[Federal Register Volume 82, Number 203 (Monday, October 23, 2017)]
[Notices]
[Pages 49058-49068]
[FR Doc No: 2017-22886]

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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.
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    \1\ 15 U.S.C. 78s(b)(1).
    \2\ 17 CFR 240.19b-4.
    \3\ See Securities Exchange Act Release No. 81137 (July 13,
2017), 82 FR 33170 (``Notice'').
    \4\ 15 U.S.C. 78s(b)(2).
    \5\ See Securities Exchange Act Release No. 81468 (August 23,
2017), 82 FR 41079 (August 29, 2017).
    \6\ Amendment 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/SR-BatsEDGX-2017-29-Amendment-No-1.pdf)
when it filed Amendment No. 1 with the Commission.
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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\
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    \7\ EDGX 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.
    \8\ EDGX Rule 21.20(a)(2) defines the term BBO to mean the best
bid or offer on the Simple Book on the Exchange.
    \9\ EDGX 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).
    \10\ EDGX 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).
    \11\ EDGX 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 three-to-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.
    \12\ EDGX Rule 21.20(a)(6) defines the Complex Order Book
(``COB'') as the Exchange's electronic book of complex orders.
    \13\ EDGX 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.
    \14\ EDGX 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.
    \15\ EDGX 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)).
    \16\ EDG Rule 21.20(a)(10) defines the Simple Book as the
Exchange's regular electronic book of orders.
    \17\ EDGX 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.
    \18\ EDGX 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).
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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\
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    \19\ See 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).
    \20\ OPG 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).
    \21\ See Notice, 82 FR at 33182, and EDGX Rules 21.1(f)(4) and
(f)(6), and 21.20(b).
    \22\ See 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)).
    \23\ See EDGX Rule 21.20(b).
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    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\

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\
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    \24\ See id.
    \25\ Complex 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).
    \26\ EDGX's System will support, when trading against other
complex orders on the COB, complex orders with the following MTP
Modifiers defined in 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).
    \27\ A 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).
    \28\ See 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.
    \29\ See 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.
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    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\
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    \30\ See Amendment No. 1 and EDGX Rule 21.20(b).
    \31\ See Amendment No. 1.
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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\
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    \32\ See EDGX Rule 21.20(c).
    \33\ See id.
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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\
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    \34\ See EDGX Rule 21.20(c)(l).
    \35\ The Simple Book is EDGX's regular electronic book of
orders. See EDGX Rule 21.20(a)(10).
    \36\ See 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).
    \37\ See EDGX Rule 21.20(c)(1)(C).
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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 re-opening 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 re-opening.\42\
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    \38\ See EDGX Rule 21.20(c)(2)(A).
    \39\ See id. and Amendment No. 1.
    \40\ See EDGX Rule 21.20(c)(2)(A).
    \41\ See id.
    \42\ See id. and Amendment No. 1.
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    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\
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    \43\ See EDGX Rule 21.20(c)(2)(A).
    \44\ See id.
    \45\ The ``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).
    \46\ See EDGX Rule 21.20(c)(2)(B) and Amendment No. 1.
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    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\

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\
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    \47\ See 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.
    \48\ See footnote 18, supra.
    \49\ See EDGX Rule 21.20(c)(2)(D) and Amendment No. 1.
    \50\ See EDGX Rule 21.20(c)(2)(D).
    \51\ See EDGX Rule 21.20(c)(2)(D) and Amendment No. 1. EDGX
believes that the proposed configurable time period is important
because the 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.
    \52\ See EDGX Rule 21.20(c)(2)(D) and Amendment No. 1.
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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\
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    \53\ A ``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).
    \54\ See EDGX Rule 21.20(c)(2)(E).
    \55\ See id.
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    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\
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    \56\ See id.
    \57\ See Section II.G, infra, for a discussion of the Drill-
Through Price Protection feature.
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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\
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    \58\ See 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.
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    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\
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    \59\ See EDGX Rule 21.20(c)(3)(B).
    \60\ See id.
    \61\ See Notice, 82 FR at 33184.
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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\
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    \62\ Complex orders will not be routed outside of EDGX
regardless of the prices displayed by away markets. See EDGX Rule
21.20(c)(4).
    \63\ See Notice, 82 FR at 33175.
    \64\ See 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.
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    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\
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    \65\ See EDGX Rule 21.20(c)(4)(A).
    \66\ See id.
    \67\ See id.
    \68\ See id.
    \69\ See id. For an example of the complex order managed
interest process when the SBBO includes Priority Customer Interest,
see Notice, 82 FR at 33176.
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    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\
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    \70\ See 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.
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    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

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\
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    \71\ See EDGX Rule 21.20(c)(4)(B).
    \72\ See id.
    \73\ See id.
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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 event-triggered 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\
---------------------------------------------------------------------------

    \74\ See Notice, 82 FR at 33176.
    \75\ See 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.
    \76\ See EDGX Rule 21.20(c)(5)(C). If the System determines that
a complex order is not COA-eligible, 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 time-in-force of the complex
order does not allow it to rest on the COB. See EDGX Rule
21.20(c)(5)(D).
    \77\ See Notice, 82 FR at 33175.
    \78\ See id.
---------------------------------------------------------------------------

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\
---------------------------------------------------------------------------

    \79\ See EDGX Rule 21.20(c)(6).
    \80\ See EDGX Rule 21.20(c)(6)(A).
    \81\ See 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.
---------------------------------------------------------------------------

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\
---------------------------------------------------------------------------

    \82\ See Notice, 82 FR at 33174.
    \83\ See EDGX Rule 21.20(c)(2)(F).
    \84\ See id.
    \85\ See 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.
    \86\ See 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.
---------------------------------------------------------------------------

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\
---------------------------------------------------------------------------

    \87\ See EDGX Rule 21.20(d).
    \88\ See id.
---------------------------------------------------------------------------

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

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., non-broker-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\
---------------------------------------------------------------------------

    \89\ See 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.
    \90\ See EDGX Rule 21.20(d)(1).
---------------------------------------------------------------------------

    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\
---------------------------------------------------------------------------

    \91\ Complex 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.
    \92\ EDGX 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.
    \93\ See EDGX Rule 21.20, Interpretation and Policy .03.
---------------------------------------------------------------------------

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\
---------------------------------------------------------------------------

    \94\ See 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.
    \95\ See EDGX Rule 21.20(d)(2).
    \96\ See 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.
---------------------------------------------------------------------------

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\
---------------------------------------------------------------------------

    \97\ See 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.
    \98\ See EDGX Rule 21.20(d)(4).
    \99\ See id.
    \100\ See id.
    \101\ See id.
    \102\ See id.
    \103\ See id.
    \104\ See id.
---------------------------------------------------------------------------

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\
---------------------------------------------------------------------------

    \105\ See EDGX Rule 21.20(d)(5)(A).
    \106\ See EDGX Rule 21.20(d)(5)(B).
---------------------------------------------------------------------------

    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\
---------------------------------------------------------------------------

    \107\ See EDGX Rule 21.20(d)(5)(C).
    \108\ See EDGX Rule 21.20, Interpretation and Policy .05(b).
---------------------------------------------------------------------------

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

Simple Book is consistent with the long-standing 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 (``non-Customers'')
pursuant to the Customer Overlay set forth in EDGX Rule
21.8(d)(1).\112\ Thus, orders of non-Customers 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\
---------------------------------------------------------------------------

    \109\ See EDGX Rule 21.20(d)(6). For an example of pricing in a
COA, see Notice, 82 FR at 33178.
    \110\ See 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.
    \111\ See EDGX Rule 21.8 and Amendment No. 1.
    \112\ See Amendment No. 1. EDGX states that the Exchange
currently applies the Customer Overlay to all options traded on the
Exchange. See id.
    \113\ See id.
    \114\ See id.
    \115\ See id.
    \116\ See id.
---------------------------------------------------------------------------

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\
---------------------------------------------------------------------------

    \117\ EDGX 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.
    \118\ See Notice, 82 FR at 33177.
    \119\ See id., 82 FR at 33186.
---------------------------------------------------------------------------

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\
---------------------------------------------------------------------------

    \120\ See id., 82 FR at 33179.
    \121\ See EDGX Rule 21.20, Interpretation and Policy .01.
    \122\ See id.
    \123\ See id.
---------------------------------------------------------------------------

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\
---------------------------------------------------------------------------

    \124\ See Notice, 82 FR at 33186.
    \125\ See id.
---------------------------------------------------------------------------

    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\
---------------------------------------------------------------------------

    \126\ See Notice, 82 FR at 33180.
---------------------------------------------------------------------------

    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\
---------------------------------------------------------------------------

    \127\ See 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).
    \128\ The 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.
    \129\ See 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.
    \130\ See EDGX Rule 21.20, Interpretation and Policy .04(c)(3).
    \131\ See EDGX Rule 21.20, Interpretation and Policy .04(c)(4).
---------------------------------------------------------------------------

    The System defines a complex order as a debit or credit as follows:
(A) A call butterfly spread \132\ for which the

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\
---------------------------------------------------------------------------

    \132\ A ``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 a ``skewed'' butterfly. See EDGX Rule 21.20,
Interpretation and Policy .04(a)(2).
    \133\ See 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.
---------------------------------------------------------------------------

    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\
---------------------------------------------------------------------------

    \134\ A ``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.
    \135\ See EDGX Rule 21.20, Interpretation and Policy .04(e).
    \136\ See EDGX Rule 21.20, Interpretation and Policy .04(e)(1).
    \137\ See EDGX Rule 21.20, Interpretation and Policy .04(e)(2).
---------------------------------------------------------------------------

    EDGX Rule 21.20, Interpretation and Policy .04(f) establishes
EDGX's Drill-Through 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 ``Drill-Through Price'').\138\ EDGX will adopt a default
buffer amount for the Drill-Through 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 Drill-Through Price,
the System will instead post the order to the COB at the Drill-Through
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 Drill-Through
Price.\141\ If the order (or unexecuted portion thereof) does not
execute during that time period, the System will cancel it.\142\
---------------------------------------------------------------------------

    \138\ For an example of the application of the Drill-Through
Price Protection, see Notice, 82 FR at 33181-82.
    \139\ See EDGX Rule 21.20, Interpretation and Policy .04(f).
    \140\ See id.
    \141\ See id.
    \142\ See id.
---------------------------------------------------------------------------

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\
---------------------------------------------------------------------------

    \143\ See EDGX Rule 21.16(a).
    \144\ See Notice, 82 FR at 33183.
    \145\ See EDGX Rule 21.16, Interpretation and Policy .01.
---------------------------------------------------------------------------

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\
---------------------------------------------------------------------------

    \146\ See EDGX Rule 21.20, Interpretation and Policy .06(a) and
(b).
    \147\ See EDGX Rule 21.20, Interpretation and Policy .06(c).
---------------------------------------------------------------------------

    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

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\
---------------------------------------------------------------------------

    \148\ See EDGX Rule 21.20, Interpretation and Policy .06(a).
    \149\ See id. EDGX notes that ISE Rule 722, Supplementary
Material .07(d) also provides for 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.
    \150\ See EDGX Rule 21.20, Interpretation and Policy .06(a).
    \151\ See id.
    \152\ See id.
---------------------------------------------------------------------------

    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\
---------------------------------------------------------------------------

    \153\ See 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.
    \154\ See EDGX Rule 21.20, Interpretation and Policy .06(b).
    \155\ See id.
    \156\ See id.
---------------------------------------------------------------------------

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\
---------------------------------------------------------------------------

    \157\ See 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.
    \158\ See EDGX Rule 21.20, Interpretation and Policy .05(a).
    \159\ See id.
    \160\ See id.
---------------------------------------------------------------------------

    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\
---------------------------------------------------------------------------

    \161\ See EDGX Rule 21.20, Interpretation and Policy .05(b).
    \162\ See EDGX Rule 21.20, Interpretation and Policy .05(c).
---------------------------------------------------------------------------

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\
---------------------------------------------------------------------------

    \163\ See 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.
    \164\ See Notice, 82 FR at 33183.
    \165\ See 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.
    \166\ See 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.
    \167\ See 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.
---------------------------------------------------------------------------

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.
---------------------------------------------------------------------------

    \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).
---------------------------------------------------------------------------

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, COA-eligible orders, do-not-COA
orders, and complex orders with Match Trade

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, COA-eligible 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\
---------------------------------------------------------------------------

    \170\ See EDGX Rule 21.20(a)(5).
    \171\ See, e.g., ISE Rule 722(a)(1); CBOE Rule 6.53C(a)(1); and
MIAX Rule 518(a)(5).
    \172\ As 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.
    \173\ See EDGX Rule 21.1.
    \174\ See 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).
---------------------------------------------------------------------------

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\
---------------------------------------------------------------------------

    \175\ See Notice, 82 FR at 33184.
    \176\ See, e.g., ISE Rule 722(b)(2); Phlx Rule 1098(c)(iii); and
MIAX Rule 518(c)(3).
---------------------------------------------------------------------------

    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\
---------------------------------------------------------------------------

    \177\ See Notice, 82 FR at 33173.
    \178\ See id.
    \179\ See id.
    \180\ See MIAX Rule 518(c)(2)(ii).
---------------------------------------------------------------------------

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 COA-eligible 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.
---------------------------------------------------------------------------

    \181\ See EDGX Rule 21.20(c)(2)(F).
    \182\ See, 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.
---------------------------------------------------------------------------

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.
---------------------------------------------------------------------------

    \183\ See Notice, 82 FR at 33185.
    \184\ See id., 82 FR at 33179.
---------------------------------------------------------------------------

    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\
---------------------------------------------------------------------------

    \185\ See EDGX Rule 21.20, Interpretation and Policy .02.
    \186\ See id.
    \187\ See 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).
---------------------------------------------------------------------------

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

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\
---------------------------------------------------------------------------

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

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\
---------------------------------------------------------------------------

    \189\ See EDGX Rule 21.20, Interpretation and Policy .01.
    \190\ See id.
    \191\ See id.
    \192\ See ISE Rule 722, Supplementary Material .03; and MIAX
Rule 518, Interpretation and Policy .02(e).
---------------------------------------------------------------------------

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.
---------------------------------------------------------------------------

    \193\ See Notice, 82 FR at 33186.
    \194\ See CBOE Rule 6.53C, Interpretation and Policy .08(b)-(d)
and (g); and ISE Rule 722, Supplementary Material .07(d) and (e).
    \195\ See Notice, 82 FR at 33186.
    \196\ See 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).
---------------------------------------------------------------------------

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.
---------------------------------------------------------------------------

    \197\ See Notice, 82 FR at 33186.
    \198\ See Amendment No. 1 and Notice, 82 FR at 33182.
    \199\ See Notice, 82 FR at 33182.
---------------------------------------------------------------------------

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 [email protected]. 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

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.
---------------------------------------------------------------------------

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

    For the Commission, by the Division of Trading and Markets,
pursuant to delegated authority.\201\
---------------------------------------------------------------------------

    \201\ 17 CFR 200.30-3(a)(12).
---------------------------------------------------------------------------

Eduardo A. Aleman,
Assistant Secretary.
[FR Doc. 2017-22886 Filed 10-20-17; 8:45 am]
BILLING CODE 8011-01-P


[Federal Register: March 23, 2006 (Volume 71, Number 56)]
[Notices]
[Page 14745-14746]
[DOCID:fr23mr06-74]

=======================================================================
-----------------------------------------------------------------------

SECURITIES AND EXCHANGE COMMISSION

Submission for OMB Review; Comment Request

Upon Written Request, Copies Available From: Securities and Exchange
Commission, Office of Filings and Information Services, Washington, DC
20549.

Extension:
    Rule 15c2-8, SEC File No. 270-421, OMB Control No. 3235-0481.

    Notice is hereby given that pursuant to the Paperwork Reduction Act
of 1995 (44 U.S.C. 3501 et seq.), the Securities and Exchange
Commission (``Commission'') has submitted to the Office of Management
and Budget (``OMB'') a request for extension of the previously approved
collection of information discussed below.
 Rule 15c2-8 Delivery of Prospectus
    Rule 15c2-8 under the Securities Exchange Act of 1934 requires
broker-dealers to deliver preliminary or final prospectuses to
specified persons in association with securities offerings. This
requirement ensures that information concerning issuers flows to
purchasers of the issuers' securities in a timely fashion. It is
estimated that there are approximately 8,000 broker-dealers, any of
which potentially may participate in an offering subject to Rule 15c2-
8. The Commission estimates that Rule 15c2-8 creates approximately
10,600 burden hours with respect to 120 initial public offerings and
460 other offerings. Please note that an agency may not conduct or
sponsor, and a person is not required to respond to, a collection of
information unless it displays a currently valid control number.
    Written comments regarding the above information should be directed
to the following persons: (i) Desk Officer for the Securities and
Exchange Commission, Office of Information and Regulatory Affairs,
Office of Management and Budget, Room 10102, New Executive Office
Building, Washington, DC 20503 or by sending an e-mail to
<EMAIL_ADDRESS>and (ii) R. Corey Booth, Director/Chief

Information Officer, Securities and Exchange Commission, C/O Shirley
Martinson, 6432 General Green Way, Alexandria, Virginia 22312; or send
an e-mail to<EMAIL_ADDRESS>

Comments must be submitted to OMB within 30 days of this notice.

    March 16, 2006.
Nancy M. Morris,
Secretary.
[FR Doc. E6-4174 Filed 3-22-06; 8:45 am]

BILLING CODE 8010-01-P