Notice2024-23166
Self-Regulatory Organizations; Investors Exchange LLC; Notice of Filing and Immediate Effectiveness of Proposed Rule Change To Amend Rule 11.330 To Adopt a New Market Data Product To Be Known as DEEP+
Primary source
Metadata and text below are from the Federal Register, a public-domain U.S. government work. Always verify the official published version before relying on it for any legal matter.
Published
October 8, 2024
Issuing agencies
Securities and Exchange Commission
Full Text
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<title>Federal Register, Volume 89 Issue 195 (Tuesday, October 8, 2024)</title>
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[Federal Register Volume 89, Number 195 (Tuesday, October 8, 2024)]
[Notices]
[Pages 81608-81612]
From the Federal Register Online via the Government Publishing Office [<a href="http://www.gpo.gov">www.gpo.gov</a>]
[FR Doc No: 2024-23166]
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SECURITIES AND EXCHANGE COMMISSION
[Release No. 34-101231; File No. SR-IEX-2024-20]
Self-Regulatory Organizations; Investors Exchange LLC; Notice of
Filing and Immediate Effectiveness of Proposed Rule Change To Amend
Rule 11.330 To Adopt a New Market Data Product To Be Known as DEEP+
October 2, 2024.
Pursuant to Section 19(b)(1) \1\ of the Securities Exchange Act of
1934 (the ``Act'') \2\ and Rule 19b-4 thereunder,\3\ notice is hereby
given that on September 19, 2024, the Investors Exchange LLC (``IEX''
or the ``Exchange'') filed with the Securities and Exchange Commission
(the ``Commission'') the proposed rule change as described in Items I
and II below, which Items have been prepared by the self-regulatory
organization. The Commission is publishing this notice to solicit
comments on the proposed rule change from interested persons.
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\1\ 15 U.S.C. 78s(b)(1).
\2\ 15 U.S.C. 78a.
\3\ 17 CFR 240.19b-4.
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[[Page 81609]]
I. Self-Regulatory Organization's Statement of the Terms of Substance
of the Proposed Rule Change
Pursuant to the provisions of Section 19(b)(1) under the Act,\4\
and Rule 19b-4 thereunder,\5\ the Exchange with the Commission a
proposed rule change to amend Rule 11.330 to adopt a new market data
product to be known as DEEP+, which is an uncompressed data feed that
provides order-by-order depth of book quotations for all displayed
orders for securities traded on IEX, and execution information (i.e.,
last sale information) for executions on the Exchange. The Exchange has
designated this proposal as non-controversial and provided the
Commission with the notice required by Rule 19b-4(f)(6)(iii) under the
Act.\6\ IEX also proposes to update its Fee Schedule to reflect that
DEEP+ will be offered free of charge for an initial incentive period.
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\4\ 15 U.S.C. 78s(b)(1).
\5\ 17 CFR 240.19b-4.
\6\ 17 CFR 240.19b-4(f)(6)(iii).
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The text of the proposed rule change is available at the Exchange's
website at <a href="http://www.iextrading.com">www.iextrading.com</a>, at the principal office of the Exchange,
and at the Commission's Public Reference Room.
II. Self-Regulatory Organization's Statement of the Purpose of, and the
Statutory Basis for, the Proposed Rule Change
In its filing with the Commission, the self-regulatory organization
included statements concerning the purpose of and basis for the
proposed rule change and discussed any comments it received on the
proposed rule change. The text of these statements may be examined at
the places specified in Item IV below. The self-regulatory organization
has prepared summaries, set forth in Sections A, B, and C below, of the
most significant aspects of such statements.
A. Self-Regulatory Organization's Statement of the Purpose of, and the
Statutory Basis for, the Proposed Rule Change
1. Purpose
The Exchange proposes to amend IEX Rule 11.330(a) to add a new
subparagraph (3) that describes a new market data product to be known
as DEEP+, and to renumber the current subparagraphs (3) and (4) to be
subparagraphs (4) and (5). The Exchange also proposes to make a
conforming edit to IEX Rule 11.232(f), and to update its Fee Schedule
\7\ to reflect that IEX will be offering DEEP+ free of charge for an
initial incentive period.
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\7\ See IEX Fee Schedule, available at <a href="https://www.iexexchange.io/resources/trading/fee-schedule">https://www.iexexchange.io/resources/trading/fee-schedule</a>.
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Currently, the Exchange offers two Real-Time \8\ market data
products: TOPS \9\, an uncompressed data feed that provides aggregated
top of book quotations for all displayed orders resting on the Order
Book and execution information (i.e., last sale information) for
executions on the Exchange; and DEEP,\10\ an uncompressed data feed
that provides aggregated depth of book quotations for all displayed
orders resting on the Order Book at each price level, and execution
information (i.e., last sale information) for executions on the
Exchange.\11\ The TOPS and DEEP feeds also include IEX's ``Retail
Liquidity Identifier'' \12\, which is disseminated by IEX to TOPS,
DEEP, and the appropriate securities information processor (``SIP''),
when IEX's Order Book has at least one round lot of aggregated Retail
Liquidity Provider \13\ order interest (``RLP Interest'') \14\ for a
particular security, provided that the RLP Interest is resting at the
Midpoint Price \15\ and priced at least $0.001 better than the NBB \16\
or NBO \17\. The Retail Liquidity Identifier \18\ provides the symbol
and side of the RLP Interest, but does not include its price or
size.\19\
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\8\ ``Real-Time'' means IEX market data that is accessed, used,
or distributed less than fifteen (15) milliseconds after it was made
available by the Exchange. IEX provides only Real-Time IEX market
data to Data Subscribers.
\9\ See IEX Rule 11.330(a)(1).
\10\ See IEX Rule 11.330(a)(2).
\11\ TOPS and DEEP would also provide IEX Auction Information
for any IEX-listed securities. Currently, IEX is not a listing
exchange, and such information is only provided with respect to
auction test symbols.
\12\ See IEX Rule 11.232(f).
\13\ See IEX Rule 11.190(b)(14).
\14\ See IEX Rule 11.232(f).
\15\ See IEX Rule 1.160(t).
\16\ See IEX Rule 1.160(u).
\17\ See IEX Rule 1.160(u).
\18\ See IEX Rule 11.232(f).
\19\ Id.
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Based on informal discussion with market participants, the Exchange
has determined that there is demand for an order-by-order depth of book
feed offering for displayed orders, in addition to the aggregated depth
of book data offered by DEEP. Accordingly, the Exchange proposes to
amend Rule 11.330(a)(3) to offer the new DEEP+ market data product.
As proposed, DEEP+ will disseminate, on a Real-Time basis, order-
by-order information for all displayed orders resting on the Order Book
for securities traded on IEX and execution information (i.e., last sale
information) for executions on the Exchange. DEEP+ will provide details
on each displayed order resting on the Order Book including OrderID,
symbol, side, timestamp associated with the message, price, and size,
and will update each order's data when there are amendments, cancels,
and executions.\20\
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\20\ IEX notes that Data Subscribers will be able to use DEEP+
to derive IEX's top of book quotations for internal use from the
order-by-order data, as set forth in IEX's Market Data Policies
(available at <a href="https://www.iexexchange.io/resources/trading/market-data">https://www.iexexchange.io/resources/trading/market-data</a>).
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Like TOPS and DEEP, DEEP+ will also disseminate a Retail Liquidity
Identifier for each security for which IEX has the requisite RLP
Interest. Therefore, IEX proposes to amend IEX Rule 11.232(f) to
reflect that the Retail Liquidity Indicator will be disseminated to
DEEP+, in addition to being disseminated to TOPS, DEEP, and the SIPs.
IEX notes that this order-specific information, including the
disseminated Retail Liquidity Identifier,\21\ is functionally
equivalent to the order-specific information provided by other
exchanges' order-by-order feeds.\22\
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\21\ See, e.g., Cboe BYX Rule 11.22(k) (referencing the
inclusion of Cboe BYX's retail liquidity identifier in the BYX
Summary Depth data feed).
\22\ For example, Cboe BYX provides an order-by-order depth of
book with the equivalent data. See Cboe US Equities/Options
Multicast Depth of Book (PITCH) Specification, available at <a href="https://cdn.cboe.com/resources/membership/Cboe_US_Equities_FIX_Specification.pdf">https://cdn.cboe.com/resources/membership/Cboe_US_Equities_FIX_Specification.pdf</a>.
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For an initial incentive period, DEEP+ will be provided free of
charge, and Data Subscribers \23\ may redistribute DEEP+ data, whether
on a Real-Time or Delayed \24\ basis, free of charge (for an initial
incentive period), subject to the terms of the IEX Data Subscriber
Agreement and IEX's Market Data Policies.\25\
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\23\ ``Data Subscriber'' means any natural person or entity that
receives Real-Time IEX market data either directly from the Exchange
or from another non-affiliate Data Subscriber. A Data Subscriber
must enter into a Data Subscriber Agreement with IEX in order to
receive Real-Time IEX market data. A natural person or entity that
receives Real-Time IEX market data from an affiliated Data
Subscriber is subject to the Data Subscriber Agreement of such
affiliated Data Subscriber. See IEX Fee Schedule.
\24\ ``Delayed'' means IEX market data that is accessed, used,
or distributed at least fifteen (15) milliseconds after it was made
available by the Exchange. A Data Subscriber may redistribute Real-
Time IEX market data that it receives from the Exchange on a Delayed
basis to a natural person or entity. In addition, a recipient of
Delayed IEX market data may further redistribute such Delayed IEX
market data to a natural person or entity. See IEX Fee Schedule.
\25\ Available at <a href="https://www.iexexchange.io/resources/trading/market-data">https://www.iexexchange.io/resources/trading/market-data</a>.
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Additionally, IEX proposes to amend the Fee Schedule to insert two
new rows in the table of Market Data Fees reflecting that DEEP+
initially will be offered for free (on a Real-Time or
[[Page 81610]]
Delayed basis).\26\ IEX also proposes to delete the two references to
footnote 3 in the Market Data Fees table (in the rows for Real-Time
DEEP and TOPS), and to amend the footnote's language so that it is
applicable to DEEP+. Footnote 3 currently reads ``These fees will be
operative beginning July 1, 2022,'' which was the date IEX began
charging to distribute TOPS and DEEP in Real-Time. Because that date
applied to the initiation of fees for TOPS and DEEP in Real-Time (and
has passed), IEX proposes to amend the footnote to apply to DEEP+ and
read: ``These fees will be operative when the product is launched. IEX
will announce the launch date by Trader Alert at least 10 business days
in advance of the product launch'' and to apply footnote 3 to the two
new rows describing the free distribution of DEEP+ on both a Real-Time
and Delayed basis.\27\
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\26\ Should IEX in the future decide to charge for DEEP+, it
will make a fee filing pursuant to the SEC rule filing process.
\27\ While not specified in the Fee Schedule, as noted
throughout this filing, IEX will be offering DEEP+ free of charge
during an initial incentive period.
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The Exchange notes that other exchanges offer both aggregated and
order-by-order depth of book market data products. For example, Cboe
BYX offers both Multicast Depth \28\ (also known as BYX Depth), an
order-by-order depth of book market data feed, and BYX Summary
Depth,\29\ a depth of book data feed that offers aggregated quotations
for all displayed orders for up to five price levels. Cboe BYX's order-
by-order depth of book market data feed contains the same order-
specific information that will be contained in IEX's proposed DEEP+
market data feed.\30\ Thus, the Exchange does not believe that this
aspect of the proposal raises any new or novel issues not already
considered by the Commission.\31\ The Exchange plans to implement the
proposed changes during the fourth quarter of 2024, pending completion
of necessary technology changes and subject to effectiveness of this
proposed rule change. The Exchange will announce the implementation
date of the proposed changes by Trader Alert at least 10 business days
in advance of such implementation date and within 120 days of
effectiveness of this proposed rule change.
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\28\ See Cboe BYX Rule 11.22(c).
\29\ See Cboe BYX Rule 11.22(k).
\30\ See supra note 22.
\31\ DEEP+ Data Subscribers will also have access to the DEEP+
SNAP service, which allows Data Subscribers to download point-in-
time snapshots of DEEP+ in order to enable them to accelerate late
start recovery. As with its current DEEP SNAP and TOPS SNAP
services, DEEP+ SNAP will be offered for no additional charge to
DEEP+ Data Subscribers; thus, DEEP+ SNAP will also be offered free
of charge during the initial incentive period.
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2. Statutory Basis
IEX believes that the proposed rule change is consistent with the
provisions of Section 6 of the Act \32\ in general, and with Section
6(b)(5) of the Act,\33\ in particular. DEEP+ will be provided
consistent with the purposes of Section 6(b)(5) of the Act.\34\
Specifically, the Exchange believes that the proposed introduction of
an order-by-order depth of book market data feed, which will provide
Data Subscribers with full depth-of-market information, will serve to
more closely align the information provided by IEX with that of
competitor exchanges, while providing additional data to the
marketplace. Thus, this proposal should help remove impediments to a
free and open market, in furtherance of the protection of investors and
the public interest.
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\32\ 15 U.S.C. 78f(b).
\33\ 15 U.S.C. 78f(b)(5).
\34\ 15 U.S.C. 78f(b)(5).
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Additionally, the benefit of providing additional data to the
marketplace may be useful to certain market participants with trading
strategies that take into account order-by-order depth of book feeds
such as DEEP+. Thus, these Members may choose to deploy additional
trading strategies on IEX that align with how they function on other
exchanges. IEX believes that this potential deployment of additional
trading strategies on IEX by certain market participants could attract
additional volume to IEX (both displayed and non-displayed), which
would benefit all market participants. Thus, this proposal should help
remove impediments to a free and open market, in furtherance of the
protection of investors and the public interest.
Moreover, DEEP+ will be available to all Data Subscribers on an
equal basis including being offered free of charge to all Data
Subscribers on an initial basis. By expanding all market participants'
access to Real-Time market data disseminated from IEX's displayed Order
Book, the proposal is not designed to permit unfair discrimination
among customers, issuers, and brokers; and is designed to promote just
and equitable principles of trade, to foster cooperation and
coordination with persons engaged in facilitating transactions in
securities, to remove impediments to and perfect the mechanism of a
free and open market and a national market system and, in general, to
protect investors and the public interest.
The proposed rule change is designed to promote just and equitable
principles of trade and remove impediments to and perfect the mechanism
of a free and open market and a national market system by providing
more detailed quotation and transaction information to market
participants. The Exchange also believes this proposal is consistent
with Section 6(b)(5) of the Act because it is designed to protect
investors and the public interest and promote just and equitable
principles of trade by providing additional transparency regarding
displayed orders on the IEX Order Book, and also provides market
participants with a disaggregated feed that allows them to construct
the IEX BBO information otherwise than under the CTA and Nasdaq/UTP
Plans. Further, the proposal would not permit unfair discrimination
because the information will be available to all market participants
and market data vendors on an equivalent basis. In addition, any market
participant that wishes to receive IEX BBO and last sale information
via the CTA and Nasdaq/UTP Plans will still be able to do so if they
subscribe or access through a Data Subscriber.
The Exchange also believes that not charging a fee for DEEP+ for an
initial incentive period (whether accessed on a Real-Time or Delayed
basis) is appropriate, reasonable, and consistent with the Act because
it is designed to incentivize market participants to subscribe to
DEEP+, which may in turn encourage those same market participants to
direct more order flow to the Exchange as discussed above, and such
orders will have the benefit of exchange transparency, regulation, and
oversight. IEX operates in a highly competitive environment, and not
charging fees for DEEP+ is designed to enable it to compete effectively
and to encourage market participants to connect to the Exchange.
The Exchange also believes that the proposed rule change is
consistent with Section 11(A) of the Act \35\ in that it supports (1)
fair competition among brokers and dealers, among exchange markets, and
between exchange markets and markets other than exchange markets and
(2) the availability to brokers, dealers, and investors of information
with respect to quotations for and transactions in securities. As noted
above, the Exchange will provide DEEP+ to Members and other recipients
of Exchange data on terms that are fair and reasonable and not
unreasonably discriminatory in that DEEP+ will be
[[Page 81611]]
provided free of charge for an initial incentive period.
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\35\ 15 U.S.C. 78k-1.
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Additionally, IEX believes that the proposed rule change is
consistent with the provisions with Section 6(b)(5) of the Act because
DEEP+ would be accessed and subscribed to on a voluntary basis, in that
neither the Exchange nor market data distributors are required by any
rule or regulation to make this data available. Accordingly,
distributors and subscribers can discontinue their use at any time and
for any reason. Thus, the proposal should help remove impediments to a
free and open market, in furtherance of the protection of investors and
the public interest.
Further, IEX believes that the proposed edits to the Fee Schedule
are consistent with the Act. Specifically, the proposal to update the
Fee Schedule to state that DEEP+ will be offered for free,\36\ and to
revise footnote 3 to make clear that the fee's (and product's)
implementation date will be on a date to be announced by Trading Alert
at least ten (10) business days in advance of the product launch are
consistent with the Act because they will provide clarity to, and
reduce confusion of, market participants about the cost and
availability of this new market data product, which should help remove
impediments to a free and open market, in furtherance of the protection
of investors and the public interest.
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\36\ While not specified in the Fee Schedule, as noted
throughout this filing, IEX will be offering DEEP+ free of charge
during an initial incentive period.
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Finally, as noted in the Purpose section, offering both an order-
by-order and aggregated depth of book market data product is consistent
with the offerings of other exchanges. Specifically, as discussed in
the Purpose section, Cboe BYX's order-by-order market data feed
contains the same order-specific information that IEX will provide in
DEEP+.\37\ And Cboe BYX's order-by-order also contains the same non-
order-specific information such as the Retail Liquidity Identifier,
which DEEP+ will also contain.\38\ Thus IEX believes it does not raise
any new or novel issues not already considered by the Commission in the
context of other exchanges' market data product filings.
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\37\ See supra note 21.
\38\ See supra note 22.
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B. Self-Regulatory Organization's Statement on Burden on Competition
IEX does not believe that the proposed rule change will result in
any burden on competition that is not necessary or appropriate in
furtherance of the purposes of the Act. The Exchange is not proposing
to charge a fee for DEEP+ during an initial incentive period and will
make it available to market participants on a fair and impartial basis,
and on terms that are not unfairly discriminatory. In addition, the
Exchange believes that providing order-by-order depth of book
quotations as described above is designed to remove impediments to and
perfect the mechanism of a free and open market and a national market
system by providing investors with a new exchange-specific source of
market data, as well as to compete with other exchanges that offer
similar market data products.
With regard to intra-market competition, the proposed order-by-
order depth of book market data feed will be made equally available to
all Members and Data Subscribers on a fair, impartial and
nondiscriminatory basis without imposing any new burdens on the Members
and Data Subscribers, including the fact that it will be offered free
of charge during an initial incentive period. As discussed in the
Purpose and Statutory Basis sections, the proposed rule change is
designed to provide all market participants more transparency into the
order-by-order composition of IEX's Order Book.
With regard to inter-market competition, other exchanges are free
to adopt similar market data product offerings, and, as discussed in
the Purpose section, other exchanges like Cboe BYX already provide
market participants the option of subscribing to an aggregated or
order-by-order depth of book feed (or both). IEX's proposed DEEP+ feed
will foster, not burden, competition by providing a new exchange-
specific source of market data, which is similar to products offered by
other exchanges. Thus, it will provide investors with a new option for
receiving market data. Thus, the Exchange believes the proposed rule
change is consistent with the Exchange Act because it will further
encourage competition between IEX and other exchanges.
C. Self-Regulatory Organization's Statement on Comments on the Proposed
Rule Change Received From Members, Participants, or Others
Written comments were neither solicited nor received.
III. Date of Effectiveness of the Proposed Rule Change and Timing for
Commission Action
Because the foregoing proposed rule does not:
(i) significantly affect the protection of investors or the public
interest;
(ii) impose any significant burden on competition; and
(iii) become operative for 30 days from the date on which it was
filed, or such shorter time as the Commission may designate, it has
become effective pursuant to Section 19(b)(3)(A) of the Act and Rule
19b-4(f)(6) thereunder.\39\
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\39\ CFR 240.19b-4(f)(6). In addition, Rule 19b-4(f)(6) requires
a self-regulatory organization to give the Commission written notice
of its intent to file the proposed rule change, along with a brief
description and text of the proposed rule change, at least five
business days prior to the date of filing of the proposed rule
change, or such shorter time as designated by the Commission. The
Exchange has satisfied this requirement.
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At any time within 60 days of the filing of the proposed rule
change, the Commission summarily may temporarily suspend such rule
change if it appears to the Commission that such action is necessary or
appropriate in the public interest, for the protection of investors, or
otherwise in furtherance of the purposes of the Act. If the Commission
takes such action, the Commission shall institute proceedings under
Section 19(b)(2)(B) \40\ of the Act to determine whether the proposed
rule change should be approved or disapproved.
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\40\ 15 U.S.C. 78s(b)(2)(B).
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IV. Solicitation of Comments
Interested persons are invited to submit written data, views and
arguments concerning the foregoing, including whether the proposed rule
change is consistent with the Act. Comments may be submitted by any of
the following methods:
Electronic Comments
<bullet> Use the Commission's internet comment form (<a href="https://www.sec.gov/rules/sro.shtml">https://www.sec.gov/rules/sro.shtml</a>); or
<bullet> Send an email to <a href="/cdn-cgi/l/email-protection#0f7d7a636a226c6062626a617b7c4f7c6a6c21686079"><span class="__cf_email__" data-cfemail="d2a0a7beb7ffb1bdbfbfb7bca6a192a1b7b1fcb5bda4">[email protected]</span></a>. Please include
file number SR-IEX-2024-20 on the subject line.
Paper Comments
<bullet> Send paper comments in triplicate to Secretary, Securities
and Exchange Commission, 100 F Street NE, Washington, DC 20549-1090.
All submissions should refer to file number SR-IEX-2024-20. This file
number should be included on the subject line if email is used. To help
the Commission process and review your comments more efficiently,
please use only one method. The Commission will post all comments on
the Commission's internet website (<a href="https://www.sec.gov/rules/sro.shtml">https://www.sec.gov/rules/sro.shtml</a>). Copies of the submission, all subsequent amendments, all
written statements with respect to the proposed rule change that are
filed with the
[[Page 81612]]
Commission, and all written communications relating to the proposed
rule change between the Commission and any person, other than those
that may be withheld from the public in accordance with the provisions
of 5 U.S.C. 552, will be available for website viewing and printing in
the Commission's Public Reference Room, 100 F Street NE, Washington, DC
20549, on official business days between the hours of 10 a.m. and 3
p.m. Copies of the filing also will be available for inspection and
copying at the principal office of the Exchange. Do not include
personal identifiable information in submissions; you should submit
only information that you wish to make available publicly. We may
redact in part or withhold entirely from publication submitted material
that is obscene or subject to copyright protection. All submissions
should refer to file number SR-IEX-2024-20 and should be submitted on
or before October 29, 2024.
For the Commission, by the Division of Trading and Markets,
pursuant to delegated authority.\41\
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\41\ 17 CFR 200.30-3(a)(12).
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Vanessa A. Countryman,
Secretary.
[FR Doc. 2024-23166 Filed 10-7-24; 8:45 am]
BILLING CODE 8011-01-P
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