First, the categories proposed in the Rule do not take into account various factors which influence the numbers reported in significant respects. For example, the Exchange does not believe that internalization of order flow will be adequately accounted for by the Rule and thus would distort the numbers that would be reported. As mentioned above, different parameters on different automatic order routing and execution systems will cause the report to give an inaccurate picture of orders sizes that fall between the order sizes mandated in the Rule. Therefore, the Exchange would recommend excluding or separating internalized orders from these reports and allowing market centers to choose the size of reporting share categories. Additionally, the Exchange recommends a clarification of the cancellation category.
Cancels take place for many reasons, some generated by the customer and some by other market events.
A single category would not portray an accurate picture to the public investor. Therefore, if the Commission chooses to retain this category, the Exchange recommend excluding or delineating cancels that occur outside of the control of the Exchange. Specifically, with respect to reporting by exchanges, would the time of order receipt be the time that the floor broker receives an order or would it be the time the specialist receives the order. This difference will have a significant effect on execution time numbers as reported by exchanges. The Exchange recommends clarifying this definition to state that orders are received by the exchange when they are received by the specialist on the exchange floor.