price but different expiration dates). The 

System first pairs legs to the extent possible within 

each expiration date, pairing one leg with the leg 

that has the next highest exercise price; the System 

then, for all options except European-style index 

options, pairs legs to the extent possible with the 

same exercise prices across expiration dates, pairing 

one leg with the leg that has the next nearest 

expiration date. See EDGX Rule 21.20, 

Interpretation and Policy .04(c)(2)(C). The rule 

further provides that a pair of calls is a credit (debit) 

if the exercise price of the buy (sell) leg is higher 

than the exercise price of the sell (buy) leg (if the 

pair has the same expiration date) or if the 

expiration date of the sell (buy) leg is farther than 

the expiration date of the buy (sell) leg (if the pair 

has the same exercise price). A pair of puts is a 

credit (debit) if the exercise price of the sell (buy) 

leg is higher than the exercise price of the buy (sell) 

leg (if the pair has the same expiration date) or if 

the expiration date of the sell (buy) leg is farther 

than the expiration date of the buy (sell) leg (if the 

pair has the same exercise price). A loner to buy 

is a debit, and a loner to sell is a credit. See id. 

134A ‘‘vertical’’ spread is a two-legged complex 

order with one leg to buy a number of calls (puts) 

and one leg to sell the same number of calls (puts) 

with the same expiration date but different exercise 

prices. See EDGX Rule 21.20, Interpretation and 

Policy .04(a). A ‘‘box’’ spread is a four-legged 

complex order with one leg to buy calls and one 

leg to sell puts with one strike price, and one leg 

to sell calls and one leg to buy puts with another 

strike price, all of which have the same expiration 

date and are for the same number of contracts. See 

id. See note 132, supra, for the definition of 

butterfly spread. 

135See EDGX Rule 21.20, Interpretation and 

Policy .04(e). 

136See EDGX Rule 21.20, Interpretation and 

Policy .04(e)(1). 

137See EDGX Rule 21.20, Interpretation and 

Policy .04(e)(2). 

138For an example of the application of the DrillThrough Price Protection, see Notice, 82 FR at 

33181–82. 

139See EDGX Rule 21.20, Interpretation and 

Policy .04(f). 

140See id. 

141See id. 

142See id. 

143See EDGX Rule 21.16(a). 

144See Notice, 82 FR at 33183. 

145See EDGX Rule 21.16, Interpretation and 

Policy .01. 

146See EDGX Rule 21.20, Interpretation and 

Policy .06(a) and (b). 

147See EDGX Rule 21.20, Interpretation and 

Policy .06(c). 

148See EDGX Rule 21.20, Interpretation and 

Policy .06(a). 

149See id. EDGX notes that ISE Rule 722, 

Supplementary Material .07(d) also provides for 

middle leg is to sell (buy) and twice the 

exercise price of that leg is greater than 

or equal to the sum of the exercise 

prices of the buy (sell) legs is a debit 

(credit); (B) a put butterfly spread for 

which the middle leg is to sell (buy) and 

twice the exercise price of that leg is 

less than or equal to the sum of the 

exercise prices of the buy (sell) legs is 

a debit (credit); and (C) an order for 

which all pairs and loners are debits 

(credits) is a debit (credit).133

The Buy Strategy Parameters in EDGX 

Rule 21.20, Interpretation and Policy 

.04(d) provide that the System will 

reject a limit order where all the 

components of the strategy are to buy 

and the order is priced at zero, any net 

credit price that exceeds a pre-set buffer, 

or a net debit price that is less than the 

number of individual option series legs 

in the strategy (or applicable ratio) 

multiplied by the applicable minimum 

net price increment for the complex 

order. 

The Maximum Value Acceptable 

Price Range parameter in EDGX Rule 

21.20, Interpretation and Policy .04(e) 

provides that the System will reject an 

order if the order is a vertical, true 

butterfly or box spread, or a limit order 

or market order if it would execute at a 

price that is outside of an acceptable 

price range.134 The acceptable price 

range is set by the minimum and 

maximum possible value of the spread, 

subject to an additional buffer amount 

determined by EDGX and 

communicated to Members via 

specifications and/or a Regulatory 

Circular.135 The maximum possible 

value of a vertical, true butterfly and 

box spread is the difference between the 

exercise prices of (A) the two legs; (B) 

the middle leg and the legs on either 

side; and (C) each pair of legs, 

respectively.136 The minimum possible 

value of the spread is zero.137

EDGX Rule 21.20, Interpretation and 

Policy .04(f) establishes EDGX’s DrillThrough Price Protection feature, a price 

protection mechanism applicable to all 

complex orders under which a buy (sell) 

order will not be executed at a price that 

is higher (lower) than the SNBBO or the 

SNBBO at the time of order entry plus 

(minus) a buffer amount (the ‘‘DrillThrough Price’’).138 EDGX will adopt a 

default buffer amount for the DrillThrough Price Protection and will 

publish this amount in publicly 

available specifications and/or a 

Regulatory Circular.139 A Member may 

modify the buffer amount applicable to 

Drill-Through Price Protections to either 

a larger or smaller amount than the 

Exchange default.140 If a buy (sell) order 

would execute or post to the COB at a 

price higher (lower) than the DrillThrough Price, the System will instead 

post the order to the COB at the DrillThrough Price, unless the terms of the 

order instruct otherwise. Any order (or 

unexecuted portion thereof) will rest in 

the COB (based on the time at which it 

enters the book for priority purposes) for 

a time period in milliseconds that may 

not exceed three seconds (which the 

Exchange will determine and 

communicate to Members via 

specifications and/or Regulatory 

Circular) with a price equal to the DrillThrough Price.141 If the order (or 

unexecuted portion thereof) does not 

execute during that time period, the 

System will cancel it.142

H. Risk Monitor Mechanism 

EDGX proposes to add Interpretation 

and Policy .01 to EDGX Rule 21.16 to 

provide that complex orders will 

participate in EDGX’s existing the Risk 

Monitor Mechanism. The Risk Monitor 

Mechanism functions by counting a 

member’s executions, contract volume, 

and notional value both within a 

specified time period established by the 

member and on an absolute basis for the 

trading day.143 The Risk Monitor 

Mechanism rejects or cancels orders that 

exceed member-designated volume, 

notional, count, or percentage 

triggers.144 EDGX Rule 21.16, 

Interpretation and Policy .01 states that, 

for purposes of counting within a 

specified time period and for purposes 

of calculating absolute limits, EDGX 

will count individual trades executed as 

part of a complex order when 

determining whether a volume, 

notional, or count trigger has been 

reached. For purposes of counting 

within a specified time period and for 

purposes of calculating absolute limits, 

EDGX will count the percentage 

executed of a complex order when 

determining whether the percentage 

trigger has been reached.145

I. Additional Risk Protection for 

Complex Orders 

In addition to the protections 

described above, EDGX proposes to 

establish the Fat Finger Price Protection 

and a complex order size protection.146

These protections will be available for 

complex orders as determined by the 

Exchange and communicated to 

Members via specifications and/or 

Regulatory Circular.147

Under the Fat Finger Price Protection, 

EDGX will define a price range outside 

of which the System will not accept a 

complex limit order.148 The price range 

will be a number defined by EDGX and 

communicated to Members via 

specifications and/or Regulatory 

Circular, and a Member may establish a 

more aggressive or restrictive value than 

the Exchange default.149 The default 


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configurable values in connection with an 

analogous size protection that ISE offers for its 

complex order book. See Notice, 82 FR at 33812, 

n.64. 

150See EDGX Rule 21.20, Interpretation and 

Policy .06(a). 

151See id. 

152See id. 

153See EDGX Rule 21.20, Interpretation and 

Policy .06(b). EDGX notes that ISE Rule 722, 

Supplementary Material .07(e) also applies 

configurable values in connection with an 

analogous size protection for its complex order 

book. See Notice, 82 FR at 33812, n.66. 

154See EDGX Rule 21.20, Interpretation and 

Policy .06(b). 

155See id. 

156See id. 

157See Amendment No. 1. In Amendment No. 1, 

EDGX notes that this provision is based on and 

similar to EDGX Rule 20.3(b), which states that 

orders are cancelled in the event of a trading halt 

in the underlying unless the Exchange has been 

instructed not to cancel such orders. EDGX further 

notes that its rule is similar to functionality that is 

currently operative on other exchanges. In 

particular, EDGX notes that MIAX follows a similar 

process for trading halts, except that while MIAX 

reopens through potential complex auctions, EDGX 

will reopen through its standard Opening Process. 

See MIAX Rule 518, Interpretation and Policy 

.05(e)(3). See also PHLX Rule 1098(c)(ii)(C), which 

states that complex orders will not trade on the 

PHLX system during a trading halt for any options 

component of the Complex Order. 

158See EDGX Rule 21.20, Interpretation and 

Policy .05(a). 

159See id. 

160See id. 

161See EDGX Rule 21.20, Interpretation and 

Policy .05(b). 

162See EDGX Rule 21.20, Interpretation and 

Policy .05(c). 

163See EDGX Rules 21.15(b)(1) and (4). The 

Multicast PITCH data feed is an uncompressed data 

feed that offers depth of book quotation and 

execution information based on options orders 

entered into EDGX’s System. The Auction Feed is 

an uncompressed data product that provides 

information regarding the current status of price 

and size information related to auctions conducted 

by EDGX. See Notice, 82 FR at 33183. 

164See Notice, 82 FR at 33183. 

165See EDGX Rule 21.15(b)(2). The new Multicast 

TOP feeds will be uncompressed data feeds that 

will offer top of book quotations and execution 

information based on options orders entered into 

EDGX’s System. See id. EDGX notes that it currently 

offers a top of book feed for its equities trading 

platform. See Notice, 82 FR at 33186. 

166See EDGX Rule 21.15(c)(5). The Auction Feed 

is an uncompressed data product that provides 

information regarding the current status of price 

and size information related to auctions conducted 

by the Exchange. See id. 

167See EDGX Rule 21.15(c)(2). EDGX notes that 

the proposal also re-numbers the provisions for 

EDGX’s DROP and Historical Data products, but 

does not make any changes with respect to those 

products. See Notice, 82 FR at 33183. 

168 In approving this proposed rule change, the 

Commission has considered the proposed rule’s 

impact on efficiency, competition, and capital 

formation. See 15 U.S.C. 78c(f). 

169 15 U.S.C. 78f(b)(5). 

170See EDGX Rule 21.20(a)(5). 

171See, e.g., ISE Rule 722(a)(1); CBOE Rule 

6.53C(a)(1); and MIAX Rule 518(a)(5). 

price range for Fat Finger Price 

Protection will be greater than or equal 

to a price through the SNBBO for the 

complex strategy to be determined by 

the Exchange and communicated to 

Members via specifications and/or 

Regulatory Circular.150 A complex limit 

order to sell will not be accepted at a 

price that is lower than the SNBBO bid, 

and a complex limit order to buy will 

not be accepted at a price that is higher 

than the SNBBO offer, by more than the 

Exchange defined or Member 

established price range.151 A complex 

limit order that is priced through this 

range will be rejected.152

Under the complex order size 

protection, the System will prevent 

certain complex orders from executing 

or being placed on the COB if the size 

of the complex order exceeds the 

complex order size protection 

designated by the Member.153 If the 

maximum size of complex orders is not 

designated by the Member, the 

Exchange will set a maximum size of 

complex orders on behalf of the Member 

by default.154 Members may designate 

the complex order size protection on a 

firm wide basis.155 The default 

maximum size for complex orders will 

be determined by the Exchange and 

communicated to Members via 

specifications and/or Regulatory 

Circular.156

J. Trading Halts 

EDGX Rule 21.20, Interpretation and 

Policy .05, describes the Exchange’s 

handling of complex orders in the 

context of a trading halt. Under EDGX 

Rule 21.20, Interpretation and Policy 

.05(a), if a trading halt exists for the 

underlying security or a component of 

a complex strategy, trading in the 

complex strategy will be suspended and 

a Member’s complex orders will be 

cancelled unless the Member has 

instructed the Exchange not to cancel its 

orders.157 The COB will remain 

available for Members to enter and 

manage complex orders.158 Incoming 

complex orders that could otherwise 

execute or initiate a COA in the absence 

of a halt will be placed on the COB.159

Incoming complex orders with a time in 

force of IOC will be cancelled.160

EDGX Rule 21.20, Interpretation and 

Policy .05(b) states that if, during a 

COA, any component(s) and/or the 

underlying security of a COA-eligible 

order is halted, the COA will end early 

without trading and all COA Responses 

will be cancelled. Remaining complex 

orders will be placed on the COB if 

eligible, or cancelled.161 When trading 

in the halted component(s) and/or 

underlying security of the complex 

order resumes, the System will evaluate 

and re-open the COB pursuant to EDGX 

Rule 21.20(c)(2)(B)-(D).162

K. Market Data 

EDGX proposes to amend EDGX Rule 

21.15(b) to specify the data feeds that 

EDGX proposes to adopt in connection 

with the proposal. EDGX currently 

offers a Multicast PITCH data feed and 

an Auction Feed.163 EDGX proposed to 

adopt a similar, but separate, Multicast 

PITCH data feed and Auction Feed for 

the COB.164 Second, EDGX proposes to 

adopt a new separate Multicast TOP 

data feed for its Simple Order Book and 

for the COB.165 Third, EDGX proposes 

to adopt a separate Auction Feed for the 

COB, in addition to its existing Auction 

Feed for the Simple Book.166 Fourth, 

EDGX the Exchange proposes to identify 

Priority Customer Orders and trades as 

such on messages disseminated by the 

Exchange through its Multicast TOP 

data feed, in addition to disseminating 

that information through it Multicast 

PITCH and Auction data feeds.167

III. Discussion and Commission 

Findings 

After careful review, the Commission 

finds that the proposed rule change, as 

modified by Amendment No. 1, is 

consistent with the requirements of the 

Act and the rules and regulations 

thereunder applicable to a national 

securities exchange.168 In particular, for 

the reasons discussed below, the 

Commission finds that the proposed 

rule change is consistent with Section 

6(b)(5) of the Act,169 which requires, 

among other things, that the rules of a 

national securities exchange be 

designed to prevent fraudulent and 

manipulative acts and practices, to 

promote just and equitable principles of 

trade, to remove impediments to and 

perfect the mechanism of a free and 

open market and a national market 

system, and, in general, to protect 

investors and the public interest. This 

order approves the proposed rule 

change in its entirety, although only 

certain more significant aspects of the 

proposed rules are discussed below. 

A. Definitions and Order Types 

The proposal adopts several defined 

terms related to the trading of complex 

orders. The Commission notes that 

EDGX’s definition of complex order 170

is consistent with the definition of 

complex order adopted by other options 

exchanges.171 The Commission believes 

that adding EDGX Rule 21.20(b) to allow 

complex orders to be entered as limit 

orders, market orders, GTD orders, IOC 

orders, DAY orders, GTC orders, OPG 

orders, Complex Only orders, COAeligible orders, do-not-COA orders, and 

complex orders with Match Trade 


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172As noted above, EDGX also will make GTC 

and OPG orders available for the Simple Book, 

which will provide greater flexibility to participants 

in the markets for orders in single option series. 173See EDGX Rule 21.1. 174See MIAX Rule 518(c)(2)(iii) (providing that 

Legging is not available for, among other things, 

complex Standard quotes and complex eQuotes); 

and ISE Rule 722, Supplementary Material .03 

(providing that Market Maker quotes will not be 

automatically executed against bids and offers on 

ISE for the individual legs of the complex order). 175See Notice, 82 FR at 33184. 

176See, e.g., ISE Rule 722(b)(2); Phlx Rule 

1098(c)(iii); and MIAX Rule 518(c)(3). 

177See Notice, 82 FR at 33173. 

178See id. 

179See id. 

180See MIAX Rule 518(c)(2)(ii). 

181See EDGX Rule 21.20(c)(2)(F). 

182See, e.g., ISE Rule 722(b)(3)(ii); and MIAX 

Rule 518(c)(2)(iii). See also Securities Exchange Act 

Release Nos. 73023 (September 9, 2014) 79 FR 

55033 (September 15, 2014) (order approving SR– 

ISE–2014–10); 79072 (October 7, 2016) 81 FR 71131 

(October 14, 2016) (order approving SR–MIAX– 

2016–26). As discussed above, EDGX will permit 

Customer two-leg COA-eligible complex orders to 

leg into the Simple Book without restriction. See 

EDGX Rule 21.20(c)(2)(F). EDGX notes that Legging 

against the individual components of a complex 

order on the Simple Book allows complex orders to 

access the full liquidity of the Exchange’s Simple 

Book, thus enhancing the possibility of executions 

at the best available prices on the Exchange. EDGX 

believes this is particularly true for Customer 

complex orders and, thus, does not propose to limit 

the ability of such orders to leg into the Simple 

Book (when such orders are two-legged orders). See 

Amendment No. 1. See also notes 111–116, supra, 

and accompanying text, for additional discussion of 

EDGX’s treatment of Customer complex orders. 

183See Notice, 82 FR at 33185. 

184See id., 82 FR at 33179. 

185See EDGX Rule 21.20, Interpretation and 

Policy .02. 

186See id. 

187See id. See also EDGX Rule 21.20(d)(4) (stating 

that, among other things, a COA Response must 

include the COA auction ID for the COA to which 

it is targeted). 

Prevention modifiers could provide 

market participants with greater 

flexibility and control over the trading 

of complex orders.172 The Commission 

notes that EDGX currently permits each 

of these orders types (other than GTC, 

OPG, Complex Only orders, COAeligible orders, and do-not-COA orders) 

for orders on single option series.173 The 

Commission further notes that Complex 

Only orders will be available only to 

EDGX Market Makers, which is 

consistent with similar functionality 

available on other options exchanges.174

B. Trading of Complex Orders and 

Quotes 

EDGX states that it has designed its 

execution and priority rules to allow 

complex orders to interact with interest 

in the Simple Book and vice versa in an 

efficient and orderly manner.175 The 

Commission notes that EDGX Rule 

21.20(c)(3)(A) is designed to protect 

interest established in the leg market by 

providing that if any of the bids or offers 

established in the marketplace consist of 

a Priority Customer Order, at least one 

leg of the complex order must trade at 

a price that is better than the 

corresponding bid or offer in the 

marketplace by at least a $0.01 

increment. The Commission further 

notes that other options exchanges have 

similar provisions requiring one leg to 

trade at a better price in such a 

circumstance.176

EDGX proposes that complex orders 

will never be executed at a price that is 

outside of the individual component 

prices on the Simple Book.177

Furthermore, the net price of a complex 

order executed against another complex 

order on the COB will never be inferior 

to the price that would be available if 

the complex order legged into the 

Simple Book.178 According to EDGX, 

these provisions should help prevent a 

component of a complex order from 

being executed at a price that 

compromises the priority already 

established by a Priority Customer on 

the Simple Book.179 The Commission 

notes that another options exchange has 

comparable provisions.180

C. Legging 

As described more fully above, EDGX 

proposes to provide for Legging of 

complex orders into the Simple Book. 

The Commission believes that Legging 

could benefit investors by providing 

additional execution opportunities for 

both complex orders and interest on the 

Simple Book. In addition, the 

Commission believes that Legging could 

facilitate interaction between the COB 

and the Simple Book, potentially 

resulting in a more competitive and 

efficient market, and better executions 

for investors. 

As discussed above, EDGX is 

proposing to prohibit Legging for: (i) 

Complex orders with two option legs 

where both legs are buying or both legs 

are selling and both legs are calls or 

both legs are puts, other than COAeligible two-legged Customer complex 

orders; and (ii) complex orders with 

three option legs where all legs are 

buying or all legs are selling regardless 

of whether the option leg is a call or a 

put.181 The Commission notes that this 

prohibition is similar to the rules of 

other options markets, which the 

Commission has approved.182 The 

Commission notes that directional 

complex orders may continue to trade 

against other complex orders on the 

Exchange’s COB, and that market 

participants may submit the individual 

legs of a directional complex order 

separately to the regular market for 

execution should they so choose. 

D. Complex Order Auction Process 

EDGX describes the Complex Order 

Auction Process in EDGX Rule 21.20(d). 

EDGX states that the auction process is 

designed to ensure that complex orders 

are given every opportunity to be 

executed at the best prices against an 

increased level of contra-side 

liquidity.183 In addition, EDGX states 

that the Complex Order Auction process 

is designed to work effectively with the 

COB with a simple priority of allocation 

that continues to respect the priority of 

allocations on the Simple Book (via the 

Exchange’s pro rata allocation 

methodology).184 The Commission notes 

that the ability for unrelated marketable 

orders to join and be executed in a 

Complex Order Auction may enhance 

the liquidity in the Complex Order 

Auction and thus increase opportunities 

for execution of complex orders on both 

sides of the market. 

As noted above, EDGX will permit a 

COA for a strategy to begin even if 

another COA for that strategy is already 

underway.185 The Commission notes 

that EDGX’s rules regarding the 

processing of overlapping COAs for a 

strategy have been made transparent in 

the proposal and are reasonable, given 

that the electronic nature of EDGX 

makes the sequence of auction start 

times readily discernable.186 In 

particular, the Commission notes that a 

COA Response will only be considered 

for its specified COA. Each COA 

Response must specifically identify the 

COA for which it is targeted, and if not 

fully executed, the COA Response will 

be cancelled back at the conclusion of 

the COA.187

E. Opening Process, Managed Interest 

Process, and Evaluation Process 

As described above, EDGX Rule 

21.20(c)(2)(A)–(D) sets forth EDGX’s 

opening process for complex orders. 

The Commission believes that the 

opening process is designed to provide 

for the orderly opening of complex 

orders on EDGX. EDGX Rules 

21.20(c)(4) and (5) describe, 

respectively, the managed interest 

process and the evaluation process for 

complex orders. The Commission 

believes that the managed interest 

process is designed to protect the 

priority of Priority Customer interest on 

the Simple Book and assure that 

complex orders do not trade through the 

prices of interest on the Simple Book for 

the component securities of the complex 

order. The Commission believes that the 

evaluation process is designed to 

facilitate the execution of complex 


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188See MIAX Rules (c)(4) and (5). 

189See EDGX Rule 21.20, Interpretation and 

Policy .01. 

190See id. 

191See id. 

192See ISE Rule 722, Supplementary Material .03; 

and MIAX Rule 518, Interpretation and Policy 

.02(e). 

193See Notice, 82 FR at 33186. 

194See CBOE Rule 6.53C, Interpretation and 

Policy .08(b)–(d) and (g); and ISE Rule 722, 

Supplementary Material .07(d) and (e). 

195See Notice, 82 FR at 33186. 

196See id. The Commission reminds members 

electing to use the Risk Protection Monitor to be 

mindful of their obligations to, among other things, 

seek best execution of orders they handle on an 

agency basis. See Securities Exchange Act Release 

No. 74496 (March 13, 2015), 80 FR 14421, 14423 

(March 19, 2015) (SR–MIAX–2015–03). 

197See Notice, 82 FR at 33186. 

198See Amendment No. 1 and Notice, 82 FR at 

33182. 

199See Notice, 82 FR at 33182. 

orders and other interest on EDGX in 

accordance with EDGX’s rules. The 

Commission notes that EDGX’s managed 

interest and evaluation processes for 

complex orders are similar to processes 

adopted by another options 

exchange.188

F. Market Maker Complex Quotes 

As described above, EDGX has not 

proposed different standards for 

participation by Market Makers on the 

COB. Market Makers are not required to 

quote on the COB and there are no 

continuous quoting requirements 

respecting complex orders.189 In 

addition, complex strategies are not 

subject to any requirements that are 

applicable to Market Makers in the 

simple market for the individual options 

series or classes.190 Finally, volume 

executed in complex strategies is not 

taken into consideration when 

determining whether Market Makers are 

meeting quoting obligations applicable 

to Market Makers in the simple market 

for individual options.191 The 

Commission notes that other options 

exchanges have adopted similar 

rules.192

G. Price Protection and Other Features 

EDGX’s proposed price and order 

protection features are intended to 

provide market participants with price 

and order size protection to allow them 

to better manage their risk exposure.193

The credit-to-debit parameters, Debit/ 

Credit Price Reasonability Checks, Buy 

Strategy Parameters, Maximum Value 

Acceptable Price Range, Fat Finger Price 

Protection, and order size protection are 

similar to functionalities already 

available on other options exchanges.194

EDGX’s provisions regarding trading 

halts could help to protect investors by 

pausing trading during potentially 

disruptive conditions.195 Finally, 

according to EDGX, adding complex 

orders to the Risk Protection Monitor 

should allow EDGX members to better 

manage their risk and encourage them to 

submit additional liquidity to the 

Exchange.196 The Commission believes 

the proposed new price protection 

features are designed to promote just 

and equitable principles of trade to the 

extent they are able to mitigate potential 

risks associated with market 

participants entering orders or executing 

trades at what EDGX believes are 

extreme and potentially erroneous 

prices. 

H. Market Data 

As described above, EDGX proposes 

to make available various data feeds that 

will provide information regarding 

complex orders on EDGX. EDGX states 

that each of the proposed data feeds is 

based on and similar to an existing data 

feed offered by EDGX Options and/or 

the EDGX equities trading platform.197

EDGX notes that the proposed data 

feeds, which will be free of charge, 

would be accessed and subscribed to on 

a voluntary basis by market participants 

interested in obtaining data regarding 

activity in the COB.198 If EDGX 

proposes to adopt fees in connection 

with any of its data feeds, it will file a 

separate proposal to include such fees 

in its Fee Schedule.199 The Commission 

believes that the proposed data feeds, 

which will be available free of charge to 

any subscriber that chooses to receive 

the data, will provide investors and 

other market participants with 

information concerning transactions on 

EDGX. 

IV. Solicitation of Comments on 

Amendment No. 1 

Interested persons are invited to 

submit written data, views, and 

arguments concerning whether 

Amendment No. 1 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– 

BatsEDGX–2017–29 on the subject line. 

Paper Comments 

• Send paper comments in triplicate 

to Brent J. Fields, Secretary, Securities 

and Exchange Commission, 100 F Street 

NE., Washington, DC 20549–1090. 

All submissions should refer to File 

Number SR–BatsEDGX–2017–29. 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 

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 such 

filing 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– 

BatsEDGX–2017–29, and should be 

submitted on or before November 13, 

2017. 

V. Accelerated Approval of Proposed 

Rule Change, as Modified by 

Amendment No. 1 

The Commission finds good cause to 

approve the proposed rule change, as 

modified by Amendment No. 1, prior to 

the thirtieth day after the date of 

publication of the notice of Amendment 

No. 1 in the Federal Register. In 

Amendment No. 1, EDGX revises its 

original proposal to make the changes 

discussed in detail above. Notably, in 

Amendment No. 1, EDGX revises its 

proposal to make Complex Only orders 

available only to EDGX Market Makers, 

provide additional rationale for its 

methodology for allocating orders at the 

conclusion of a COA, and limit to 30 

seconds the configurable time period for 

the System to match orders during the 

complex order opening process. EDGX 

also made changes to clarify and add 

detail to its proposal and the proposed 

rule text. The Commission believes that 

Amendment No. 1 does not raise any 

novel regulatory issues and instead 

better aligns EDGX’s proposed rules 

governing the trading of complex orders 

with the rules of other options 

exchanges. Amendment No. 1 also 


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200 15 U.S.C. 78s(b)(2). 

201 17 CFR 200.30–3(a)(12). 

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

2 15 U.S.C. 78a. 

3 17 CFR 240.19b–4. 

4Self-Trade Prevention is only applicable to 

electronic trading on the Exchange. 

5See Securities Exchange Act Release No. 66385 

(February 13, 2012), 77 FR 9719 (February 17, 2012) 

(SR–NYSEAmex–2012–03). 

6Self-Trade Prevention currently is applicable to 

the following order types used by Market Makers: 

‘‘PNP Orders’’ and ‘‘PNP–Blind Orders.’’ PNP 

Orders and PNP–Blind Orders are defined in NYSE 

American Options Rule 900.3NY, and each is a type 

of non-routable Limit Order that is only executed 

on the Exchange. The Exchange notes that Market 

Makers primarily use these order types, as opposed 

to other order types offered by the Exchange, 

because they are similar to quotes (i.e., they are 

non-routable Limit Orders). See Regulatory 

Information Bulletin RBO–AMEX–12–04 at https:// 

www.nyse.com/publicdocs/nyse/markets/americanoptions/rule-interpretations/2012/ 

NYSEAmex%20RBO-12-04%20Self%20Trade.pdf. 

7The Exchange uses a Market Maker’s TPID to 

monitor for self-trades. TPIDs are assigned to 

Market Makers, as well as other ATP Holders, to 

identify them in the Exchange’s systems. Market 

Makers on the Exchange are not able to submit 

orders on an agency basis. Thus, a Market Maker 

within a firm that conducts both an agency and 

market making business has a unique TPID that 

could only be used for that Market Maker’s quotes 

and orders. 

provides additional clarity in the rule 

text and additional analysis of several 

aspects of the proposal, thus facilitating 

the Commission’s ability to make the 

findings set forth above to approve the 

proposal. Accordingly, the Commission 

finds good cause for approving the 

proposed rule change, as modified by 

Amendment No. 1, on an accelerated 

basis. 

VI. Conclusion 

It is therefore ordered, pursuant to 

Section 19(b)(2) of the Act,200 that the 

proposed rule change (SR–BatsEDGX– 

2017–29), as modified by Amendment 

No. 1, be, and hereby is, approved on an 

accelerated basis. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.201

Eduardo A. Aleman, 

Assistant Secretary. 

[FR Doc. 2017–22886 Filed 10–20–17; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–81887; File No. SR– 

NYSEAMER–2017–21] 

Self-Regulatory Organizations; NYSE 

American LLC; Notice of Filing and 

Immediate Effectiveness of Proposed 

Rule Change To Amend Rule 964NY To 

Adopt Additional Self-Trade Prevention 

Modifiers 

October 17, 2017. 

Pursuant to Section 19(b)(1) 1 of the 

Securities Exchange Act of 1934 (the 

‘‘Act’’),2 and Rule 19b–4 thereunder,3

notice is hereby given that on October 

3, 2017, NYSE American LLC (the 

‘‘Exchange’’ or ‘‘NYSE American’’) filed 

with the Securities and Exchange 

Commission (the ‘‘Commission’’) the 

proposed rule change as described in 

Items I and II below, which Items have 

been prepared by the self-regulatory 

organization. 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 the Substance 

of the Proposed Rule Change 

The Exchange proposes to amend 

Rule 964NY (Display, Priority and Order 

Allocation—Trading Systems). The 

proposed rule change is available on the 

Exchange’s Web site at www.nyse.com, 

at the principal office of the Exchange, 

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 

self-regulatory organization 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 those 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 parts of such 

statements. 

A. Self-Regulatory Organization’s 

Statement of the Purpose of, and 

Statutory Basis for, the Proposed Rule 

Change 

1. Purpose 

The purpose of the filing is to amend 

Commentary .02 to NYSE American 

Options Rule 964NY (Display, Priority 

and Order Allocation—Trading 

Systems) regarding the Exchange’s SelfTrade Prevention (‘‘STP’’) 

functionality.4 The Exchange currently 

offers a basic form of self-trade 

prevention 5 pursuant to which the 

Exchange cancels any resting Market 

Maker quote(s) and order(s) 6 to buy 

(sell) that are priced equal to or higher 

(lower) than an incoming Market Maker 

quote, order or both to sell (buy) entered 

under the same trading permit 

identification (‘‘TPID’’).7

The Exchange proposes to expand the 

self-trade functionality by adopting 

three STP modifiers. The proposed STP 

modifiers are designed to prevent 

incoming Market Maker order(s) or 

quote(s) designated with an STP 

modifier from executing against an 

opposite side resting Market Maker 

order(s) or quote(s) also designated with 

an STP modifier and entered from the 

same TPID. As proposed, the STP 

modifier on the incoming Market Maker 

order or quote would control the 

interaction between two orders and/or 

quotes marked with STP modifiers. The 

proposed STP modifiers are intended to 

prevent interaction between the same 

TPIDs. STP modifiers must be present 

on both the buy and the sell interest in 

order to prevent an interaction from 

occurring and to effect a cancel 

instruction. 

The Exchange believes the proposed 

functionality will allow ATP Holders to 

better manage order flow and prevent 

undesirable or unexpected executions 

with themselves. Given enhancements 

in technology in today’s trading 

environment, ATP Holders often have 

multiple connections into the Exchange. 

Orders, for example, routed by the same 

ATP Holder via different connections 

may, in certain circumstances, trade 

against each other. The proposed STP 

modifiers would provide ATP Holders 

the opportunity to prevent these 

potentially undesirable interactions 

occurring under the same TPID on both 

the buy and sell side of an execution. 

The three new STP modifiers are 

discussed more thoroughly below. 

STP Cancel Newest (‘‘STPN’’) 

An incoming order or quote marked 

with the STPN modifier will not execute 

against opposite side resting interest 

marked with any STP modifier from the 

same TPID. The incoming order or quote 

marked with the STPN modifier will be 

cancelled back to the originating TPID. 

The resting order(s) or quote(s) will 

remain on the Consolidated Book. 

STPN Example 1: Market Maker 1 is 

configured for one of the three proposed 

STP modifiers and submits a quote to 

sell 100 contracts @ $5.50. A Customer 

order to sell 5 contracts @ $5.49 is 

resting on the Consolidated Book. 

Market Maker 1 enters an order to buy 

100 contracts @ $5.60 with an STPN 

modifier. 

STPN Result 1: Market Maker 1 buys 

5 contracts @ $5.49 because Market 

Maker 1 has no interest at $5.49. The 

remaining quantity of Market Maker 1’s 

order will be cancelled due to Market 

Maker 1’s quote at $5.50. 

STPN Example 2: Market Maker 1 is 

configured for one of the three proposed 


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