[Federal Register Volume 86, Number 67 (Friday, April 9, 2021)]
[Rules and Regulations]
[Pages 18596-18838]
[FR Doc No: 2020-28370]

Vol. 86

Friday,

No. 67

April 9, 2021

Part II

 Securities and Exchange Commission

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17 CFR Parts 240, 242, and 249

 Market Data Infrastructure; Final Rule

Federal Register / Vol. 86, No. 67 / Friday, April 9, 2021 / Rules
and Regulations

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SECURITIES AND EXCHANGE COMMISSION

17 CFR Parts 240, 242, and 249

[Release No. 34-90610, File No. S7-03-20]
RIN 3235-AM61

Market Data Infrastructure

AGENCY: Securities and Exchange Commission.

ACTION: Final rule.

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SUMMARY: The Securities and Exchange Commission (``Commission'' or
``SEC'') is amending Regulation National Market System (``Regulation
NMS'') under the Securities Exchange Act of 1934 (``Exchange Act'') to
modernize the national market system for the collection, consolidation,
and dissemination of information with respect to quotations for and
transactions in national market system (``NMS'') stocks (``NMS
information''). Specifically, the Commission is expanding the content
of NMS information that is required to be collected, consolidated, and
disseminated as part of the national market system under Regulation NMS
and is amending the method by which such NMS information is collected,
calculated, and disseminated by fostering a competitive environment for
the dissemination of NMS information via a decentralized consolidation
model with competing consolidators.

DATES: Effective date: The final rules are effective June 8, 2021.
    Compliance dates: The applicable compliance dates are discussed in
Section III.H, titled ``Transition Period and Compliance Dates.''

FOR FURTHER INFORMATION CONTACT: Kelly Riley, Senior Special Counsel,
at<PHONE_NUMBER>; Ted Uliassi, Senior Special Counsel, at (202) 551-
6095; Elizabeth C. Badawy, Senior Accountant, at<PHONE_NUMBER>; Leigh
Duffy, Special Counsel, at<PHONE_NUMBER>; Yvonne Fraticelli, Special
Counsel, at<PHONE_NUMBER>; Steve Kuan, Special Counsel, at (202) 551-
5624; or Joshua Nimmo, Attorney-Advisor, at<PHONE_NUMBER>, Division of
Trading and Markets, Commission, 100 F Street NE, Washington, DC 20549.
For further information on Regulation SCI: Heidi Pilpel, Senior Special
Counsel at<PHONE_NUMBER>; David Liu, Special Counsel at<PHONE_NUMBER>
or Sara Hawkins, Special Counsel, at<PHONE_NUMBER>, Division of
Trading and Markets, Commission, 100 F Street NE, Washington, DC 20549.

SUPPLEMENTARY INFORMATION: The Commission is adopting 17 CFR 242.614
(new Rule 614) under the Exchange Act, Form CC to require registration
of competing consolidators, and a requirement that the participants to
the effective national market system plan(s) for NMS stocks amend such
plan(s) to reflect the new role and functions of the plan(s). The
Commission is also adopting amendments to the following rules:

------------------------------------------------------------------------
          Commission reference                CFR citation (17 CFR)
------------------------------------------------------------------------
Exchange Act:
    Rule 3a51-1........................  Sec.   240.3a51-1.
    Rule 13h-1.........................  Sec.   240.13h-1.
Regulation NMS:........................  Sec.  Sec.   242.600 through
                                          242.613.
    Rule 600(b)(2).....................  Sec.   242.600(b)(2).
    Rule 600(b)(5).....................  Sec.   242.600(b)(5).
    Rule 600(b)(16)....................  Sec.   242.600(b)(16).
    Rule 600(b)(19)....................  Sec.   242.600(b)(19).
    Rule 600(b)(20)....................  Sec.   242.600(b)(20).
    Rule 600(b)(21)....................  Sec.   242.600(b)(21).
    Rule 600(b)(26)....................  Sec.   242.600(b)(26).
    Rule 600(b)(50)....................  Sec.   242.600(b)(50).
    Rule 600(b)(59)....................  Sec.   242.600(b)(59).
    Rule 600(b)(68)....................  Sec.   242.600(b)(68).
    Rule 600(b)(70)....................  Sec.   242.600(b)(70).
    Rule 600(b)(78)....................  Sec.   242.600(b)(78).
    Rule 600(b)(82)....................  Sec.   242.600(b)(82).
    Rule 600(b)(83)....................  Sec.   242.600(b)(83).
    Rule 600(b)(85)....................  Sec.   242.600(b)(85).
    Rule 602...........................  Sec.   242.602.
    Rule 603...........................  Sec.   242.603.
    Rule 611...........................  Sec.   242.611.
Regulation SCI:........................  Sec.  Sec.   242.1000 through
                                          242.1007.
    Rule 1000..........................  Sec.   242.1000.
Forms, Exchange Act:...................  Part 249.
    Form CC............................  Sec.   249.1002.
    Form SCI...........................  Sec.   249.1900.
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    Finally, the Commission is adopting conforming changes and updates
to cross-references in:

------------------------------------------------------------------------
          Commission reference                CFR citation (17 CFR)
------------------------------------------------------------------------
Exchange Act:
    Rule 105(b)(1)(i)(C)...............  Sec.   242.105(b)(1)(i)(C).
    Rule 105(b)(1)(ii).................  Sec.   242.105(b)(1)(ii).
    Rule 201(a)(1).....................  Sec.   242.201(a)(1).
    Rule 201(a)(2).....................  Sec.   242.201(a)(2).

    Rule 201(a)(3).....................  Sec.   242.201(a)(3).
    Rule 201(a)(4).....................  Sec.   242.201(a)(4).
    Rule 201(a)(5).....................  Sec.   242.201(a)(5).
    Rule 201(a)(6).....................  Sec.   242.201(a)(6).
    Rule 201(a)(7).....................  Sec.   242.201(a)(7).
    Rule 201(a)(9).....................  Sec.   242.201(a)(9).
    Rule 201(b)(1)(ii).................  Sec.   242.201(b)(1)(ii).
    Rule 201(b)(3).....................  Sec.   242.201(b)(3).
    Rule 204(g)(2).....................  Sec.   242.204(g)(2).
    Rule 600...........................  Sec.   242.600.
    Rule 602...........................  Sec.   242.602.
    Rule 611(c)........................  Sec.   242.611(c).
------------------------------------------------------------------------

Table of Contents

I. Introduction and Background
    A. Current Market Data Content and Dissemination Model Under
Regulation NMS
    B. National Market System Initiatives and the Market Data
Infrastructure Proposing Release
    C. Enhancements to the Content of NMS Information
    D. Enhancements to the Provision of Consolidated Market Data
    E. Implications for Best Execution
II. Enhancements to NMS Information
    A. Introduction
    B. Definition of ``Consolidated Market Data'' Under Rule
600(b)(19)
    1. Proposal
    2. Final Rule and Response to Comments
    3. The Fifth Amendment's Takings Clause
    C. Definition of ``Core Data'' Under Rule 600(b)(21)
    1. Proposal
    2. Final Rule and Response to Comments
    D. Definition of ``Round Lot'' Under Rule 600(b)(82)
    1. Proposal
    2. Final Rule and Response to Comments
    E. Definition of ``Protected Bid or Protected Offer'' Under Rule
600(b)(70)
    1. Proposal
    2. Final Rule and Response to Comments
    F. Definition of ``Depth of Book Data'' Under Rule 600(b)(26)
    1. Proposal
    2. Final Rule and Response to Comments
    G. Definition of ``Auction Information'' Under Rule 600(b)(5)
    1. Proposal
    2. Final Rule and Response to Comments
    H. Definition of ``Regulatory Data'' Under Rule 600(b)(78)
    1. Proposal
    2. Final Rule and Response to Comments
    I. Regulation SHO: Conforming Amendments to Rule 201
    1. Proposal
    2. Final Rule and Response to Comments
    J. Definition of ``Administrative Data'' Under Rule 600(b)(2)
    1. Proposal
    2. Final Rule and Response to Comments
    K. Definition of ``Self-Regulatory Organization-Specific Program
Data'' Under Rule 600(b)(85)
    1. Proposal
    2. Final Rule and Response to Comments
III. Enhancements to the Provision of Consolidated Market Data
    A. Introduction
    B. Proposed Decentralized Consolidation Model
    1. Comments on the Decentralized Consolidation Model
    2. Comments on the Effectiveness of the Proposal
    3. Comments on the Viability of the Decentralized Consolidation
Model
    4. Comments on Conflicts of Interest
    5. Comments on Latency
    6. Comments on the Potential Impact on Costs for Consolidated
Market Data
    7. Comments on Complexity of the Decentralized Consolidation
Model
    8. Comments on Surveillance and Regulation in the Decentralized
Consolidation Model
    9. Access to Data: Rule 603(b)
    10. Calculation of the National Best Bid and National Best Offer
Under Rule 600(b)(50)
    C. Competing Consolidators
    1. Definition of ``Competing Consolidator'' Under Rule
600(b)(16)
    2. Comments on Resiliency
    3. Comments on Data Quality
    4. Comments on Competing Consolidator Products
    5. Comments on Selection of a Competing Consolidator
    6. Comments on a Standardized Consolidation Process
    7. Registration and Responsibilities of Competing Consolidators:
Rule 614
    8. Responsibilities of a Competing Consolidator
    D. Self-Aggregators
    1. Proposal
    2. Final Rule and Response to Comments
    E. Amendment to the Effective National Market System Plan(s) for
NMS Stocks Under Rule 614(e)
    1. Proposal
    2. Final Rule and Response to Comments
    F. Systems Capability: Amendment to Rule 1000 of Regulation SCI
To Expand ``SCI Entities'' Definition To Include ``SCI Competing
Consolidator''; Adoption of Rule 614(d)(9): Systems Integrity
    G. Effects on the National Market System Plan Governing the
Consolidated Audit Trail
    H. Transition Period and Compliance Dates
    1. Proposal
    2. Final Rule and Response to Comments
    I. Alternatives to the Centralized Consolidation Model
    1. Distributed SIP Alternative
    2. Single SIP Alternative
    3. Other Alternatives
IV. Paperwork Reduction Act
    A. Summary of Collection of Information
    1. Registration Requirements and Form CC
    2. Competing Consolidators' Public Posting of Form CC
    3. Competing Consolidator Duties and Data Collection
    4. Recordkeeping
    5. Reports and Reviews
    6. Amendment to the Effective National Market System Plan(s) for
NMS Stocks
    7. Collection and Dissemination of Information by National
Securities Exchanges and National Securities Associations
    B. Proposed Use of Information
    1. Registration Requirements and Form CC
    2. Competing Consolidators' Public Posting of Form CC
    3. Competing Consolidator Duties and Data Collection
    4. Recordkeeping
    5. Reports and Reviews
    6. Amendment to the Effective National Market System Plan(s) for
NMS Stocks
    7. Collection and Dissemination of Information by National
Securities Exchanges and National Securities Associations
    C. Respondents
    1. Initial Estimate
    D. Total Initial and Annual Reporting and Recordkeeping Burden
    1. Registration Requirements and Form CC
    2. Competing Consolidators' Public Posting of Form CC
    3. Competing Consolidator Duties and Data Collection
    4. Recordkeeping
    5. Reports and Reviews
    6. Amendment to the Effective National Market System Plan(s) for
NMS Stocks
    7. Collection and Dissemination of Information by National
Securities Exchanges and National Securities Associations
    E. Collection of Information Is Mandatory
    F. Confidentiality
    1. Registration Requirements and Form CC
    2. Competing Consolidator Duties and Data Collection and
Maintenance
    3. Competing Consolidators' Public Posting of Form CC
    4. Recordkeeping

    5. Reports and Reviews
    6. Amendment to the Effective National Market System Plan(s) for
NMS Stocks
    7. Collection and Dissemination of Information by National
Securities Exchanges and National Securities Associations
    G. Revisions to Current Regulation SCI Burden Estimates and
Adoption of Rule 614(d)(9)
    1. Proposed Estimates--Burden and Costs
    2. Comments/Responses on Burden and Costs
    3. Adopted Estimates--Burden and Costs
V. Economic Analysis
    A. Introduction and Market Failures
    1. Introduction
    2. Market Failures
    B. Baseline
    1. Current Regulatory Process for Equity Data Plans and SIP Data
    2. Current Process for Collecting, Consolidating, and
Disseminating Market Data
    3. Competition Baseline
    C. Economic Effects of the Rule
    1. Consolidated Market Data
    2. Decentralized Consolidation Model
    3. Economic Effects of Form CC
    4. Economic Effects from the Interaction of Changes to Core Data
and the Decentralized Consolidation Model
    D. Impact on Efficiency, Competition, and Capital Formation
    1. Efficiency
    2. Competition
    3. Capital Formation
    E. Alternatives
    1. Introduce Decentralized Consolidation Model With Addition of
Full Depth of Book to Core Data Definition
    2. Introduce Changes in Core Data and Introduce a Distributed
SIP Model
    3. Require Competing Consolidators' Fees be Subject to the
Commission's Approval
    4. Do Not Extend Regulation SCI To Include Competing
Consolidators
    5. Require Competing Consolidators To Submit Form CC in the
EDGAR System Using the Inline XBRL Format
    6. Require Competing Consolidators To Submit Monthly Disclosures
in the EDGAR System Using the Inline XBRL Format
    7. Prescribing the Format of NMS Information
VI. Regulatory Flexibility Certification
VII. Other Matters
VIII. Statutory Authority

I. Introduction and Background

    The widespread availability of timely NMS information is critical
to the ability of market participants to participate effectively in the
U.S. securities markets. NMS information is made widely available to
investors through the national market system, a system set forth by
Congress in Section 11A of the Exchange Act \1\ and facilitated by the
Commission in Regulation NMS. The current national market system for
NMS information was developed in the late 1970s, and the Commission is
adopting changes that will modernize the national market system for NMS
information for the benefit of investors.
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    \1\ 15 U.S.C. 78k-1.
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    Section 11A of the Exchange Act directs the Commission to
facilitate the establishment of a national market system for the
trading of securities in accordance with the Congressional findings and
objectives set forth in Section 11A(a)(1) of the Exchange Act.\2\ Among
the findings and objectives of Section 11A(a)(1) are that new data
processing and communications techniques create the opportunity for
more efficient and effective market operations,\3\ and that it is in
the public interest and appropriate for the protection of investors and
the maintenance of fair and orderly markets to ensure the availability
to brokers, dealers, and investors of information with respect to
quotations for and transactions in securities.\4\ Section 11A of the
Exchange Act also authorizes the Commission to prescribe rules to
ensure the ``prompt, accurate, reliable, and fair collection,
processing, distribution, and publication of information with respect
to quotations for and transactions in such securities and the fairness
and usefulness of the form and content of such information.'' \5\ In
furtherance of these purposes, the Commission has sought through its
rules and regulations to help ensure that certain ``core data'' \6\ is
widely available for reasonable fees.\7\ The Commission has recognized
that investors must have certain core data ``to participate in the U.S.
equity markets.'' \8\
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    \2\ 15 U.S.C. 78k-1(a)(1).
    \3\ See 15 U.S.C. 78k-1(a)(1)(B). See also S. Rep. No. 94-75,
94th Cong., 1st Sess. (1975) (noting that the systems for collecting
and distributing consolidated market data would ``form the heart of
the national market system'').
    \4\ See 15 U.S.C. 78k-1(a)(1)(C).
    \5\ 15 U.S.C. 78k-1(c)(1)(B).
    \6\ See infra note 17 and accompanying text (defining ``core
data'').
    \7\ See Rule 603 of Regulation NMS; see also, e.g., Securities
Exchange Act Release No. 51808 (June 9, 2005), 70 FR 37496, 37560
(June 29, 2005) (``Regulation NMS Adopting Release'') (``In the
Proposing Release, the Commission emphasized that one of its primary
goals with respect to market data is to assure reasonable fees that
promote the wide public availability of consolidated market
data.'').
    \8\ Regulation NMS Adopting Release, supra note 7, at 37560.
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    On February 14, 2020, the Commission proposed to amend Regulation
NMS to better achieve the goal of Section 11A of the Exchange Act of
assuring ``the availability to brokers, dealers, and investors of
information with respect to quotations for and transactions in
securities'' that is prompt, accurate, reliable, and fair.\9\ The
amendments as adopted endeavor to fulfill this goal of Section 11A of
the Exchange Act by updating the content of ``core data'' and the
manner in which it is provided to investors in the national market
system.
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    \9\ See Securities Exchange Act Release No. 88216 (Feb. 14,
2020), 85 FR 16726, 27 (Mar. 24, 2020) (``Market Data Infrastructure
Proposing Release'' or ``Proposing Release'').
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A. Current Market Data Content and Dissemination Model Under Regulation
NMS

    The Commission established many of the current requirements of the
national market system under Regulation NMS and approved the three
effective national market system plans shortly after Congress enacted
Section 11A in the 1975 amendments to the Exchange Act (``1975
Amendments'').\10\ Under Regulation NMS and the Equity Data Plans,\11\
the self-regulatory organizations (``SROs'') are required to provide
certain quotation\12\ and transaction information\13\ for each NMS
stock to an exclusive plan processor (``exclusive SIP''),\14\ which
consolidates

this information and makes it available to market participants on the
consolidated tapes.\15\ For each NMS stock, the Equity Data Plans
currently provide for the dissemination of top-of-book (``TOB'') data
and transaction information, generally defining consolidated market
information (or ``core data'') as consisting of: (1) The price, size,
and exchange of the last sale; (2) each exchange's current highest bid
and lowest offer and the shares available at those prices; and (3) the
national best bid and national best offer (``NBBO'') \16\ (i.e., the
highest bid and lowest offer currently available on any exchange).\17\
In addition to disseminating core data, the exclusive SIPs collect,
calculate, and disseminate certain regulatory data--including
information required by the National Market System Plan to Address
Extraordinary Market Volatility (``LULD Plan''),\18\ information
relating to regulatory halts and market-wide circuit breakers, and
information regarding the short-sale price test pursuant to Rule 201 of
Regulation SHO.\19\ They also collect and disseminate other NMS
information and disseminate certain administrative messages.\20\
Together with core data, the Commission refers to this broader set of
data for purposes of this release as ``SIP data.''
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    \10\ The three effective national market system plans that
govern the collection, consolidation, processing, and dissemination
of certain NMS information are: (1) The Consolidated Tape
Association Plan (``CTA Plan''); (2) the Consolidated Quotation Plan
(``CQ Plan''); and (3) the Joint Self-Regulatory Organization Plan
Governing the Collection, Consolidation, and Dissemination of
Quotation and Transaction Information for Nasdaq-Listed Securities
Traded on Exchanges on an Unlisted Trading Privileges Basis (``UTP
Plan'') (together, the ``Equity Data Plans''). Each of the Equity
Data Plans is an effective national market system plan under 17 CFR
242.608 (Rule 608) of Regulation NMS. See also Securities Exchange
Act Release Nos. 10787 (May 10, 1974), 39 FR 17799 (order approving
CTA Plan); 15009 (July 28, 1978), 43 FR 34851 (Aug. 7, 1978) (order
temporarily approving CQ Plan); 16518 (Jan. 22, 1980), 45 FR 6521
(Jan. 28, 1980) (order permanently approving CQ Plan); 28146 (June
26, 1990), 55 FR 27917 (July 6, 1990) (order approving UTP Plan).
The options exchanges are participants in the Limited Liability
Company Agreement of Options Price Reporting Authority, LLC (``OPRA
Plan''), a plan under Rule 608 of Regulation NMS, which governs the
collection, consolidation, processing, and dissemination of last
sale and quotation information for listed options. See Securities
Exchange Act Release Nos. 17638 (Mar. 18, 1981), 22 SEC. Docket 484
(Mar. 31, 1981); 61367 (Jan. 15, 2010), 75 FR 3765 (Jan. 22, 2010).
    \11\ Rule 603(b) of Regulation NMS, 17 CFR 242.603(b), requires
that every national securities exchange on which an NMS stock is
traded and national securities association act jointly pursuant to
one or more effective national market system plans to disseminate
consolidated information on quotations for and transactions in NMS
stocks, and that such plan or plans provide for the dissemination of
all consolidated information for an individual NMS stock through a
single plan processor.
    \12\ See Rule 602 of Regulation NMS.
    \13\ See 17 CFR 242.601 (Rule 601 of Regulation NMS).
    \14\ See Rule 600(b)(67) of Regulation NMS, 17 CFR
242.600(b)(67) (defining plan processor). See also Section
3(a)(22)(B) of the Exchange Act, 15 U.S.C. 78c(22)(B) (defining
exclusive processor).
    \15\ The Equity Data Plans disseminate SIP data over three
separate networks: (1) Tape A for securities listed on the New York
Stock Exchange (``NYSE''); (2) Tape B for securities listed on
exchanges other than NYSE and Nasdaq; and (3) Tape C for securities
listed on Nasdaq. These tapes are referred to as the ``consolidated
tapes.'' The CTA Plan governs the collection, consolidation,
processing, and dissemination of last sale information for Tape A
and Tape B securities. The CQ Plan governs the collection,
consolidation, processing, and dissemination of quotation
information for Tape A and Tape B securities. Finally, the UTP Plan
governs the collection, consolidation, processing, and dissemination
of last sale and quotation information for Tape C securities.
    \16\ See Rule 600(b)(50) of Regulation NMS for the definition of
NBBO.
    \17\ See Bloomberg Order, infra note 22, at 3; see also
Rescission of Effective-Upon-Filing Procedures for NMS Plan Fee
Amendments, Securities Exchange Act Release No. 89618 (Aug. 19,
2020), 85 FR 65470 (Oct. 15, 2020) (``Effective-Upon-Filing Adopting
Release'').
    \18\ See Limit Up Limit Down Plan, available at http://www.luldplan.com (last accessed Sept. 24, 2020).
    \19\ Rule 201(b)(3).
    \20\ For example, messages regarding cancelled and erroneous
trades are included in the data disseminated by the exclusive SIPs.
See, e.g., Consolidated Tape System, Multicast Output Binary
Specification, 36, 47 (October 2, 2020), available at https://www.ctaplan.com/publicdocs/ctaplan/CTS_Pillar_Output_Specification.pdf.
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    The purpose of the Equity Data Plans, approved under Regulation
NMS, is to facilitate the collection and dissemination of SIP data so
that the public has ready access to a ``comprehensive, accurate, and
reliable source of information for the prices and volume of any NMS
stock at any time during the trading day.''\21\ Widespread availability
of timely market information promotes fair and efficient markets and
facilitates the ability of brokers and dealers to provide best
execution to their customers.\22\ Many of the requirements under
Regulation NMS and the Equity Data Plans that establish the national
market system have not been updated since their adoption despite
dramatic changes in the operation of the market and market
participants' information needs.\23\
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    \21\ Concept Release on Equity Market Structure, Securities
Exchange Act Release No. 61358 (Jan. 14, 2010), 75 FR 3593 (Jan. 21,
2010).
    \22\ See In the Matter of the Application of Bloomberg L.P.,
Securities Exchange Act Release No. 83755 at 3 (July 31, 2018),
available at https://www.sec.gov/litigation/opinions/2018/34-83755.pdf (``Bloomberg Order''); SEC Concept Release: Regulation of
Market Information Fees and Revenues, Securities Exchange Act
Release No. 42208 (Dec. 9, 1999), 64 FR 70613, 70615 (Dec. 17, 1999)
(``Market Information Concept Release'') (stating that the
distribution of core data ``is the principal tool for enhancing the
transparency of the buying and selling interest in a security, for
addressing the fragmentation of buying and selling interest among
different market centers, and for facilitating the best execution of
customers' orders by their broker-dealers'').
    \23\ See Proposing Release, 85 FR at 16728, n. 13 and
accompanying text.
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    In addition to the SIP data provided via the Equity Data Plans,
most exchanges have developed many proprietary TOB products that
contain the quotation and transaction data that they provide to the
exclusive SIPs as well as proprietary depth-of-book (``DOB'') products
that contain more extensive information that is not provided by the
exclusive SIPs, such as complete order-by-order information, full depth
of book information, auction information, and odd-lot quotation
information.\24\ The exchanges provide individual exchange proprietary
data products directly to market participants and sometimes consolidate
them with their affiliated exchanges' proprietary data feeds. The
exchanges make these proprietary data products available with different
connectivity and transmission options, many of which are faster than
those available for the consolidated tapes. Market participants that
purchase proprietary DOB data feeds directly generally aggregate the
information in a decentralized manner in an effort to create a
consolidated view of the market that is both more timely and more
complete than the exclusive SIP data feeds provided by the Equity Data
Plans.
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    \24\ While the pre-Regulation NMS rules permitted the
independent distribution of quotes by individual SROs, Rule 603(a)
of Regulation NMS, 17 CFR 242.603(a), was adopted to impose
``uniform standards'' on such distribution (i.e., the ``fair and
reasonable'' and ``not unreasonably discriminatory'' standards). See
Regulation NMS Adopting Release, supra note 7, at 37569. Prior to
Regulation NMS, however, SROs and their members were prohibited from
disseminating their trade reports independently. Id. at 37589.
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    As discussed further below, Regulation NMS and the Equity Data
Plans have not kept pace with the business demands of market
participants.\25\ While the exchanges have developed individual
proprietary data products to meet the needs of some market
participants, the Commission believes that there should be improvement
to, and modernization of, the national market system to fulfill the
goals of Section 11A of the Exchange Act and to meet the current core
data demands of market participants.\26\ Over

the last 15 years, the exchanges have moved from largely manual, floor-
based models to predominantly electronic trading systems and market
participants have likewise largely incorporated sophisticated, latency-
sensitive, and data dependent electronic trading technologies for their
trading needs. This has contributed to some market participants stating
that they require additional, and more timely, information for their
best execution analysis.\27\ The Commission agrees that more
comprehensive and latency-sensitive NMS information can be
significantly beneficial in facilitating informed trading decisions,
and the Commission believes that such information should be more widely
distributed and more readily accessible. Further, while the proprietary
DOB products provided by exchanges contain the data elements included
within expanded core data, commenters have stated that the cost of
these proprietary market data products inhibits the purchase of, and
the widespread dissemination of, this data to market participants that
may need it to participate effectively in the markets.\28\ The
Commission is concerned that the two different methods of data
dissemination--SIP data provided pursuant to Regulation NMS and the
Equity Data Plans and proprietary data products provided by the
exchanges--have contributed to the development of a two-tiered data
market that raises fundamental concerns about the ability of the
national market system to continue to ensure that the goals of Section
11A of the Exchange Act are being met, including: (i) Fair competition
among brokers and dealers; \29\ (ii) the availability to brokers,
dealers, and investors of NMS information; \30\ and (iii) the
practicability of brokers executing investors' orders at the best
available prices.\31\ Section 11A of the Exchange Act directs the
Commission to facilitate the establishment of a national market system
in accordance with these, and other, Congressional findings. Therefore,
the Commission believes that Regulation NMS should be amended to update
the national market system in accordance with the findings and to carry
out the objectives set forth in Section 11A and to ``assure the prompt,
accurate, reliable, and fair collection, processing, distribution, and
publication'' of NMS information and ``the fairness and usefulness of
the form and content of such information.'' \32\
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    \25\ See infra Section III.A.
    \26\ Commenters generally expressed concern that SIP data
provided by the Equity Data Plans was not sufficient for some market
participants. See, e.g., letters to Vanessa Countryman, Secretary,
Commission, from Mehmet Kinak, Vice President and Global Head of
Systematic Trading and Market Structure, and Jonathan D. Siegel,
Vice President and Senior Legal Counsel, Legislative and Regulatory
Affairs, T. Rowe Price, dated June 3, 2020, (``T. Rowe Price
Letter'') at 1 (``Unfortunately, as the SIPs have not kept pace with
the dramatic technological and market developments over the past
decade, they are no longer satisfying the needs of a broad cross-
section of market participants. Due to its limited content and
higher latency, the usage of SIP data is adequate only for investors
that visually consume NMS information (e.g., humans looking at
quotes on a screen''); Thomas M. Merritt, Deputy General Counsel,
Virtu Financial, Inc., dated May 26, 2020, (``Virtu Letter'') at 2
(``the `core data' offered through the SIPs is no longer sufficient
for most market participants to trade competitively in today's
market place.''), 5; Michael Blasi, Vice President, Enterprise
Infrastructure, and Krista Ryan, Vice President and Associate
General Counsel, Fidelity Investments, dated May 26, 2020,
(``Fidelity Letter'') at 2 (``the SIPs have not kept pace with the
U.S. equity markets which, through technological and market
developments, now offer more products, faster, and at a lower
cost.''); Joseph J. Barry, Senior Vice President and Global Head of
Regulatory, Industry, and Government Affairs, State Street
Corporation, dated May 26, 2020, (``State Street Letter'') at 2 (``.
. . regulatory obligations and customer expectations related to best
execution, transaction cost analysis, transparency and market
competition generated further need for data that is unavailable on
the SIPs. As a result, market participants have become increasingly
dependent on proprietary data feeds marketed by the exchanges
outside of the SIPs.''); Hubert De Jesus, Managing Director, Global
Head of Market Structure and Electronic Trading, and Samantha DeZur,
Director, Global Public Policy, BlackRock, Inc., dated May 26, 2020,
(``BlackRock Letter'') at 1 (``However, the current model for and
content of NMS market data has not kept pace with the evolution in
equity markets and correspondingly the quality of the Securities
Information Processors (``SIPs'') has declined, lowering public
confidence in the market.''); Jennifer W. Han, Associate General
Counsel, Managed Funds Association, dated May 29, 2020, (``MFA
Letter'') at 2 (``Today, the current exclusive SIP model and content
of core data does not serve the needs of investors, many of whom
must subscribe to the exchanges' proprietary market data feeds at
considerable additional cost to trade effectively, while others are
forced to rely on inferior information and outdated technology.'');
Peter D. Stutsman, Global Equity Trading Manager, The Capital Group
Companies, Inc., dated June 2, 2020, (``Capital Group Letter'') at 2
(``Over the last 15 years, the discrepancy in data elements and
latency between proprietary feeds and the consolidated tape has
expanded such that the SIP is no longer a realistic tool for
institutional investors or broker-dealers in meeting their
respective best execution obligations when routing orders.''); Makan
Delrahim, Assistant Attorney General, U.S. Department of Justice,
Antitrust Division, Rene L. Augustine, Deputy Assistant Attorney
General, Michael F. Murray, Deputy Assistant Attorney General, David
B. Lawrence, Chief, Karina B. Lubell, Assistant Chief, Charles J.
Ramsey, Attorney, Antitrust Division Competition Policy and Advocacy
Section, and Ihan Kim, Attorney, Technology and Financial Services
Section, dated May 26, 2020, (``DOJ Letter''); Mark Garabedian,
Manager, Trading Data and Analytics, and Lisa Mahon Lynch, Associate
Director, Global Trading, Wellington Management Company LLP, dated
May 27, 2020, (``Wellington Letter'').
    \27\ See, e.g., letters to Vanessa Countryman, Secretary,
Commission, from Lev Bagramian, Senior Securities Policy Advisor,
Better Markets, Inc., dated May 26, 2020, (``Better Markets
Letter'') at 1-2; Joe Wald and Ray Ross, Managing Directors, BMO
Capital Markets Group and Co-Heads of Electronic Trading, Clearpool,
dated June 2, 2020, (``Clearpool Letter'') at 1, 11; John Ramsay,
Chief Market Policy Officer, Investors Exchange LLC, dated May 28,
2020, (``IEX Letter'') at 5; Jim Considine, Chief Financial Officer,
McKay Brothers LLC, dated May 31, 2020, (``McKay Letter'') at 1;
Rich Steiner, Head of Client Advocacy and Market Innovation, RBC
Capital Markets, LLC, dated May 27, 2020, (``RBC Letter'') at 4;
Ellen Greene, Managing Director, Equity and Options Market
Structure, SIFMA, dated May 26, 2020, (``SIFMA Letter'') at 3-4;
Capital Group Letter at 2; DOJ Letter at 2, 4; State Street Letter
at 2; T. Rowe Price Letter at 1; Virtu Letter at 2.
    \28\ See, e.g., Virtu Letter at 5 (``[I]ncluding depth of book
information in the SIP will allow investors who cannot afford to pay
for costly Exchange proprietary feeds to trade more competitively in
the marketplace . . . .''); SIFMA Letter at 2 (``[W]e do not believe
that the SIPs currently provide the necessary data to market
participants at the requisite speed to efficiently trade in today's
high speed and automated marketplace. As a result, many broker-
dealers, asset managers and other market participants are forced to
purchase proprietary data feeds from individual exchanges to create
a consolidated and robust view of the market, while additionally
bearing the economic burden of having to purchase consolidated data
from the SIPs. This results in an enormous cost burden on the
marketplace and creates a two-tiered market for market data by
limiting access to critical market data at the fastest speeds to
those who can afford to pay the exorbitant fees charged for it by
the exchanges.''); MFA Letter at 2 (``Today, the current exclusive
SIP model and content of core data does not serve the needs of
investors, many of whom must subscribe to the exchanges' proprietary
market data feeds at considerable additional cost to trade
effectively, while others are forced to rely on inferior information
and outdated technology.''); Clearpool Letter at 2 (``As we have
stated on a number of previous occasions, of all the issues relating
to the costs of trading, the trend toward higher market data fees
has had the most negative impact on the securities markets. It
remains increasingly difficult for many broker-dealers to compete in
the current market environment due, in part, to issues related to
the costs associated with trading.''); Dorothy Donohue, Deputy
General Counsel, Securities Regulation, Investment Company
Institute, dated May 26, 2020, (``ICI Letter'') at 9-10 (``Including
auction information in the consolidated feed would enhance
transparency into market activity. Doing so also would eliminate
proprietary data costs as a barrier to auction trading and encourage
a broader range of market participants to submit trading
interest.'').
    \29\ Section 11A(a)(1)(C)(ii) of the Exchange Act, 15 U.S.C.
78k-1(a)(1)(C)(ii).
    \30\ Section 11A(a)(1)(C)(iii) of the Exchange Act, 15 U.S.C.
78k-1(a)(1)(C)(iii).
    \31\ Section 11A(a)(1)(C)(iv) of the Exchange Act, 15 U.S.C.
78k-1(a)(1)(C)(iv).
    \32\ Section 11A(c)(1)(B) of the Exchange Act, 15 U.S.C. 78k-
1(c)(1)(B).
---------------------------------------------------------------------------

B. National Market System Initiatives and the Market Data
Infrastructure Proposing Release

    The Commission has monitored the national market system and its
operation in light of changes in the markets and, over the years, has
observed increased concerns about the usefulness, fairness, and
promptness of the consolidated tapes. The Division of Trading and
Markets held a Roundtable on Market Data in October of 2018,\33\ at
which some market participants discussed their views about the
shortcomings of the existing centralized consolidation model and the
need for updates to the national market system to reflect the now
widespread use of electronic trading and the need for more, faster NMS
information.\34\
---------------------------------------------------------------------------

    \33\ See Equity Market Structure Roundtables, Oct. 25-26, 2018:
Roundtable on Market Data and Market Access, SEC, available at
https://www.sec.gov/spotlight/equity-market-structure-roundtables
(``Market Data Roundtable'').
    \34\ See Proposing Release, 85 FR at 16765, n. 393 and
accompanying text.
---------------------------------------------------------------------------

    Further, the Commission has considered how the provision of the
current consolidated tapes and proprietary data feeds has affected
investors' access to NMS information. The Commission understands that
different types of investors have different information needs. However,
as stated above, the Commission is concerned that a two-tiered system
has developed in which certain market participants who are able to
afford, and choose to pay for, the exchanges' proprietary DOB data
feeds and associated connectivity and transmission offerings receive
more content-rich data faster than those who do not receive these data
feeds, such as market participants that face higher barriers to entry
from data and other exchange fees.\35\ Market participants that do not
receive proprietary DOB feeds may be affected in their efforts to seek
best execution and otherwise effectively compete with market
participants that receive proprietary DOB data feeds because they do
not obtain access to the additional content

and may be receiving data in a slower manner.
---------------------------------------------------------------------------

    \35\ See Proposing Release, 85 FR at 16768. See also infra
Section V.B.3(b). Proprietary data fees have increased over the last
decade, and are generally more expensive relative to SIP data fees,
and there are indicia that exchanges may not be subject to robust
competition with respect to market data. See infra notes 1780-1788
and accompanying text.
---------------------------------------------------------------------------

    On the other hand, the exchanges' proprietary TOB products, which
are typically cheaper than the SIP data, may be purchased instead of
SIP data for certain use cases in certain market segments (e.g., retail
investors).\36\ These proprietary TOB products have decreased many
market participants' utilization of SIP data even though they do not
contain all ``core data'' and do not reflect TOB quotations and
transactions from all markets and, therefore, do not display the NBBO.
Market participants that solely use proprietary TOB products do not see
all quotations in the market, including at times superior quotations,
or all executed transactions and instead see only a subset of
consolidated data.\37\
---------------------------------------------------------------------------

    \36\ See supra note 17 and accompanying text.
    \37\ The Commission notes that the number of Professional
subscribers to the SIP feeds decreased 23.5 percent between the
first quarter of 2010, which is the first quarter for which
Professional subscriber data for the SIP Plans was available after
the introduction of the first proprietary TOB product in 2009, and
the end of 2019. See CTA Plan, Metrics, available at https://www.ctaplan.com/sip-metrics (last accessed Nov. 20, 2020); UTP Plan,
Metrics, available at http://www.utpplan.com/metrics (last accessed
Nov. 25, 2020). For context, the number of registered
representatives reported by FINRA during this time period decreased
by only 1.0 percent. See FINRA, Statistics, available at https://www.finra.org/newsroom/statistics (last accessed Nov. 19, 2020).
---------------------------------------------------------------------------

    Accordingly, the Commission has undertaken three initiatives
related to the provision of NMS information in the national market
system. These initiatives work together to address specific,
significant, separate but overlapping, issues in the national market
system and are aimed at improving discrete areas in the national market
system. First, the Commission amended the process so that, instead of
becoming effective upon filing, changes to fees proposed by the Equity
Data Plans would be published for public comment and approved by the
Commission.\38\ These procedures enhance the efficiency and
transparency of the process of assessing new NMS plan fees. Second, the
Commission ordered the participants to the Equity Data Plans to submit
a new, single effective national market system plan, i.e., the New
Consolidated Data Plan, for Commission consideration under Rule 608 of
Regulation NMS.\39\ The New Consolidated Data Plan includes specific
governance provisions that the Commission believes will help to address
concerns that have been raised about the existing Equity Data Plans,
including conflicts of interest stemming from the sale of competing
proprietary data products by the exchanges that currently have majority
voting power on the Operating Committee(s) of the Equity Data
Plans.\40\ These committees are, among other things, responsible for
proposing fees for SIP data. Finally, in this release, the Commission
is adopting amendments to update and modernize the infrastructure of
the national market system by adding data content to NMS information as
defined under Regulation NMS and by amending the manner in which such
NMS information is collected, consolidated, and disseminated.
---------------------------------------------------------------------------

    \38\ See Effective-Upon-Filing Adopting Release, supra note 17.
    \39\ 17 CFR 242.608.
    \40\ See Joint Industry Plan; Notice of Filing of a National
Market System Plan Regarding Consolidated Equity Market Data,
Securities Exchange Act Release No. 34-90096 (Oct. 6, 2020), 85 FR
64565 (Oct. 13, 2020) (``New Consolidated Data Plan Notice''). See
also infra Section III.E for a discussion on the Governance Order.
---------------------------------------------------------------------------

    The Commission published the Proposing Release on its website on
February 14, 2020. The comment period of 60 days from Federal Register
publication ended on May 26, 2020. Many commenters asked the Commission
to extend the comment period,\41\ particularly in light of the COVID-19
pandemic.
---------------------------------------------------------------------------

    \41\ See, e.g., letter from John A. Zecca, Executive Vice
President, Chief Legal Officer, and Chief Regulatory Officer,
Nasdaq, to Jay Clayton, Chairman, Commission, dated Apr. 7, 2020
(``Nasdaq Letter II''); letters to Vanessa Countryman, Secretary,
Commission, from Elizabeth K. King, Chief Regulatory Officer, ICE,
and General Counsel and Corporate Secretary, NYSE, dated May 15,
2020 (``NYSE Letter I''); Linda Moore, President and Chief Executive
Officer, TechNet, dated Apr. 29, 2020 (``TechNet Letter I'');
Christopher A. Iacovella, Chief Executive Officer, American
Securities Association, dated Apr. 23, 2020; Kimberly Unger, Chief
Executive Officer and Executive Director, Securities Traders
Association of New York, Inc. (``STANY''), dated May 14, 2020
(``STANY Letter I''); Institutional Traders Advisory Council to
Nasdaq, dated May 15, 2020; Gary A. LaBranche, President and Chief
Executive Officer, National Investor Relations Institute, dated May
22, 2020; R T Leuchtkafer, dated May 20, 2020; Patrick J. Healy,
Founder and CEO, Issuer Network, dated May 20, 2020 (going further
by suggesting the Commission ``table this proposal'').
---------------------------------------------------------------------------

    The Commission has considered all comment letters received to date,
including comments that were submitted after the comment deadline had
passed. The last comment letter was received on October 13, 2020.
Accordingly, the Commission believes that the time during which
comments have been accepted is reasonable.

C. Enhancements to the Content of NMS Information

    The Commission is adopting amendments to increase the content of
NMS information that is required to be made available under Regulation
NMS and to introduce a competitive decentralized consolidation model to
disseminate the information. The content of NMS information that is
made available under the rules of the national market system has not
been adequately updated to reflect the needs of market participants
trading in the U.S. market. As the U.S. market has evolved, market
participants' information needs have changed; many market participants
need additional information to trade efficiently and competitively.
Today, the only means for market participants to receive a wider array
of information than what is provided under the national market system
is through proprietary data offerings from exchanges (and their
affiliates). The Commission is concerned that the national market
system, including the content of SIP data and the way such data is
disseminated, significantly lags behind these proprietary data
offerings and delivery methods established by the exchanges and their
affiliates. Therefore, as discussed further below, the Commission
believes that the content of NMS information under the rules of the
national market system needs to be enhanced to address the needs of
market participants. The adopted definitions will expand and modernize
the content of NMS information that is made available in the U.S.
market in a manner that the Commission believes will better facilitate
competition; help to ensure the prompt, accurate, reliable, and fair
collection of such information; and help to ensure the usefulness of
NMS information. The Commission is adopting a new model for the
provision of consolidated market data as discussed in Section III
below, but the Commission believes that market participants and
investors will benefit from enhanced NMS information regardless of the
method by which they receive it. In particular, as a result of the new
round lot definition and the inclusion of odd-lot quotations in core
data, retail investors will be able to see, and more readily access,
better-priced quotations. Further, through the addition of depth of
book data and auction information in core data, the scope of NMS
information will, to a greater extent, allow some market participants
to trade in a more informed, competitive, and efficient manner. The
Commission believes that even investors that do not consume that data
directly will benefit because their brokers will be able to use the
enhanced NMS information to trade more efficiently

and competitively and to achieve best execution for their customer
orders.\42\
---------------------------------------------------------------------------

    \42\ See infra Section II.C.2(a).
---------------------------------------------------------------------------

    To expand and enhance the data that is required to be made
available for collection, consolidation, and dissemination under
Regulation NMS, the Commission is adopting several new defined terms in
Rule 600 of Regulation NMS, including ``consolidated market data,''
``consolidated market data product,'' ``core data,'' ``round lot,''
``auction information,'' ``depth-of-book data,'' ``odd-lot
information,'' ``regulatory data,'' ``administrative data,'' and
``self-regulatory organization-specific program data.'' Two of the new
definitions in Regulation NMS--consolidated market data \43\ and core
data \44\--specify the components of NMS information that must be made
available for collection, consolidation, and dissemination under the
national market system.\45\ The other new defined terms establish the
scope of information included within the definitions of consolidated
market data and core data. The definitions are designed to ensure that
NMS information that is made available to market participants meets the
goals set forth in Section 11A of the Exchange Act.\46\
---------------------------------------------------------------------------

    \43\ ``Consolidated market data'' is defined in Rule 600(b)(19)
as the following data, consolidated across all national securities
exchanges and national securities associations: (i) Core data; (ii)
regulatory data; (iii) administrative data; (iv) self-regulatory
organization-specific program data; and (v) additional regulatory,
administrative, or self-regulatory organization-specific program
data elements defined as such pursuant to the effective national
market system plan or plans required under Sec.  242.603(b).
    \44\ ``Core data'' is defined in Rule 600(b)(21) of Regulation
NMS.
    \45\ See supra Section I.A for a discussion of the regulatory
requirements for NMS information. ``Consolidated market data
product'' is defined as any data product developed by a competing
consolidator that contains consolidated market data or any of the
elements or subcomponents thereof. See Rule 600(b)(20); infra
Section II.B.2.
    \46\ See infra note 151 and accompanying text with respect to
certain information that is not included in the definition of core
data.
---------------------------------------------------------------------------

    The Commission is defining three new data elements as ``core
data:'' (1) Information about better priced quotations in higher priced
stocks (implemented through a new definition of ``round lot'' and the
inclusion of certain odd-lot information), (2) information about
quotations that are outside of the best-priced quotations (implemented
through a new ``depth of book data'' definition), and (3) information
about orders that are participating in auctions (implemented through a
new definition of ``auction information'').
    Round Lot Definition. To provide investors with information about
better priced orders in high-priced stocks, the Commission proposed a
five-tier definition of ``round lot'' based on the share price of an
NMS stock.\47\ The Commission also proposed to amend the definition of
protected quotation to require that protected quotes be of at least 100
shares.\48\ These two changes would have established a NBBO \49\ that
could differ from the best protected bid and best protected offer
(``PBBO''). Commenters responded by expressing support and raising
several issues and concerns.\50\
---------------------------------------------------------------------------

    \47\ See infra Section II.D.1.
    \48\ See infra Section II.E.1.
    \49\ See Rule 600(b)(50).
    \50\ See infra Sections II.D.2(a); II.E.2.
---------------------------------------------------------------------------

    For the reasons set forth below,\51\ the Commission has modified
the round lot definition so that it has fewer tiers and is based on a
higher notional value. Specifically, the adopted round lot definition
is 100 shares for stocks priced at $250 or less, 40 shares for stocks
priced at $250.01 to $1,000, 10 shares for stocks priced at $1,000.01
to $10,000, and 1 share for stocks priced at $10,000.01 or more.
Further, the Commission has decided not to adopt the proposed amendment
to the definition of protected quotation. A protected quotation will
remain a round lot; however, the protected quotation will change only
insomuch as the round lot definition is changing.
---------------------------------------------------------------------------

    \51\ Id.
---------------------------------------------------------------------------

    The Commission also has decided to further increase the
availability of information about better priced orders by adopting an
additional element of ``core data'' for aggregated odd-lot quotations
on each exchange that are priced at or better than the NBBO.\52\ The
Commission believes that the new definition of round lot and the
increased availability of better priced odd-lot information will
provide investors with valuable information about the best prices
available and help to facilitate more informed order routing decisions
and the best execution of investor orders.
---------------------------------------------------------------------------

    \52\ See infra Section II.C.2(b).
---------------------------------------------------------------------------

    Depth of Book Data Definition. The Commission proposed a definition
of depth of book data to include information about orders outside of
the NBBO and PBBO because information about the depth of book on each
exchange helps market participants decide where to place orders and
provides information about order book imbalances and potential future
price moves in a NMS stock.\53\
---------------------------------------------------------------------------

    \53\ See infra Section II.F.1.
---------------------------------------------------------------------------

    The Commission, for the reasons set forth below, is adopting the
definition of depth of book data with a few modifications.\54\ First,
the definition has been modified to reflect the fact that the
definition of protected quotation is not changing, so it is not
necessary to identify depth of book between the NBBO and PBBO. Second,
the definition has been modified to specify that the five price levels
included in the definition of depth of book data are measured from the
NBBO. Third, the definition has been modified to specify that the
aggregate size at each of the included price levels shall be attributed
to each exchange so that market participants know where liquidity
resides. Lastly, depth of book data will include all quotation sizes on
a facility of a national securities association, instead of only on
exchanges, as proposed. Adoption of the depth of book data definition
with these modifications will provide useful information to market
participants and support efficient order handling and execution.
---------------------------------------------------------------------------

    \54\ See infra Section II.F.
---------------------------------------------------------------------------

    Auction Information Definition. Finally, the Commission proposed a
definition of auction information to include information about orders
that participate in auctions.\55\ Auctions have become increasingly
significant liquidity events. Information about the orders
participating in an auction can help market participants decide whether
and how to submit orders in and around an auction and understand the
potential price moves upon completion of the auction. For the reasons
set forth below, the Commission is adopting the definition of auction
information as proposed except for a modification to specify that the
definition only includes auction information that an exchange publicly
disseminates on its proprietary feeds.
---------------------------------------------------------------------------

    \55\ See infra Section II.G.1.
---------------------------------------------------------------------------

D. Enhancements to the Provision of Consolidated Market Data

    The Commission is adopting a new model for the provision of
consolidated market data under Regulation NMS to foster a competitive
environment for the dissemination of market data. Under the new
decentralized consolidation model, competing consolidators will
collect, consolidate, and disseminate consolidated market data
products, and self-aggregators will collect and consolidate such data
for their own internal use. By fostering a competitive environment for
the provision and dissemination of critical market data to investors
and other market participants, this new model will better achieve the
goals of Section 11A of the Exchange

Act and help to ensure broad availability to brokers, dealers, and
investors of information with respect to quotations for and
transactions in NMS stocks that is prompt, accurate, reliable, and
fair. To implement this model, the Commission is amending Regulation
NMS rules and adopting a new rule and a new form for entities seeking
to register as competing consolidators.
    Since Congress adopted the 1975 Amendments, the Commission has not
substantially updated the distribution of NMS information in the
national market system to reflect how the markets operate and
investors' trade. Today, markets rely on highly sophisticated
electronic trading systems that can consume many points of data at
speeds measured in sub-second increments. The data delivery mechanisms
and data feeds established under the national market system have not
kept up with the current needs of market participants. To fulfill the
data needs of market participants, the exchanges have developed
proprietary low-latency market data products that are designed for
automated trading systems. These data products, which include data such
as depth of book and order imbalance information for opening and
closing auctions, are faster and more content-rich than the delivery
mechanisms and content that the SROs provide pursuant to Regulation NMS
and the Equity Data Plans. Because of this disparity, many market
participants use the exchanges' proprietary market data products for
their competitive electronic trading systems.\56\
---------------------------------------------------------------------------

    \56\ See infra Section III.B.2; note 588 and accompanying text.
---------------------------------------------------------------------------

    In addition, the exchanges have developed proprietary TOB data
products for market participants that are less expensive and less
content-rich than the data products that the SROs provide via the
exclusive SIPs pursuant to Regulation NMS and the Equity Data
Plans.\57\ Retail investors use these proprietary TOB products, which
are specific to an individual exchange or affiliated exchanges. Because
they are cheaper and faster, proprietary TOB products--despite their
more limited content--decrease the demand for data delivered under the
Equity Data Plans.\58\ The Commission is concerned that market
participants who solely use individual exchange proprietary TOB
products are not getting the full consolidated view of the market, may
be missing better priced quotes on other exchanges, and may only have a
partial view of the trades that were executed in the market.
---------------------------------------------------------------------------

    \57\ The SROs are required to provide NMS information to the
national market system plan(s) disseminated to market participants
under Regulation NMS. See supra Section I.A.
    \58\ Proprietary TOB products, like proprietary DOB products,
are provided directly to market participants and are not centrally
consolidated before dissemination as is required of SIP data under
the national market system.
---------------------------------------------------------------------------

    The Commission believes that proprietary DOB and TOB data products
that decrease the utilization of SIP data highlight fundamental issues
regarding the fairness, usefulness, and efficiency of NMS information
and how it is distributed today. Therefore, as discussed further below,
the Commission is adopting a new dissemination model for the national
market system--a decentralized consolidation model that will foster a
competitive environment in the provision of consolidated market data.
To effect this change, the Commission is amending Rule 603 under
Regulation NMS to: (1) Remove the requirement that all consolidated
information for an individual NMS stock be disseminated through a
single, exclusive plan processor; and (2) require each national
securities exchange and national securities association to make
available to competing consolidators and self-aggregators its NMS
information in the same manner and using the same methods, including
all methods of access and the same format, as the exchange or
association makes available any quotation or transaction information
for NMS stocks to any person.\59\ Commenters who responded to this
proposal expressed support and raised several issues and concerns.\60\
---------------------------------------------------------------------------

    \59\ See also infra Section III.B.9(f) discussing the
applicability of Rule 603(a).
    \60\ See infra Section III.B.
---------------------------------------------------------------------------

    For the reasons set forth below, the Commission is adopting the
decentralized consolidation model largely as proposed. The new
decentralized consolidation model, with its fostering of a competitive
environment, will modernize the provision of consolidated market data
in the U.S. markets. Today, the national market system comprises two
exclusive SIPs that consolidate and disseminate certain NMS information
on a non-competitive basis.\61\ The non-competitive structure, as
required under Regulation NMS, no longer adequately ensures the timely
dissemination of NMS information. The Commission believes the fostering
of a competitive environment and enabling the introduction of new
market forces into the collection, consolidation, and dissemination
process through a decentralized consolidation model will help to
deliver consolidated market data to market participants in a more
timely, efficient, and cost-effective manner than the current
centralized consolidation model. The Commission is adopting Rule 603(b)
as proposed.\62\
---------------------------------------------------------------------------

    \61\ The exclusive SIPs are operated by the exchanges, which
also develop proprietary data products using the same data that they
provide to the exclusive SIPs. See supra Section I.A.
    \62\ See infra Section III.B.9(b).
---------------------------------------------------------------------------

    As part of establishing the decentralized consolidation model, the
Commission is amending the definition of NBBO to remove references to
the plan processors and replace them with competing consolidators and
self-aggregators.\63\ Competing consolidators will be responsible for
calculating the NBBO for their subscribers and self-aggregators will be
responsible for calculating their own NBBO.\64\ Given market
participants' widespread usage of proprietary market data feeds and the
array of issues these participants have raised with respect to NMS
information currently provided by the exclusive SIPs, many of these
market participants calculate their own NBBOs from different exchange
proprietary data feeds in varying locations for their own internal use
rather than rely on the exclusive SIPs. These current practices, as
well as existing regulatory approaches to independent data
aggregation,\65\ will help to ensure market participants are able to
operate with different NBBOs calculated by different consolidators
under this new model.
---------------------------------------------------------------------------

    \63\ See infra Section III.B.10.
    \64\ Id.
    \65\ See infra Section III.B.8.
---------------------------------------------------------------------------

    Under the new decentralized consolidation model, competing
consolidators will be responsible for collecting, consolidating, and
disseminating consolidated market data products to subscribers. New
Rule 614 and new Form CC will govern the registration and
responsibilities of competing consolidators.\66\ Informed by comments
and upon further consideration, the Commission, for the reasons set
forth below, is adopting Rule 614 and Form CC largely as proposed but
with certain modifications to address points raised during the comment
process.\67\ Market participants need timely consolidated market data
to route and execute orders. The Commission believes entities will be
incentivized to register as competing consolidators to satisfy the
expected robust demand for consolidated market data products. The
Commission is also modifying the requirements of Rule 614 so that
competing consolidators are not required, as proposed, to offer a
product

containing all elements of consolidated market data. Competing
consolidators will be able to develop the consolidated market data
products \68\ that their subscribers demand.\69\ Rule 614 requires,
among other things, that competing consolidators generate consolidated
market data products in a manner that is consistent with the
definitions in Regulation NMS and provide monthly performance metrics.
Together with the Commission's oversight of competing consolidators,
these requirements will help to ensure that the dissemination of
consolidated market data products by competing consolidators is prompt,
accurate, reliable, and fair.
---------------------------------------------------------------------------

    \66\ See infra Section III.C.7.
    \67\ See infra Section III.B.3.
    \68\ See Rule 600(b)(20), which defines ``consolidated market
data product.''
    \69\ See infra Sections II.B.2; III.C.8(a).
---------------------------------------------------------------------------

    Also, under the new decentralized consolidation model, self-
aggregators will be able to collect and consolidate NMS information for
their own internal use. As defined, a self-aggregator will be a broker-
dealer, exchange, national securities association, or investment
adviser registered with the Commission (``RIA'') that receives the NMS
information that is necessary to generate consolidated market data from
the SROs pursuant to Rule 603(b). A self-aggregator may only generate
consolidated market data for its internal use. Market participants--
including broker-dealers, exchanges, and RIAs--self-aggregate
proprietary market data today. The Commission is adopting this
provision to allow these market participants to aggregate consolidated
market data for their own internal uses. Notwithstanding the adopted
improvements to the collection, consolidation, and dissemination of
consolidated market data with the decentralized consolidation model,
some market participants will continue to need to aggregate data
themselves for their own internal purposes, for a variety of business
reasons.\70\ Specifically, we are adopting a definition of self-
aggregator that will permit the exchanges, the Financial Industry
Regulatory Authority, Inc. (``FINRA''), and RIAs to self-aggregate for
their own internal purposes, including for the purpose of sharing
consolidated market data across affiliated entities that are registered
with the Commission.\71\
---------------------------------------------------------------------------

    \70\ See infra Section III.D.
    \71\ Id.
---------------------------------------------------------------------------

    In general, self-aggregators will not be permitted to disseminate
or otherwise make available such data to any person, including
customers or clients, because the Commission believes the widespread
dissemination of consolidated market data must be subject to Commission
oversight and, accordingly, must be performed by competing
consolidators. As discussed below, competing consolidators will be
subject to the registration, disclosure, and other regulatory
requirements in Rule 614 and Form CC.\72\ The competing consolidator
regulatory regime should help to ensure that non-registered persons
receive market data that is consolidated and delivered in a reliable
and accurate manner. Although self-aggregators will not be permitted to
widely disseminate consolidated market data, they will be able to share
consolidated market data with their affiliated entities that are
registered with the Commission. The Commission has the authority to
examine registered affiliated entities and would be able to determine
how a self-aggregator provides consolidated market data to a registered
affiliate and how the registered affiliate uses that data, whereas the
Commission does not have the authority to examine a self-aggregator's
affiliated entities that are not registered with the Commission.
---------------------------------------------------------------------------

    \72\ See infra Section III.C.7(a)(iv).
---------------------------------------------------------------------------

    Under the decentralized consolidation model, the effective national
market system plan(s) for NMS stocks will continue to play an important
role.\73\ The plan(s) will continue, for example, to develop and
propose fees for the data content underlying consolidated market data,
collect and allocate revenues collected for such data, develop the
monthly performance metrics for competing consolidators, and provide an
annual assessment of the competing consolidator model. Therefore, as
discussed further below, the Commission is directing the effective
national market system plan(s) participants to file an amendment to the
plan(s) pursuant to Rule 608 of Regulation NMS to reflect the new
functions of the plan(s). The Commission believes that the effective
national market system plan structure provides a useful mechanism to
gather consensus views from a wide variety of market participants on
the operation of the national market system. The provisions requiring
amendment to the effective national market system plan(s) are adopted
largely as proposed with a few modifications.\74\
---------------------------------------------------------------------------

    \73\ Currently, there are three effective national market system
plans for the collection, consolidation, and dissemination of
certain NMS information. See supra note 10 and accompanying text.
The Commission has ordered the Operating Committees of these three
effective national market system plans to file a single new plan.
See infra note 1128; see also Section III.E.2(a). On August 11,
2020, the participants filed a proposed plan, which the Commission
published for comment on October 6, 2020. See New Consolidated Data
Plan Notice, supra note 40.
    \74\ See infra Section III.E.
---------------------------------------------------------------------------

    Finally, the Commission is amending Regulation SCI to expand the
definition of ``SCI entities'' to include ``SCI competing
consolidators'' that are subject to the requirements of Regulation SCI
after an initial transition period if they meet a threshold based on a
share of gross consolidated market data revenues, as described below.
The Commission believes that the threshold as adopted is appropriate to
identify those competing consolidators whose market share is large
enough that they have the potential to significantly impact investors,
the overall market, or the trading of securities should the competing
consolidator have a systems or cybersecurity issue occur. As discussed
below, based on the threshold being adopted for SCI competing
consolidators, the Commission estimates that most competing
consolidators will meet this definition.\75\ In addition, after
consideration of commenters' concerns regarding potential barriers to
entry, the Commission is adopting a tailored set of operational
capability and resiliency obligations that will apply during an initial
transition period and thereafter to competing consolidators that do not
meet the threshold in the definition of SCI competing consolidator.\76\
---------------------------------------------------------------------------

    \75\ See infra Section III.F.
    \76\ See id.
---------------------------------------------------------------------------

    The amendments will significantly enhance and modernize the content
of NMS information and the means by which it is disseminated to market
participants. These changes will address meaningful shortcomings that
have developed in the national market system relating to the
consolidation and dissemination of NMS information.\77\ The centralized
consolidation model is an outdated model that was initially developed
for an entirely different, manual market structure, and it is no longer
suitable for trading in today's high-speed electronic markets. Further,
the exclusive SIP model was developed when the exchanges were not
selling competing proprietary data products that are superior in both
content and delivery to the SIP data products. Therefore, as discussed
further below, the Commission is amending Regulation NMS to modernize
the national market system consistent with its mandate under the
Exchange Act so that ``[n]ew data processing and communications
techniques [can be used] to create the

opportunity for more efficient and effective market operations'' \78\
and to ensure fair competition, the availability of NMS information,
and ``the practicability of brokers executing investors' orders in the
best market.'' \79\
---------------------------------------------------------------------------

    \77\ See Proposing Release, 85 FR at 16728, n. 17 and
accompanying text.
    \78\ Section 11A(a)(1)(B) of the Exchange Act.
    \79\ See Sections 11A(a)(1)(C)(ii) through (iv) of the Exchange
Act.
---------------------------------------------------------------------------

E. Implications for Best Execution

    The Commission has stated that the duty of best execution requires
broker-dealers to ``execute customers' trades at the most favorable
terms reasonably available under the circumstances, i.e., at the best
reasonably available price.'' \80\ The Commission stated that certain
other factors that are relevant to best execution include ``order size,
trading characteristics of the security, speed of execution, clearing
costs, and the cost and difficulty of executing an order in a
particular market.'' \81\ Commenters questioned the implications of the
proposed changes to the content and provision of NMS information on the
duty of best execution.\82\ In the Proposing Release, the Commission
stated that the proposed additional data content in consolidated market
data and the method by which such data was disseminated would
facilitate the best execution of investor orders and enhance best
execution analyses.\83\ The Commission also stated that it was not
``specifying minimum data elements needed to achieve best execution''
or ``mandating the consumption'' of the expanded data content and, more
broadly, acknowledged that different market participants and different
trading applications have different market data needs.\84\
---------------------------------------------------------------------------

    \80\ Regulation NMS Adopting Release at 37538. See also Geman v.
SEC, 334 F.3d 1183, 1186 (10th Cir. 2003) (``[T]he duty of best
execution requires that a broker-dealer seek to obtain for its
customer orders the most favorable terms reasonably available under
the circumstances.'' (quoting Newton v. Merrill, Lynch, Pierce,
Fenner & Smith, Inc., 135 F.3d 266, 270 (3d Cir. 1998))); Kurz v.
Fidelity Management & Research Co., 556 F.3d 639, 640 (7th Cir.
2009) (describing the ``duty of best execution'' as ``getting the
optimal combination of price, speed, and liquidity for a securities
trade'').
    \81\ Regulation NMS Adopting Release at 37538.
    \82\ See, e.g., infra Sections II.F.2(h) (discussing comments
received on best execution related to depth of book data);
III.B.10(c) (discussing comments received on best execution related
to ``multiple NBBOs'' and the selection of a competing
consolidator).
    \83\ Proposing Release, 85 FR at 16729, 52, 69.
    \84\ Id. at 16734, 55.
---------------------------------------------------------------------------

    A broker-dealer has a legal duty to seek best execution of customer
orders.\85\ The duty of best execution derives from common law agency
principles and fiduciary obligations.\86\ It is incorporated in SRO
rules \87\ and has been incorporated into the antifraud provisions of
the Federal securities laws through judicial decisions.\88\ In addition
to the best price reasonably available, speed of execution and
available liquidity,\89\ the Commission has articulated a non-
exhaustive list of factors that may be relevant to broker-dealers' best
execution analysis: (1) The size of the order; (2) the trading
characteristics of the security involved; (3) the availability of
accurate information affecting choices as to the most favorable market
center for execution and the availability of technological aids to
process such information; and (4) the cost and difficulty associated
with achieving an execution in a particular market center.\90\
---------------------------------------------------------------------------

    \85\ Regulation NMS Adopting Release at 37537.
    \86\ Id. at 37538.
    \87\ FINRA has codified a duty of best execution in its rules,
requiring a broker-dealer to ``use reasonable diligence to ascertain
the best market for the subject security and buy or sell in such
market so that the resultant price to the customer is as favorable
as possible under prevailing market conditions.'' FINRA Rule 5310,
``Best Execution and Interpositioning.''
    \88\ See Regulation NMS Adopting Release at 37538.
    \89\ Kurz v. Fidelity, supra note 80, 556 F.3d at 640.
    \90\ Securities Exchange Act Release No. 43590 (Nov. 17, 2000),
65 FR 75414, 18 (Dec. 1, 2000). The Commission has recognized that
the scope of the duty of best execution must evolve as changes occur
in the market that give rise to improved executions for customer
orders. Order Execution Obligations, Release No. 37619A (Sept. 6,
1996), 61 FR 48290 (Sept. 12, 1996).
---------------------------------------------------------------------------

    While these amendments do not change a broker-dealer's duty of best
execution,\91\ the Commission recognizes that the changes to
consolidated market data resulting from the amendments may be relevant
to a broker-dealer's best execution analysis.\92\ Broker-dealers must
execute customers' trades at the most favorable terms reasonably
available under the circumstances and must examine their procedures for
seeking to obtain best execution in light of market and technology
changes and modify those practices if necessary.\93\ Both the
additional data content and the new method by which such data will be
disseminated represent market and technology changes that should be
considered by broker-dealers in connection with their best execution
obligations.\94\
---------------------------------------------------------------------------

    \91\ Similarly, these amendments do not change investment
advisers' duty of best execution. See generally Commission
Interpretation Regarding Standard of Conduct for Investment
Advisers, Release No. IA-5248 (June 5, 2019).
    \92\ The Commission will monitor the impact of these amendments
on broker-dealer best execution policies and procedures and will
consider whether additional steps, such as further best execution
guidance, are necessary or appropriate.
    \93\ See Regulation NMS Adopting Release at 37538 (``Broker-
dealers must examine their procedures for seeking to obtain best
execution in light of market and technology changes and modify those
practices if necessary to enable their customers to obtain the best
reasonably available prices.'').
    \94\ Best execution considerations may also be relevant to the
selection of a market data provider and the choice to consume
different data elements today. See FINRA, Regulatory Notice 15-46,
1, 3 n. 12 (2015) (``The exercise of reasonable diligence to
ascertain the best market under prevailing market conditions can be
affected by the market data, including specific data feeds, used by
a firm. For example, a firm that regularly accesses proprietary data
feeds, in addition to the consolidated SIP feed, for its proprietary
trading, would be expected to also be using these data feeds to
determine the best market under prevailing market conditions when
handling customer orders to meet its best execution obligations.'').
---------------------------------------------------------------------------

    Specifically, the availability of more data content in consolidated
market data, including odd-lot information, depth of book data, and
auction information, may be relevant to a broker-dealer's ability to
achieve and analyze best execution because it can provide information
that, in many circumstances, may be useful in making trading and order
placement decisions.\95\ In addition, the availability of more timely
consolidated market data may be relevant to a broker-dealer's ability
to achieve and analyze best execution because it can bear upon the
accuracy of the information about the most favorable market center for
executing customer orders. Therefore, broker-dealers should consider
the availability of consolidated market data, including the various
elements of data content and the timeliness, accuracy, and reliability
of the data provided by competing consolidators, in developing and
maintaining their best execution policies and procedures. Further,
because richer, more timely consolidated market data may enhance the
ability of broker-dealers to obtain the most favorable terms reasonably
available under the circumstances, including the best reasonably
available price and other factors,\96\ for their customer orders,
broker-dealers should consider the availability of consolidated market
data for purposes of evaluating best execution.
---------------------------------------------------------------------------

    \95\ See Proposing Release, 85 FR at 16741, 54.
    \96\ See supra notes 80-81 and accompanying text.
---------------------------------------------------------------------------

    However, while the additional data content may be relevant to
broker-dealers' best execution analyses and, in many cases, will
facilitate the ability of broker-dealers to achieve best execution for
their customer orders, the Commission, consistent with the approach
taken in the Proposing Release, is not setting forth minimum data
elements needed to achieve best execution and does not expect that all
market participants will need to

purchase the most comprehensive or fastest consolidated market data
product available. The legal requirements that establish minimum data
standards for certain purposes are not changing. Specifically, Rule
603(c) of Regulation NMS,\97\ the Vendor Display Rule, requires SIPs
and broker-dealers to provide a consolidated display, as defined in
Rule 600(b)(17) of Regulation NMS,\98\ in a context in which a trading
or order routing decision can be implemented. In addition, in order to
comply with Rule 611 of Regulation NMS, the Order Protection Rule,
trading centers, as defined in Rule 600(b)(95) of Regulation NMS,\99\
must have access to the protected bid and protected offer. While these
rules are impacted by the new definition of round lot, and the data
that must be processed and displayed will change as the definition of
round lot changes, the minimum data requirements associated with these
rules are not changing.\100\ Additionally, market participants will
need to obtain regulatory data to meet regulatory obligations and to be
informed of trading halts, price bands, or other market conditions that
may affect their trading activity.\101\
---------------------------------------------------------------------------

    \97\ 17 CFR 242.603(c).
    \98\ 17 CFR 242.600(b)(17).
    \99\ 17 CFR 242.600(b)(95).
    \100\ See Proposing Release, 85 FR at 16743-46; infra Section
II.D.2(b).
    \101\ See Proposing Release, 85 FR at 16760; infra Section II.H.
---------------------------------------------------------------------------

    Best execution analysis varies depending upon the characteristics
of customers and orders handled. For example, the data requirements for
an institutional broker's smart order router (``SOR'') executing large
algorithmic orders are likely different than for a small retail
broker's visual display for non-professional individual investors.
Given the large array of potential scenarios, the Commission cannot
specify the data elements that may be relevant to every specific
situation. Rather, broker-dealers must perform a best execution
analysis to determine what data is relevant to obtaining best execution
of customer orders, in a manner that is similar to decisions they must
make today regarding whether to obtain data content that is available
on a proprietary basis.
    In addition, the decentralized consolidation model will change the
method by which market data is disseminated by introducing competing
consolidators, who will offer consolidated market data products, which
broker-dealers may choose as a source of market data. The speed of
execution, the availability of accurate information affecting choices
as to the most favorable market center for execution, and the
availability of technological aids to process such information may be
relevant factors in conducting a best execution analysis.\102\ While
all competing consolidators will offer consolidated market data
products, they may do so at different prices or at different latencies
or with different amounts of data content.\103\ Therefore, the
selection of a competing consolidator may also be relevant to a broker-
dealer's ability to achieve and analyze best execution. Competing
consolidators will be required to disclose information about their
consolidated market data products, including the services they will
offer, the prices for such services as well as performance
metrics.\104\ These disclosures should help to facilitate a broker-
dealer's ability to achieve and analyze best execution because they
provide information regarding the timeliness, completeness, and
accuracy of the market data offered by competing consolidators.\105\
These disclosures also provide statistics on capacity, network delay,
and latency, offering additional insight into the technical
capabilities and expected performance of a competing consolidator. This
information will assist a broker-dealer in selecting an appropriate
competing consolidator, which will affect the broker-dealer's ability
to obtain ``the most favorable terms reasonably available under the
circumstances'' for its customer orders. The Commission believes that a
broker-dealer that uses low-latency or content-rich consolidated market
data, whether self-aggregated or received from a competing
consolidator, for its proprietary trading, would also be expected to
use those data products when pursuing the best execution of customer
orders, particularly those handled within the same aggregation unit
that conducts proprietary trading. For example, a broker-dealer should
not use a separate, less performant data source for its customer orders
than the data source used for proprietary orders that may interact with
those customer orders in a manner disadvantageous to those customer
orders.\106\
---------------------------------------------------------------------------

    \102\ See supra notes 89 and 90 and accompanying text.
    \103\ See infra notes 897, 907-908 and accompanying text.
    \104\ See infra Section III.C.8(c).
    \105\ See supra note 90 and accompanying text.
    \106\ Cf. FINRA, Regulatory Notice 15-46, supra note 94. See
also letter from Tyler Gellasch, Executive Director, Healthy Markets
Association, to Vanessa Countryman, Secretary, Commission, dated May
26, 2020, (``Healthy Markets Letter I'') at 4-5; letter from Marcia
E. Asquith, Executive Vice President, Board and External Relations,
Financial Industry Regulatory Authority, Inc., to Vanessa
Countryman, Secretary, Commission, dated May 26, 2020, (``FINRA
Letter'') at 6.
---------------------------------------------------------------------------

II. Enhancements to NMS Information

A. Introduction

    Today, most market participants utilize electronic trading systems
to execute orders for themselves and for their customers. These
electronic trading systems, which consume many pieces of data in an
effort to trade competitively and efficiently in today's markets, are
designed to analyze more information than is provided by the exclusive
SIPs. Given that the current market is vastly different from when the
national market system was established in the 1970s, the Commission
believes that a broad cross-section of market participants would
benefit from information that goes beyond SIP data to trade
competitively and efficiently and that the information that is provided
within the national market system needs to be augmented with new
information elements. As discussed in detail below, the Commission is
adopting new rules and amending certain existing rules under Regulation
NMS to add new elements to the information that is collected,
consolidated, and disseminated under the national market system.
    By way of example, in the 1970s, trading volume in any given stock
was concentrated on its listing exchange and trading largely occurred
manually with individuals representing orders on exchange floors.\107\
Since then, technology has fundamentally altered market operations and
trading today largely occurs electronically with little human
intervention.\108\ Numerous other changes have also impacted how
trading occurs. For example, in 2001, decimalization reduced the
increment of trading from fractions to pennies and resulted in a
reduction in the size of liquidity at the best prices, commonly
referred to as the ``top of book.'' \109\ The reduction in displayed
order interest at the best bid or offer means liquidity is layered
across multiple price levels, which makes depth of book information
necessary for many market participants and trading systems to trade in
an informed and effective manner.
---------------------------------------------------------------------------

    \107\ See Proposing Release, 85 FR at 16728.
    \108\ See id.
    \109\ See id. at 16751.
---------------------------------------------------------------------------

    In addition, individual odd-lot quotations, especially in high
share price stocks, have become more prevalent \110\ and important to
market participants as individual share prices

have increased.\111\ Finally, an increasing proportion of total trading
volume is executed during opening and closing auctions, which has made
information about orders participating in auctions increasingly
important to many market participants. These changes have led market
participants to call for additional information to be included in
consolidated market data so that market participants can participate
more fully and competitively.\112\ However, very few adjustments \113\
have been made to NMS information to account for these changes since
the adoption of the 1975 Amendments.
---------------------------------------------------------------------------

    \110\ See infra note 240. See also Proposing Release, 85 FR at
16739.
    \111\ See Proposing Release, 85 FR at 16739 (stating that
between 2004 and 2019, the average price of a stock in the Dow Jones
Industrial Average nearly quadrupled).
    \112\ See id. at 16740 (noting multiple Roundtable panelists and
commenters supported the addition of odd-lot information to SIP
data), 16751-52 (noting multiple Roundtable panelists and commenters
supported the addition of depth of book data to SIP data), 16758
(noting multiple Roundtable panelists and commenters supported the
addition of auction information to SIP data).
    \113\ See, e.g., Securities Exchange Act Release Nos. 70793
(Oct. 31, 2013), 78 FR 66788 (Nov. 6, 2013) (order approving
Amendment No. 30 to the UTP Plan to require odd-lot transactions to
be reported to consolidated tape); 70794 (Oct. 31, 2013), 78 FR
66789 (Nov. 6, 2013) (order approving Eighteenth Substantive
Amendment to the Second Restatement of the CTA Plan to require odd-
lot transactions to be reported to consolidated tape).
---------------------------------------------------------------------------

    The Commission believes that the content of current SIP data and
the mechanism by which SIP data is collected, consolidated, and
disseminated has not kept pace with market developments. Therefore, the
Commission is adopting these amendments to specify additional
information that must be made available pursuant to the effective
national market system plan(s).\114\ Information about better priced
orders in smaller sizes can improve investors' ability to trade at the
best prices available. Further, certain market participants can more
efficiently place larger sized orders that may not be fully executed at
top of book prices using information about the prices of orders outside
of the best bids and best offers, and they can more effectively
participate in exchange auctions using relevant information about the
trading interest in such auctions. Finally, market participants also
need to have, and will continue to receive, regulatory information,
administrative data, and other important information to participate
effectively in the markets. The Commission received comments on each of
these issues.
---------------------------------------------------------------------------

    \114\ Section 11A(c)(1)(B) of the Exchange Act provides the
Commission with the authority to, among other things, assure the
fairness and usefulness of the form and content of quotation and
transaction information.
---------------------------------------------------------------------------

    As discussed more fully below, some commenters, stating that the
information is not necessary for all investors, questioned the need to
add new information elements.\115\ While the Commission recognizes that
different market participants need differing amounts of information to
meet different trading objectives, the Commission believes that the
availability of the new information will enhance the ability of market
participants to trade competitively and efficiently and will indirectly
benefit investors who place orders in the national market system even
if they do not directly consume all of the new data elements by
facilitating executing broker-dealers' access to information.\116\ In
today's market, information about odd-lot quotations, depth of book
quotations, and auction information has become highly relevant.
Together, these pieces of information can be significantly beneficial
in facilitating informed trading decisions, and the Commission believes
that they should be more widely distributed and more readily
accessible. The Commission anticipates that a variety of consolidated
market data products will be developed to meet the various needs
investors have for data.\117\ The Commission believes that the
amendments will enhance the usefulness of NMS information and thus
better inform trading and investment decisions for all investors, which
in turn will help maintain fair and efficient markets as well as
facilitate best execution of customer orders.\118\
---------------------------------------------------------------------------

    \115\ See, e.g., letter from John A. Zecca, Executive Vice
President, Chief Legal Officer, and Chief Regulatory Officer,
Nasdaq, to Vanessa Countryman, Secretary, Commission, dated May 26,
2020, (``Nasdaq Letter IV'') at 31-34; letter from Elizabeth K.
King, Chief Regulatory Officer, ICE, and General Counsel and
Corporate Secretary, NYSE, to Vanessa Countryman, Secretary,
Commission, dated June 1, 2020, (``NYSE Letter II'') at 3-8; letter
from Joseph Kinahan Managing Director, Client Advocacy and Market
Structure, TD Ameritrade, to Vanessa A. Countryman, Secretary,
Commission, dated June 1, 2020, (``TD Ameritrade Letter'') at 4.
    \116\ See infra Section II.C.2(a).
    \117\ See infra Section III.E.2(e).
    \118\ See supra Section I.E (discussing the implications for
best execution).
---------------------------------------------------------------------------

    Accordingly, as discussed in more detail below, the Commission is
adopting several new defined terms under Rule 600 of Regulation NMS to
specify, and as a result expand and enhance, the data that Regulation
NMS requires to be collected, consolidated, and disseminated.
Importantly, the Commission is adopting two new definitions under
Regulation NMS--``consolidated market data'' and ``core data''--to
specify the components of NMS information that are required to be
collected, consolidated, and disseminated under the national market
system. ``Consolidated market data product'' is defined as any data
product developed by a competing consolidator that contains
consolidated market data or any of the elements or subcomponents
thereof. The Commission is also adopting additional defined terms to
further set forth the scope of information included within the
definitions of consolidated market data and core data. The definitions
include information that is currently provided by the exclusive SIPs as
well as new information designed to ensure that brokers, dealers, and
investors have available information with respect to quotations for and
transactions in securities that is prompt, accurate, reliable, and
fair.\119\
---------------------------------------------------------------------------

    \119\ See supra Section I.A.
---------------------------------------------------------------------------

B. Definition of ``Consolidated Market Data'' Under Rule 600(b)(19)

1. Proposal
    The Commission proposed to expand the content of the NMS
information that would be required to be collected, consolidated, and
disseminated under the rules of the national market system through the
proposed definition of ``consolidated market data.'' Specifically, the
Commission proposed that consolidated market data would include the
following data, consolidated across all national securities exchanges
and national securities associations: (1) Core data; (2) regulatory
data; (3) administrative data; (4) exchange-specific program data; and
(5) additional regulatory, administrative, or exchange-specific program
data elements defined as such pursuant to the effective national market
system plan or plans required under Rule 603(b).\120\ In addition, the
proposed definition of consolidated market data would be used to
delineate the responsibilities and obligations of the SROs under Rule
603(b) and competing consolidators under Rule 614. These rules
implement the decentralized consolidation model, which is discussed in
more detail in Section III below.
---------------------------------------------------------------------------

    \120\ As discussed below, the Commission also proposed and is
adopting definitions for ``core data,'' ``regulatory data,''
``administrative data,'' and ``self-regulatory organization-specific
program data.'' See infra Sections II.C, II.H, II.J, II.K,
respectively.
---------------------------------------------------------------------------

2. Final Rule and Response to Comments
    The Commission received a number of comments on the proposed
expansion of NMS information related to the specific elements that make
up

consolidated market data,\121\ and the Commission also received some
comments on the proposed definition of consolidated market data. One
commenter supported the expansion of NMS information to include the
proposed elements of consolidated market data.\122\ Another commenter
agreed with the proposed definition, stating that these data elements
need to be clearly defined and categorized and that ``tight definitions
would assist to `preserve the integrity and affordability of the
consolidated data stream.' '' \123\
---------------------------------------------------------------------------

    \121\ See infra Sections II.C through II.K.
    \122\ See Capital Group Letter at 2.
    \123\ TD Ameritrade Letter at 3 (quoting Regulation NMS Adopting
Release).
---------------------------------------------------------------------------

    Other commenters, however, stated that the Commission should allow
additional core data elements to be included in consolidated market
data through a process other than Commission rulemaking.\124\ A
different commenter stated that the proposed changes to consolidated
market data are ``not appropriately tailored to the needs of the
market'' and ``are overly broad and unnecessarily complex.'' \125\
Another commenter, while agreeing that the definition of consolidated
market data should be defined as proposed, suggested that it should
only include depth-of-book data, certain odd-lot information, and three
options for including auction data.\126\
---------------------------------------------------------------------------

    \124\ See Clearpool Letter at 11 (stating that the Commission
should provide flexibility in the definition of core data or the
process by which the elements of core data are determined); RBC
Letter at 4 (stating that the proposed definition of core data
should serve as a ``floor'' that the Operating Committee should be
permitted to expand upon (but not reduce) pursuant to Plan
amendments); letter from Emil R. Framnes, Global Head of Trading,
and Simon Emrich, Market Structure and Trading Research, Norges Bank
Investment Management Letter, to Vanessa Countryman, Secretary,
Commission (``NBIM Letter'') at 5 (``[I]t might be prudent to allow
for further modification of the definition of core data as market
structure evolves.'').
    \125\ NYSE Letter II at 3.
    \126\ See letter from Kelvin To, Founder and President, Data
Boiler Technologies, LLC, to Vanessa Countryman, Secretary,
Commission, dated May 26, 2020, (``Data Boiler Letter I'') at 19-20.
However, this commenter also stated that administrative data should
be included in the proposed definition of consolidated market data.
See id. at 34.
---------------------------------------------------------------------------

    The Commission is adopting the definition of consolidated market
data largely as proposed.\127\ As discussed in detail below,\128\ the
Commission continues to believe that expanding the NMS information that
is required to be provided under the rules of the national market
system, as set forth in the definition of consolidated market data,
would support more informed trading and investment decisions by market
participants in today's markets and facilitate the best execution of
customer orders by the full range of broker-dealers.\129\ As reflected
in comments received from a variety of market participants, each of the
elements of consolidated market data--and in particular the expansion
of core data to include quotation interest in smaller orders of higher-
priced stocks, depth of book data, and auction information--would
provide significant, useful information to market participants.\130\
Consistent with the views of market participants--many of whom will be
the users of consolidated market data--that this data would be useful
to them to improve investment decisions and facilitate the best
execution of customer orders, the Commission believes that the
definition of consolidated market data is ``appropriately tailored'' to
market participants' needs, that it is not overly broad, and that it
does not entail unnecessary complexity.\131\ In addition, the proposed
decentralized consolidation model permits competing consolidators to
offer, and market participants to consume, customized market data
products that suit their particular needs. This flexibility addresses
concerns that consolidated market data is overly broad or unnecessarily
complex because it allows competing consolidators and their subscribers
to adjust the breadth and complexity of the market data products they
offer and consume, respectively.\132\ On the other hand, limiting
consolidated market data to only depth of book data, certain odd-lot
information, and auction data, as one commenter suggested, would not
include regulatory data--such as information regarding trading halts
and price bands--that the Commission believes is necessary to trade
effectively and efficiently.\133\
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    \127\ The Commission is modifying the definition of exchange-
specific program data to be self-regulatory organization-specific
program data. See infra Section II.K.
    \128\ See infra Sections II.C through II.K.
    \129\ See Proposing Release, 85 FR at 16735. See also infra
Section II.C.2(a); supra Section I.E.
    \130\ See infra Sections II.C through II.K.
    \131\ See NYSE Letter II at 3.
    \132\ See infra Section III. See also infra notes 139 and 140
and accompanying text (discussing the Commission's adoption of the
new defined term ``consolidated market data product'').
    \133\ See infra Section II.H.
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    In response to comments recommending a more streamlined or flexible
process to include additional data elements in core data,\134\ the
Commission agrees that the definition of consolidated market data
should permit additional data elements to be added pursuant to
effective national market system plan amendments. However, the
Commission continues to believe that this process should be limited to
future regulatory, administrative, or self-regulatory organization-
specific program information.\135\ As discussed below,\136\ the
transaction and quotation information reflected in the definition of
core data--including best bids and offers, the NBBO, protected
quotations, last sale data, depth of book data, and auction
information--is specified in the rule.\137\ The rule as proposed and
adopted is designed to account appropriately for additional regulatory,
administrative, and self-regulatory organization-specific program
information data elements that may emerge periodically through the
approval of new SRO rules or the development and refinement of
technical specifications to be included in consolidated market data
through the effective national market system plan amendment
process.\138\
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    \134\ See Clearpool Letter at 11.
    \135\ See Proposing Release, 85 FR at 16734.
    \136\ See infra Sections II.C through II.G.
    \137\ The Commission will continue to monitor the usefulness of
these core data elements to market participants and consider whether
any modifications to the definition of core data are necessary or
appropriate as the markets evolve. Interested persons also may
petition the Commission to amend such definition if they believe
particular changes are warranted.
    \138\ See infra Sections II.H, II.J, and II.K. Both SRO rule
changes and effective national market system plan amendments are
subject to the public notice and comment process, as well as
Commission review. See Exchange Act Section 19(b)(1), 15 U.S.C.
78s(b)(1); 17 CFR 240.19b-4 (Rule 19b-4); Rule 608(b) of Regulation
NMS, 17 CFR 242.608(b).
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    The Commission is defining a new term, ``consolidated market data
product'' to mean any data product developed by a competing
consolidator that contains consolidated market data or components of
consolidated market data. The definition of consolidated market data
product also specifies that components of consolidated market data
include the enumerated elements, and any subcomponent of the elements,
of consolidated market data in Sec.  242.600(b)(19) and that all
consolidated market data products must reflect data consolidated across
all national securities exchanges and national securities
associations.\139\ As discussed further below, Rule 614 will require
competing consolidators to offer one or more consolidated market data
products to their subscribers, and will not, as proposed, require them
to offer a product that contains all elements of consolidated market
data.\140\ In addition, the Commission recognizes that some market
participants will not want or need a consolidated market data

product that contains all elements of consolidated market data.
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    \139\ See infra Section VIII.
    \140\ See infra Section III.C.8(a).
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3. The Fifth Amendment's Takings Clause
    The Constitution's Takings Clause prevents the taking of private
property for public use without just compensation.\141\ One commenter
stated that the proposal to expand the data that would be required to
be provided under Regulation NMS would violate the Takings Clause by
``effecting a physical taking . . . without just compensation.'' \142\
The commenter asserted that the proposal would require it to ``turn
over vast amounts of their proprietary market data--valuable property
that Nasdaq currently sells to market participants at a reasonable rate
of return--to competing consolidators and self-aggregators at prices
set by the operating committee of the consolidated NMS plan.'' \143\
The commenter stated that the government would ``expropriate property
belonging to Nasdaq and redistribute it to Nasdaq's competitors at
prices set, in part, by the non-SRO members of the consolidated NMS
plan's operating committee'' that would be ``laboring under a conflict-
of-interest and would have no incentive to pay `just compensation' for
the property taken from Nasdaq.'' \144\
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    \141\ U.S. Const. amend. 5 (``No person shall be held to answer
for a capital, or otherwise infamous crime, unless on a presentment
or indictment of a grand jury, except in cases arising in the land
or naval forces, or in the militia, when in actual service in time
of war or public danger; nor shall any person be subject for the
same offense to be twice put in jeopardy of life or limb; nor shall
be compelled in any criminal case to be a witness against himself,
nor be deprived of life, liberty, or property, without due process
of law; nor shall private property be taken for public use, without
just compensation.'').
    \142\ Nasdaq Letter IV at 50.
    \143\ Id.
    \144\ Id. at 50-51.
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    Neither the expansion of NMS information pursuant to the definition
of consolidated market data nor the requirement that national
securities exchanges and associations make the data necessary to
generate consolidated market data available to competing consolidators
and self-aggregators constitutes a taking for the following reasons.
The Commission's action does not encroach on or appropriate any
property. The exchanges developed their proprietary data within a
highly regulated statutory and regulatory structure that provides the
Commission with ample authority to decide--and revise--which types of
information the exchanges must provide to market participants to
fulfill their responsibilities under the Exchange Act.\145\ Moreover,
the SROs will be compensated for making the data necessary to generate
consolidated market data available to competing consolidators and self-
aggregators pursuant to fees established by the effective national
market system plan(s). Even if non-SRO members of plan Operating
Committees have a degree of authority to influence proposed
consolidated market data fees, the Commission retains authority to
ensure that those fees are ``fair and reasonable'' and ``not
unreasonably discriminatory.'' The exchanges thus had no reasonable
basis to expect that the current regulatory structure would remain in
place in perpetuity in this highly regulated field, and, in any event,
they will not be deprived of the economic benefits of the information
they will provide to market participants.\146\
---------------------------------------------------------------------------

    \145\ See supra note 5.
    \146\ See Ruckleshaus v. Monsanto Co., 467 U.S. 986, 1005-07
(1984) (noting that the reasonableness of an investment-backed
expectation depends in part on whether the regulated activity has
been in an area ``that has long been the source of public concern
and the subject of government regulation''); District Intown
Properties Ltd. P'ship v. District of Columbia, 198 F.3d 874, 884
(D.C. Cir. 1999) (``Businesses that operate in an industry with a
history of regulation have no reasonable expectation that regulation
will not be strengthened to achieve established legislative
ends.''); Me. Educ. Ass'n Benefits Tr. v. Cioppa, 695 F.3d 145, 154
(1st Cir. 2012) (the plaintiff's ``expectations are substantially
diminished by the highly regulated nature of the industry in which
it operates'').
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C. Definition of ``Core Data'' Under Rule 600(b)(21)

1. Proposal
    As stated in the Proposing Release,\147\ Regulation NMS does not
contain a definition of ``core data,'' although various Regulation NMS
rules describe the information that is required to be collected,
consolidated, and disseminated under Regulation NMS.\148\ The
Commission proposed defining ``core data'' to include the information
currently referred to as core data--last sale data, each SRO's best bid
and best offer (``BBO''), and the NBBO \149\--along with new
information that is not currently required to be provided under
Regulation NMS or by the exclusive SIPs. The proposed new information
included quotation data for smaller-sized orders in higher-priced
stocks (pursuant to a new definition of ``round lot''), information on
certain quotations below the best bid or above the best offer (pursuant
to a new definition of ``depth of book data''), and information about
orders participating in auctions (pursuant to a new definition of
``auction information''). Specifically, the proposed definition of core
data included: (A) Quotation sizes; (B) aggregate quotation sizes; (C)
best bid and best offer; (D) national best bid and national best offer;
(E) protected bid and protected offer; (F) transaction reports; (G)
last sale data; (H) odd-lot transaction data disseminated pursuant to
the effective national market system plan or plans required under Sec.
242.603(b) as of [date of Commission approval of this Adopting
Release]; (I) depth of book data; and (J) auction information.
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    \147\ See Proposing Release, 85 FR at 16730.
    \148\ See, e.g., Rules 601, 602, and 603 of Regulation NMS.
    \149\ See supra note 16.
---------------------------------------------------------------------------

    Additionally, the proposed definition of core data specified how
odd-lots are to be aggregated for purposes of certain data elements
included within the definition of core data. Specifically, the proposed
definition stated that the best bid and best offer, national best bid
and national best offer, and depth of book data shall include odd-lots
that when aggregated are equal to or greater than a round lot, and that
such aggregation shall occur across multiple prices and shall be
disseminated at the least aggressive price of all such aggregated odd-
lots.\150\
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    \150\ As discussed below, the proposed definition of core data
also specified an odd-lot aggregation methodology for protected
quotations. See infra Section II.E.2(b).
---------------------------------------------------------------------------

    Finally, the proposed definition of core data did not include
certain information--specifically, OTC Bulletin Board (``OTCBB'') data,
and corporate bond and index data--that is currently provided by the
exclusive SIPs.\151\
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    \151\ See Proposing Release, 85 FR at 16736.
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2. Final Rule and Response to Comments
(a) Expansion of Core Data, Generally
    Multiple commenters supported the expansion of NMS information
generally \152\ and of core data \153\ in

particular.\154\ One commenter, ``agree[ing] that the proposed
information to be included in core data has become much more important
to broker-dealers in recent years . . .,'' ``strongly support[ed]
expanding core data to include additional information of significance
to investors.'' \155\ Another commenter stated that ``add[ing] more
pricing information to the consolidated tape . . . would be a
fundamental improvement that would expand data access to Main Street
investors in a very meaningful way.'' \156\ A different commenter said
that ``all data is `core data.' '' \157\
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    \152\ See T. Rowe Price Letter at 1-2 (``Expanding the content
of NMS information would improve its utility when consumed
electronically (e.g., by algorithmic trading systems or smart order
routers).''); BlackRock Letter at 2 (``BlackRock is supportive of
expanding and revamping the content of NMS information. We agree
that this would help to reduce information asymmetries between
market participants who rely upon SIP data and those who purchase
proprietary data feeds from the national securities exchanges.'').
    \153\ See Clearpool Letter at 11 (supporting ``the inclusion of
this additional information in core data, which can reduce the
reliance on exchanges' proprietary data feeds and provide market
participants with additional information to make informed order
routing and execution decisions,'' while also ``recommend[ing] that
the Commission require a `retail interest indicator' to be added to
quotes to assist market participants in defining what portion of the
quote is attributable to retail interest''); RBC Letter at 4
(stating that RBC ``generally support[s] the Proposal's definition
of Core Data''); letter from Tim Lang, Chief Executive Officer, ACS
Execution Services, LLC, to Vanessa Countryman, Secretary,
Commission, dated May 26, 2020, (``ACS Execution Services Letter'')
at 2; IEX Letter at 2 (``We support the Market Infrastructure
Proposal because it will update the content of `core data' to better
reflect the information needed to participate in today's markets . .
. .''); ICI Letter at 4 (``We support the Commission expanding the
scope of core data, which will benefit funds and their
shareholders.'').
    \154\ As discussed below, many commenters also expressed views
on the specific elements of the definition of core data. See infra
Sections II.D; II.E; II.F; II.G.
    \155\ ACS Execution Services Letter at 2.
    \156\ Letter from Jeffrey T. Brown, Senior Vice President
Legislative and Regulatory Affairs, Charles Schwab & Co., Inc., to
Vanessa Countryman, Secretary, Commission, dated May 26, 2020,
(``Schwab Letter'') at 2-3.
    \157\ Virtu Letter at 2, 5 (``[T]he `core data' offered through
the SIPs is no longer sufficient for most market participants to
trade competitively in today's marketplace.'').
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    Some commenters opposed the expansion of core data, however. One
commenter, though agreeing that Regulation NMS should define core data,
stated that the new proposed core data elements are not necessary or
useful for all market participants but will raise the costs of core
data for all market participants by requiring them to receive and
process core data to meet their regulatory obligations. \158\
Similarly, another commenter, though supportive of the Commission
formally defining core data in its regulations, argued that the
proposed definition was ``poorly designed'' because it ``only
consider[s] the requirements of market participants that need, and are
able to consume, a richer data set'' and that the proposed definition
``would require non-professional investors who do not need such rich
data to purchase and consume even more unnecessary data elements (e.g.,
depth of book data) than the current SIP product provides.'' \159\
Another commenter argued that the Commission falsely assumed that the
decision by some market participants to supplement current core data
with proprietary data means that this additional data is necessary to
all market participants and investors, and that the expanded set of
information included in the proposed definition of core data ``is
neither necessary nor relevant to the business models and trading or
investment strategies of many, if not most, ordinary investors and
market participants.'' \160\ Additionally, the commenter stated that
the Commission ``failed to collect data regarding whether any
meaningful number of market participants that desire access to non-core
data are actually unable to obtain it, either directly from exchanges
or indirectly (and often free of charge) from their brokers.'' \161\
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    \158\ See TD Ameritrade Letter at 3.
    \159\ NYSE Letter II at 3-4.
    \160\ Nasdaq Letter IV at 7-8.
    \161\ Id. at 8 (footnote removed). See also NYSE Letter II at 3-
8; TD Ameritrade Letter at 4.
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    The Commission is adopting the definition of core data largely as
proposed, as discussed further below.\162\ In the Proposing Release,
the Commission stated its preliminary belief that the content of core
data has not kept pace with market developments and that the proposed
expansion of core data would enhance its usefulness to address the
needs of a broad cross-section of market participants.\163\ Comments
received from a variety of market participants--including exchanges,
buy-side firms, and sell-side firms--have borne this out. Numerous
commenters expressed support for the proposed definition of core data,
stating that the specific subcomponents of core data, such as five
levels of depth of book data, would help market participants to trade
more effectively.\164\ Several commenters also pointed out that
expanding core data would promote a wider dissemination of this data,
including to market participants who cannot afford expensive
proprietary feeds.\165\ For the reasons discussed in the Proposing
Release and as set forth in detail below with respect to the specific
elements of core data,\166\ the Commission believes that the expanded
definition of core data will be useful to market participants and will
help fulfill needs that are not currently being met by SIP data.
Additionally, and for the same reasons, the Commission disagrees with
comments suggesting that proposed core data would not be useful to many
market participants, that proprietary market data products are
adequately meeting the needs of all market participants, and that all
market participants that have a need to access

these products are able to do so. Rather, the definition of core data
specifies important information that would be useful to a wide variety
of market participants--including those who do not obtain it through
proprietary market data products today--and facilitates a broader
dissemination of this information.\167\
---------------------------------------------------------------------------

    \162\ The Commission is revising the proposed definition of core
data to include odd-lots priced at or better than the NBBO, to
specify how quotation sizes are to be displayed in core data, and to
require SRO attribution of core data elements. The Commission is
also modifying the proposed definitions of depth of book data and
auction information and is not adopting the proposed amendments to
the definition of protected bid or protected offer, which
definitions are embedded in the definition of core data. The
particular elements of the definition of core data are discussed