[Federal Register Volume 82, Number 94 (Wednesday, May 17, 2017)]
[Notices]
[Pages 22708-22711]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2017-09929]
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SECURITIES AND EXCHANGE COMMISSION
[Release No. 34-80659; File No. SR-PEARL-2017-21]
Self-Regulatory Organizations; MIAX PEARL, LLC; Notice of Filing
and Immediate Effectiveness of a Proposed Rule Change To Amend Rule
519C
May 11, 2017.
Pursuant to Section 19(b)(1) of the Securities Exchange Act of 1934
(``Act'') \1\ and Rule 19b-4 thereunder,\2\ notice is hereby given
that, on May 5, 2017, MIAX PEARL, LLC (``MIAX PEARL'' or ``Exchange'')
filed with the Securities and Exchange Commission (``Commission'') a
proposed rule change as described in Items I, II, and III below, which
Items have been prepared by the Exchange. The Commission is publishing
this notice to solicit comments on the proposed rule change from
interested persons.
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\1\ 15 U.S.C. 78s(b)(1).
\2\ 17 CFR 240.19b-4.
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I. Self-Regulatory Organization's Statement of the Terms of Substance
of the Proposed Rule Change
The Exchange is filing a proposal to amend Exchange Rule 519C.
The text of the proposed rule change is available on the Exchange's
Web site at http://www.miaxoptions.com/rule-filings/pearl at MIAX
PEARL's principal office, and at the Commission's Public Reference
Room.
II. Self-Regulatory Organization's Statement of the Purpose of, and
Statutory Basis for, the Proposed Rule Change
In its filing with the Commission, the Exchange included statements
concerning the purpose of and basis for the proposed rule change and
discussed any comments it received on the proposed rule change. The
text of these statements may be examined at the places specified in
Item IV below. The Exchange has prepared summaries, set forth in
sections A, B, and C below, of the most significant aspects of such
statements.
A. Self-Regulatory Organization's Statement of the Purpose of, and the
Statutory Basis for, the Proposed Rule Change
1. Purpose
The Exchange proposes to amend Rule 519C, Mass Cancellation of
Trading Interest, to adopt new section (c) entitled ``Detection of Loss
of Communication,'' to codify the use of current functionality in the
Exchange's System \3\ which is designed to assist Members \4\ in the
event of a loss of communication with either their assigned MIAX
Express Orders Interface (``MEO Interface'' or ``MEO'') \5\ port or
Financial Information eXchange Interface (``FIX Interface'' or ``FIX'')
\6\ port due to a loss of connectivity. This functionality is designed
to protect Members from inadvertent exposure to excessive risk. The
Exchange also proposes to adopt new Interpretations and Policies .01
and .02 as discussed below. Additionally, the Exchange proposes to make
minor non substantive changes to Rule 100, Definitions, as described
below. The Exchange notes that this filing is substantially similar in
all material respects to a recent filing by the Exchange's affiliate,
Miami International Securities Exchange, LLC (``MIAX Options'').\7\
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\3\ The term ``System'' means the automated trading system used
by the Exchange for the trading of securities. See Exchange Rule
100.
\4\ The term ``Member'' means an individual or organization that
is registered with the Exchange pursuant to Chapter II of MIAX PEARL
Rules for the purpose of trading on the Exchange as an ``Electronic
Exchange Member'' or ``Market Maker.'' Members are deemed
``members'' under the Exchange Act. See Exchange Rule 100.
\5\ As proposed, the term ``MEO Interface'' means a binary order
interface used for submitting certain order types (as set forth in
MIAX PEARL Rule 516) to the MIAX PEARL System. See proposed Exchange
Rule 100.
\6\ As proposed, the term ``FIX Interface'' means the Financial
Information Exchange interface used for submitting certain order
types (as set forth in MIAX PEARL Rule 516) to the MIAX PEARL
System. See proposed Exchange Rule 100.
\7\ See Securities Exchange Act Release No. 80151 (March 3,
2017), 82 FR 13146 (March 9, 2017) (SR-MIAX-2017-08).
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MIAX PEARL Members may connect to the System using the MEO
Interface and/or the FIX Interface. These two connection protocols are
not mutually exclusive and Members, specifically Market Makers
(``MMs'') \8\ on the Exchange, primarily use the MEO Interface for
providing liquidity to the Exchange via their Market Making activities,
while Electronic Exchange Members (``EEMs'') \9\ primarily use the FIX
Interface for submitting orders.\10\
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\8\ The term ``Market Maker'' or ``MM'' means a Member
registered with the Exchange for the purpose of making markets in
options contracts traded on the Exchange and that is vested with the
rights and responsibilities specified in Chapter VI of MIAX PEARL
Rules. See Exchange Rule 100.
\9\ The term ``Electronic Exchange Member'' or ``EEM'' means the
holder of a Trading Permit who is a Member representing as agent
Public Customer Orders or Non-Customer Orders on the Exchange and
those non-Market Maker Members conducting proprietary trading.
Electronic Exchange Members are deemed ``members'' under the
Exchange Act. See Exchange Rule 100.
\10\ The term ``order'' means a firm commitment to buy or sell
option contracts. See Exchange Rule 100.
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These Interface ports provide the mechanism by which Members
maintain a connection to the Exchange and through which a Member
communicates its quotes and/or orders to the System. Market Makers may
submit quotes \11\ to the Exchange from one or more MEO ports.
Similarly, Members may submit orders to the Exchange from one or more
FIX ports. When the System detects a loss of communication with a
Member, the System has the capability to remove the Member's quotes
and/or orders, if so elected and configured by the Member. The Exchange
notes that this functionality is mandatory for Members using MEO and
optional for Members using FIX, as discussed in more detail below.
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\11\ The term ``quote'' or ``quotation'' means a bid or offer
entered by a Market Maker as a firm order that updates the Market
Maker's previous bid or offer, if any. When the term order is used
in these Rules and a bid or offer is entered by the Market Maker in
the option series to which such Market Maker is registered, such
order shall, as applicable, constitute a quote or quotation for
purposes of these Rules. See Exchange Rule 100.
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MEO Connections
Members connect to their assigned MEO port using the MIAX Session
Management Protocol (``SesM''). The SesM protocol uses Heartbeat \12\
packets to detect link failures between the Member and the Exchange.
The SesM protocol requires that the Exchange must send a Heartbeat
packet anytime more than one (1) second has passed since the Exchange
last sent any data. Further, the SesM protocol requires that the Member
must send a Heartbeat packet anytime more than one (1) second has
passed since the Member last sent any data. If a certain number of
consecutive Heartbeats are missed,\13\ or if the Member fails to send
data or Heartbeats within ``xx'' period of time (``Heartbeat
Interval''), the System will automatically close the connection and
listen for the Member to establish a new connection. The default
Heartbeat
[[Page 22709]]
Interval setting is determined by the Exchange and configured directly
into the System.\14\ Any change to these settings will be communicated
to Members accordingly.
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\12\ A Heartbeat message is a communication which acts as a
virtual pulse between the Exchange System and the Member's system.
The Heartbeat message sent by the Member and received by the
Exchange allows the Exchange to continually monitor its connection
with the Member.
\13\ The Exchange notes that the current setting is three (3)
Heartbeats.
\14\ The Exchange notes that the current setting is three (3)
seconds.
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The Exchange offers Members three different types of MEO port
connections. A Full Service Port Bulk (``FSPB'') which
supports all message types and binary bulk order entry, a Full Service
Port Single (``FSPS'') which supports all MEO input message
types and binary order entry on a single order by order basis (no bulk
orders), and a Limited Service Port (``LSP''), which supports all MEO
input message types, but does not support bulk order entry and only
supports IOC/ISO order types. The Exchange limits Members to two (2)
Full Service Ports and allows up to eight (8) Limited Service Ports per
MIAX PEARL matching engine.\15\ All Ports can have ``Cancel on
Disconnect'' enabled. By default, Cancel on Disconnect functionality
will be triggered upon establishing a loss of communication to the
Member's last MEO Full Service Port connection to a matching engine.
When Cancel on Disconnect is triggered, the System will close the
session and remove the Member's quotes and orders from the Exchange,
for the impacted matching engine only.
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\15\ A ``matching engine'' is a part of the MIAX PEARL
electronic system that processes options quotes and trades on a
symbol-by-symbol basis.
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Members have the ability to group MEO ports together by port and/or
Market Participant ID (``MPID'') for the purpose of establishing groups
of connections to tailor Cancel on Disconnect functionality to the
Member's business needs.
Examples for illustration purposes are provided below.
Example 1: Default Behavior.
Group 1: MEO Full Service Ports: MEO Port 1 & MEO Port 2.
Scenario 1: MEO Port 1 disconnects, (MEO Port 2 connected) no
quotes removed.
Scenario 2: MEO Port 2 disconnects, (MEO Port 1 connected) no
quotes removed.
Scenario 3: MEO Port 1 disconnects, MEO Port 2 disconnects, Cancel
on Disconnect triggered.
Scenario 4: MEO Port 2 disconnects, MEO Port 1 disconnects, Cancel
on Disconnect triggered.
Example 2: A Member requiring a configuration which separates their
orders, Mass-Cancel or Notifications to a separate port.
Group 1: MEO Full Service Ports: MEO Port 1 & MEO Port 2.
Group 2: MEO Limited Service Port: MEO Port 3.
Group 1 is configured for Cancel on Disconnect; Group 2 is not.
Assuming that the Firm is connected on all ports:
Scenario 1: MEO Port 1 disconnects, no quotes removed.
Scenario 2: MEO Port 1 and Port 2 disconnect, Cancel on Disconnect
triggered, quotes removed.
Scenario 3: MEO Port 3 disconnects, no quotes removed.
Scenario 4: MEO Port 1 and Port 3 disconnect, no quotes removed.
Example 3: A Member requiring a configuration to divide the ports
to separate computers or traders.
Group 1: MEO Full Service Port: MEO Port 1; MEO Limited Service
Port: MEO Port 2
Group 2: MEO Full Service Port: MEO Port 3; MEO Limited Service
Port: MEO Port 4
Group 1 MPIDs: MPID_1, MPID_2, MPID_3
Group 2 MPIDs: MPID_3, MPID_4, MPID_5
Both groups are configured for Cancel on Disconnect, and MPID_3 is
in both groups.
Assuming the Member is connected on all ports:
Scenario 1: MEO Port 1 disconnects, no quotes removed.
Scenario 2: MEO Port 1 and Port 2 disconnect, Cancel on Disconnect
triggered for MPID_1, MPID_2, and MPID_3.
Scenario 3: MEO Port 3 disconnects, no quotes removed.
Scenario 4: MEO Port 1 and MEO Port 3 disconnect, Cancel on
Disconnect triggered for all MPIDs.
FIX Connections
Members connect to their assigned FIX port using the MIAX PEARL FIX
Orders Interface (``FOI'') which is a flexible interface that uses the
FIX protocol for both application and session level messages. As per
the FIX protocol, a connection is established by the Member submitting
a logon message to the Exchange. This logon message establishes the
Heartbeat interval that will be used by the session. This value must be
greater than zero seconds and the same value must be used by both the
Member and the Exchange.
Within the logon message a Member can enable ``Auto Cancel on
Disconnect'' for all orders sent through a session by setting a flag in
the logon message. This would result in all eligible orders \16\
submitted through the FIX connection to be canceled upon a loss of
communication. Alternatively, a Member can identify individual orders
on a per order basis that are to be considered for Auto Cancel on
Disconnect treatment.
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\16\ Good `Til Cancelled (``GTC'') orders are not eligible for
Auto Cancel on Disconnect. A GTC Order is an order to buy or sell
which remains in effect until it is either executed, cancelled or
the underlying option expires. See Exchange Rule 516(i).
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Upon missing a single Heartbeat, FOI will send a Test Request
message \17\ to the Member to check the status of the connection. Upon
missing a certain number of Heartbeats,\18\ FOI will send a logout
message and terminate the connection. When FOI detects a disconnection
for any reason it will trigger the Auto Cancel on Disconnect process,
whereby, if enabled, FOI will cancel all eligible orders. If Auto
Cancel on Disconnect is not enabled for the session or for any orders,
FOI will simply disconnect the FIX session and not cancel any orders.
Once disconnected, a FIX user would have to commence a new session to
add, modify, or cancel its orders. After a disconnect FOI will not
accept connections from the Member for a pre-configured period of
time.\19\ This allows the Exchange to cancel orders without the Member
being able to reconnect and attempt to interact with an order in the
process of being canceled. Any change to this setting will be
communicated to Members accordingly.
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\17\ The test request message is a FIX Protocol message that
forces a heartbeat from the opposing application. The test request
message checks sequence numbers or verifies communication line
status. The opposite application responds to the Test Request with a
Heartbeat containing the Test Request ID. Financial Information
Exchange Protocol (FIX), Version 4.2 with errata. May 1, 2001.
\18\ The Exchange notes that the current setting is two (2)
Heartbeats.
\19\ The Exchange notes that the current setting is five (5)
seconds.
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The Auto Cancel on Disconnect functionality is designed to react to
external connection loss scenarios only. Therefore, it does not cancel
orders in the event of a MIAX PEARL system failure. The execution
reports resulting from cancels or trades during the period a Member is
disconnected can be received upon a subsequent reconnection by the
Member on the same trading day.
The Exchange also proposes to adopt new Interpretations and
Policies .01 to enumerate order types that are not eligible for removal
by the Auto Cancel on Disconnect functionality. Proposed Interpretation
and Policies .01 will state that Good `Til Cancelled (``GTC'') \20\
orders are not eligible for automatic cancellation.
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\20\ See Exchange Rule 516.
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[[Page 22710]]
The Exchange also proposes to adopt new Interpretations and
Policies .02 to define (i) what a ``Heartbeat'' message is and how it
used by the Exchange, and (ii) the requirements for establishing a
``Loss of Communication'' on the Exchange.
Additionally, the Exchange proposes amending the definition of
``MEO Interface'' and ``FIX Interface,'' in Rule 100, to clarify the
function and capability of each interface.
The functionality discussed above is designed to mitigate potential
risks associated with a loss of communication to the Exchange. In
today's market, Market Makers' quotes are rapidly changing and can have
a lifespan of only milliseconds. Therefore, if a Member is disconnected
for any period of time, and its quotes remained in the System, it is
very possible that the quotes would be stale by the time the Member was
able to reestablish connectivity. Consequently, any resulting execution
of such quotes is more likely to be erroneous or unintended.
Conversely, the Exchange notes that orders tend to be static in nature
and often rest on the Book. Certain orders, such as GTC orders are
intended to rest on the Book for an extended period of time. As such,
there is a lower risk of erroneous or unintended executions resulting
from orders that remained in the System after a Member experienced a
loss of communication.
The Exchange believes that while information relating to
connectivity and loss of communication is already available to Members
via technical specifications, codifying this information in the rule
text will provide additional transparency and further reduce the
potential for confusion.
2. Statutory Basis
MIAX PEARL believes that its proposed rule change is consistent
with Section 6(b) of the Act \21\ in general, and furthers the
objectives of Section 6(b)(5) of the Act \22\ in particular, in that it
is designed to prevent fraudulent and manipulative acts and practices,
to promote just and equitable principles of trade, to foster
cooperation and coordination with persons engaged in regulating,
clearing, settling, processing information with respect to, and
facilitating transactions in securities, to remove impediments to and
perfect the mechanisms of a free and open market and a national market
system and, in general, to protect investors and the public interest.
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\21\ 15 U.S.C. 78f(b).
\22\ 15 U.S.C. 78f(b)(5).
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The proposed rule will remove impediments to and perfect the
mechanism of a free and open market and a national market system and
protect investors and the public interest by providing Market Makers
with a mechanism by which quotes may be removed in the event of a loss
of connectivity with the System. Market Makers provide liquidity to the
market place and have obligations unlike other Members.\23\
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\23\ See Exchange Rule 604.
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This risk protection feature is important because it will enable
Market Makers to avoid risks associated with inadvertent executions in
the event of a loss of communication with the Exchange. The proposed
rule change is not unfairly discriminatory among Members, as it is
available equally to all Members utilizing MEO. The obligation of
Market Makers on the Exchange to provide continuous two-sided quotes in
their assigned series on a daily basis \24\ is not diminished by the
removal of such quotes triggered by the disconnect. The Exchange will
not be prohibited from taking disciplinary action against a Market
Maker for failing to meet its continuous quoting obligation each
trading day as a result of disconnections.
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\24\ See Exchange Rule 604(a)(1).
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The disconnect feature of FIX connections is mandatory, however
Members have the option to enable the cancellation of all orders for an
entire session or select orders for cancellation on an order-by-order
basis, which would result in the cancellation of orders submitted over
a FIX port when such port disconnects. It is appropriate to offer two
different removal features to all Members utilizing FIX, as these
Members may desire that their orders remain on the order book despite a
technical disconnection, so as not to miss any opportunities for
execution of such orders while the FIX session is disconnected.
Offering to cancel all orders, specifically selected orders, or no
orders, upon disconnect allows the Member to customize the
functionality to align to its business needs. Offering this type of
order cancellation functionality to Members is consistent with the Act
because it enables Members to avoid risks associated with inadvertent
executions in the event of a loss of communication with the Exchange.
The order cancellation functionality is designed to mitigate the risk
of missed and/or unintended executions associated with a loss in
communication with the Exchange. The proposed rule change is not
unfairly discriminatory among Members, as it is available equally to
all Members utilizing FIX.
The disconnect feature is mandatory under the FIX protocol. The
Exchange will disconnect Members from the Exchange and not cancel
orders if the Auto Cancel on Disconnect functionality is not enabled.
This feature is consistent with the Act because it provides FIX users
the ability to disconnect from the Exchange and assess the current
market conditions to make a determination concerning their risk
exposure. The Exchange notes that in the event Auto Cancel on
Disconnect functionality is not enabled and such orders need to be
cancelled after a disconnection occurs, an Exchange participant can
contact Exchange staff to have its orders cancelled from the
System.\25\ The Exchange believes requiring a disconnect when a loss of
communication is detected to be a rational course of action for the
Exchange to alert the Member of the technical connectivity issue.
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\25\ See Exchange Rule 519C.
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The Exchange believes that the proposed rule change will assist
with the maintenance of a fair and orderly market by codifying risk
protections for orders and quotes. The Exchange's proposal is
consistent with the Act because it adds another risk protection tool
for Members that may mitigate the risk of potential erroneous or
unintended executions associated with a loss in communication which
protects investors and the public interest. Further, the Exchange
believes clarifying the definition of each interface type provides
clarity and transparency in the Exchange's Rules. The Exchange believes
codifying existing functionality by rule will remove impediments to and
perfect the mechanisms of a free and open market by adding precision
and ease of reference to the Exchange's Rules, thus promoting
transparency and clarity for Members.
B. Self-Regulatory Organization's Statement on Burden on Competition
The Exchange does not believe that the proposed rule change will
impose any burden on competition that is not necessary or appropriate
in furtherance of the purposes of the Act. The Exchange believes the
proposed rule change will not impose any burden on intra-market
competition because every Member of the Exchange has the opportunity to
benefit from the functionality described in the proposed rule.
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The Exchange provides two separate and distinct mechanisms for
communicating with the Exchange, MEO and FIX. MEO Ports support the
submission of quotes to the Exchange and are used primarily by Market
Makers who have heightened quoting obligations because of their role.
Members are provided the ability to configure their MEO Ports to
leverage the functionality provided by the Exchange to remove quotes
and orders to align to their risk tolerance. Because of the volume of
series that a Market Maker is obligated to quote, the Exchange believes
that removing all quotes for an affected matching engine on behalf of a
Market Maker who has lost its last MEO connection to that engine to be
in the best interest of both the Market Maker, to mitigate risk; and
the Exchange, to ensure a fair and orderly market.
FIX users may set a timeframe for disconnection that is appropriate
for their risk tolerance. Offering functionality to cancel all, some,
or none, of the orders in the System upon establishing a loss of
communication does not create an undue burden on intra-market
competition as Members do not equally bear the same risks of potential
erroneous or unintended executions. Further, FIX users have greater
control over their orders and may designate a number of different Time
in Force instructions which can be used to determine the duration an
order rests on the Book, from Immediate-or-Cancel, which is executed in
whole or part upon receipt, with any unexecuted portion being
cancelled; to a Good `Til Cancelled order, which may rest on the Book
until it is executed, cancelled by the user, or until the underlying
option expires.
The Exchange does not believe the proposed rule change will impose
any burden on inter-market competition that is not necessary or
appropriate in furtherance of the purposes of the Act. The Exchange
notes that other option exchanges offer similar functionality.\26\ For
all the reasons stated, the Exchange does not believe that the proposed
rule change will impose any burden on competition not necessary or
appropriate in furtherance of the purposes of the Act.
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\26\ See BOX Rule 8140; CBOE Rule 6.23C; NASDAQ BX Chapter VI,
Section 6; NASDAQ PHLX Rule 1019; and MIAX Options Rule 519C.
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C. Self-Regulatory Organization's Statement on Comments on the Proposed
Rule Change Received From Members, Participants, or Others
Written comments were neither solicited nor received.
III. Date of Effectiveness of the Proposed Rule Change and Timing for
Commission Action
Because the foregoing proposed rule change does not: (i)
Significantly affect the protection of investors or the public
interest; (ii) impose any significant burden on competition; and (iii)
become operative for 30 days after the date of the filing, or such
shorter time as the Commission may designate, it has become effective
pursuant to 19(b)(3)(A) of the Act \27\ and Rule 19b-4(f)(6) \28\
thereunder.
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\27\ 15 U.S.C. 78s(b)(3)(A).
\28\ 17 CFR 240.19b-4(f)(6). In addition, Rule 19b-4(f)(6)
requires a self-regulatory organization to give the Commission
written notice of its intent to file the proposed rule change at
least five business days prior to the date of filing of the proposed
rule change, or such shorter time as designated by the Commission.
The Exchange has satisfied this requirement.
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At any time within 60 days of the filing of the proposed rule
change, the Commission summarily may temporarily suspend such rule
change if it appears to the Commission that such action is necessary or
appropriate in the public interest, for the protection of investors, or
otherwise in furtherance of the purposes of the Act. If the Commission
takes such action, the Commission shall institute proceedings to
determine whether the proposed rule should be approved or disapproved.
IV. Solicitation of Comments
Interested persons are invited to submit written data, views, and
arguments concerning the foregoing, including whether the proposed rule
change is consistent with the Act. Comments may be submitted by any of
the following methods:
Electronic Comments
Use the Commission's Internet comment form (http://www.sec.gov/rules/sro.shtml); or
Send an email to [email protected]. Please include
File Number SR-PEARL-2017-21 on the subject line.
Paper Comments
Send paper comments in triplicate to Secretary, Securities
and Exchange Commission, 100 F Street NE., Washington, DC 20549-1090.
All submissions should refer to File Number SR-PEARL-2017-21. This file
number should be included on the subject line if email is used. To help
the Commission process and review your comments more efficiently,
please use only one method. The Commission will post all comments on
the Commission's Internet Web site (http://www.sec.gov/rules/sro.shtml). Copies of the submission, all subsequent amendments, all
written statements with respect to the proposed rule change that are
filed with the Commission, and all written communications relating to
the proposed rule change between the Commission and any person, other
than those that may be withheld from the public in accordance with the
provisions of 5 U.S.C. 552, will be available for Web site viewing and
printing in the Commission's Public Reference Room, 100 F Street NE.,
Washington, DC 20549 on official business days between the hours of
10:00 a.m. and 3:00 p.m. Copies of the filing also will be available
for inspection and copying at the principal office of the Exchange. All
comments received will be posted without change; the Commission does
not edit personal identifying information from submissions. You should
submit only information that you wish to make available publicly. All
submissions should refer to File Number SR-PEARL-2017-21 and should be
submitted on or before June 7, 2017.
For the Commission, by the Division of Trading and Markets,
pursuant to delegated authority.\29\
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\29\ 17 CFR 200.30-3(a)(12).
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Eduardo A. Aleman,
Assistant Secretary.
[FR Doc. 2017-09929 Filed 5-16-17; 8:45 am]
BILLING CODE 8011-01-P