Document ID: SEC-2022-0710-0001
Agency: sec
Document Type: Notice
Title: Self-Regulatory Organizations; Proposed Rule Changes: BOX Exchange, LLC
Posted Date: 2022-05-20T04:00Z

[Federal Register Volume 87, Number 98 (Friday, May 20, 2022)]
[Notices]
[Pages 31013-31019]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2022-10804]

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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-94920; File No. SR-BOX-2022-18]

Self-Regulatory Organizations; BOX Exchange LLC; Notice of Filing 
and Immediate Effectiveness of a Proposed Rule Change To Amend BOX Rule 
7350 To Provide for the New ``Liquidity Taker Event Report--Complex 
Orders''

May 16, 2022.
    Pursuant to Section 19(b)(1) of the Securities Exchange Act of 1934 
(``Act''),\1\ and Rule 19b-4 thereunder,\2\ notice is hereby given that 
on May 6, 2022, BOX Exchange LLC (``BOX'' or ``Exchange'') filed with 
the Securities and Exchange Commission (``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 from 
interested persons.
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    \1\ 15 U.S.C. 78s(b)(1).
    \2\ 17 CFR 240.19b-4.
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I. Self-Regulatory Organization's Statement of the Terms of Substance 
of the Proposed Rule Change

    The Exchange proposes to amend BOX Rule 7350 to provide for the new 
``Liquidity Taker Event Report--Complex Orders.'' The text of the 
proposed rule change is available from the principal office of the 
Exchange, at the Commission's Public Reference Room and also on the 
Exchange's internet website at http://boxoptions.com.

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 these statements may be examined at 
the places specified in Item IV below. The self-regulatory organization 
has prepared summaries, set forth in Sections A, B, and C below, of the 
most significant aspects of such statements.

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

1. Purpose
    The Exchange currently offers the Liquidity Taker Event Report, 
which is a Participant \3\ specific report and helps Participants to 
better understand by how much time a particular order missed executing 
against a specific order resting on the BOX Book.\4\ The current 
Liquidity Taker Event Report is described under BOX Rule 7350(b).\5\
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    \3\ ``Participant'' means a firm, or organization that is 
registered with the Exchange pursuant to the Rule 2000 Series for 
purposes of participating in trading on a facility of the Exchange. 
See BOX Rule 100(a)(41).
    \4\ ``BOX Book'' means the electronic book of orders on each 
single option series maintained by the BOX Trading Host. See BOX 
Rule 100(a)(10).
    \5\ See Securities Exchange Act Release No. 94563 (March 31, 
2022), 87 FR 19985 (April 6, 2022) (SR-BOX-2022-10) (Notice of 
Filing and Immediate Effectiveness of Proposed Rule Change to Adopt 
BOX Rule 7350, Reports and Market Data Products, to Provide for the 
New ``Liquidity Taker Event Report'').
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    The Exchange now proposes to amend BOX Rule 7350 to provide for the 
new Liquidity Taker Event Report--Complex

[[Page 31014]]

Orders'' (the ``Complex Order Report'') which would be substantially 
similar to the existing Liquidity Taker Event Report, but would include 
data concerning a Participant's Complex Orders.\6\ The Exchange also 
proposes to change the name of the existing Liquidity Taker Event 
Report to ``Liquidity Taker Event Report--Simple Orders'' and amend BOX 
Rule 7350(b) accordingly (the ``Liquidity Taker Event Report--Simple 
Orders'' shall be referred to herein as the ``Simple Order Report''). 
This is a competitive filing that is based on a proposals recently 
submitted by Miami International Securities Exchange, LLC (``MIAX'') 
and MIAX Emerald, LLC (``MIAX Emerald'') and noticed by the 
Commission.\7\
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    \6\ The term ``Complex Order'' means any order involving the 
simultaneous purchase and/or sale of two or more different options 
series in the same underlying security, for the same account, in a 
ratio that is equal to or greater than one-to-three (.333) and less 
than or equal to three-to-one (3.00) and for the purpose of 
executing a particular investment strategy. See BOX Rule 7240(a)(7).
    \7\ See Securities Exchange Act Release No. 94136 (February 2, 
2022), 87 FR 7223 (February 8, 2022) (SR-EMERALD-2022-02) (Notice of 
Filing and Immediate Effectiveness of Proposed Rule Change to Amend 
Exchange Rule 531, Reports, to Provide for a New ``Liquidity Taker 
Event Report--Complex Orders''). See also Securities Exchange Act 
Release No. 94135 (February 2, 2022), 87 FR 7217 (February 8, 2022) 
(SR-MIAX-2022-06). See also MIAX Rule 531(b) and MIAX Emerald Rule 
531(b).
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    The Simple Order Report includes information about incoming orders 
seeking to remove resting orders from the BOX Book. The proposed 
Complex Order Report would include the same information about incoming 
Complex Orders that seek to remove Complex Orders resting on the 
Complex Order Book.\8\ Two other differences between the proposed 
Complex Order Report and the Simple Order Report are that the proposed 
Complex Order Report will include the Complex BBO (``cBBO'') \9\ in 
place of the BBO and Complex NBBO (``cNBBO'') \10\ in place of the 
NBBO, as described further below. These are minor differences designed 
to provide the BBO and NBBO that are relevant to trading Complex 
Orders. Otherwise, the content and dissemination of the proposed 
Complex Order Report set forth under amended BOX Rule 7350(c) will be 
identical to that of the Simple Order Report under BOX Rule 7350(b). 
Other than the difference set forth above, the Exchange represents that 
there are no other differences between Simple Orders and Complex Orders 
that would necessitate any other changes to the proposed Complex Order 
Report or render the effects or use of the proposed Complex Order 
Report as different from the Simple Order Report.
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    \8\ The term ``Complex Order Book'' means the electronic book of 
Complex Orders maintained by the BOX Trading Host. See BOX Rule 
7240(a)(8).
    \9\ The term ``cBBO'' means the best net bid and offer price for 
a Complex Order Strategy based on the BBO on the BOX Book for the 
individual options components of such Strategy. See BOX Rule 
7240(a)(1).
    \10\ The term ``cNBBO'' means the best net bid and offer price 
for a Complex Order Strategy based on the NBBO for the individual 
options components of such Strategy. See BOX Rule 7240(a)(3).
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    Like the Simple Order Report, the proposed Complex Order Report is 
an optional product \11\ that would be made available to Participants. 
Currently, the Exchange provides real-time prices and analytics in the 
marketplace. The Exchange believes the additional data points from the 
matching engine outlined below may help Participants gain a better 
understanding about their Complex Order interactions with the Exchange. 
The Exchange believes the proposed Complex Order Report will provide 
Participants with an opportunity to learn more about better 
opportunities to access liquidity and receive better execution rates 
when trading Complex Orders. Specifically, the proposed Complex Order 
Report will provide greater visibility into the missed trading 
executions, which could allow Participants to optimize their trading 
systems to yield better execution results when trading Complex Orders. 
The proposed Complex Order Report will increase transparency and 
democratize information so that all firms that subscribe to the 
proposed Complex Order Report have access to the same information on an 
equal basis, even for firms that do not have the appropriate resources 
to generate a similar report regarding interactions with the Exchange. 
Like the Simple Order Report, none of the components of the proposed 
Complex Order Report include real-time market data.
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    \11\ The Exchange intends to submit a separate filing with the 
Commission pursuant to Section 19(b)(1) to propose fees for the 
proposed Complex Order Report.
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    Participants generally would use a liquidity accessing order if 
there is a high probability that it will execute against an order 
resting on the Complex Order Book. Like the Simple Order Report, the 
proposed Complex Order Report would identify by how much time an order 
that may have been marketable missed an execution. In the case of the 
proposed Complex Order Report, the incoming order would be a Complex 
Order submitted to trade against a resting order for a Complex 
Strategy. The proposed Complex Order Report will provide greater 
visibility into the missed trading executions, which could allow 
Participants to optimize their models and trading systems to yield 
better execution results when trading Complex Orders.
    Like the Simple Order Report, the proposed Complex Order Report 
will be a Participant specific report and will help Participants to 
better understand by how much time a particular order, in this case a 
Complex Order, missed executing against a specific resting order, thus 
allowing that Participant to determine whether it wants to invest in 
the necessary resources and technology to mitigate missed executions 
against certain resting orders on the Exchange's Complex Order Book. 
For example, Participant A submits a Complex Order that is posted to 
the Complex Order Book and then, within 200 microseconds of the entry 
of Participant A's Complex Order, Participant B enters a marketable 
Complex Order to execute against Participant A's resting Complex Order. 
Immediately thereafter, Participant C also within 200 microseconds of 
the entry of Participant A's Complex Order, sends a marketable Complex 
Order to execute against Participant A's resting Complex Order. Because 
Participant B's Complex Order is received by the Exchange before the 
Complex Order for Participant C, Participant B's Complex Order executes 
against Participant A's resting Complex Order. If Participant C were to 
subscribe to the proposed Complex Order Report, it would be provided 
the data points necessary for that firm to calculate by how much time 
they missed executing against Participant A's resting Complex Order.
    Like the Simple Order Report, the Exchange proposes to provide the 
proposed Complex Order Report on a T+1 basis. As further described 
below, the proposed Complex Order Report will be specific and tailored 
to the Participant that is subscribed to the Complex Order Report and 
any data included in the Complex Order Report that relates to a 
Participant other than the Participant receiving the Complex Order 
Report will be anonymized.
    Similar to current BOX Rule 7350(b) regarding the Simple Order 
Report, amended Exchange Rule 7350(c) would provide that the proposed 
Complex Order Report is a daily report that provides a Participant 
(``Recipient Participant'') with its liquidity response time details 
for executions of an order resting on the Complex Order Book, where 
that Recipient Participant submitted a Complex Order that attempted to 
execute against such resting Complex Order within a certain timeframe.

[[Page 31015]]

Report Content
    The content of the proposed Complex Order Report would be identical 
to the Simple Order Report, but for two minor differences discussed 
below. Paragraph (c)(1) of Rule 7350 would describe the content of the 
proposed Complex Order Report and delineate which information would be 
provided regarding the resting order,\12\ the response that 
successfully executed against the resting order, and the response 
submitted by the Recipient Participant that missed executing against 
the resting order. It is important to note that the content of the 
proposed Complex Order Report will be specific to the Recipient 
Participant and the proposed Complex Order Report will not include any 
information related to any Participant other than the Recipient 
Participant. The Exchange will restrict all other market participants, 
including the Recipient Participant, from receiving another market 
participant's data.
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    \12\ Like the Simple Order Report, only displayed orders will be 
included in the proposed Complex Order Report. The Exchange notes 
that it does not currently offer any nondisplayed order types on its 
options trading platform.
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    Resting Order Information. The content of the proposed Complex 
Order Report set forth under amended Exchange Rule 7350(c)(1)(i) is 
identical to the content of the Simple Order Report under Exchange Rule 
7350(b)(1)(i). However, as noted above, the content of the proposed 
Complex Order Report would be limited to incoming Complex Orders that 
seek to remove liquidity from the Exchange's Complex Order Book.
    Exchange Rule 7350(c)(1)(i) would provide that the following 
information would be included in the proposed Complex Order Report 
regarding the resting order: (A) The time the resting order was 
received by the Exchange; \13\ (B) symbol; \14\ (C) order ID, which is 
a unique reference number assigned to a new Complex Order at the time 
of receipt; \15\ (D) whether the Recipient Participant is an Affiliate 
\16\ of the Participant that entered the resting order; \17\ (E) 
Whether the resting order is from a Public Customer or non- Public 
Customer; \18\ (F) side (buy or sell); \19\ and (G) displayed price and 
size of the resting order.\20\
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    \13\ This information is also included in the Simple Order 
Report. See Exchange Rule 7350(b)(1)(i)(A).
    \14\ This information is also included in the Simple Order 
Report. See Exchange Rule 7350(b)(1)(i)(B).
    \15\ This information is also included in the Simple Order 
Report. See Exchange Rule 7350(b)(1)(i)(C).
    \16\ The term ``Affiliate'' means, with respect to any Person, 
any other Person controlling, controlled by or under common control 
with, such Person. As used in this definition, the term ``control'' 
means the possession, directly or indirectly, of the power to direct 
or cause the direction of the management and policies of a Person, 
whether through the ownership of voting securities, by contract or 
otherwise with respect to such Person. A Person is presumed to 
control any other Person, if that Person: (i) Is a director, general 
partner, or officer exercising executive responsibility (or having 
similar status or performing similar functions); (ii) directly or 
indirectly has the right to vote 25 percent or more of a class of 
voting security or has the power to sell or direct the sale of 25 
percent or more of a class of voting securities of the Person; or 
(iii) in the case of a partnership, has contributed, or has the 
right to receive upon dissolution, 25 percent or more of the capital 
of the partnership. See BOX Rule 100(a)(1).
    \17\ This information is also included in the Simple Order 
Report. See Exchange Rule 7350(b)(1)(i)(D). The Report will simply 
indicate whether the Recipient Participant is an Affiliate of the 
Participant that entered the resting order and not include any other 
information that may indicate the identity of the Participant that 
entered the resting order.
    \18\ This information is also included in the Simple Order 
Report. See Exchange Rule 7350(b)(1)(i)(E).
    \19\ This information is also included in the Simple Order 
Report. See Exchange Rule 7350(b)(1)(i)(F).
    \20\ This information is also included in the Simple Order 
Report. See Exchange Rule 7350(b)(1)(i)(G). The Exchange notes that 
the displayed price and size are also disseminated via the 
Exchange's proprietary data feeds.
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    Execution Information. Proposed Exchange Rule 7350(c)(1)(ii) would 
provide that the following information would be included in the 
proposed Complex Order Report regarding the execution of the resting 
order: (A) Complex BBO (``cBBO''), as defined in Rule 7240(a)(1), at 
the time of the execution; \21\ (B) the Complex NBBO (``cNBBO''), as 
defined in Rule 7240(a)(3), at the time of execution; \22\ (C) the time 
the first response that executes against the resting order was received 
by the Exchange and the size of the execution and type of the response; 
\23\ (D) the time difference between the time the resting order was 
received by the Exchange and the time the first response that executes 
against the resting order was received by the Exchange; \24\ and (E) 
whether the response was entered by the Recipient Participant.\25\ If 
the resting order executes against multiple contra-side responses, only 
the cBBO and cNBBO at the time of the execution against the first 
response will be included.
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    \21\ Similar information is included in the Simple Order Report. 
Exchange Rule 7350(b)(1)(ii)(A) would similarly provide that if the 
resting order executes against multiple contra-side responses, only 
the cBBO at the time of the execution against the first response 
will be included. The Exchange is proposing to include this 
information to provide context to the Participants regarding what 
BOX's market looked like at the time the order was submitted.
    \22\ Similar information is included in the Simple Order Report. 
See Exchange Rule 7350(b)(1)(ii)(B). Exchange Rule 7350(b)(1)(ii)(B) 
would similarly provide that if the resting order executes against 
multiple contra-side responses, only the cNBBO at the time of the 
execution against the first response will be included. The Exchange 
is proposing to include this information to provide context to the 
Participants regarding what the away market looked like at the time 
the order was submitted.
    \23\ This information is also included in the Simple Order 
Report. See Exchange Rule 7350(b)(1)(ii)(C). The Exchange notes that 
the type of the response provides whether the response was received 
from a Public Customer or non-Public Customer.
    \24\ The time difference would be provided in nanoseconds. This 
information is also included in the Simple Order Report. See 
Exchange Rule 7350(b)(1)(ii)(D).
    \25\ This information is also included in the Simple Order 
Report. See Exchange Rule 7350(b)(1)(ii)(E).
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    The content of the proposed Complex Order Report set forth under 
amended Exchange Rule 7350(c)(1)(ii) is identical to the content of the 
Simple Order Report under Exchange Rule 7350(b)(1)(ii) with two minor 
differences. The Simple Order Report includes the BBO, which is the 
Exchange's best bid or offer, and the NBBO, which is the best bid or 
offer of away exchanges. In their place, the proposed Complex Order 
Report would include the Complex BBO and Complex NBBO. The Exchange is 
providing the Complex BBO and Complex NBBO because both are relevant 
and tailored to a Participant that is entering a Complex Order to 
remove liquidity as part of a Complex Strategy and, therefore, more 
germane to the purpose of the Complex Order Report.
    Recipient Participant's Response Information. The content of the 
proposed Complex Order Report set forth under proposed Rule 
7350(c)(1)(iii) is identical to the content of the Simple Order Report 
under Rule 7350(b)(1)(iii). Proposed Rule 7350(c)(1)(iii) would provide 
that the following information would be included in the Complex Order 
Report regarding Complex Order(s) sent by the Recipient Participant: 
(A) Recipient Participant ID; \26\ (B) the time difference between the 
time the first response that executes against the resting order was 
received by the Exchange and the time of each Complex Order sent by the 
Recipient Participant, regardless of whether it executed or not; \27\ 
(C) Time difference between the time the resting order was received by 
the Exchange and the time the response submitted by the Recipient 
Participant was received by the Exchange; \28\ (D) size and type of 
each Complex Order submitted by the Recipient Participant; \29\ and (E) 
response ID, which is a unique reference

[[Page 31016]]

number attached to the response by the Recipient Participant.\30\
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    \26\ This information is also included in the Simple Order 
Report. See Exchange Rule 7350(b)(1)(iii)(A).
    \27\ This information is also included in the Simple Order 
Report. See Exchange Rule 7350(b)(1)(iii)(B).
    \28\ This information is also included in the Simple Order 
Report. See Exchange Rule 7350(b)(1)(iii)(C).
    \29\ This information is also included in the Simple Order 
Report. See Exchange Rule 7350(b)(1)(iii)(D).
    \30\ This information is also included in the Simple Order 
Report. See Exchange Rule 7350(a)(1)(iii)(E).
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Timeframe for Data Included in Report
    The timeframe for data to be included the proposed Complex Order 
Report set forth under proposed Exchange Rule 7350(c)(2) is identical 
to the timeframe for data included in the Simple Order Report under 
Exchange Rule 7350(b)(2). Paragraph (c)(2) of Exchange Rule 7350 would 
provide that the Complex Order Report would include the data set forth 
under Exchange Rule 7350(c)(1) described above for executions and 
contra-side responses that occurred within 200 microseconds of the time 
the resting order was received by the Exchange. The Exchange believes 
200 microseconds is the appropriate timeframe because it understands 
most Participants that would be interested in subscribing to the 
proposed Complex Order Report would submit their incoming liquidity 
removing Complex Orders within 200 microseconds of the time a contra-
side Complex Order is posted to the Complex Order Book.
Scope of Data Included in the Report
    The scope of data to be included [sic] the proposed Complex Order 
Report set forth under proposed Exchange Rule 7350(c)(3) is identical 
to the scope of data included in the Simple Order Report under Exchange 
Rule 7350(b)(3). Paragraph (c)(3) of Exchange Rule 7350 would provide 
that the Complex Order Report will only include trading data related to 
the Recipient Participant and, subject to the proposed paragraph (4) of 
Exchange Rule 7350(c) described below, will not include any other 
Participant's trading data other than that listed in paragraphs (1)(i) 
and (ii) of Exchange Rule 7350(c), described above. Like the Simple 
Order Report, the proposed Complex Order Report will not include 
information related to any Participant other than the Recipient 
Participant.
Historical Data
    Proposed paragraph (c)(4) of Exchange Rule 7350 would specify that 
the Complex Order Report will contain historical data from the prior 
trading day and will be available after the end of the trading day, 
generally on a T+1 basis. This is identical to the timeframe for when 
the Simple Order Report is made available.\31\
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    \31\ See Exchange Rule 7350(b)(4).
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2. Statutory Basis
    The Exchange believes that the proposal is consistent with the 
requirements of Section 6(b) of the Act,\32\ in general, and Section 
6(b)(5) of the Act.\33\ Specifically, the Exchange believes the 
proposed rule change is consistent with the Section 6(b)(5) \34\ 
requirements that the rules of an exchange be designed to prevent 
fraudulent and manipulative acts and practices, to promote just and 
equitable principles of trade, to foster cooperation and coordination 
with persons engaged in regulating, clearing, settling, processing 
information with respect to, and facilitating transactions in 
securities, to remove impediments to and perfect the mechanism of a 
free and open market and a national market system, and, in general, to 
protect investors and the public interest. This proposal is in keeping 
with those principles in that it promotes increased transparency 
through the dissemination of the optional Complex Order Report to those 
interested in subscribing to receive the data. Additionally, the 
Exchange believes the proposed rule change is consistent with the 
Section 6(b)(5) \35\ requirement that the rules of an exchange not be 
designed to permit unfair discrimination between customers, issuers, 
brokers, or dealers. The proposed Report is similar to reports 
previously adopted by MIAX and MIAX Emerald.\36\
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    \32\ 15 U.S.C. 78f(b).
    \33\ 15 U.S.C. 78f(b)(5).
    \34\ 15 U.S.C. 78f(b)(5).
    \35\ Id.
    \36\ See supra note 7.
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    But for three differences, the description of the proposed Complex 
Order Report under Exchange Rule 7350(c) is identical to that of the 
Simple Order Report under Exchange Rule 7350(b). The first difference 
concerns the content of the proposed Complex Order Report, which would 
be limited to incoming Complex Orders that seek to remove liquidity 
from the Exchange's Complex Order Book. The Simple Order Report 
includes information about incoming orders seeking to remove liquidity 
from the BOX Book. This difference is immaterial because both reports 
include basically the same information and seek to serve the same 
purpose, to provide the Recipient Participant with the same type of 
data necessary for them to evaluate their own trading behavior and 
order interactions on the Exchange; however, the Simple Order Report 
contains data relevant to the BOX Book while the proposed Complex Order 
Report contains data relevant to the Complex Order Book.
    The other two differences are that the Simple Order Report includes 
the BBO, which is the Exchange's best bid or offer, and the NBBO, which 
is the best bid or offer of away exchanges. In their place, the 
proposed Complex Order Report would include the cBBO and cNBBO. The 
Exchange is providing the cBBO and cNBBO because both are relevant and 
tailored to a Participant that is entering a Complex Order to remove 
liquidity as part of a Complex Strategy and, therefore, more germane to 
the purpose of the Complex Order Report. The Exchange believes these 
differences are appropriate because providing the cBBO in place of the 
BBO and the cNBBO in place of the NBBO are more germane to the purpose 
of the proposed Complex Order Report.
    Like the Simple Order Report, the Exchange believes the proposed 
Complex Order Report will serve to promote just and equitable 
principles of trade, remove impediments to and perfect the mechanism of 
a free and open market and a national market system, and, in general 
protect investors and the public interest by providing Participants 
access to information regarding their trading activity that they may 
utilize to evaluate their own Complex Order trading behavior and order 
interactions. Also, like the Simple Order Report, the proposed Complex 
Order Report is designed for Participants that are interested in 
gaining insight into latency in connection with Complex Orders that 
failed to execute against an order resting on the Exchange's Complex 
Order Book by providing those Participants data to analyze by how much 
time their Complex Order may have missed an execution against a contra-
side order resting on the Complex Order Book. The Exchange believes 
that providing this optional latency data to interested Participants is 
consistent with facilitating transactions in securities, removing 
impediments to and perfecting the mechanism of a free and open market 
and a national market system, and, in general, protecting investors and 
the public interest because it provides greater visibility into the 
latency of Participants' incoming orders that they may use to optimize 
their models and trading systems in an effort to yield better execution 
results by calculating by how much time their order may have missed an 
execution. This would, in turn, benefit other market participants who 
may experience better executions on the Exchange because those that use 
the proposed Complex Order Report may re-calibrate their trading models 
and then increase their trading on the Exchange and volume of liquidity 
removing orders. This could lead to an increase in

[[Page 31017]]

incoming liquidity removing orders resulting in higher execution rates 
for Participants who primarily place resting orders on the Complex 
Order Book. The proposed Complex Order Report may benefit other market 
participants who would receive greater fill rates, thereby facilitating 
transactions in securities and perfecting the mechanism of the national 
market system.
    The Exchange believes this proposal promotes just and equitable 
principles of trade because it would provide latency information in a 
systematized way and standardized format to any Participant that 
chooses to subscribe to the proposed Complex Order Report. As a result, 
the proposal would also remove impediments to and perfect the mechanism 
of a free and open market and a national market system by making 
latency information for liquidity-seeking orders available in a more 
equalized manner. The proposal further promotes just and equitable 
principles of trade by increasing transparency, particularly for 
Recipient Participants that may not have the expertise to generate the 
same information on their own. The proposed Complex Order Report may 
better enable Recipient Participants to increase the fill rates for 
their liquidity-seeking Complex Orders. At the same time, as is also 
discussed above, the Complex Order Report promotes just and equitable 
principles of trade and protects investors and the public interest 
because it is designed to prevent a Recipient Participant from learning 
other Participants' sensitive trading information. The Complex Order 
Report would not be a real-time market data product, as it would 
provide only historical trading data for the previous trading day, 
generally on a T+1 basis. In addition, the data in the Complex Order 
Report regarding incoming orders that failed to execute would be 
specific to the Recipient Participant's Complex Orders, and other 
information in the proposed Complex Order Report regarding resting 
orders and executions would be anonymized if it relates to a 
Participant other than the Recipient Participant.
    The Complex Order Report generally contains three buckets of 
information. The first two buckets include information about the 
resting order and the execution of the resting order. Some of this 
information is available from other public sources or derivable from 
other public sources, such as OPRA and the Exchange's proprietary data 
feed, or is similar to information included in a report offered by 
another exchange. For example, OPRA provides bids, offers, and 
consolidated last sale and quotation information for options trading on 
all national securities exchanges, including the Exchange. In addition, 
the Exchange offers the High-Speed Vendor Feed (``HSVF'') which 
broadcasts BOX's real-time trading and statistical information 
(comprised of trades, quotes, market depth, complex order strategies, 
bulletins, summaries, auctions, and other statistics).\37\
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    \37\ See current BOX Rule 7130(a)(2). The Exchange notes that 
the cBBO and cNBBO are provided in BOX's HSVF. BOX makes the HSVF 
available to all market participants pursuant to current Rule 
7130(a)(2).
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    The first bucket of information contained in the Complex Order 
Report for the resting order includes the time the resting order was 
received by the Exchange, the symbol, unique reference number assigned 
at the time of receipt, side (buy or sell), and the displayed price and 
size of the resting order. Further, the symbol, whether the resting 
order is from a Public Customer or non-Public Customer, side (buy or 
sell), and displayed price and size are also available either via OPRA 
or the Exchange's HSVF.\38\ The first bucket of information also 
indicates whether the Recipient Participant is an Affiliate of the 
Participant that entered the resting order. This data field will not 
indicate the identity of the Participant that entered the resting order 
and would simply allow the Recipient Participant to better understand 
the scenarios in which it may execute against the orders of its 
Affiliates.\39\
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    \38\ The Exchange also notes that the proposed information in 
the first bucket is identical to the information provided in the 
Simple Order Report. See BOX Rule 7350(b)(1)(i).
    \39\ The Exchange surveils to monitor for aberrant behavior 
related to internalized trades and identify potential wash sales.
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    The second bucket of information contained in the proposed Complex 
Order Report regards the execution of the resting order and includes 
the cBBO and cNBBO at the time of execution. These data points are also 
available via the Exchange's HSVF. The second bucket of information 
will also indicate whether the response was entered by the Recipient 
Participant. This data point is simply provided as a convenience. If 
not entered by the Recipient Participant, this data point will be left 
blank so as not to include any identifying information about other 
Participant activity. The second bucket of information also includes 
the size, time and type of first response that executes against the 
resting order; as well as the time difference between the time the 
resting order and first response that executes against the resting 
order are received by the Exchange. These data points would assist the 
Recipient Participant in analyzing by how much time their order may 
have missed an execution against a contra-side order resting on the 
Complex Order Book.
    The third bucket of information is about the Recipient 
Participant's response(s) and the time their response(s) is received by 
the Exchange. This includes the time difference between the time the 
first response that executes against the resting order was received by 
the Exchange and the time of each response sent by the Recipient 
Participant, regardless of whether it executed or not. Also included is 
the time difference between the time the resting order was received by 
the Exchange and the time the response submitted by the Recipient 
Participant was received by the Exchange. As stated above, these data 
points would assist the Recipient Participant in analyzing by how much 
time their order may have missed an execution against a contra-side 
order resting on the Complex Order Book. This bucket would also include 
the size and type of each response submitted by the Recipient 
Participant, the Recipient Participant identifier, and a response 
reference number which is selected by the Recipient Participant. Each 
of these data points are unique to the Recipient Participant and should 
already be known by Recipient Participant even if not included in the 
proposed Report.\40\
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    \40\ The Exchange notes that the proposed information in the 
third bucket is identical to the information provided in the Simple 
Order Report. See BOX Rule 7350(b)(1)(iii).

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[[Page 31018]]

    The Exchange notes one additional data point included in the third 
bucket of information that is not included in the information provided 
in MIAX Emerald's Complex Order Liquidity Taker Event Report. 
Specifically, the Exchange proposes to include the time difference 
between the time the resting order was received by the Exchange and the 
time the response submitted by the Recipient Participant was received 
by the Exchange.\41\ As discussed herein, the Exchange believes that 
providing this information is reasonable and appropriate as this data 
point is being derived from information already provided in the Complex 
Order Report that is identical to information already provided in the 
MIAX Emerald Complex Order Liquidity Taker Event Report. Specifically, 
Participants can take the sum of the time difference between the time 
the resting order was received by the Exchange and the time the first 
response that executes against the resting order was received by the 
Exchange \42\ and the time difference between the first response that 
executes against the resting order was received by the Exchange and the 
time of each response sent by the Recipient Participant, regardless of 
whether it executed or not.\43\ By summing these values, the 
Participant could derive the time difference between the time the 
resting order was received by the Exchange and the time the response 
submitted by the Recipient Participant was received by the Exchange, 
regardless of whether it executed or not. This time difference would be 
provided in nanoseconds. Further, the Exchange believes providing this 
additional information in the proposed Complex Order Report is 
reasonable and appropriate as it will provide greater visibility into 
the missed trading execution, which will allow Participants to optimize 
their trading systems to yield better execution results.
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    \41\ See Proposed Rule 7350(c)(1)(iii)(C).
    \42\ See proposed Rule 7350(c)(1)(ii)(D).
    \43\ See proposed Rule 7350(b)(1)(iii)(B).
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    The Exchange proposes to provide the Complex Order Report on a 
voluntary basis and no Participant will be required to subscribe to the 
Complex Order Report. The Exchange notes that there is no rule or 
regulation that requires the Exchange to produce, or that a Participant 
elect to receive, the Complex Order Report. It is entirely a business 
decision of each Participant to subscribe to the Complex Order Report. 
The Exchange proposes to offer the Complex Order Report as a 
convenience to Participants to provide them with additional information 
regarding trading activity on the Exchange on a delayed basis after the 
close of regular trading hours. A Participant that chooses to subscribe 
to the Complex Order Report may discontinue receiving the Complex Order 
Report at any time if that Participant determines that the information 
contained in the Complex Order Report is no longer useful.
    In summary, the proposed Complex Order Report will help to protect 
a free and open market by providing additional data (offered on an 
optional basis) to the marketplace and by providing investors with 
greater opportunities to understand by how much time a particular order 
missed executing against a specific order resting on the Complex Order 
Book. This, in turn, could allow Participants to optimize their models 
and trading systems to yield better execution results when trading 
Complex Orders. Additionally, the proposal would not permit unfair 
discrimination because the proposed Complex Order Report will be 
available to all Exchange Participants.

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

    The Exchange does not believe that the proposed rule change will 
impose any burden on competition not necessary or appropriate in 
furtherance of the purposes of the Act.
Inter-Market Competition
    The proposed Complex Order Report will allow the Exchange to 
provide a new option for Participants to receive historical latency 
related data. The proposed Complex Order Report will also further 
enhance inter-market competition between exchanges by allowing the 
Exchange to expand its product offerings. The latency information that 
would be provided in the proposed Complex Order Report would enhance 
competition between exchanges that offer complex order functionality 
because it would allow Recipient Participants to recalibrate their 
models and trading strategies to improve their overall trading 
experience on the Exchange. This may improve the Exchange's overall 
trading environment resulting in increased liquidity and order flow on 
the Exchange. In response, other exchanges may similarly seek ways to 
provide latency related data in an effort to improve their own market 
quality. The Exchange notes that the rule change is being proposed as a 
competitive response to filings submitted by MIAX and MIAX Emerald that 
were recently noticed by the Commission.\44\
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    \44\ See supra note 7.
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Intra-Market Competition
    The Exchange does not believe the proposed Complex Order Report 
will have an inappropriate burden on intra-market competition between 
Recipient Participants and other Participants who choose not to receive 
the Complex Order Report. As discussed above, the first two buckets of 
information included in the Complex Order Report contain information 
about the resting order and the execution of the resting order, both of 
which are generally available to Participants that choose not to 
receive the Complex Order Report from other sources, such as by 
deriving these data points from OPRA or obtaining them from the 
Exchange's HSVF. The third bucket of information is about the Recipient 
Participant's response and the time their response is received by the 
Exchange, information which the Recipient Participant would be able to 
obtain without receiving the Complex Order Report. Additionally, some 
Participants may already be able to derive a substantial amount of the 
same data that is provided by some of the components based on their own 
executions and algorithms.
    In sum, if the proposed Complex Order Report is unattractive to 
Participants, Participants will opt not to receive it. Additionally, 
the proposal would not permit unfair discrimination because the 
proposed Report will be available to all Exchange Participants. 
Accordingly, the Exchange does not believe that the proposed change 
will impair the ability of Participants or competing order execution 
venues to maintain their competitive standing in the financial markets.

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

    The Exchange has neither solicited nor received comments on the 
proposed rule change.

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

    Because the foregoing proposed rule change does not: (i) 
Significantly affect the protection of investors or the public 
interest; (ii) impose any significant burden on competition; and (iii) 
become operative for 30 days from the date on which it was filed, or 
such shorter time as the Commission may designate, it has become 
effective pursuant to Section

[[Page 31019]]

19(b)(3)(A)(iii) of the Act \45\ and subparagraph (f)(6) of Rule 19b-4 
thereunder.\46\
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    \45\ 15 U.S.C. 78s(b)(3)(A)(iii).
    \46\ 17 CFR 240.19b-4(f)(6). In addition, Rule 19b-4(f)(6) 
requires a self-regulatory organization to give the Commission 
written notice of its intent to file the proposed rule change at 
least five business days prior to the date of filing of the proposed 
rule change, or such shorter time as designated by the Commission. 
The Exchange has satisfied this requirement.
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    A proposed rule change filed under Rule 19b-4(f)(6) \47\ normally 
does not become operative prior to 30 days after the date of the 
filing. However, pursuant to Rule 19b-4(f)(6)(iii),\48\ the Commission 
may designate a shorter time if such action is consistent with the 
protection of investors and the public interest. The Exchange has asked 
the Commission to waive the 30-day operative delay. The Exchange states 
that waiver of the 30-day operative delay would benefit investors by 
enabling the Exchange to make latency information for liquidity-seeking 
Complex Orders available to Exchange Participants in a more equalized 
and timely manner, allow the Exchange to compete with other exchanges 
that currently offer substantially similar reports for complex 
orders,\49\ and provide the Exchange with an opportunity to attract 
additional order flow from Participants that find value in the proposed 
report. The Commission finds that waiving the 30-day operative delay is 
consistent with the protection of investors and the public interest. As 
discussed above, the Exchange states that the proposed reports could 
provide Participants that subscribe to the reports with increased 
visibility into missed executions against orders resting on the 
Exchange's Complex Order Book, thereby allowing Participants to 
determine whether to invest in the resources and technology needed to 
mitigate missed executions. The Exchange notes that all firms that 
choose to subscribe to the proposed reports, which are optional, will 
have access to the same information on an equal basis, including firms 
that lack the resources to generate similar reports regarding 
interactions with the Exchange. In addition, the proposal does not 
raise new or novel regulatory issues because other options exchanges 
currently offer substantially similar reports for complex orders.\50\ 
For these reasons, the Commission designates the proposal operative 
upon filing.\51\
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    \47\ 17 CFR 240.19b-4(f)(6).
    \48\ 17 CFR 240.19b-4(f)(6)(iii).
    \49\ See supra note 7.
    \50\ See supra note 7.
    \51\ For purposes only of accelerating the operative date of 
this proposal, the Commission has considered the proposed rule's 
impact on efficiency, competition, and capital formation. 15 U.S.C. 
78c(f).
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    At any time within 60 days of the filing of the proposed rule 
change, the Commission summarily may temporarily suspend such rule 
change if it appears to the Commission that such action is necessary or 
appropriate in the public interest, for the protection of investors, or 
otherwise in furtherance of the purposes of the Act. If the Commission 
takes such action, the Commission shall institute proceedings to 
determine whether the proposed rule should be approved or disapproved.

IV. Solicitation of Comments

    Interested persons are invited to submit written data, views, and 
arguments concerning the foregoing, including whether the proposed rule 
change is consistent with the Act. Comments may be submitted by any of 
the following methods:

Electronic Comments

     Use the Commission's internet comment form (http://www.sec.gov/rules/sro.shtml); or
     Send an email to [email protected]. Please include 
File Number SR-BOX-2022-18 on the subject line.

Paper Comments

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

All submissions should refer to File Number SR-BOX-2022-18. This file 
number should be included on the subject line if email is used. To help 
the Commission process and review your comments more efficiently, 
please use only one method. The Commission will post all comments on 
the Commission's internet website (http://www.sec.gov/rules/sro.shtml). 
Copies of the submission, all subsequent amendments, all written 
statements with respect to the proposed rule change that are filed with 
the Commission, and all written communications relating to the proposed 
rule change between the Commission and any person, other than those 
that may be withheld from the public in accordance with the provisions 
of 5 U.S.C. 552, will be available for website viewing and printing in 
the Commission's Public Reference Room, 100 F Street NE, Washington, DC 
20549 on official business days between the hours of 10:00 a.m. and 
3:00 p.m. Copies of the filing also will be available for inspection 
and copying at the principal office of the Exchange. All comments 
received will be posted without change. Persons submitting comments are 
cautioned that we do not redact or edit personal identifying 
information from comment submissions. You should submit only 
information that you wish to make available publicly. All submissions 
should refer to File Number SR-BOX-2022-18, and should be submitted on 
or before June 10, 2022.

    For the Commission, by the Division of Trading and Markets, 
pursuant to delegated authority.\52\
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    \52\ 17 CFR 200.30-3(a)(12).
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J. Matthew DeLesDernier,
Assistant Secretary.
[FR Doc. 2022-10804 Filed 5-19-22; 8:45 am]
BILLING CODE 8011-01-P