# Market Data Infrastructure > Briefs, arguments, decisions, and more. URL: https://www.frixlaw.com/law-library/documents/fr%3A2020-03760 ## Record - **Collection:** Federal Register - **Document type:** Proposed Rule - **Published:** March 24, 2020 - **Citation:** 85 FR 16726 ## Text SECURITIES AND EXCHANGE COMMISSION 17 CFR Parts 240, 242, and 249 [Release No. 34-88216; File No. S7-03-20] RIN 3235-AM61 Market Data Infrastructure AGENCY: Securities and Exchange Commission. ACTION: Proposed rule. SUMMARY: The Securities and Exchange Commission (“Commission” or “SEC”) is proposing to amend 17 CFR 242, Rules 600 and 603 and to adopt new Rule 614 of Regulation National Market System (“Regulation NMS”) under the Securities Exchange Act of 1934 (“Exchange Act”) to update 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 proposes to expand 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 proposes to amend the method by which such NMS information is collected, calculated, and disseminated by introducing a decentralized consolidation model where competing consolidators replace the exclusive securities information processors. DATES: Comments should be received on or before May 26, 2020. ADDRESSES: Comments may be submitted by any of the following methods: Electronic Comments • Use the Commission's internet comment form ( http://www.sec.gov/rules/proposed.shtml ); or • Send an email to rule-comments@sec.gov . Please include File Number S7-03-20 on the subject line. Paper Comments • Send paper comments to Vanessa A. Countryman, Secretary, Securities and Exchange Commission, 100 F Street NE, Washington, DC 20549-1090. All submissions should refer to File Number S7-03-20. This file number should be included on the subject line if email is used. To help us process and review your comments more efficiently, please use only one method. The Commission will post all comments on the Commission's internet website ( http://www.sec.gov/rules/proposed.shtml ). Comments are also available for website viewing and printing in the Commission's Public Reference Room, 100 F Street NE, Washington, DC 20549-1090 on official business days between the hours of 10:00 a.m. and 3:00 p.m. All comments received will be posted without change; we do not edit personal identifying information from submissions. You should submit only information that you wish to make available publicly. Studies, memoranda, or other substantive items may be added by the Commission or staff to the comment file during this rulemaking. A notification of the inclusion in the comment file of any materials will be made available on the Commission's website. To ensure direct electronic receipt of such notifications, sign up through the “Stay Connected” option at www.sec.gov to receive notifications by email. FOR FURTHER INFORMATION CONTACT: Kelly Riley, Senior Special Counsel, at (202) 551-6772; Ted Uliassi, Senior Special Counsel, at (202) 551-6095; Elizabeth C. Badawy, Senior Accountant, at (202) 551-5612; Leigh Duffy, Special Counsel, at (202) 551-5928; Yvonne Fraticelli, Special Counsel, at (202) 551-5654; Steve Kuan, Special Counsel, at (202) 551-5624; or Joshua Nimmo, Attorney-Advisor, at (202) 551-5452, Division of Trading and Markets, Commission, 100 F Street NE, Washington, DC 20549. SUPPLEMENTARY INFORMATION: The Commission is proposing to expand the content of NMS information that is required to be collected, consolidated, and disseminated as part of the national market system under Regulation NMS by proposing several new defined terms under Rule 600 of Regulation NMS, including “consolidated market data,” “core data,” “regulatory data,” “administrative data,” and “exchange-specific program data.” To implement the decentralized consolidation model, the Commission is proposing to amend Rule 603 under Regulation NMS to remove the requirement that all consolidated information for individual NMS stocks be disseminated through a single plan processor and to require each national securities exchange and national securities association to make available 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. In addition, the Commission is proposing to add new Rule 614 and a new Form CC to govern the registration and responsibilities of competing consolidators. Further, the Commission is proposing that the effective national market system plan(s) for NMS stocks be amended to reflect the decentralized consolidation model. Finally, the Commission is proposing to amend Regulation SCI to expand the definition of “SCI entities” to include competing consolidators. In particular, the Commission is proposing: (1) Amendments to Rule 600 [17 CFR 242.600] to add new definitions of “administrative data,” “auction information,” “competing consolidator,” “consolidated market data,” “core data,” “depth of book data,” “exchange-specific program data,” “primary listing exchange,” “regulatory data,” “round lot,” and “self-aggregator;” (2) amendments to Rule 603 [17 CFR 242.603] to require national securities exchanges and national securities associations to make available NMS information to competing consolidators and self-aggregators and to remove the requirement that all consolidated information for individual NMS stocks be disseminated through a single plan processor; (3) adoption of Rule 614 [17 CFR 242.614] and Form CC to require registration of competing consolidators; (4) that the participants to the effective national market system plan(s) relating to NMS stocks amend such plan(s) to reflect the definition of “consolidated market data” and the implementation of a decentralized consolidation model; (5) amendments to Rule 1000 [17 CFR 242.1000] to include competing consolidators in the definition of “SCI entities;” and (6) conforming changes and updating cross-references in Rule 201(a)(3) [17 CFR 242.201(a)(3)], Rule 201(b)(1)(ii) [17 CFR 242.201(b)(1)(ii)], Rule 201(b)(3) [17 CFR 242.201(b)(3)], Rule 600(b)(43) [17 CFR 242.600(b)(43)], Rule 600(b)(61) [17 CFR 242.600(b)(61)], and Rule 602 [17 CFR 242.602]. Table of Contents I. Introduction II. Current Market Data Infrastructure under Regulation NMS and the Equity Data Plans A. Consolidated Market Data and Proprietary Data B. NMS Regulatory Framework C. Other Regulatory Data 1. Regulation SHO 2. Limit-Up Limit-Down Plan 3. Market-Wide Circuit Breakers 4. Odd-Lot Transaction Reports and Aggregated Odd-Lot Orders III. Proposed Enhancements to NMS Information A. Introduction B. Proposed Definition of “Consolidated Market Data” C. Proposed Definition of “Core Data” 1. Round Lot Size 2. Depth of Book Data 3. Auction Information D. Proposed Definition of “Regulatory Data” 1. Regulation SHO 2. Limit Up-Limit Down Plan 3. Market-Wide Circuit Breakers 4. Other Regulatory Data E. Proposed Definition of “Administrative Data” F. Proposed Definition of “Exchange-Specific Program Data” IV. Need for and Proposed Enhancements to Provision of Consolidated Market Data A. Existing Centralized Consolidation Model B. Proposed Decentralized Consolidation Model 1. Access to Data 2. Competing Consolidators 3. Self-Aggregators 4. Amendment to the Effective National Market System Plan(s) for NMS Stocks 5. Effects on the National Market System Plan Governing the Consolidated Audit Trail 6. Transition Period C. Alternatives to the Centralized Consolidation Model 1. Distributed SIP Alternative 2. Single SIP Alternative V. Paperwork Reduction Act A. Summary of Collection of Information 1. Registration Requirements and Form CC 2. Competing Consolidator Duties and Data Collection 3. Recordkeeping 4. Reports and Reviews 5. Amendment to the Effective National Market System Plan(s) for NMS Stocks 6. 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 Consolidator Duties and Data Collection 3. Recordkeeping 4. Reports and Reviews 5. Amendment to the Effective National Market System Plan(s) for NMS Stocks 6. Collection and Dissemination of Information by National Securities Exchanges and National Securities Associations C. Respondents D. Total Annual Reporting and Recordkeeping Burden 1. Registration Requirements and Form CC 2. Competing Consolidator Duties and Data Collection 3. Recordkeeping 4. Reports and Reviews 5. Amendment to the Effective National Market System Plan(s) for NMS Stocks 6. 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. Recordkeeping 4. Reports and Reviews 5. Amendment to the Effective National Market System Plan(s) for NMS Stocks 6. Collection and Dissemination of Information by National Securities Exchanges and National Securities Associations G. Revisions to Current Regulation SCI Burden Estimates H. Request for Comments VI. 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 4. Request for Comments on Baseline C. Economic Effects of the Rule 1. Core Data and 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 5. Request for Comments on the Economic Effects of the Proposed Rule D. Impact on Efficiency, Competition, and Capital Formation 1. Efficiency 2. Competition 3. Capital Formation 4. Request for Comments on Impact on Efficiency, Competition, and Capital Formation E. Alternatives 1. Introduce Decentralized Consolidation Model With Additional Changes in 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 8. Request for Comments on Alternatives F. Request for Comments on the Economic Analysis VII. Consideration of Impact on the Economy VIII. Regulatory Flexibility Certification IX. Statutory Authority I. Introduction The widespread availability of NMS information 1 has been an essential element in the success of the U.S. securities markets. Congress recognized the importance of market information to the U.S. securities markets with the enactment of Section 11A of the Exchange Act. Section 11A(a)(2) of the Exchange Act 2 directs the Commission, having due regard for the public interest, the protection of investors, and the maintenance of fair and orderly markets, to use its authority under the Exchange Act to facilitate the establishment of a national market system for securities in accordance with the Congressional findings and objectives set forth in Section 11A(a)(1) of the Exchange Act. 3 Among the findings and objectives in Section 11A(a)(1) are that “[n]ew data processing and communications techniques create the opportunity for more efficient and effective market operations” 4 and “[i]t is in the public interest and appropriate for the protection of investors and the maintenance of fair and orderly markets to assure . . . the availability to brokers, dealers, and investors of information with respect to quotations for and transactions in securities . . . ” 5 1 See infra Section II.A for a discussion of the NMS information that is consolidated and disseminated in the U.S. securities markets. 2 15 U.S.C. 78k-1(a)(2). 3 15 U.S.C. 78k-1(a)(1). 4 15 U.S.C. 78k-1(a)(1)(B). 5 15 U.S.C. 78k-1(a)(1)(C). The Senate Report for the enactment of Section 11A stated that “it is critical for those who trade to have access to accurate, up-to-the-second information as to the prices at which transactions in particular securities are taking place ( i.e., last sale reports) and the prices at which other traders have expressed their willingness to buy or sell ( i.e., quotations).” S. Rep. No. 94-75 at 8 (1975) (“Senate Report”). The Senate Report continued that “[f]or this reason, communications systems designed to provide automated dissemination of last sale and quotation information with respect to securities will form the heart of the national market system.” Id. at 6. As discussed below, the Commission exercised its authority under Section 11A of the Exchange Act through the adoption of a series of rules that have been incorporated into Regulation NMS. Those rules address both the content of, and the means by which, NMS information is collected, consolidated, and disseminated. 6 In particular, Section 11A(c)(1)(B) of the Exchange Act authorizes the Commission to prescribe rules, as necessary or appropriate in the public interest, for the protection of investors, or otherwise in furtherance of the purposes of the Exchange Act, that “assure 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.” 7 Among other things, the Commission required the self-regulatory organizations (“SROs”) to act jointly pursuant to NMS plans 8 to disseminate, through a single plan processor, a consolidated national best bid and national best offer, along with last sale data, for each NMS stock. 9 While the Commission has periodically revised certain of its NMS rules with the goal of ensuring that the regulatory framework continues to fulfill the goals of Section 11A of the Exchange Act, 10 the Commission has not significantly updated the rules that govern the content and distribution of NMS information since their initial implementation in the late 1970s. 6 See 17 CFR 242.601-603; infra Section II.B. 7 See 15 U.S.C. 78k-1(c)(1)(B); Senate Report, supra note 5, at 189 (“Examples of the types of subjects as to which the SEC would have the authority to promulgate rules under these provisions include: The hours of operation of any type or quotation system, trading halts, what and how information is displayed and qualifications for the securities to be included on any tape or within any quotation system.”). 8 On January 8, 2020, the Commission issued a notice of proposed order directing the SROs to submit a new, single NMS plan for NMS stocks (“New Consolidated Data Plan”). See Securities Exchange Act Release No. 87906 (Jan. 8, 2020), 85 FR 2164 (Jan. 14, 2020) (“Proposed Governance Order”). The existing NMS plans for NMS stocks are: (1) The Consolidated Trade Association (“CTA”) Plan; (2) the Consolidated Quotation (“CQ”) Plan; and (3) the Nasdaq Unlisted Trading Privileges (“Nasdaq UTP”) Plan (collectively the “Equity Data Plans”). See infra note 13 and Section II.A. The Commission is proposing provisions in new Rule 614 that would require the participants to amend the effective national market system plan(s) for NMS stocks. See infra Section IV.B.4. If adopted, the proposed amendments would apply to any effective national market system plan for NMS stocks. In response to the Proposed Governance Order, the NYSE submitted a comment letter that also discussed a number of market structure issues that are addressed in this release ( e.g., expanding SIP data content and modernizing SIP data delivery such as through a potential competing consolidator model). See Letter from Elizabeth K. King, Chief Regulatory Officer, ICE, and General Counsel and Corporate Secretary, NYSE, to Vanessa Countryman, Secretary, Commission, 5 (Feb. 5, 2020) (“NYSE Governance Letter”). As with various other comments referenced herein, including, without limitation, comments received in connection with the Roundtable on Market Data and Market Access, see infra note 17, the NYSE Governance Letter was not provided with reference to the specific proposals discussed in this release. To the extent that the NYSE or other commenters wish to modify or supplement their prior comments to reflect the particulars of the proposals discussed herein, the Commission welcomes such comments. 9 See Exchange Act Rule 11Aa3-1 (renumbered and renamed as Exchange Act Rule 601, Dissemination of transaction reports and last sale data with respect to transactions in NMS stocks); Exchange Act Rule 11Ac1-1 (renumbered and renamed as Exchange Act Rule 602, Dissemination of quotations in NMS securities); Exchange Act Rule 11Ac1-2 (renumbered and renamed as Exchange Act Rule 603, Distribution, consolidation, and display of information with respect to quotations for and transactions in NMS stocks.). 10 See, e.g., Securities Exchange Act Release Nos. 51808 (June 9, 2005), 70 FR 37496 (June 29, 2005) (“Regulation NMS Adopting Release”); 84528 (Nov. 2, 2018), 83 FR 58338 (Nov. 19, 2018) (adopting amendments to Rule 606 to require additional disclosures by broker-dealers to customers regarding the handling of their orders). The 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. 11 The structure of the equity markets has changed dramatically since the Commission adopted the rules now known as Regulation NMS in 2005 and approved the three existing Equity Data Plans under Rule 608 12 of Regulation NMS. 13 In 2005, a substantial amount of trading was conducted on relatively slow manual markets, and for any given stock, concentrated on its listing exchange. Today, the U.S. equity markets have evolved into high-speed, latency-sensitive electronic markets where trading is dispersed among a wide range of competing market centers 14 and even small degrees of latency affect trading strategies. 15 Sophisticated order routing algorithms dependent on low-latency, high-quality market information are widely used to execute securities transactions. 16 Despite the evolution of latency-sensitive markets, the provision of NMS information that is centrally consolidated and disseminated by the Equity Data Plans is meaningfully slower than certain proprietary market data products distributed by the exchanges. 17 Today, the exchanges sell proprietary data products that are fast, low-latency products designed for automated trading systems and include content, such as depth of book 18 and order imbalance information for opening and closing auctions (“proprietary DOB products”) that are not provided under the Equity Data Plans. 19 The Commission believes that the content and operating model under which NMS information is collected, consolidated, and disseminated have not kept pace with technological and market developments and are no longer satisfying the needs of many investors. 11 Section 11A(a)(1) of the Exchange Act, 15 U.S.C. 78k-1(a)(1). See also Senate Report supra note 5, at 8; Securities Exchange Act Release No. 42208 (Dec. 9, 1999), 64 FR 70613, 70614 (Dec. 17, 1999) (“Market Information Concept Release”); Concept Release on Equity Market Structure, Securities Exchange Act Release No. 61358 (Jan. 14, 2010), 75 FR 3593, 3600 (Jan. 21, 2010) (“Equity Market Structure Concept Release”). 12 17 CFR 242.608. 13 The Equity Data Plans are effective national market system plans as defined in Rule 600(b)(22) for NMS stocks. See Second Restatement of the Plan Submitted to the Securities and Exchange Commission Pursuant to Rule 11Aa3-1 under the Securities Exchange Act of 1934, composite as of Dec. 6, 2019, available at https://www.ctaplan.com/publicdocs/ctaplan/notifications/trader-update/CTA_Plan_Composite_as_of_December_6_2019.pdf ; Restatement of Plan Submitted to the Securities and Exchange Commission Pursuant to Rule 11Ac1-1 under the Securities Exchange Act of 1934, composite as of Dec. 6, 2019, available at https://www.ctaplan.com/publicdocs/ctaplan/notifications/trader-update/CQ_Plan_Composite_as_of_December_6_2019.pdf ; 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 Privilege Basis, available at http://www.utpplan.com/DOC/Nasdaq-UTPPlan_after_46th_Amendment-Excluding_21st_36th_38th_42nd_44th_45th_Amendments.pdf ; Proposed Governance Order, supra note 8. 14 Rule 600(b)(38) defines a market center as “any exchange market maker, OTC market maker, alternative trading system, national securities exchange, or national securities association.” 17 CFR 242.600(b)(38). 15 See Eric Budish, et al., Will the Market Fix the Market? A Theory of Stock Exchange Competition and Innovation, University of Chicago, Becker Friedman Institute for Economics Working Paper No. 2019-72 (May 2019), available at SSRN: https://ssrn.com/abstract=3391461 ; Andriy Shkilko and Konstantin Sokolov, Every Cloud Has a Silver Lining: Fast Trading, Microwave Connectivity and Trading Costs (Apr. 2019), available at https://ssrn.com/abstract=2848562 ; Equity Market Structure Concept Release, supra note 11 (“NYSE-listed stocks were traded primarily on the floor of the NYSE in a manual fashion until October 2006. At that time, NYSE began to offer fully automated access to its displayed quotations.”). In contrast to NYSE, stocks on the Nasdaq Stock Market LLC (“Nasdaq”) traded in a highly automated fashion at many different trading centers following the introduction of SuperMontage in 2002. See Securities Exchange Act Release No. 46429 (Aug. 29, 2002), 67 FR 56862 (Sept. 5, 2002); Steven Quirk, Senior Vice President, Trader Group, TD Ameritrade, Testimony before the U.S. Senate Committee on Homeland Security and Governmental Affairs, Permanent Subcommittee on Investigations, Hearing on “Conflicts of Interest, Investor Loss of Confidence, and High Speed Trading in U.S. Stock Markets” (June 17, 2014), available at https://www.hsgac.senate.gov/imo/media/doc/STMT%20-%20Quirk%20-%20TD%20Ameritrade%20(June%2017%202014).pdf%20 (citing statistics that average execution speed has improved by 90% since 2004—from 7 seconds to 0.7 seconds in 2014). Today, trading speed is measured in microseconds and is moving towards nanoseconds. See, e.g., Vera Sprothen, Trading Tech Accelerates Toward Speed of Light, Wall Street Journal (Aug. 8, 2016), available at https://www.wsj.com/articles/trading-tech-accelerates-toward-speed-of-light-1470559173 ; Alexander Osipovich, NYSE Aims to Speed Up Trading With Core Tech Upgrade, Wall Street Journal (Aug. 5, 2019), available at https://www.wsj.com/articles/nyse-aims-to-speed-up-trading-with-core-tech-upgrade-11565002800 . 16 See, e.g., Equity Market Structure Concept Release, supra note 11; Eric Budish, et al., supra note 15; Andrew Morgan, The impact of high frequency trading on algorithms and smart order routing, Algorithmic Trading & Smart Order Routing, 3d. ed. (2009), available at https://pdfs.semanticscholar.org/ba0b/5e952b27cc48513825cb7e4f6d15803e6973.pdf . 17 See infra Section II.A. In addition, as discussed more fully below, on October 25-26, 2018, the Division of Trading and Markets hosted roundtables to gather information on market data and market access. See generally Equity Market Structure Roundtables, Oct. 25-26, 2018: Roundtable on Market Data and Market Access, https://www.sec.gov/spotlight/equity-market-structure-roundtables (“Roundtable”). Transcripts for both days of the Roundtable are available at https://www.sec.gov/spotlight/equity-market-structure-roundtables/roundtable-market-data-market-access-102518-transcript.pdf (“Roundtable Day One Transcript”) and https://www.sec.gov/spotlight/equity-market-structure-roundtables/roundtable-market-data-market-access-102618-transcript.pdf (“Roundtable Day Two Transcript”). Panelists at the Roundtable noted that the geographical delays inherent in the nature of a centralized processor results in significant latencies between the Equity Data Plans' feeds and proprietary data feeds that cannot be eliminated in the current infrastructure. Roundtable Day One Transcript at 145 (Simon Emrich, Norges Bank Investment Management) (“And part of that, the most interesting part of the delay for me is really the location of the consolidator, the geographical delay that's introduced, and the data connection element to the consolidator. Right? So from our perspective, the latency of the consolidator itself, the consolidation engine, the improvements that we've made are remarkable over the years. But it just doesn't measure the physical reality of the brokers that we're using.”); 148 (Michael Blaugrund, NYSE) (“[T]he method of transmission of that information and the timing of the aggregation of that information into a consolidated feed plays a role. As I think we all acknowledge, the aggregation time has improved dramatically. As we've seen that decline, it highlights the fact that the geographic latency becomes a more meaningful portion of the overall time line.”). See also Ivy Schmerken, Speeding Up the SIP Isn't Enough, Say Market Pros at Baruch Conference, InformationWeek: Wall Street & Technology (Oct. 17, 2014), available at http://www.wallstreetandtech.com/infrastructure/speeding-up-the-sip-isnt-enough-say-market-pros-at-baruch-conference/d/d-id/1316724.html (“Since the SIP is slower than proprietary data feeds that firms can obtain directly from exchanges, critics have said that the SIP enables `latency arbitrage' between high-speed traders using fast data and those trading off of stale quotes from the consolidated feed.”). 18 “Depth of book,” or “DOB,” refers to open buy and sell orders resting on a limit order book at prices away from the top of book ( i.e., orders to buy at prices that are below the best bid and orders to sell that are higher than the best offer). 19 See, e.g., Nasdaq, Data Products, available at http://www.nasdaqtrader.com/Trader.aspx?id=DPSpecs (last accessed Jan. 7, 2020) (describing low-latency DOB data products); NYSE, Real-Time Data, available at https://www.nyse.com/market-data/real-time (last accessed Jan. 7, 2020) (describing low-latency DOB data products); Cboe, Market Data Services: U.S. Equities, available at https://markets.cboe.com/us/equities/market_data_services/ (last accessed Jan. 7, 2020) (describing low-latency DOB data products). Particularly when aggregated, proprietary DOB market data products provide a consolidated view of the market with greater content and lower latency. The exchanges also sell other data products that are limited in content, such as an exchange's top of book (“TOB”) quotation information and transaction information, that are designed largely for the non-automated segment of the market ( e.g., retail investors and wealth managers) that is less sensitive to latency (“proprietary TOB products”). Examples of such proprietary TOB products include NYSE BBO ( https://www.nyse.com/market-data/real-time/bbo ), NASDAQ Basic ( https://business.nasdaq.com/intel/GIS/nasdaq-basic.html ), and Cboe One Feed ( https://markets.cboe.com/us/equities/market_data_services/cboe_one ). NYSE BBO provides TOB data. Nasdaq Basic and Cboe One's Summary Feed provide TOB and last sale information. Nasdaq Basic also provides Nasdaq Opening and Closing Prices and other information, including Emergency Market Condition event messages, System Status, and trading halt information. Cboe One, however, also offers a Premium Feed that includes DOB data. Each of these products is sold separately by the relevant exchange group. See Letter from Matthew J. Billings, Managing Director, Market Data Strategy, TD Ameritrade, 5-8 (Oct. 24, 2018) (“TD Ameritrade Letter”), available at https://www.sec.gov/comments/4-729/4729-4560068-176205.pdf (stating that the lower cost of exchange TOB products, coupled with costs associated with the process to differentiate between retail professionals and non-professionals imposed by the Equity Data Plans, and associated audit risk, favors retail broker-dealer use of exchange TOB products). Today, the dissemination of NMS information relies upon a centralized consolidation model, where the SROs provide certain NMS information for each NMS stock to an exclusive processor (“exclusive SIP”). 20 The exclusive SIP then consolidates this NMS information and makes it available to market participants. 21 Market participants also may independently consolidate NMS information by purchasing individual exchange proprietary market data products 22 and consolidating that information for their own use, or obtain NMS information that has been consolidated by a vendor that provides a data aggregation service. As discussed further below, proprietary DOB products collected through this decentralized consolidation model typically contain enhanced information compared to the market information provided through the Equity Data Plans, such as information about all orders on an individual exchange's order book. 23 Market participants also are able to consolidate and use the data obtained in this manner more quickly than market participants relying on NMS information provided through the Equity Data Plans. 20 An “exclusive processor” is defined in Section 3(a)(22)(B) of the Exchange Act as “any [SIP] or [SRO] which, directly or indirectly, engages on an exclusive basis on behalf of any national securities exchange or registered securities association, or any national securities exchange or registered securities association which engages on an exclusive basis on its own behalf, in collecting, processing, or preparing for distribution or publication any information with respect to (i) transactions or quotations on or effected or made by means of any facility of such exchange or (ii) quotations distributed or published by means of any electronic system operated or controlled by such association.” 15 U.S.C. 78c(a)(22)(B). A securities information processor (“SIP”) is defined in Section 3(a)(22)(A) of the Exchange Act as “any person engaged in the business of (i) collecting, processing, or preparing for distribution or publication, or assisting, participating in, or coordinating the distribution or publication of, information with respect to transactions in or quotations for any security (other than an exempted security) or (ii) distributing or publishing (whether by means of a ticker tape, a communications network, a terminal display device, or otherwise) on a current and continuing basis, information with respect to such transactions or quotations.” 15 U.S.C. 78c(a)(22)(A). See infra note 42 and accompanying text. 21 See Rule 603(b) of Regulation NMS. Rule 603(b) provides that all information for an individual NMS stock must be disseminated through a single plan processor. 17 CFR 242.603(b). See Rule 600(b)(59), which defines a plan processor as “any self-regulatory organization or securities information processor acting as an exclusive processor in connection with the development, implementation and/or operation of any facility contemplated by an effective national market system plan.” 17 CFR 242.600(b)(59). 22 See infra Section II.A (discussing proprietary DOB and proprietary TOB). 23 See supra note 19. As noted above, Section 11A of the Exchange Act specifically highlights the importance of making information with respect to quotations for and transactions in securities available to brokers, dealers, and investors in a prompt, accurate, reliable, and fair manner and directs the Commission to act in accordance with this finding. Accordingly, the Commission proposes to amend Regulation NMS to better achieve the goal of assuring “the availability to brokers, dealers and investors of information with respect to quotations for and transactions in securities” 24 that is prompt, accurate, reliable, and fair. 25 The Commission preliminarily believes that the proposals described herein would promote fair and efficient markets and would facilitate the best execution of investor orders, and reduce information asymmetries between market participants who currently rely on market data provided through the exclusive SIPs and those who purchase the proprietary market data products offered by the national securities exchanges. 26 24 Section 11A(a)(1)(C)(iii), 15 U.S.C. 78k-1(a)(1)(C)(iii). 25 Section 11A(c)(1)(B), 15 U.S.C. 78k-1(c)(1)(B). Section 11A(c)(1)(B) provides the Commission with the authority to prescribe rules and regulations as necessary or appropriate in the public interest, for the protection of investors or otherwise in furtherance of the purposes of the Exchange Act to “assure 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.” Id. 26 See Section 11A(a)(1)(C), 15 U.S.C. 78k-1(a)(1)(C) (stating that it is in the public interest and appropriate for the protection of investors and the maintenance of fair and orderly markets to assure “fair competition among brokers and dealers,” “the availability to brokers, dealers, and investors of information with respect to quotations for and transactions in securities,” and “the practicability of brokers executing investors' orders in the best market”). The proposed amendments include two key parts, and the Commission preliminarily believes that the proposals are complementary, but can be independently justified. First, the amendments would update the content of the information with respect to quotations for and transactions in NMS stocks that must be made available under Regulation NMS. In particular, the Commission proposes to expand the NMS information that is required to be collected, consolidated, and disseminated under Regulation NMS to include: (1) Information about orders in sizes smaller than the current round lot size for certain higher priced stocks; 27 (2) information about certain orders that are outside of the best bid and best offer ( i.e., certain depth of book data); and (3) information about orders that are participating in opening, closing, and other auctions. The Commission preliminarily believes that enhancing the content of NMS information in this manner should help ensure that all market participants have ready access to that market information in order to facilitate participation in today's markets. 27 See proposed Rule 600(b)(81) (defining “round lot” as 100 shares, 20 shares, 10 shares, 2 shares, or 1 share depending upon the prior calendar month's average closing price for each NMS stock). Second, the amendments introduce a decentralized consolidation model whereby competing consolidators would assume responsibility for the collection, consolidation, and dissemination functions currently performed by the exclusive SIPs. 28 To facilitate this decentralized consolidation model, the Commission proposes that each SRO would be required to make all of its market data that is necessary to generate consolidated market data (as proposed to be defined) directly available to two new categories of entities: (1) Competing consolidators and (2) self-aggregators. Competing consolidators would be either SROs or SIPs registered with the Commission pursuant to proposed Rule 614, and would be responsible for collecting, consolidating, and disseminating consolidated market data to the public. Self-aggregators would be brokers or dealers that elect to collect and generate consolidated market data for their own internal use. 28 The Commission is proposing to include competing consolidators in the definition of “SCI entities;” therefore, competing consolidators would be subject to the requirements of Regulation SCI. See Rule 1000(a) of Regulation SCI, 17 CFR 242.1000(a). See Securities Exchange Act Release No. 73639 (Nov. 19, 2014), 79 FR 72252 (Dec. 5, 2014) (“Regulation SCI Adopting Release”). See also infra Section IV.B.2(f). Non-SRO competing consolidators would be required to register with the Commission. 29 All competing consolidators, SRO and non-SRO, would be subject to appropriate standards with respect to the promptness, accuracy, reliability, and fairness of their consolidated market data distribution. While self-aggregators would not be subject to a separate registration requirement, as registered broker-dealers, they would be subject to the full broker-dealer regulatory regime. 30 To support this proposed decentralized consolidation model, each SRO would be required to make all of its own data that is necessary to generate consolidated market data available to competing consolidators and self-aggregators directly from its data center, and in the same manner and using the same methods, including all methods of access and the same format, as it makes its proprietary market data products available to any market participant. 29 As discussed further below, only those entities that are SIPs would be required to register with the Commission pursuant to proposed Rule 614 and proposed Form CC. SROs that wish to act as competing consolidators would not be required to register pursuant to proposed Rule 614 and proposed Form CC but would be required to comply with the competing consolidator obligations set forth in proposed Rule 614(d). See infra Section IV.B. 30 See infra Section IV.B.3. Under the proposed structure, the effective national market system plan(s) would continue to serve an important role in the national market system by, among other things, governing the SROs' provision of the data necessary to generate consolidated market data, including setting fees for the provision of such SRO data to competing consolidators and self-aggregators. 31 The Commission preliminarily believes that, by introducing competition and market forces into the collection, consolidation, and dissemination process, the decentralized consolidation model would help ensure that consolidated market data is delivered to market participants in a more timely, efficient, and cost-effective manner than the current centralized consolidation model. 32 31 See Proposed Governance Order, supra note 8. 32 See infra Section IV.B. II. Current Market Data Infrastructure Under Regulation NMS and the Equity Data Plans A. Consolidated Market Data and Proprietary Data Today, in accordance with the centralized consolidation model, the SROs act jointly pursuant to the three Equity Data Plans to collect, consolidate, and publicly disseminate real-time, NMS information. 33 For each NMS stock, the SROs are required, pursuant to Regulation NMS and the Equity Data Plans, to provide certain quotation 34 and transaction 35 data to the designated exclusive SIP for each Equity Data Plan. 36 Each exclusive SIP collects, consolidates, and disseminates NMS information to the public on the consolidated tape, described below. The NMS information that is consolidated and made available under the Equity Data Plans generally includes: “(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 offer ( i.e., the highest bid and lowest offer currently available on any exchange).” 37 In general, these data elements form what historically has commonly been referred to as “core data.” 33 See supra note 13. 34 See Rule 602 of Regulation NMS, 17 CFR 242.602. 35 See Rule 601 of Regulation NMS, 17 CFR 242.601. 36 Rule 603(b) of Regulation NMS provides that “the dissemination of all consolidated information for an individual NMS stock” shall be through a single plan processor ( i.e., exclusive SIP). 17 CFR 242.603(b). 37 See In the Matter of the Application of Bloomberg L.P., Securities Exchange Act Release No. 83755 at 3 (July 31, 2018) (“ Bloomberg Decision ”), available at https://www.sec.gov/litigation/opinions/2018/34-83755.pdf ; accord In the Matter of the Application of Sec. Indus. & Fin. Markets Ass'n for Review of Action Taken by Nyse Arca, Inc., & Nasdaq Stock Mkt. LLC, Securities Exchange Act Release No. 84432 (Oct. 16, 2018) (“ In the Matter of the Application of SIFMA ”) ( citing NetCoalition v. SEC., 615 F.3d 525, 529 (DC Cir. 2010)); Securities Exchange Act Release No. 87193 (Oct. 1, 2019), 84 FR 54794, 54795 (Oct. 11, 2019) (“Effective on Filing Proposal”). In addition to disseminating core data, the exclusive SIPs collect, calculate, and disseminate certain regulatory data, including information required by the NMS Plan to Address Extraordinary Market Volatility (“LULD Plan”), 38 information relating to regulatory halts and market-wide circuit breakers (“MWCBs”), 39 and information regarding short sale circuit breakers pursuant to Rule 201. 40 The exclusive SIPs also collect and disseminate other NMS stock data and disseminate certain administrative messages. 41 For purposes of this release, these existing market data elements, together with the historical “core data” described above, are referred to as “SIP data.” 38 See Securities Exchange Act Release Nos. 85623 (Apr. 11, 2019), 84 FR 16086 (Apr. 17, 2019) (approving LULD Plan on a permanent basis); 67091 (May 31, 2012), 77 FR 33498 (June 6, 2012) (approving LULD Plan, as modified by Amendment No. 1, on a pilot basis); Limit Up Limit Down Plan: Overview, available at http://www.luldplan.com/index.html (last accessed Dec. 16, 2019). 39 See Securities Exchange Act Release No. 67090 (May 31, 2012), 77 FR 33531 (June 6, 2012) (SR-BATS-2011-038; SR-BYX-2011-025; SR-BX-2011-068; SR-CBOE-2011-087; SR-C2-2011-024; SR-CHX-2011-30; SR-EDGA-2011-31; SR-EDGX-2011-30; SR-FINRA-2011-054; SR-ISE-2011-61; SR-NASDAQ-2011-131; SR-NSX-2011-11; SR-NYSE-2011-48; SR-NYSEAmex-2011-73; SR-NYSEArca-2011-68; SR-Phlx-2011-129). 40 See Rule 201(b)(3) of Regulation SHO, 17 CFR 242.201(b)(3). 41 The exclusive SIPs also provide other data regarding NMS stocks pursuant to SRO rules that are described in the Equity Data Plans' technical specifications, such as data relating to retail liquidity programs, market and settlement conditions, and the financial condition of the issuer. In addition, the Nasdaq UTP SIP separately provides Over-the-Counter Bulletin Board (“OTCBB”) data, and the CTA Plan allows participants to use the CTA/CQ SIP to disseminate last sale prices for corporate bonds and information about indices. The Equity Data Plans set the terms for the operation of the exclusive SIPs. 42 There are two exclusive SIPs, each of which is physically located in a different data center. The exclusive SIP for the CTA and CQ Plans, which covers Tape A ( i.e., securities listed on the New York Stock Exchange (“NYSE”)) and Tape B ( i.e., securities listed on exchanges other than NYSE or Nasdaq), 43 is located in Mahwah, New Jersey (“CTA/CQ SIP”), while the Nasdaq UTP Plan exclusive SIP, which covers Tape C ( i.e., Nasdaq-listed securities), is located in Carteret, New Jersey (“Nasdaq UTP SIP”). Tapes A, B, and C are commonly referred to as the “consolidated tapes.” 42 See supra note 20. The exclusive SIPs are the plan processors for the Equity Data Plans. The Securities Industry Automation Corporation (“SIAC”), a wholly owned, indirect subsidiary of Intercontinental Exchange (“ICE”), of which the NYSE is also a subsidiary, is the plan processor for Tapes A and B; Nasdaq is the plan processor for Tape C. 43 Tape B includes securities listed on exchanges other than NYSE or Nasdaq, including Cboe, NYSE Arca, and NYSE American. The exchanges' primary data centers are in four different physical locations, namely Mahwah, Carteret, Secaucus, and Weehawken, New Jersey, and they all have back-up data centers in Chicago. 44 Broker-dealers may report transactions effected otherwise than on an exchange ( i.e., “over-the-counter” or “OTC”) to trade reporting facilities (“TRFs”), which are facilities of FINRA. There are currently three active TRFs: FINRA/Nasdaq TRF in Carteret, FINRA/Nasdaq TRF in Chicago, and FINRA/NYSE TRF in Mahwah. 45 44 See NYSE Trader Update: NYSE and NYSE MKT Equity Emergency Procedures and New DR Plans (Sept. 9, 2016), available at https://www.nyse.com/publicdocs/nyse/markets/nyse/NYSE_and_NYSE_MKT_DR_Trader_Update_Final.pdf ; UTP Plan Administration Data Policies (Oct. 2018), available at http://www.utpplan.com/DOC/Datapolicies.pdf ; NYSE Chicago Disaster Recovery FAQs (July 2019), available at https://www.nyse.com/publicdocs/nyse/markets/nyse-chicago/NYSE_Chicago_Disaster_Recovery_FAQs.pdf ; Cboe: US Equities/Options Connectivity Manual, Version 10.0.0 (Oct. 7, 2019), available at https://cdn.cboe.com/resources/membership/US_Equities_Options_Connectivity_Manual.pdf ; Securities Exchange Act Release No. 78101 (June 17, 2016), 81 FR 41142, 41154 (June 23, 2016). 45 See FINRA, Trade Reporting Facility (TRF), available at https://www.finra.org/filing-reporting/trade-reporting-facility-trf (last accessed Jan. 22, 2020). As of October 2019, the FINRA/Nasdaq TRF in Carteret handled approximately 30% of the share volume in OTC reported transactions. See Cboe Global Markets, U.S. Equities Market Volume Summary (month-to-date), available at https://markets.cboe.com/us/equities/market_share/ (last accessed Oct. 21, 2019). With this centralized consolidation model, each exchange and FINRA must first transmit its quotation and transaction information 46 from its own data center to the appropriate exclusive SIP's data center for consolidation, at which point SIP data is then further transmitted to market data end-users, which are often located in other data centers. The SROs today typically transmit their market data through fiber optic cables to the exclusive SIPs and, in the case of the CTA/CQ SIP, through infrastructure owned and mandated by the NYSE. 47 46 See supra notes 34-35 and accompanying text. 47 The NYSE operates the CTA/CQ SIP and has required that access to the CTA/CQ SIP be through the use of the NYSE's IP local area network. The NYSE represents that this access requirement was mandated due to the IP network's security, resiliency, and redundancy. See Securities Exchange Act Release No. 86865 (Sept. 4, 2019), 84 FR 47592, 47594, n.12 (Sept. 10, 2019) (“NYSE Low-Latency SIP Filing”). See also Consolidated Tape System (CTS) Participant Input Binary Specification, 60, available at https://www.ctaplan.com/publicdocs/ctaplan/notifications/trader-update/CTS_BINARY_INPUT_SPECIFICATION.pdf, and Consolidated Quotation System (CQS) Participant Input Binary Specification, 42, available at https://www.ctaplan.com/publicdocs/ctaplan/notifications/trader-update/CQS_BINARY_INPUT_SPECIFICATION.pdf (both depicting that the participants of those plans use ICE Data Services' Secure Financial Transaction Infrastructure (“SFTI”) network to transmit data to those exclusive SIPs). SFTI provides connectivity to the individual ICE and NYSE Group markets including NYSE and NYSE Arca equities. SFTI also provides connectivity to the data center for the CTA and CQ Plans in Mahwah. In addition to the provision of SIP data pursuant to the Equity Data Plans, the national securities exchanges separately sell their individual proprietary market data products, which include the SIP data elements as well as a variety of additional data elements. 48 As noted above, the proprietary DOB products are generally characterized as fast, low-latency products designed for automated trading systems that include additional content. 49 In addition to SIP data, proprietary DOB products typically include odd-lot quotations; orders at prices above and below the best prices ( i.e., depth of book data); and information about orders participating in auctions, including auction order imbalances. 50 48 In adopting Regulation NMS in 2005, the Commission determined not to require that DOB information be included in core data, reasoning that investors who needed DOB information would be able to obtain such information from markets or third-party vendors. See Regulation NMS Adopting Release, supra note 10, at 37567. In making that determination, the Commission stated that this would be “a competition-driven outcome [that] would benefit investors and the markets in general.” See id. at 37530. 49 In contrast, proprietary TOB products are generally limited in content, such as the exchange's top of book quotation information and transaction information and are designed largely for the non-automated segment of the market ( e.g., retail or non-professional investors and wealth managers that access market data visually). But see CBOE One Feed Specification, CBOE, available at https://cdn.cboe.com/resources/membership/Cboe_US_Equities_Cboe_One_Feed_Specification.pdf (highlighting that CBOE offers a non-automated product with a five-level depth of book option). 50 See, e.g., Nasdaq TotalView and NYSE Integrated. In addition to proprietary DOB products, the exchanges offer a variety of connectivity options, such as co-location at primary data centers, fiber optic connectivity, wireless connectivity, and point-of-presence connectivity at third-party data centers. 51 Typically, the data for proprietary DOB products is transmitted directly from each exchange to the data center of the subscriber, where the subscriber's broker-dealer or vendor (or the subscriber itself) privately may consolidate such data with the proprietary data of the other exchanges. Furthermore, for many market participants, proprietary data is transmitted using wireless connectivity (often provided by the exchanges), such as microwave or laser technology, 52 that allows faster data transmission than the fiber optic cables that are typically used by the exclusive SIPs for the purposes of transmitting SIP data. The exchanges charge fees for these proprietary data products, 53 as well as for each of their connectivity options for co-location ( e.g., physical ports, cross-connects, and field programmable gate array (“FPGA”) services) and for communications services providing connectivity between data centers ( e.g., microwave and fiber optics). In the context of the Division of Trading and Markets' Roundtable on Market Data and Market Access in October 2018, some market participants commented that, in their view, they need the more content-rich proprietary data feeds and low latency connectivity to provide best execution to their clients and to competitively participate in the markets. 54 51 The exchanges have an inherent competitive advantage in the provision of connectivity services within exchange facilities, while connectivity options made available elsewhere, such as point-of-presence connectivity at third-party data centers, are fully competitive. 52 See, e.g., Nasdaq, Trade Management Services: Wireless Connectivity Suite, available at http://n.nasdaq.com/WirelessConnectivitySuite (last accessed Dec. 16, 2019); ICE Global Network, New Jersey Metro, available at https://www.theice.com/market-data/connectivity-and-feeds/wireless/new-jersey-metro (last accessed Dec. 16, 2019). 53 See, e.g., Letter to Vanessa Countryman, Secretary, Commission, from Robert Toomey, Managing Director and Associate General Counsel, SIFMA, 1-2 (Jan. 13, 2020) (stating that exchange market data products are “complementary” and result in “not only supra-competitive prices, but supra-monopoly prices”). 54 See, e.g., Roundtable Day One Transcript at 27 (Doug Cifu, Virtu Financial). See also Sections III.C.1(c), III.C.2(c), and III.C.3(b). B. NMS Regulatory Framework The Commission exercised its authority under Section 11A of the Exchange Act to facilitate the collection, consolidation, and dissemination of NMS information primarily by adopting five rules under Regulation NMS. 55 55 See also supra Section I (discussing Section 11A of the Exchange Act). Rule 601 of Regulation NMS governs the dissemination of transaction reports 56 and last sale data 57 with respect to transactions in NMS stocks. In particular, Rule 601 requires each national securities exchange and association to file a transaction reporting plan with the Commission that, among other things, must specify the manner of collecting, processing, sequencing, making available, and disseminating transaction reports and last sale data. 58 56 Rule 600(b)(84) defines a transaction report as “a report containing the price and volume associated with a transaction involving the purchase or sale of one or more round lots of a security.” 17 CFR 242.600(b)(84). 57 Rule 600(b)(34) defines last sale data as “any price or volume data associated with a transaction.” 17 CFR 242.600(b)(34). 58 17 CFR 242.601(a)(2). Rule 602 of Regulation NMS governs the dissemination of quotations in NMS securities. Specifically, under Rule 602 each national securities exchange and association is required to collect, process, and make available certain quotation data to vendors, 59 including the best bid, best offer, 60 quotation sizes, 61 and aggregate quotation sizes. 62 59 Rule 600(b)(87) defines a vendor as “any securities information processor engaged in the business of disseminating transaction reports, last sale data, or quotations with respect to NMS securities to brokers, dealers, or investors on a real-time or other current and continuing basis, whether through an electronic communications network, moving ticker, or interrogation device.” 17 CFR 242.600(b)(87). 60 Rule 600(b)(8) defines best bid and best offer as “the highest priced bid and the lowest priced offer.” 17 CFR 242.600(b)(8). 61 Under Rule 600(b)(67), quotation size, “when used with respect to a responsible broker's or dealer's bid or offer for an NMS security, means: (i) [T]he number of shares (or units of trading) of that security which such responsible broker or dealer has specified, for purposes of dissemination to vendors, that it is willing to buy at the bid price or sell at the offer price comprising its bid or offer, as either principle or agent; or (ii) [i]n the event such responsible broker or dealer has not so specified, a normal unit of trading for that NMS security.” 17 CFR 242.600(b)(67). 62 Rule 600(b)(2) defines aggregate quotation size as “the sum of the quotation sizes of all responsible brokers or dealers who have communicated on any national securities exchange bids or offers for an NMS security at the same price.” 17 CFR 242.600(b)(2). Rule 603 of Regulation NMS governs the distribution, consolidation, and display of information with respect to quotations for and transactions in NMS stocks. Specifically, Rule 603(a)(1) requires any exclusive processor, 63 or any broker or dealer with respect to information for which it is the exclusive source, that distributes information with respect to quotations for or transactions in an NMS stock to a securities information processor 64 to do so on terms that are fair and reasonable. Rule 603(a)(2) requires any national securities exchange, national securities association, broker, or dealer that distributes information with respect to quotations for or transactions in an NMS stock to a securities information processor, broker, dealer, or other persons to do so on terms that are not unreasonably discriminatory. 65 63 See supra note 20. 64 Id. 65 See 17 CFR 242.603(a)(2). Proprietary data cannot be made available sooner than current core data is transmitted to the exclusive SIPs. See Regulation NMS Adopting Release, supra note 10, at 37567 (“[I]ndependently distributed data could not be made available on a more timely basis than core data is made available to a Network processor. Stated another way, adopted Rule 603(a) prohibits an SRO or broker-dealer from transmitting data to a vendor or user any sooner than it transmits the data to a Network processor.”). Rule 603(b) requires each national securities exchange and association to act jointly pursuant to one or more NMS plans to disseminate consolidated information, including an NBBO, 66 on quotations for and transactions in NMS stocks. 67 Further, the rule states that such plan or plans shall provide for the dissemination of all consolidated information for an individual NMS stock through a single plan processor. 66 Rule 600(b)(43) defines national best bid and national best offer (“NBBO”) as “with respect to quotations for an NMS security, the best bid and best offer for such security that are calculated and disseminated on a current and continuing basis by a plan processor pursuant to an effective national market system plan . . .” 17 CFR 242.600(b)(43). 67 17 CFR 242.603(b). Rule 608 of Regulation NMS governs the procedures for the filing and Commission approval of NMS plans and plan amendments. The Commission approved the Equity Data Plans under Rule 608. Finally, Rule 609 of Regulation NMS governs the registration of exclusive SIPs. C. Other Regulatory Data As noted above, certain regulatory data is required—pursuant to Commission and exchange rules and NMS plans—to be generated by primary listing exchanges and the exclusive SIPs and included in the current SIP data. The availability of this data is critical to allowing market participants to understand when and where permissible trading may occur. 1. Regulation SHO Rule 201(b)(1)(i) of Regulation SHO 68 requires a trading center 69 to establish, maintain, and enforce written policies and procedures reasonably designed to prevent the execution or display of a short sale order of a covered security 70 at a price that is less than or equal to the current national best bid, 71 if the price of that covered security decreases by 10% or more from the covered security's closing price, as determined by the listing market 72 for the covered security as of the end of regular trading hours 73 on the prior day (the “Short Sale Circuit Breaker”). The rule requires that the trading center impose the Short Sale Circuit Breaker for the remainder of the day and the following day when a national best bid for the covered security is calculated and disseminated on a current and continuing basis by a “plan processor” 74 pursuant to an effective national market system plan. 75 68 17 CFR 242.201(b)(1)(i). 69 Rule 201(a)(9) states the term trading center shall have the same meaning as in 242.600(b)(82). 17 CFR 242.201(a)(9). 70 Rule 201(a)(1) states the term covered security shall mean any NMS stock as defined in 242.600(b)(48). 17 CFR 242.201(a)(1). 71 Rule 201(a)(4) states the term national best bid shall have the same meaning as in 242.600(b)(43). 17 CFR 242.201(a)(4). 72 Rule 201(a)(3) states the term listing market shall have the same meaning as the term “listing market” as defined in the effective transaction reporting plan for the covered security. Rule 201(a)(2) states the term effective transaction reporting plan for a covered security shall have the same meaning as in 242.600(b)(23). 17 CFR 242.201(a)(2)-(3). 73 Rule 201(a)(7) states the term regular trading hours shall have the same meaning as in 242.600(b)(68). 17 CFR 242.201(a)(7). 74 Rule 201(a)(6) states the term plan processor shall have the same meaning as in 242.600(b)(59). 17 CFR 242.201(a)(6). 75 Rule 201(c) provides an exception for a broker-dealer that has adopted and enforces its own such policies and procedures. More specifically, if such broker-dealer identifies a short sale order as being at a price above the current national best bid at the time of submission, such broker-dealer may mark the order as “short exempt.” However, such broker-dealer must establish, maintain, and enforce written policies and procedures reasonably designed to prevent incorrect identification of orders for purposes of the “short exempt” exception. Policies and procedures designed to create the appearance of technical compliance with Rule 201 but which otherwise are designed to circumvent, or assist others in circumventing, the Rule, would not be compliant. For example, any arrangement between market participants in which the execution price appears to be compliant with the Short Sale Circuit Breaker, but also includes a post-trade payment ( i.e., fee, commission, or other payment) that effectively renders the execution price non-compliant with the Short Sale Circuit Breaker, would not be consistent with the Rule's requirements. Further, in the Adopting Release for Rule 201, the Commission stated that, “any conduct by trading centers, or other market participants, that facilitates short sales in violation of Rule 201 could also lead to liability for aiding and abetting or causing a violation of Regulation SHO, as well as potential liability under the anti-fraud and anti-manipulation provisions of the Federal securities laws, including Sections 9(a), 10(b), and 15(c) of the Exchange Act, and Rule 10b-5 thereunder.” Securities Exchange Act Release No. 61595 (Feb. 26, 2010), 75 FR 11232, 11260 (Mar. 10, 2010). Rule 201(b)(3) of Regulation SHO provides that the determination regarding whether the Short Sale Circuit Breaker has been triggered shall be made by the listing market for the covered security, and, if the Short Sale Circuit Breaker has been triggered, the listing market shall immediately notify the “single plan processor” ( i.e., the exclusive SIP responsible for consolidation of information for the covered security pursuant to Section 242.603(b)). The exclusive SIP must then disseminate this information. 2. Limit-Up Limit-Down Plan The LULD Plan 76 sets forth procedures that provide for market-wide limit up-limit down (“LULD”) requirements to prevent trades in individual NMS stocks from occurring outside of specified price bands and reduce the negative impacts of extraordinary volatility in NMS stocks caused by momentary gaps in liquidity or erroneous trades. These price bands are coupled with the provision of trading pauses to accommodate more fundamental price moves. 76 See Securities Exchange Act Release Nos. 85623, supra note 38; 67091, supra note 38. Under the LULD Plan, the applicable exclusive SIP for an NMS stock is required to perform certain key functions, including: (1) Calculating the applicable price bands, 77 (2) disseminating flags identifying quotes that are not executable, 78 (3) disseminating flags identifying quotes that are in a “limit state,” 79 (4) disseminating trading pause messages received from the primary listing exchanges, 80 and (5) disseminating reopening auction information from the primary listing exchanges. 81 77 During regular trading hours for an NMS stock, the exclusive SIP for that stock uses a reference price, which it also calculates, to calculate and disseminate to the public a lower and upper price band. The reference price for each NMS stock equals the arithmetic mean price of eligible reported transactions for the NMS stock over the immediately preceding five-minute period ( see LULD Plan Section V(A)(1)) and must remain in effect for at least 30 seconds. See LULD Plan Section V(A)(2). The exclusive SIP calculates a pro-forma reference price on a continuous basis during regular trading hours, and when that price has moved by 1% or more from the reference price currently in effect, the pro-forma reference price becomes the reference price, and the plan processor disseminates new price bands based on the new reference price. See LULD Plan Section V(A)(2). The price bands for an NMS stock are calculated by applying the appropriate percentage parameter for the stock, specified by the LULD Plan, to the stock's reference price, with the lower price band as a percentage parameter below the reference price and the upper price band as a percentage parameter above the reference price. See LULD Plan Section V(A)(1). 78 When a national best bid is below the lower price band or a national best offer is above the upper price band for an NMS stock, the exclusive SIP is required to disseminate the national best bid or national best offer with an appropriate flag identifying it as non-executable. See LULD Plan Section VI(A)(2). 79 When a national best bid is equal to the lower price band or a national best offer is equal to the upper price band for an NMS stock, the exclusive SIP is required to distribute the national best bid or national best offer with an appropriate flag identifying it as a “Limit State Quotation.” See id.; LULD Plan Section VI(B)(2). 80 If trading for an NMS stock does not exit a limit state within 15 seconds of entry during regular trading hours, then the primary listing exchange is required to declare a trading pause in that NMS stock and notify the exclusive SIP. See LULD Plan Section VII(A)(1). The exclusive SIP is required to disseminate trading pause information to the public. See LULD Plan Section VII(A)(3). 81 Five minutes after declaring a trading pause for an NMS stock, if the primary listing exchange has not declared a regulatory halt, the primary listing exchange is required to attempt to reopen trading using its established reopening procedures. The exclusive SIP publishes the following information that the primary listing exchange provides to the exclusive SIP in connection with such reopening: Auction reference price; auction collars; and number of extensions to the reopening auction. See LULD Plan Section VII(B)(1). In addition, the applicable exclusive SIP for an NMS stock is required to receive and disseminate to the public information from primary listing exchanges regarding their inability to reopen trading due to a systems or technology issue. Specifically, the primary listing exchange is required to notify the exclusive SIP if it is unable to reopen trading in an NMS stock due to a systems or technology issue and if it has not declared a regulatory halt. The exclusive SIP is required to disseminate this information to the public. See LULD Plan Section VII(B)(2). 3. Market-Wide Circuit Breakers All of the equity exchanges and FINRA have adopted uniform rules, on a pilot basis, relating to MWCBs. 82 The purpose of an MWCB is to address extraordinary market-wide volatility by halting trading across the markets when price declines reach certain specified levels. 83 These levels are reached when the S&P 500 Index declines a specified percentage from the prior day's closing price. Currently, there are three thresholds: 7% (Level 1), 13% (Level 2), and 20% (Level 3). A Level 1 or Level 2 market decline after 9:30 a.m. ET and before 3:25 p.m. ET would halt the equity and options markets for 15 minutes, while Level 1 and 2 declines at or after 3:25 p.m. ET would not halt trading. A Level 3 market decline at any time during the trading day would halt equity and options trading until the primary listing exchange opens the next trading day. 82 See supra note 39. 83 Id. The primary listing exchanges and the exclusive SIPs work together to implement the MWCB rules. The CTA/CQ SIP monitors the S&P 500 Index throughout the trading day and would send a message to the primary listing exchanges and the Nasdaq UTP SIP in the event a Level 1, Level 2, or Level 3 circuit breaker was triggered. Upon receipt of such a message, the applicable primary listing exchange would impose a regulatory halt by sending the appropriate message to the applicable exclusive SIP, which would then disseminate the regulatory halt message to market participants. Trade resumption messages would be generated at the appropriate time by the primary listing exchange and similarly disseminated to market participants through the applicable exclusive SIP. 4. Odd-Lot Transaction Reports and Aggregated Odd-Lot Orders As discussed further below, while Regulation NMS only requires NMS stock quotation and transaction data in round lots to be reported to the exclusive SIPs, SRO rules and the Equity Data Plans include some odd-lot information in the SIP data. 84 Pursuant to exchange rules, odd-lot quotations that, when aggregated, equal or exceed a round lot are reported to the exclusive SIPs as round lots. 85 Moreover, the Equity Data Plans were amended in 2013 to include odd-lot transaction reports in the SIP data. 86 84 See infra Section III.C.1. 85 See infra notes 159-160 and accompanying text. 86 See infra notes 160-161 and accompanying text. III. Proposed Enhancements to NMS Information A. Introduction The Commission is proposing 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 to better meet the needs of today's investors and other market participants. Specifically, the Commission proposes to amend Regulation NMS by introducing, in Rule 600, new defined terms for “consolidated market data,” “core data,” “regulatory data,” “administrative data,” “exchange-specific program data,” “round lot,” “depth of book data,” and “auction information” and by amending the current definitions of “national best bid and national best offer” and “protected bid or protected offer.” The Commission preliminarily believes that these amendments will enhance the availability and usefulness of the NMS information that is required to be provided under the rules of the national market system for a wide variety of market participants. The Commission also preliminarily believes that expanding the content of NMS information would help to reduce information asymmetries between market participants who rely upon current SIP data and those who purchase proprietary data feeds from the national securities exchanges. 87 87 See supra note 26. The Commission's objectives in expanding and modernizing the content of NMS information that would be collected, consolidated, and disseminated under the rules of the national market system reflect that different market participants and different trading applications have different needs for NMS information. For example, the needs of some retail investors that visually consume NMS information ( e.g., humans looking at quotes on a screen) differ from those of institutional trading systems that electronically consume NMS information ( e.g., algorithmic trading systems or smart order routers (“SORs”). 88 This proposal to expand and modernize the content of NMS information is not intended solely to meet the needs of a narrow segment of the NMS information market; rather, the proposal is intended to address the needs of a broad cross-section of market participants. 89 The Commission intends for the NMS information to promote both fair and efficient markets, be useful to a broad cross-section of market participants, reduce information asymmetries, and facilitate best execution. 90 88 SORs employ the use of algorithms ( e.g., by broker-dealers on behalf of a client) designed to optimally send parts of an order (child orders) to various market centers ( e.g., exchange and ATSs) so as to optimally access market liquidity while minimizing execution costs. 89 This proposal is also not designed to expand the content of NMS information to meet all needs of all market participants; the proprietary data market, which includes information that is not included in the proposed definition of core data, is expected to continue to fulfill additional needs beyond those that are met by the proposed definition of core data. 90 While this proposal is intended to facilitate best execution, the Commission is not specifying minimum data elements needed to achieve best execution. B. Proposed Definition of “Consolidated Market Data” The Commission is proposing to amend Rule 600(b) to add a definition of “consolidated market data” that would include information that is currently disseminated by the exclusive SIPs as well as additional new information. Specifically, under proposed Rule 600(b)(19), consolidated market data would be defined as 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). As discussed below, the Commission proposes to add definitions of the terms “core data,” “regulatory data,” “administrative data,” and “exchange-specific program data.” The proposed definition of core data would include those data elements that are currently considered core data 91 as well as reflect additional information that would be required to be collected, consolidated, and disseminated under Regulation NMS, including certain depth of book, odd-lot, and auction information, which would improve the usefulness of core data for market participants. The proposed definition of regulatory data would specify certain regulatory messages that must be provided under Regulation NMS, which would facilitate compliance with Commission, NMS plan, or SRO requirements. The proposed definition of administrative data would refer to the administrative or technical messages that are currently required by the Equity Data Plans, or their technical specifications, and would facilitate the efficient utilization of proposed consolidated market data. The proposed definition of “exchange-specific program data” would include information currently included in SIP data related to retail liquidity programs that certain exchanges have established, as well as information related to new programs that individual exchanges may develop in the future, 92 but only if the effective national market system plan or plans required under Rule 603(b) are amended to include data elements related to any such new programs in consolidated market data. 93 91 See supra note 37 and accompanying text. 92 Any new exchange programs would have to be filed with the Commission pursuant to Section 19(b) of the Exchange Act, 15 U.S.C. 78s(b), and Rule 19b-4 thereunder, 17 CFR 240.19b-4. 93 See infra Section III.F. Finally, the Commission proposes to include a provision that would allow for additional regulatory, administrative, or exchange-specific program data elements 94 to be included within “consolidated market data” pursuant to amendments to the effective national market system plan(s). 95 The Commission preliminarily believes that this provision would help to ensure that additional information in these specific categories may be proposed to be included in consolidated market data in the future in response to market and regulatory developments and that such additional information would be required to be made available by the SROs to competing consolidators and self-aggregators, and as a result, competing consolidators would be required to, among other things, calculate and generate consolidated market data that includes this additional information. The Commission preliminarily believes that new administrative, regulatory, and exchange-specific program data elements may emerge from time to time, and that the proposed definition of consolidated market data should provide flexibility for such data elements to be included by NMS plan amendment. This provision would also maintain the current practice whereby SIP data of this type can be expanded through the NMS plan amendment process. 94 Amendments to the proposed definition of core data would only be able to be made by the Commission. To the extent that there are changes in the national market system, such as, in the provision of trading services, that suggest that the definition of core data should be updated, the Commission could exercise its authority to propose amendments to the proposed definition. See, e.g., Section 11A(c)(1)(B) of the Exchange Act which provides that the Commission shall prescribe rules as necessary or appropriate in the public interest, for the protection of investors or otherwise to assure the prompt, accurate, reliable, and fair collection, processing, distribution, and publication of information with respect to NMS information and the fairness and usefulness of the form and content of such information. 95 Pursuant to Rule 608(a)(1), any two or more SROs, acting jointly, may propose an amendment to an NMS plan. 17 CFR 242.608(a)(1). The Equity Data Plans also have provisions regarding the proposal of amendments to the Plans, which currently require a vote of the Plans' operating committee. See CTA Plan, supra note 13, at Section IV(b)(i); CQ Plan supra note 13, at Section IV.(c)(i) of the CQ Plan; Nasdaq UTP Plan, supra note 13, at Sections IV.C.1.a. and XVI. National market system plans and amendments thereto must be filed with, and typically are not effective unless they are approved by, the Commission under Rule 608 of Regulation NMS. 96 Pursuant to Rule 608(b), the Commission would publish for comment an amendment to add new consolidated market data elements, and thereafter, the Commission would evaluate any such proposed amendment and approve it if the Commission finds the amendment is “necessary or appropriate in the public interest, for the protection of investors and the maintenance of fair and orderly markets, to remove impediments to, and perfect the mechanisms of, a national market system, or otherwise in furtherance of the purposes of the [Exchange] Act.” 97 96 A proposed NMS plan amendment may be put into effect upon filing if designated by the sponsors as: “(i) Establishing or changing a fee or other charge collected on behalf of all of the sponsors and/or participants in connection with access to, or use of, any facility contemplated by the plan or amendment (including changes in any provision with respect to distribution of any net proceeds from such fees or other charges to the sponsors and/or participants); (ii) Concerned solely with the administration of the plan, or involving the governing or constituent documents relating to any person (other than a self-regulatory organization) authorized to implement or administer such plan on behalf of its sponsors; or (iii) Involving solely technical or ministerial matters.” 17 CFR 242.608(b)(3). As stated above, the Commission has proposed amendments to this provision. Effective on Filing Proposal, supra note 37 (proposing to rescind the provision of Rule 608 that allows a proposed amendment to an effective national market system plan(s) to become effective upon filing if the proposed amendment establishes or changes a fee or other charge). 97 17 CFR 242.608(b)(2). The Commission preliminarily believes that the proposed definition of consolidated market data, as well as the other definitions included therein, would, by expanding the NMS information that is required to be provided under the rules of the national market system, 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. 98 In addition, the proposed definition would be referenced in the amendments to Rule 603(b) and proposed Rule 614, both of which propose to implement the decentralized consolidation model. 99 98 As discussed below, the Commission is not requiring broker-dealers to subscribe to or utilize every component of proposed consolidated market data to meet their regulatory obligations. See infra notes 306-309 and accompanying text. 99 See infra Sections IV.B.1 and IV.B.2(e)(ii). The Commission requests comment on the proposed definition of consolidated market data under proposed Rule 600(b)(19). Throughout this release, we request comment from the points of view of all interested parties. With regard to any comments, we note that such comments are of greatest assistance to our rulemaking initiative if accompanied by supporting data and analysis of the issues addressed in those comments. In particular, the Commission solicits comment on the following: 1. Do commenters believe that the Commission should adopt a definition of consolidated market data? Why or why not? Should the Commission take an alternative approach? Why or why not? 2. Does the proposed definition of consolidated market data capture the market data that would be useful to market participants for trading and regulatory compliance purposes? Please explain. Does the proposed definition of consolidated market data include any market data that should not be included? Please explain. The Commission is seeking input from commenters on whether the proposed definition of consolidated market data should include additional market data or whether the definition should otherwise be modified. 3. Should the definition of consolidated market data be set forth in an effective national market system plan(s) instead of, or in addition to, Rule 600(b)? Please explain. Do commenters have views on the most appropriate process through which the content of proposed consolidated market data should be expanded or modified? Do commenters believe that the proposed definition of consolidated market data should include a provision stating that additional regulatory, administrative, or exchange-specific program data elements can be defined pursuant to the effective national market system plan or plans required under Section 242.603(b)? Please explain. Should the proposed definition of core data be able to be amended through the effective national market system plan process (for example, should the term “core data” be included in proposed Rule 600(b)(19)(v))? Why or why not? Do commenters believe that any data elements should not require an amendment to the effective national market system plan(s) to be added to consolidated market data? Please explain and describe what process would be appropriate for adding any such data elements. C. Proposed Definition of “Core Data” Regulation NMS does not currently define core data. Rather, today, core data generally refers to the price, size, and exchange of the last sale; each exchange's highest bid and lowest offer (“BBO”) and the number of shares available at those prices; and the NBBO. 100 100 See supra note 37 and accompanying text. The core data that is provided today by the exclusive SIPs is of considerable utility to some market participants for certain purposes. 101 However, it is of limited use to other market participants for other purposes ( e.g., as the primary data source for automated trading systems) because of its limited content. The Commission preliminarily believes that the content of current core data has not kept pace with market developments. For example, decimalization in 2001 improved prices and narrowed spreads but also reduced the size of the top of book liquidity that is displayed and disseminated as part of current core data. 102 Further, individual odd-lot quotations, especially for stocks with share prices that have risen substantially, 103 have become more important to market participants as odd-lot quotations can represent significant amounts of liquidity that are not reflected in current core data. 104 Finally, an increasing proportion of total trading volume is executed during opening and closing auctions, which are significant liquidity events every trading day, but important information about auctions is not included within current core data provided by the exclusive SIPs. 105 101 For example, current core data includes the NBBO, which is useful to market participants for informational purposes and to inform trading and investment decisions. See, e.g., Roundtable Day One Transcript at 57 (Doug Cifu, Virtu Financial) (“. . . the SIP is an eyeball product.”); Roundtable Day One Transcript at 65 (Mehmet Kinak, T. Rowe Price) (“So the SIP for us is kind of what we look at. Obviously, investment decisions are probably made by eyeballs and looking at the SIP itself from either our Bloomberg or FactSet terminals.”). It is also used as a back-up for automated trading systems that otherwise rely on proprietary data feeds from the exchanges and to support less sophisticated automated trading systems. See, e.g., Roundtable Day One Transcript at 140 (Mark Skalabrin, Redline Trading Solutions) (“the SIP . . . has been relegated to a backup feed, really. It's a fail-over to the real feed you need to do the job.”). 102 See infra notes 276-279. 103 See infra note 162. 104 As explained below, odd-lot quotations are only reflected in SIP data to the extent that they are aggregated into round lots pursuant to exchange rules. See infra notes 157-158 and accompanying text. 105 See infra notes 330-332. Because the content of current core data does not reflect these important market developments, 106 many market participants state that they are unable to rely solely on SIP data to trade competitively and provide best execution to customer orders in today's markets. 107 The Commission preliminarily believes that the data that is required to be collected, consolidated, and disseminated under the rules of the national market system is no longer fulfilling the goals of Section 11A of the Exchange Act. 108 The Commission is proposing a definition of core data that would incorporate the information that is currently provided in SIP data as well as additional information, including quotation data for smaller-sized orders for higher-priced stocks, certain depth of book data, and additional auction information. 109 As explained below, the Commission preliminarily believes that each of the new elements of core data, as proposed, would enhance the usefulness of the content of the NMS information that is collected, consolidated, and disseminated under the rules of the national market system. 110 106 As discussed below, the existing centralized consolidation model for collecting, consolidating, and disseminating SIP data also has not kept pace with the needs of today's investors and market participants. See infra Section IV.A. 107 See several of the Roundtable comments summarized below in Sections III.C.1, III.C.2, and III.C.3. 108 See supra notes 2-5 and accompanying text. 109 See infra Sections III.C.1-III.C.3 for detailed discussions of the proposed definitions of “round lot,” “depth of book data,” and “auction information.” 110 Section 11A(c)(1)(B) of the Exchange Act, 15 U.S.C. 78k-1(c)(1)(B). The Commission is proposing to define core data in Rule 600(b) to include all of the elements that currently are referred to as core data, 111 as well as the following data elements that are not currently provided by the exclusive SIPs: (1) Quotation data for smaller-sized orders for higher-priced stocks (pursuant to a new definition of “round lot”), (2) data on certain quotations below the best bid or above the best offer (pursuant to a new definition of “depth of book data”), and (3) information about orders participating in auctions (pursuant to a new definition of “auction information”). As discussed below, certain OTCBB and corporate bond and index data that are currently provided by the exclusive SIPs would not be included in the proposed definition of core data. 112 Further, as noted above, the proposed term core data is reflected in the proposed definition of consolidated market data, which is referenced in proposed Rule 603(b) and proposed Rule 614. 113 111 See supra note 37 and accompanying text. 112 See infra notes 122-127 and accompanying text. 113 As explained below, pursuant to Rule 603(b), as proposed to be amended, national securities exchanges and associations would be required to make available to competing consolidators and self-aggregators, as proposed to be defined, all data necessary to generate consolidated market data. See infra Section IV.B.1. Competing consolidators would be required to calculate and generate consolidated market data and make it available to subscribers. See proposed Rule 614(d). Specifically, under proposed Rule 600(b)(20), core data would be defined as the following information with respect to quotations for and transactions in NMS stocks: (1) Quotation sizes; (2) aggregate quotation sizes; (3) best bid and best offer; (4) national best bid and national best offer; (5) protected bid and protected offer; (6) transaction reports; (7) last sale data; (8) odd-lot transaction data disseminated pursuant to the effective national market system plan or plans required under Rule 603(b) as of [date of Commission approval of this proposal]; (9) depth of book data; and (10) auction information. For purposes of the calculation and dissemination of core data by competing consolidators, and the calculation of core data by self-aggregators, the best bid and best offer, national best bid and national best offer, and depth of book data would include odd-lots that when aggregated are equal to or greater than a round lot, with such aggregation occurring across multiple prices and disseminated at the least aggressive price. 114 Protected quotations, however, would only include odd-lots at a single price that when aggregated are equal to or greater than 100 shares. 115 114 See infra notes 157-158 and accompanying text (discussing odd-lot aggregation). 115 Id. A protected quotation is defined as “a protected bid or a protected offer.” See Rule 600(b)(62) of Regulation NMS, 17 CFR 242.600(b)(62). A protected bid or protected offer is defined as “a quotation in an NMS stock that: (i) [i]s displayed by an automated trading center; (ii) [i]s disseminated pursuant to an effective national market system plan; and (iii) [i]s an automated quotation that is the best bid or best offer of a national securities exchange, the best bid or best offer of The Nasdaq Stock Market, Inc., or the best bid or best offer of a national securities association other than the best bid or best offer of The Nasdaq Stock Market, Inc.” See Rule 600(b)(61) of Regulation NMS, 17 CFR 242.600(b)(61). Some of the components of the proposed definition of core data—namely, quotation sizes, aggregate quotation sizes, BBO, NBBO, protected quotations, transaction reports, last sale data, and odd-lot transaction data 116 —are already defined in Regulation NMS or are currently included in SIP data. 117 The Commission preliminarily believes that these data elements continue to be necessary and useful for informed market participation. This baseline information about the best quotations and recent transactions across the national market system provides the foundation of transparency and price discovery in the U.S. securities markets, and the Commission preliminarily believes investors and other market participants need it today to make informed trading and investment decisions. 118 Therefore, the Commission preliminarily believes that these data elements should be included in the definition of core data as proposed. 116 See infra notes 159-161 and accompanying text (discussing the addition of odd-lot transaction data to SIP data through NMS plan amendments approved in 2013). 117 As discussed below, some of these proposed data elements—namely, the BBO and NBBO—will be derived from smaller sized quotations as a result of the Commission's proposed definition of round lot, and the Commission is proposing amendments to the definitions of protected bid and protected offer and national best bid and offer to accommodate its proposed amendments to expand consolidated market data and implement a decentralized consolidation model with competing consolidators and self-aggregators. In addition, today, the exclusive SIPs collect, consolidate, and disseminate protected quotations, which in almost all cases, are the best bid or best offer of a trading center. Accordingly, the NBBO today reflects protected quotations. As discussed below, the Commission is proposing to amend the definition of “protected bid or protected offer” to require that protected bids and protected offers be at least 100 shares. In addition, the Commission is proposing a new round lot size definition, which would be less than 100 shares for higher-priced NMS stocks. See infra Section III.C.1(d)(i). Accordingly, if adopted, there would be an increase in instances where the best bid or best offer and the NBBO would not be protected quotations. See infra Section III.C.1(d)(ii). 118 See supra note 101. As discussed in detail below, the Commission is proposing to include certain depth of book data and auction information in the proposed definition of core data. Because of the dispersion of liquidity to prices away from the best bids and best offers 119 and the increasing proportion of orders that are executed during auctions, 120 the Commission preliminarily believes that market participants need depth of book data and auction information to fully participate in the markets and the information would facilitate best execution. 121 The Commission preliminarily believes that the proposed depth of book data and auction information would enhance the usefulness of proposed core data. 119 See infra notes 276-279 and accompanying text. 120 See infra notes 330, 348 and accompanying text. 121 See infra Sections III.C.2(d) and III.C.3(c). As discussed above, SIP data currently includes certain data that would not be included in the definition of core data under the Commission's proposed definition. 122 Currently, Nasdaq UTP Plan Level 1 subscribers can obtain OTCBB quotation and transaction feeds for unlisted stocks. 123 Similarly, the CTA Plan permits the dissemination of “concurrent use” data relating to corporate bonds and indexes. 124 This information would not be included in the proposed definitions of core data or consolidated market data. OTCBB stocks, corporate bonds, and indices are not NMS securities as defined in Regulation NMS 125 and, therefore, the Regulation NMS rules related to the collection, consolidation, and dissemination of information regarding NMS securities, and the NMS plan(s) required under Rule 603(b) for NMS stocks, 126 do not apply. Accordingly, this information is not included in the proposed definition of core data. 127 122 In addition, because this data does not fall under the proposed definitions of regulatory data or administrative data, it would not be part of proposed “consolidated market data” either. 123 See Nasdaq UTP DataFeed Approval Request, available at http://www.utpplan.com/datafeed_approval (last accessed Sept. 8, 2019); supra note 41. 124 See CTA Plan, supra note 13, at Section XIII; supra note 41. 125 “NMS security” is defined as “any security or class of securities for which transaction reports are collected, processed, and made available pursuant to an effective transaction reporting plan, or an effective national market system plan for reporting transactions in listed options.” 17 CFR 242.600(b)(47). “Effective transaction reporting plan” is defined as “any transaction reporting plan approved by the Commission pursuant to § 242.601.” 17 CFR 242.600(b)(23). Rule 601 requires a transaction reporting plan to be filed and approved pursuant to Rule 608 and to specify “[t]he listed equity and Nasdaq securities or classes of such securities for which transaction reports shall be required by the plan.” 17 CFR 242.601(a)(2). Therefore, OTCBB securities are not NMS securities. 126 “NMS stock” is defined as “any NMS security other than an option.” 17 CFR 242.600(b)(48). See also 17 CFR 242.600(b)(47) (defining NMS security). 127 One commenter suggested that this “extraneous” data should be removed from the exclusive SIPs. See Nasdaq, Total Markets: A Blueprint for a Better Tomorrow, 18 (“Nasdaq Total Markets Report”), available at https://www.nasdaq.com/docs/Nasdaq_TotalMarkets_2019_2.pdf. However, the Commission's proposed definitions of core data and consolidated market data would not prohibit the independent provision of other types of market data by the SROs, and, as discussed below, under the decentralized consolidation model, competing consolidators would be permitted to collect data from the SROs and offer data products to subscribers that go beyond what is proposed to be defined as core data or consolidated market data. Therefore, the exclusion of OTCBB and concurrent use data from the proposed definitions of core data and consolidated market data does not preclude the provision of this data to market participants who wish to receive it. Finally, the proposed definition of core data requires that the BBO, NBBO, and the proposed depth of book data include odd-lots that when aggregated are equal to or greater than a round lot, and that such aggregation would occur across multiple prices and be disseminated at the least aggressive price of all such aggregated odd-lots. Several national securities exchanges today have rules that provide for a similar odd-lot aggregation procedure for purposes of providing quotation data to the exclusive SIPs. 128 Although not currently required by Regulation NMS, odd-lot aggregation increases the amount of quotation data that is included in SIP data and provides transparency into trading interest would not otherwise have been represented in such data. The Commission preliminarily believes that this information is important and should uniformly be included in the proposed core data disseminated to investors and market participants. 129 In addition, for similar reasons, the Commission proposes to include odd-lots that, when aggregated, form a round lot for purposes of the new proposed definition of depth of book data. 130 128 See infra note 157 and accompanying text. 129 As discussed below, SROs may make the data necessary to generate consolidated market data available to competing consolidators and self-aggregators through their existing proprietary data products. See infra Section IV.B.1. Accordingly, any odd-lot quotations that are aggregated in an SRO's existing proprietary data products would be required to be aggregated in a manner consistent with the method set forth in the proposed definition of core data. See also proposed Rule 603(b). However, self-aggregators would only be required to aggregate odd-lots as prescribed in Rule 600(b)(20) to the extent that generating a particular component of proposed core data is necessary for that self-aggregator to comply with applicable regulatory requirements. For example, to the extent that a self-aggregator's activities require the self-aggregator to generate the NBBO, the self-aggregator shall do so as described in Rule 600(b)(20). 130 Today, odd-lots are only aggregated into round lots for purposes of providing an exchange's best bids and offers to the exclusive SIPs. See infra note 157. The Commission preliminarily believes, however, that the proposed definition of core data should require a different procedure with respect to the aggregation of odd-lots for purposes of protected quotations. 131 For the reasons discussed below, the scope of Rule 611 would not be extended to protected quotations of less than 100 shares. 132 The Commission preliminarily believes that aggregating odd-lots across multiple price points for purposes of determining protected quotations would effectively extend trade-through protection to quotes of less than 100 shares at different prices. 133 Therefore, the proposed definition of core data provides that, for purposes of the calculation and dissemination of proposed core data by competing consolidators, and the calculation of proposed core data by self-aggregators, protected quotations would only include odd-lots at a single price that, when aggregated, are equal to or greater than 100 shares. However, the Commission is seeking comment on whether and how odd-lots should be aggregated and the specific proposed core data elements to which such aggregation should apply. 131 See supra note 115 for the definition of “protected quotation.” Odd-lot quotations are not protected quotations under Rule 611. However, as explained below, many exchanges, pursuant to their own rules, aggregate odd-lots across multiple price points into round lots for purposes of providing protected quotations to the exclusive SIPs. See infra notes 157-158 and accompanying text. Although not required by Rule 611 or contemplated upon adoption of Regulation NMS, this has become the prevailing practice. The odd-lot aggregation methodology set forth in the Commission's proposed definition of core data would modify this practice. See infra Section VI.C.1(c)(i). 132 See infra Section III.C.1(d)(ii). 133 See infra Section III.C.1(d)(ii) for a discussion of the proposed changes to protected bid and protected offer. The Commission requests comment on the proposed amendment to Rule 600(b)(20) to introduce a definition of core data. In particular, the Commission solicits comment on the following: 4. Do commenters believe Rule 600 should be amended to include a definition of core data? Why or why not? 5. Do commenters believe that the Commission's proposed definition of core data captures the key components of information with respect to quotations for and transactions in NMS stocks that are useful for participating in today's markets? Are there any other useful market data elements that should be included in the proposed definition? Does the proposed definition include any elements that are not useful for trading? Please explain. 6. Do commenters believe that there is sufficient demand for OTCBB, concurrent use, or other data currently provided by the exclusive SIPs that would not fall within the proposed definition of core data such that an independent market for the provision of this data would develop? Why or why not? Would the SROs or other entities that currently disseminate this data through the exclusive SIPs provide it through other means ( i.e., to competing consolidators or directly to interested market participants)? Please explain. 7. The Commission is proposing to include protected quotations in the proposed definition of core data. Do commenters believe that there is a need for a “national protected best bid or offer” analogous to the NBBO that would represent a snapshot of the single best protected bid and single best protected offer from among all the protected bids and offers of each SRO? Would this be a useful metric for competing consolidators to calculate and disseminate for market participants for either routing or regulatory compliance ( e.g., the order execution disclosures required under Rule 605) purposes? Would firms that intend to self-aggregate produce such a metric on their own? Please explain. 1. Round Lot Size Today, SIP data includes quotation information in round lots and transaction information in both round lots and odd-lots. Market participants interested in quotation data for individual odd-lot orders must purchase it from exchange proprietary feeds. As share prices for many widely-held stocks have risen, individual odd-lot orders now often represent economically significant trading opportunities at prices that are better than the prices of displayed and disseminated round lots. 134 Accordingly, information about individual odd-lot orders has gained increased importance with investors and market participants, and some have suggested that odd-lot orders should be included in SIP data. 135 134 See infra note 166 and accompanying text, and infra text accompanying notes 166-170 for staff analysis of odd-lot activity for the top 500 securities by dollar volume. 135 See infra notes 170-177. The Commission is proposing to include certain information about quotations that are currently defined as odd-lots 136 in proposed core data by introducing a tiered definition of the term “round lot.” As proposed, the definition of round lot would assign different round lot sizes to individual NMS stocks depending upon their stock price. The Commission preliminarily believes this would improve the usefulness of proposed consolidated market data, promote fair competition, 137 and, like the addition of odd-lot transaction data to SIP data, would provide important information to investors and other market participants that would enhance transparency and price discovery. 138 Moreover, since odd-lot quotes often represent opportunities to trade at prices that are superior to the prices disseminated by the Equity Data Plans, 139 the inclusion of more of these quotes in proposed core data would facilitate the best execution analyses of broker-dealers who do not subscribe to proprietary data feeds that include all odd-lot information. 140 Further, it would facilitate the ability of investors to use proposed core data to verify that their broker-dealers are providing best execution by providing investors with additional information on the pricing of smaller-sized orders. 136 Rule 600(b)(51) defines odd-lot as “an order for the purchase or sale of an NMS stock in an amount less than a round lot.” 137 See 15 U.S.C. 78k-1(a)(1)(C)(ii) (“The Congress finds that . . . [i]t is in the public interest and appropriate for the protection of investors and the maintenance of fair and orderly markets to assure . . . fair competition among brokers and dealers, among exchange markets, and between exchange markets and markets other than exchange markets.”). 138 See infra notes 159-160 and accompanying text. 139 See infra notes 166-170 and accompanying text. 140 Statements made by market participants suggest that a significant number of broker-dealers do not subscribe to all proprietary market data products. See Roundtable Day One Transcript at 178 (James Brooks, ICE Data Services) (“[R]oughly half of the global investment banks take the most comprehensive New York Stock Exchange order-by-order feed, the other half do not.”); Roundtable Day One Transcript at 181 (Michael Friedman, Trillium Management) (“[T]he big fish . . . are the major consumers of depth-of-book data. I think there was some evidence . . . that there were only 50 to 100 firms, period who buy all of the depth-of-book feeds.”). (a) Regulatory Background Round lot, though not defined in the Exchange Act or Regulation NMS, typically refers to orders or quotes for 100 shares or multiples thereof. Exchange rules typically define a round lot as 100 shares, but they also allow the exchange discretion to define it otherwise. 141 The technical specifications for the Equity Data Plans provide similar definitions. For example, the CTA Plan defines round lot as “[t]ypically 100 shares of stock or any number of shares that is a multiple of 100 ( i.e., 100, 600, 1,600, etc.).” 142 The exclusive SIP feeds also disseminate quotation and transaction information for stocks that have a round lot size of 10 or 1. 143 141 See, e.g., NYSE Rule 55 (“Securities traded on the Exchange shall be quoted in round lots (generally 100 shares), except that in the case of certain stocks designated by the Exchange the round lot shall be such lesser number of shares as may be determined by the Exchange, with respect to each stock so designated.”); Nasdaq Rule 5005(a)(39) (“`Round Lot' or `Normal Unit of Trading' means 100 shares of a security unless, with respect to a particular security, Nasdaq determines that a normal unit of trading shall constitute other than 100 shares.”). According to NYSE Trade and Quote (“TAQ”) Data, as of August 2019, twelve stocks, all of which are listed on NYSE or NYSE American, had a round lot size other than 100. Ten stocks had a round lot of ten and two stocks had a round lot of one. 142 Consolidated Tape System, Multicast Output Binary Specification, 85 (May 8, 2018), available at https://www.ctaplan.com/publicdocs/ctaplan/notifications/trader-update/CTS_BINARY_OUTPUT_SPECIFICATION.pdf. The technical specifications for the Nasdaq UTP Plan note that “[f]or most NASDAQ issues, the round lot size is 100 shares.” UTP Data Feed Services Specification, 22, available at http://www.utpplan.com/DOC/UtpBinaryOutputSpec.pdf (last accessed Jan. 7, 2020). 143 See supra note 141. Regulation NMS defines “odd-lot” as “an order for the purchase or sale of an NMS stock in an amount less than a round lot.” 144 Exchange definitions of odd-lot are similar, as is the definition of odd-lot in the technical specifications for the CTA Plan. 145 144 17 CFR 242.600(b)(51). 145 See, e.g., Cboe BZX Rule 11.10 (“One hundred (100) shares shall constitute a `round lot,' any amount less than 100 shares shall constitute an `odd lot,' and any amount greater than 100 shares that is not a multiple of a round lot shall constitute a `mixed lot.' ”); Consolidated Tape System, Multicast Output Binary Specification, 84 (May 8, 2018), available at https://www.ctaplan.com/publicdocs/ctaplan/notifications/trader-update/CTS_BINARY_OUTPUT_SPECIFICATION.pdf (defining “odd lot” as “[a]n order amount for a security that is less than the normal unit of trading for that particular asset. Odd lots are considered to be anything less than the standard units of trade of 1, 10 or 100 shares.”). Despite the absence of a round lot definition, other key defined terms in Regulation NMS—such as “bid or offer,” “best bid and best offer,” and “quotation”—refer, directly or indirectly, to round lot. The effect of these references to round lot is that odd-lot quotation information is not currently collected or disseminated under Regulation NMS. 146 For example, Rule 601 refers to “transaction reports,” 147 the definition of which refers to round lot. 148 Rule 602 refers to “bids” and “offers,” 149 the definition of which also refer to round lot. 150 Rule 603 refers to a “national best bid and national best offer,” 151 which ultimately refers back to round lot. 152 Rules 610 (access to quotations) 153 and 611 (order protection rule) 154 do not apply to odd-lot orders. Rule 604 (display of customer limit orders) also refers to bids and offers 155 and specifically excludes odd-lot orders. 156 146 The Commission's proposal to add a definition of round lot will result in the inclusion of additional quotation data for smaller-sized orders in proposed core data, and, as discussed below in Section III.C.1(d)(i), will also affect the firm quote requirements of Rule 602(b), the customer limit order display requirements of Rule 604, the order execution disclosures required under Rule 605, the requirements under Rule 610(c) regarding fees for accessing quotations, and the Short Sale Circuit Breaker requirements of Rule 201. As discussed below in Section III.C.1(d)(ii), the Commission is also proposing certain amendments to the definition of “protected bid or protected offer” so that the scope of the order protection requirements of Rule 611 and the locked and crossed market prevention requirements of Rule 610(c) are not extended to the proposed smaller round lot sizes. 147 See Rule 601, 17 CFR 242.601. 148 See Rule 600(b)(84), 17 CFR 242.600(b)(84). 149 See Rule 602, 17 CFR 242.602. 150 See Rule 600(b)(9), 17 CFR 242.600(b)(9). 151 See Rule 603, 17 CFR 242.603. 152 See Rule 600(b)(43), 17 CFR 242.600(b)(43); Rule 600(b)(9), 17 CFR 242.600(b)(9). 153 See Rule 610, 17 CFR 242.610. 154 See Rule 611, 17 CFR 242.611. 155 See Rule 604, 17 CFR 242.604. 156 See Rule 604(b)(3), 17 CFR 242.604(b)(3). Several exchanges, however, pursuant to their own rules, aggregate odd-lot orders into round lots and report such aggregated odd-lot orders as quotation information to the exclusive SIPs. Exchange rules specify how the aggregation process works in different terms and with different levels of specificity, 157 but many exchanges aggregate odd-lots across multiple prices and provide them to the exclusive SIPs at the least aggressive price if the combined odd-lot interest is equal to or greater than a round lot. 158 157 See, e.g., NYSE Rule 7.36 (“The best-ranked non-marketable displayed Limit Order(s) to buy and the best ranked non-marketable displayed Limit Order(s) to sell in the Exchange Book and the aggregate displayed size of such orders associated with such prices will be collected and made available to quotation vendors for dissemination pursuant to the requirements of Rule 602 of Regulation NMS under the Exchange Act. If non-marketable odd-lot sized orders at multiple price levels can be aggregated to equal at least a round lot, such odd-lot sized orders will be displayed as the best ranked displayed orders to sell (buy) at the least aggressive price at which such odd-lot sized orders can be aggregated to equal at least a round lot.”); Nasdaq Rule 4756 (“Pursuant to Rule 602 of Regulation NMS under the Exchange Act, Nasdaq will transmit for display to the appropriate network processor for each System Security: (i) The highest price to buy wherein the aggregate size of all displayed buy interest in the System greater than or equal to that price is one round lot or greater; (ii) the aggregate size of all displayed buy interest in the System greater than or equal to the price in (i), rounded down to the nearest round lot; (iii) the lowest price to sell wherein the aggregate size of all displayed sell interest in the System less than or equal to that price is one round lot or greater; and (iv) the aggregate size of all displayed sell interest in the System less than or equal to the price in (iii), rounded down to the nearest round lot.”); Cboe BZX Rule 11.9(c)(2) (“Odd Lot Orders are only eligible to be Protected Quotations if aggregated to form a round lot.”); supra Section III.C for a discussion of odd-lot aggregation. As noted above, the proposed definition of core data sets forth a methodology for odd-lot aggregation for the components of core data. Any odd-lot quotations that are aggregated in an SRO's existing proprietary data products would be required to be aggregated in a manner consistent with the method set forth in the proposed definition of core data. See supra note 129. 158 See id. For example, if there are three sell orders on an exchange for a particular NMS stock—30 shares at $10.08, 20 shares at $10.09, and 50 shares at $10.10—the exchange will post 100 shares at $10.10 as a protected round lot quote to the exclusive SIP. See infra Section VI.C.1(c)(i). In 2013, the participants to the Equity Data Plans filed proposed amendments to the Plans to add odd-lot transactions to SIP data. 159 In support of the proposed amendments, the participants to the Equity Data Plans noted that “odd-lot transactions account for a not insignificant percentage of trading volume, [and] the Participants have determined that including odd-lot transactions on the consolidated tape . . . would add post-trade transparency to the marketplace.” 160 In approving the amendments, the Commission agreed that “odd-lot transactions comprise a noteworthy percentage of total trading volume,” and stated that “including odd-lot transactions on the consolidated tape will enhance post-trade transparency, as well as price discovery, and consequently would further the goals of the [Exchange] Act,” and that “information about odd-lot transactions would provide important information to investors and other market participants and therefore represents a positive development in the provision of market data.” 161 159 Odd-lot transaction data that is required to be collected, consolidated, and disseminated pursuant to the Equity Data Plans would be included in the proposed definition of consolidated market data pursuant to proposed Rule 600(b)(20)(viii). 160 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). 161 Id. at 66789-66790. (b) Market Evolution In recent years, the share prices of some of the most widely-held stocks have increased substantially. 162 As a result of higher share prices, odd-lot orders in many securities have a high dollar, or notional, value. Because SIP data does not currently include odd-lot quotation information except to the extent that cumulative odd-lot interest equals or exceeds a round lot, the best quote reflected in proprietary data products, especially for many high-priced stocks, may be an odd-lot order that is at a price that is better than the best bid or best offer that is disseminated by the exclusive SIPs. Indeed, as discussed below, an analysis of odd-lot transaction data and comments made in connection with the Roundtable indicate that odd-lot orders are frequently priced better than the quotation prices that are disseminated by the exclusive SIPs, yet these orders are not seen by investors or market participants that rely solely on SIP data. 163 162 For example, between 2004 and 2019, the average price of a stock in the Dow Jones Industrial Average nearly quadrupled. 163 See Roundtable Day Two Transcript at 66 (Paul O'Donnell, Morgan Stanley) (“We all know that, for high-price stocks, there is a market inside the NBBO”); Roundtable Day One Transcript at 116 (Michael Blaugrund, NYSE) (recommending the inclusion in core data of odd-lots priced better than the BBO); Healthy Markets Association Letter II; staff odd-lot analysis, infra (observing that 43% of odd-lot transactions in September of 2019 occurred at prices better than the NBBO). The importance of increasing the transparency of odd-lot quotation information is supported by odd-lot quotation and transaction data. First, odd-lot transactions make up a significant proportion of transaction volume in NMS stocks, including exchange-traded products (“ETPs”). Based on data from the SEC's MIDAS analytics tool, 164 the daily exchange odd-lot rate ( i.e., the number of exchange odd-lot trades as a proportion of the number of all exchange trades) for all corporate stocks ranged from approximately 29% to 42% of trades and the daily exchange odd-lot rate for all ETPs ranged from 14% to 20% of trades in 2018. More recently, in June 2019, the daily exchange odd-lot rate for all corporate stocks exceeded 50% several times (and exceeded 65% several times for the top decile by price) and reached almost 30% for all ETPs in the same period. 165 Exchange odd-lot volume as a proportion of total exchange-traded volume also rose in June 2019, reaching approximately 15% for all corporate stocks (and over 30% for the top decile by price) and approximately 4% for all ETPs. 166 164 Staff accessed consolidated data from the Equity Data Plans and exchange depth of book data, both of which staff receive through the SEC's MIDAS platform. See Market Data Analytics System (“MIDAS”), available at https://www.sec.gov/marketstructure/midas.html. This data is commercially available. 165 Id. See also Alexander Osipovich, Tiny `Odd-Lot' Trades Reach Record Share of U.S. Stock Market, Wall Street Journal (Oct. 23, 2019) (“The share of trades in odd-lot sizes hit a record 48.9% on Oct. 7 and has stayed above 40% ever since, according to the NYSE data, which cover all U.S. equity trades, not just those on the Big Board.”). 166 See supra [Text truncated at 120,000 characters. The full text is on the page linked above.] --- Source: Frix Law Library, https://www.frixlaw.com/law-library/documents/fr%3A2020-03760. Public record. Not legal advice.