Document ID: SEC-2009-0532-0001
Agency: sec
Document Type: Notice
Title: Self-Regulatory Organizations; NYSE Amex LLC; Notice of Filing and Immediate Effectiveness of Proposed Rule Change Making Available an NYSE Amex Order Imbalance Information Datafeed as a Separate, Stand-Alone Market Data Product
Posted Date: 2009-04-16T04:00Z

[Federal Register: April 16, 2009 (Volume 74, Number 72)]
[Notices]               
[Page 17699-17701]
From the Federal Register Online via GPO Access [wais.access.gpo.gov]
[DOCID:fr16ap09-83]                         

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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-59743; File No. SR-NYSEAmex-2009-11]

 
Self-Regulatory Organizations; NYSE Amex LLC; Notice of Filing 
and Immediate Effectiveness of Proposed Rule Change Making Available an 
NYSE Amex Order Imbalance Information Datafeed as a Separate, Stand-
Alone Market Data Product

April 9, 2009.
    Pursuant to Section 19(b)(1) of the Securities Exchange Act of 1934 
(the ``Act'') \1\ and Rule 19b-4 thereunder,\2\ notice is hereby given 
that on April 2, 2009, NYSE Amex LLC (``NYSE Amex'' 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 NYSE Amex. NYSE Amex filed the proposed rule 
change pursuant to Section 19(b)(3)(A) of the Act \3\ and Rule 19b-
4(f)(6) thereunder,\4\ which renders it effective upon filing with the 
Commission. The Commission is publishing this notice to solicit 
comments on the proposed rule change from interested persons.
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    \1\ 15 U.S.C. 78s(b)(1).
    \2\ 17 CFR 240.19b-4.
    \3\ 15 U.S.C. 78s(b)(3)(A).
    \4\ 17 CFR 240.19b-4(f)(6).
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I. Self-Regulatory Organization's Statement of the Terms of Substance 
of the Proposed Rule Change

    The Exchange proposes to make available an NYSE Amex Order 
Imbalance Information datafeed as a separate, stand-alone market data 
product. The text of the proposed rule change is available at the 
Exchange, the Commission's Public Reference Room, and http://
www.nyse.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, NYSE Amex 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. NYSE Amex 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
    NYSE Amex LLC proposes to make available an NYSE Amex Order 
Imbalance Information datafeed as a separate, stand-alone market data 
product.
    Currently, NYSE Amex Equities Rules 15 and 123C allow Exchange 
systems to make available a datafeed of real-time order imbalances that 
accumulate prior to the opening of trading on the Exchange and prior to 
the closing of trading on the Exchange. Through this instant filing, 
the Exchange proposes to establish the NYSE Amex Order Imbalance 
Information services to which NYSE Amex Equities Rules 15 and 123C 
refer.\5\
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    \5\ NYSE Amex currently makes the NYSE Amex Order Imbalance 
Information datafeed available to vendors, broker-dealers and any 
other party that wishes to subscribe to this market data feed 
service. There is no fee for the service and the Exchange does not 
propose to establish one at this time. If the Exchange determines to 
establish fees for this service, it will be submit a proposed rule 
change to the Commission pursuant to the 19b-4 process.
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    NYSE Amex Order Imbalance Information is a datafeed of real-time 
order imbalances that accumulate prior to the opening of trading on the 
Exchange and prior to the close of trading on the Exchange. The 
datafeed contains aggregate information about orders that are subject 
to execution at the market's opening or closing price, as the case may 
be, and represent issues that are likely to be of particular trading 
interest at the opening or closing.
    Order Imbalance Information Prior to the Opening Transaction
    The order imbalance information disseminated prior to the opening 
transaction, consistent with NYSE Amex Equities Rule 15, contains all 
interest eligible for execution in the opening transaction of the 
security in Exchange systems. The previous trading day's closing price 
on NYSE Amex in the security will serve as the reference price for the 
order imbalance information disseminated prior to the opening 
transaction. The order imbalance information disseminated prior to the 
opening transaction indicates to market participants the number of 
shares that would be required to equalize buy and sell interest (i.e., 
flat) at the reference price. The Exchange proposes to distribute order 
imbalance information at specified intervals prior to the opening:
     Every five minutes between 8:30 a.m. EST and 9 a.m. EST.
     Every one minute between 9 a.m. EST and 9:20 a.m. EST.
     Every 15 seconds between 9:20 a.m. EST and the opening (or 
9:35 a.m. EST if the opening is delayed).
    Order Imbalance Information Prior to the Closing Transaction
    The order imbalance information disseminated prior to the closing 
transaction is consistent with the provisions of subparagraphs (5) and 
(6) of NYSE Amex Equities Rule 123C.\6\

[[Page 17700]]

Order imbalance information disseminated prior to the close uses the 
last sale price in the security on NYSE Amex prior to dissemination of 
the order imbalance information as its reference price to indicate the 
number of shares required to close ``flat,'' i.e., at the reference 
price.
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    \6\ ``MOC'' or Market-at-the-Close orders are to be executed in 
their entirety at the closing price. If not executed due to a 
trading halt or by its terms, e.g., buy minus or sell plus, the 
order will be cancelled. ``LOC'' or Limit-at the-Close orders are 
entered for execution at the closing price, provided that the 
closing price is at or within the limit specified. LOC orders 
limited at the closing price are not guaranteed an execution. NYSE 
Amex Equities Rule 123C(5) provides in part: ``Imbalance 
publications will include MOC orders as well as marketable LOC 
orders. In that regard, LOC orders to buy at a price higher than the 
last sale price are to be included with the buy MOC orders; LOC 
orders to sell at a price lower than the last sale price are to be 
included with the sell MOC orders. LOC orders with a limit equal to 
the last sale price would not be included in the imbalance 
calculation. The last sale price at 3:40 p.m. is used for the first 
mandatory publication and 3:50 p.m. for the second.''
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    Similar to the dissemination of order imbalance information prior 
to the open, order imbalance information disseminated prior to the 
close is distributed at specified intervals:
     Every fifteen seconds between 3:40 p.m. EST and 3:50 p.m. 
EST.
     Every five seconds between 3:50 p.m. EST and 4 p.m. EST.
    On any day that the scheduled close of trading on the Exchange is 
earlier than 4 p.m. EST, the dissemination of order imbalance 
information prior to the closing transaction will commence 20 minutes 
before the scheduled closing time. Order imbalance information will be 
disseminated every 15 seconds for approximately 10 minutes. Thereafter, 
the order imbalance information will be disseminated every five seconds 
until the scheduled closing time.
    NYSE Amex Order Imbalance Information includes the imbalance 
information that the Exchange is required to disseminate pursuant to 
NYSE Rule 123C(5), as well as automated real-time streaming order 
imbalance information at specified intervals. The datafeed containing 
NYSE Amex Information contains an automated real-time streaming order 
imbalance information at specified intervals as well as MOC Imbalances 
that Designated Market Makers disseminate pursuant to NYSE Amex 
Equities Rule 123C(5) at 3:40 p.m. and 3:50 p.m.
    The Exchange proposes to offer this order imbalance information as 
a stand-alone market data product in order to provide all investors 
with an opportunity to obtain information regarding opening and closing 
imbalances on the Exchange. The Exchange is not imposing end-user fees, 
is not requiring end-users to sign contracts and is subjecting vendor 
receipt and use of the information to very few administrative burdens 
(e.g., no reporting requirements and no end-user contracts).
    The Exchange proposes to make the NYSE Amex Order Imbalance 
Information datafeed available under the same contracting arrangement 
that the Commission has approved for the receipt and use of market data 
under the CTA and CQ Plans. That arrangement contemplates that each 
datafeed recipient enter into the Commission-approved standard form of 
``Agreement for Receipt and Use of Market Data'' that Network A uses 
for data redistributors and other parties that use the data for 
purposes other than interrogation.\7\ Exhibit A to each of those 
agreements would need to be updated to reflect the receipt and use of 
NYSE Amex Order Imbalance Information. The arrangement does not require 
an end-user of the information (other than a data feed recipient) to 
enter into any agreement.
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    \7\ The Participants in the CTA and CQ Plans first submitted the 
Consolidated Vendor Form to the Commission for immediate 
effectiveness in 1990. See Securities Exchange Act Release No. 28407 
(September 6, 1990), 55 FR 37276 (September 10, 1990) (SR-CTA/CQ-4-
281). The Commission approved a revised version of it in 1996 in 
conjunction with the participants' restatement of the CTA and CQ 
Plans. See Securities Exchange Act Release No. 37191 (May 9, 1996), 
61 FR 24842 (May 16, 1996) (SR-CTA/CQ-96-1).
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    The Exchange submits that the NYSE Amex Order Imbalance Information 
datafeed benefits market participants by facilitating their prompt 
access to widespread order imbalance information.
2. Statutory Basis
    The basis under the Securities Exchange Act of 1934 (the ``Act'') 
for the proposed rule change is the requirement under Section 6(b)(5) 
\8\ that an exchange have rules that are designed 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. The Exchange 
believes that this proposal is in keeping with those principles by 
facilitating investors' prompt access to free, widespread NYSE Amex 
Order Imbalance Information and providing increased transparency. 
Additionally, this proposal provides market participants with 
supplemental market information prior to the execution of the opening 
and closing transactions on the Exchange, which supports the system of 
a free and open market.
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    \8\ 15 U.S.C. 78f(b)(5).
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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 that is not necessary or appropriate 
in furtherance of the purposes of the Act.

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

    No written comments were solicited or received with respect to 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 if consistent with 
the protection of investors and the public interest, the proposed rule 
change has become effective pursuant to Section 19(b)(3)(A) of the Act 
\9\ and subparagraph (f)(6) of Rule 19b-4 thereunder.\10\
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    \9\ 15 U.S.C. 78s(b)(3)(A).
    \10\ 17 CFR 240.19b-4(f)(6).
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    A proposed rule change filed under Rule 19b-4(f)(6) normally may 
not become operative prior to 30 days after the date of filing.\11\ 
However, Rule 19b-4(f)(6)(iii) \12\ permits the Commission to designate 
a shorter time if such action is consistent with the protection of 
investors and the public interest. The Exchange has requested that the 
Commission waive the 30-day operative delay and designate the proposed 
rule change operative upon filing.
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    \11\ 17 CFR 240.19b-4(f)(6). In addition, Rule 19b-4(f)(6)(iii) 
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 complied with this requirement.
    \12\ Id.
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    The Commission believes that waiving the 30-day operative delay is 
consistent with the protection of investors and the public interest 
because the Exchange may immediately provide increased transparency to 
market participants without charge by disseminating supplemental 
information prior to the execution of the opening and closing 
transactions on the Exchange. Therefore, the Commission

[[Page 17701]]

designates the proposal operative upon filing.\13\
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    \13\ For purposes only of waiving the 30-day operative delay 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 may summarily abrogate such rule change if it 
appears to the Commission that such action is necessary or appropriate 
in the public interest, for the protection of investors, or otherwise 
in furtherance of the purposes of the Act.

IV. Solicitation of Comments

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

Electronic Comments

     Use the Commission's Internet comment form (http://
www.sec.gov/rules/sro.shtml); or
     Send an e-mail to rule-comments@sec.gov. Please include 
File No. SR-NYSEAmex-2009-11 on the subject line.

Paper Comments

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

All submissions should refer to File Number SR-NYSEAmex-2009-11. This 
file number should be included on the subject line if e-mail 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 inspection 
and copying in the Commission's Public Reference Room, on official 
business days between the hours of 10 a.m. and 3 p.m. Copies of such 
filing also will be available for inspection and copying at the 
principal office of NYSE Amex. 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-NYSEAmex-2009-11 and should be submitted on or before 
May 7, 2009.

    For the Commission, by the Division of Trading and Markets, 
pursuant to delegated authority.\14\
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    \14\ 17 CFR 200.30-3(a)(12).
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Florence E. Harmon,
Deputy Secretary.
 [FR Doc. E9-8683 Filed 4-15-09; 8:45 am]

BILLING CODE 8010-01-P