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SELF-REGULATORY ORGANIZATIONS; PHILADELPHIA STOCK EXCHANGE, INC.; ORDER APPROVING PROPOSED RULE CHANGE AND NOTICE OF FILING AND ORDER GRANTING ACCELERATED APPROVAL TO AMENDMENT NOS. 3 AND 4 TO PROPOSED RULE CHANGE RELATING TO THE ESTABLISHMENT OF A DAILY PRE-OPENING SESSION FOR THE MATCHING OF ORDERS AT THE VOLUME WEIGHTED AVERAGE PRICE File No. SR-Phlx-96-14 March 24, 1999
I. Introduction
On April 29, 1996, the Philadelphia Stock Exchange, Inc. ("Exchange" or "Phlx") submitted to the Securities and Exchange Commission ("Commission"), pursuant to Section 19(b)(1) of the Securities Exchange Act of 1934 ("Act") [FN1] and Rule 19b-4 thereunder, [FN2] a proposed rule change that would establish a daily pre-opening order matching session ("Session") for the execution of large-sized stock orders at the volume weighted average price ("VWAP (R)"). [FN3] The Session would be conducted through the VWAP Trading System ("VTS (R)"), which would be operated as a facility of the Exchange. The VTS is a system module of the Universal Trading System ("UTS (R)") [FN4] that was developed by Universal Trading Technologies Corporation ("UTTC). [FN5]
On July 26, 1996, the Exchange submitted Amendment No. 1 to the proposed rule change. [FN6] The proposed rule change, including Amendment No. 1, was published for comment in the Federal Register on September 11, 1996. [FN7] No comments were received on the proposal or Amendment No. 1. The Exchange submitted Amendment No. 2 to the proposed rule change on October 29, 1997. [FN8] The proposed rule change, as modified by Amendment No. 2, was published for comment in the Federal Register on December 31, 1997. [FN9] No comments were received on Amendment No. 2. On December 14, 1998, the Exchange submitted Amendment No. 3 to the proposed rule change. [FN10] Finally, on February 12, 1999, the Exchange submitted Amendment No. 4. [FN11] This order approves the proposed rule change, as amended, and Amendment Nos. 3 and 4 on an accelerated basis.
Under separate cover, the Exchange has requested from the Commission exemptive and interpretive relief regarding Rules 10a-1, 10b-18, 11a2-2(T), 11Aa3-2, and 11Ac1-1 under the Act. [FN12] The Commission has issued a letter separate from this order that grants the Exchange exemptive relief from Rule 10a-1 and provides interpretive relief regarding Rule 11a2-2(T). [FN13] In Section III of this order, the Commission addresses the Exchange's interpretive requests regarding Rules 11Aa3-2 and 11Ac1-1. With respect to the Exchange's request concerning Rule 10b-18, the Commission will respond to the Exchange at a later date.
II. Description of the Proposal
The Exchange seeks to adopt proposed Exchange Rule 237, "The Universal Trading System Morning Session," to govern the operation of the VTS or "System" [FN14] for a one year pilot period. During the Session, the System will electronically accept large-sized stock orders and match the orders for execution according to an algorithm developed by UTTC. The matched and executed orders will be assigned a final VWAP after the close of regular trading. UTTC developed the System pursuant to an agreement with the Exchange. The System will operate as a facility of the Exchange under Section 3(a)(2) of the Act. [FN15] Specifically, the System will utilize Exchange equipment and personnel, [FN16] floor trader participation, and the Stock Clearing Corporation of Philadelphia ("SCCP") to process System trades. Matches performed during the Session will be regulated and reported as Exchange trades. In addition, matches performed by the System will be subject to transaction and access fees as established in the Exchange's fee schedule. [FN17]
A. Stocks Eligible for Matching During the Session
*2 Approximately 300 of the most highly-capitalized and highly-liquid securities that trade on the New York Stock Exchange ("NYSE") will be eligible for matching during the Session. To select these stocks, the Exchange will use Standard and Poor's market data to identify the top 400 NYSE-listed issues in terms of market capitalization. Each stock selected must have a market price below $200 per share. Next, the Exchange will rank the 400 stocks according to their average dollar volumes over the previous 20 days of trading. The Exchange will designate the top 300 stocks as eligible for matching during the Session. The Exchange will repeat this screening process every six months to ensure that the stocks eligible for matching by the System are highly-capitalized and highly-liquid.
B. System Participants
Access to the System will be limited to "Committers" and "Users" (collectively "Participants"). Committers will be permitted to enter "Commitments" while Users will be allowed to enter "Orders." Although Exchange members may participate as either Committers or Users, they may not participate as both Committer and User in the same security for the same account during the same Session.
1. Committer
"Committer" status will be restricted to Exchange members that are: (i) Phlx Floor Traders (i.e., Phlx Specialist or Phlx Alternate Specialist in the eligible stock that is the subject of the Commitment); or (ii) Phlx Off-Floor Liquidity Providers (members that commit to provide contra-side liquidity). Committers agree to provide on a proprietary basis contra-side liquidity by specifying their Commitments; however, Off-Floor Liquidity Providers can only engage as Committers for their proprietary accounts.
Exchange members must register with the Exchange prior to acting as a Committer. Committers will be permitted to designate the eligible issues for which they wish to make Commitments. For each eligible issue selected, Committers will be required to provide a minimum volume guarantee of 2,500 shares for each side of the market. [FN18] All Commitments must be entered in 500 share increments.
Commitments must be entered directly by System subscribers or through the System's trading floor terminal at the Exchange. [FN19] Commitments may be entered and modified during the "Order Entry Time Period" (5:00 A.M. to 9:15:00 A.M.). [FN20] and during any other periods the Exchange may specify. [FN21] Commitments may be entered as "day-Commitments" or "goodtill-canceled ("GTC") Commitments." GTC Commitments remain in effect for each Session until canceled and must be established (and canceled) through the enrollment process. [FN22]
Commitments may be restricted to execution against non-members only. At no time will Commitments be matched with other Commitments. Commitments are executable only through the System.
2. User
"User" status would be available to Exchange members and non-members. However, Exchange floor members could participate as Users only in their specialty issues. Under the proposal, Orders may only be placed by and for enrolled Users. Users may enter Orders for customer or proprietary (dealer or principal) accounts.
*3 Orders will be eligible for matching by the System only on the day the Order is entered. The minimum size for individual Orders is 5,000 shares. Like Commitments, all Orders must be entered in 500 share increments.
Users may enter Orders directly into System terminals as subscribers or through subscribing brokers; subscribing brokers may be members or non-members. The Exchange has noted, however, that participation through subscribing brokers may affect matching priority.
All non-member Orders entered through a broker must be entered through an Exchange member or through a non-member broker with the appropriate "give-up agreement" [FN23] and "three-way agreement" [FN24] in place. Non-member Orders also may be entered directly by subscribing non-members who have in place with an Exchange member give-up and three-way agreements. [FN25]
As with all Exchange trades, System matches will require both a Phlx and SCCP member to be involved. Therefore, all Committers and Users must specify both an executing and clearing account during the enrollment process. The Exchange and the SCCP will perform trade reconciliation and confirmation functions. System trades will then be forwarded to the National Securities Clearing Corporation ("NSCC") for clearance and settlement. [FN26]
C. Entry of Orders and Commitments
Only Orders and Commitments that are entered through the System will be eligible for matching and execution by the System during the Session. Under no circumstances will Orders or Commitments migrate to the Exchange's regular equity trading session. Because all Orders and Commitments remain anonymous, the identity of Users and Committers will not be revealed to other Participants.
Orders and Commitments will only be accepted into the System from 5:00 A.M. to 9:15:00 A.M. ("Order Entry Time Period"). The Order Entry Time Period ends approximately 15 minutes prior to the opening of the Exchange's regular trading session (9:30 A.M.-4:00 P.M.). However, as previously mentioned, the Exchange may establish a different period for the entry of Orders and Commitments into System's equity trading floor terminal. [FN27] Orders and Commitments may be canceled [FN28] or modified before the end of the Order Entry Time Period. Confirmation of the placement and cancellation of an Order or Commitment will occur electronically through the System.
When entering Orders or Commitments, Participants will be required to provide a description of the Order or Commitment, as well as account identification information needed to determine priority and eligibility. Participants must provide the following information when entering an Order or Commitment:
?EBuy/Sell designation;
?EVolume (number of shares). As previously stated, the minimum size for Commitments is 2,500 shares and the minimum size for Orders is 5,000 shares. All Commitments and Orders must be entered in 500 share increments; [FN29]
?EStock symbol;
?EParticipant status: Committer or User;
*4 . Committer account status: Off-Floor Liquidity Provider, Specialist, or Alternate Specialist;
?EUser account status: Member or non-member, and Order type (basic, cross, facilitation, also including any constraints or restrictions);
?EClearing account number;
?Trade account information (Exchange executing account number); and
?ESubscriber identification number.
D. Types of Orders
Users may enter three types of Orders: (i) basic; (ii) cross; and (iii) facilitation. A User may designate its basic and facilitation Orders as either unconstrained (meaning executable to the extent possible) or constrained.
1. Constraints
Two constraints are available to Users in connection with basic and facilitation Orders: all-or-none ("AON") and minimum-or-none ("MON"). The AON constraint means that the User wants to execute all shares of the Order or none at all. The MON constraint means that the User wants to execute at least a specified number of shares of the Order or none at all.
2. Basic Order
A basic Order is a standard, one-sided Order to buy or sell. A basic Order may be restricted, meaning it is executable against non-members only.
3. Cross Order
A cross Order is a two-sided Order, with both sides comprised of non-member interest, with instructions to match the identified buy-side with the identified sell-side. The two sides making up a cross can be entered separately, with the contra-side identified. If the sizes do not match, the remainder is left unexecuted.
4. Facilitation Order
A facilitation Order is a two-sided Order, with an identified Phlx member on the contra-side to act as a facilitator for that Order, and is known as a "Guarantor." The contra-side may be entered together with, or separate from, the facilitation Order; if the sizes do not match, the remainder is left unexecuted. Facilitation Orders can be submitted on behalf of Phlx members or non-members. Unlike basic Orders, facilitation Orders may not be restricted.
Three types of facilitation Orders are available to Users: (i) unconditional facilitation: execute against an identified Guarantor or not at all. This Order is a type of cross involving a Phlx member Guarantor; (ii) conditional facilitation: execute against an identified Guarantor after attempting to be executed against non-members to the extent possible; and (iii) last resort facilitation: execute against an identified Guarantor only after attempting to execute against all other Orders and Commitments to the extent possible.
E. Execution Priority Rules
Orders and Commitments will be matched for execution by the System at approximately 9:16 A.M. Trades matched and executed through the System are printed and cleared as Exchange transactions, executed on the Exchange and processed through SCCP.
1. Orders
Generally, Orders are afforded priority by: (i) account type (account types are based on status as a Phlx member or non-member, type of non-member account, constraints, and direct subscription versus broker access); (ii) Order size (largest first); and (iii) chronological basis measured by time-of-entry (for Orders of the same account type and size).
2. Commitments
*5 Commitments are prioritized based on: (i) sub-account types (Phlx Off- Floor Liquidity Providers first, then Specialists, and Alternate Specialists); and (ii) Commitment size (largest first). For Commitments of the same size, priority rotates among Committers with the fewest aggregate shares (in all eligible securities) matched through the System at that time.
3. Liquidity Rotation Parameter
Although priority is generally based on size, the "Liquidity Rotation Parameter" ("LRP") provides that Order and Commitment participation will rotate in 25,000 share increments, as opposed to filling the largest Order or Commitment first. The LRP is intended to ensure fair allocation. The LRP operates within each matching step (after Step 1) to match Orders/Commitments in 25,000 share increments, moving to the next Order/Commitment after 25,000 shares have been matched, and then, after all other Orders/Commitments have received their first 25,000 share match, returning to the unfilled portion of the first Order/Commitment. Under the proposal, the Exchange's Floor Procedure Committee may establish a different LRP size based on operational experience, practicality, and demonstrated market need.
F. The Matching Algorithm
Execution priority is determined in accordance with the matching algorithm that consists of 23 matching steps. In step 1, two-sided Orders are matched in the following order:
?Non-member/Non-member cross Orders
?ENon-member/Member unconditional facilitation Orders
?EMember/Member unconditional facilitation Orders
?EAny unmatched "residue" due to the excess size entered by one side remain unexecuted. It is important to remember that Step 1 matches unconditional facilitation Orders.
In step 2, non-member unconstrained Orders (basic and facilitation) are matched with non-member unconstrained Orders. As with all matching steps, priority is determined based on size and time of entry.
In step 3, remaining non-member unconstrained Orders are matched with non- member constrained (AON and MON) Orders. Any non-member constrained Orders not matched with the unconstrained Orders left over from step 1 are then matched with other non-member constrained Orders.
In step 4, remaining non-member Orders are matched with non-member institutions' [FN30] Orders participating through a broker. Such non-member institutions' Orders are then matched with each other. (Non-member institutions entering Orders directly would have participated in steps 2 and 3). It should be noted that constraints are not relevant to determining priority in step 4 among institutions participating through a broker.
In step 5, remaining non-member Orders are matched with non-member non- institution Orders participating through a broker. After non-member non- institution Orders participating through a broker are matched against the unmatched Orders of non-members, such non-member non-institution Orders are matched with each other. (Non-member non-institution Orders include non-member broker-dealer Orders as well as non-member, non-broker-dealer, non-institution Orders, such as retail customers).
*6 In step 6, remaining non-member Orders are matched with Orders of non- member broker-dealers that subscribe directly. Orders of non-member broker- dealers that subscribe directly are then matched with each other. Thus, step 6 matches non-member Orders (both constrained and unconstrained) for non-member broker-dealers. (As opposed to dealer activity, if a non-member broker-dealer is acting as a broker, the Order would already be matched in steps 4 and 5).
By step 7, the matching process is ended with respect to non-member Orders. Any remaining non-member Orders that are restricted to matching with other non- members only are removed. The removed unmatched Orders may be matched later according to step 23.
In step 8, remaining non-member conditional facilitation Orders are matched with their conditional Guarantors (facilitating members). These conditional Orders-which were first subject to matching against other non-member Orders in prior steps-are now eligible for matching against the identified Guarantor (a Phlx member).
In step 9, remaining non-member Orders are matched with member Orders participating through brokers. Any unmatched member Orders participating through brokers are removed.
In step 10, remaining non-member Orders are matched with Orders of off-floor members. Any unmatched off-floor members' Orders are removed.
In step 11, remaining non-member Orders are matched with Orders of Exchange floor members. Any unmatched Exchange floor members' Orders are removed. This includes one-sided Orders (as opposed to Commitments) of Specialists and Alternate Specialists.
In step 12, remaining non-member Orders are matched with Commitments of Exchange Off-Floor Liquidity Providers. Any unmatched Commitments of Exchange Off-Floor Liquidity Providers are removed.
In step 13, remaining non-member Orders are matched with Commitments of Specialists. Any unmatched Specialist Commitments are removed
In step 14, remaining non-member Orders are matched with Commitments of Alternate Specialists. Any unmatched Alternate Specialist Commitments are removed.
In step 15, remaining non-member Orders are matched with member facilitation Orders (those with conditional or last resort Guarantors). Note that unconditional facilitation Orders previously were matched in step 1.
In step 16, non-member last resort facilitation Orders are matched with their identified last resort Guarantors.
In step 17, non-member matching ends. Any remaining non-member Orders are unmatched, except as provided in step 23.
In step 18, Exchange member conditional facilitation Orders are matched with their identified conditional Guarantors.
In step 19, all remaining Exchange member Orders are matched with each other, provided they are not restricted to matching against non-members only. This includes the following Phlx member Orders: Phlx member Orders participating through brokers, Phlx off-floor member Orders, Phlx floor member Orders, and Phlx member last resort facilitation Orders.
*7 In step 20, remaining Exchange member Orders are matched with Commitments that have not been restricted to matching against non-members only. First, remaining Exchange member Orders are matched with Commitments of Off- Floor Liquidity Providers, and then with Commitments of Specialists and Alternate Specialists. Unmatched Commitments are removed.
In step 21, Exchange member last resort facilitation Orders are matched with their identified last resort Guarantors.
In step 22, the whole matching "round" in an eligible security ends. Any remaining Exchange member Orders and Commitments are unmatched, except as provided in step 23.
In step 23, if any unmatched Orders remain, the largest unsatisfied constrained Order is permanently removed, the matches after step 1 are unmatched and the matching process starts again. Among unsatisfied Orders of the same size, Exchange member Orders would be removed before non-member Orders. Among two Exchange members, or among two non-members, the last in time would be removed first. Additional matching rounds would occur, each removing another unsatisfied constrained Order, until no unsatisfied constrained Orders remained. Matching rounds are intended to maximize the number of executions.
G. Calculation of VWAP
The Exchange shall calculate a final VWAP value for each eligible security by: (i) using all regular way trades (including sold sales and late sales) [FN31] reported by the appropriate reporting authority from the opening of the regular trading session and printed prior to 4:15:00 P.M., [FN32] (ii) multiplying each respective reported price by the total number of shares traded at that price; (iii) adding together each of these calculated values to compile an aggregate sum; and (iv) dividing the aggregate sum by the total number of reported shares that appear in the prints included in step (i) of the VWAP calculation process. The resulting VWAP value will be reported in the form of a fraction and will be rounded to the nearest 1/256th. [FN33] Any proposed changes that impact the manner in which the official VWAP is calculated are required to be submitted to the Commission for review under Section 19(b) of the Act. [FN34]
The Exchange shall calculate and assign a final VWAP value to each security subject to a match during the Session. [FN35] The final VWAP value that the Exchange calculates and assigns to each eligible security shall be reported and publicly disseminated at 4:20 P.M. promptly following calculation. The final VWAP value will be available through the System to all Participants that had a Commitment or Order matched during the Session. The final VWAP value calculated and reported by the Exchange shall be the official VWAP value. Unless the Exchange directs otherwise, every VWAP value as initially reported by the reporting authority is conclusively presumed to be accurate and deemed to be final, even if the VWAP value is revised or subsequently determined to have been inaccurate.
*8 Generally, all System matches create a binding contract. However, in the case where a match occurs during the Session in an eligible security that has not opened for primary market trading by 3:00 P.M., the match will be voided and a report to that effect will immediately be sent through the System to the Participants to the voided match. If an eligible security opens for trading but is the subject of a trading halt and does not resume trading for the remainder of the day, the final VWAP value for any match in that eligible security on that day will be based on the prints that occurred before the trading halt.
H. Reporting of System Transactions and VWAP
All System matches will first be reported to the reporting authority (i.e., Consolidated Tape System or "CTS") at 9:20 A.M. as separate volume prints for each eligible security in which matching occurred. The morning print for all System matches will occur by way of an administrative message over the CTS reflecting the VWAP volume in each of the eligible securities. The morning print is intended to provide market participants with VWAP volumes before regular trading commences.
Under normal circumstances, Users and Committers will be notified of their matches by 9:20 A.M. System matches will be reported to the entering subscriber in the form of automated reports reflecting the number of shares matched for each Participant by the System in each issue.
Once the Exchange calculates and assigns a final VWAP value, each Session match constitutes a completed transaction for the purpose of reporting the trade to the appropriate reporting authority. End-of-day prints will normally be reported at 4:20 P.M. following calculation of the final VWAP at 4:15 P.M. The end-of-day prints will be printed on a trade-by-trade basis representing all matches made that morning. Each print will reflect a matched trade and the corresponding VWAP. These trades will be reported to the CTS with the sale condition "B" to indicate volume weighted average pricing (the "B" will distinguish VWAP trades from other transactions that may possibly be reported after the close such as after-hours, crossing session, or late sales transactions). The Exchange has represented that VWAP trades matched and executed through the System will not impact the determination of the last sale price in an eligible security listed on the NYSE.
The System will not disseminate or disclose Orders or Commitments, including System bid/ask sizes, prior to the Session match, nor System imbalances remaining after the Session match, except to entering Participants.
Because reporting is performed on a trade-by-trade basis, if no System match occurs in an eligible security, a final VWAP for that particular security will not be reported to the CTS for that day.
I. Access to the System
Access to the System for subscribers (both direct subscribers and subscribers acting as brokers) will be available by dial-up into the System utilizing software and log-on procedures that vary depending on whether the subscriber is accessing the System through a personal computer or a main-frame system. System access may include various types of computer hardware, software, and handheld devices.
J. Resolutions of Disputes
*9 Disputes regarding Session participation or the eligibility of Orders, Commitments, or Participants will be resolved by the Exchange in accordance with Exchange Rule 124.
K. Liability of the Exchange
The Exchange shall not be liable for any damages, claims, losses or expenses sustained by a member or member organization caused by any errors, omissions or delays resulting from any act, condition or cause beyond the reasonable control of the Exchange, including but not limited to, an act of God; fire; flood; extraordinary weather conditions; war; insurrection; riot; strike; accident; action of government; communications or power failure; equipment or software malfunction arising from the use of the System, the calculation of the VWAP or any and all other matters respecting the operation of the System or Session.
L. Trading Halts in Eligible Securities
The proposed rule change does not limit the ability of the Exchange to otherwise halt or suspend trading in any eligible stock matched through the System.
M. Extraordinary Circumstances
In the case of "extraordinary circumstances," the Exchange's Floor Procedure Committee may determine to adjust or modify any of the times relating to the Order Entry Time Period, the matching period, or any aspect of the transaction reporting procedures. The proposal defines "extraordinary circumstances" to include fast market conditions, systems malfunctions, and other circumstances that limit the Exchange's ability to receive, disseminate, or report System information in a timely and accurate manner.
N. Short Sales
Orders and Commitments must be appropriately marked pursuant to Exchange Rule 455 to indicate whether they are short sales. In addition, Orders and Commitments will be exempt from the short sale "tick test" restrictions of Exchange Rule 455. Positions resulting from Session matches will be effective for the purpose of determining long or short status for the remainder of the trading day, immediately upon notification of the Participant to a System match, notwithstanding that the VWAP has not yet been determined.
III. Discussion
For the reasons discussed below, the Commission finds that the proposed rule change is consistent with the requirements of the Act and the rules and regulations thereunder applicable to a national securities exchange, and with the requirements of Sections 6(b) and 11A under the Act. [FN36] In particular, the Commission believes the proposed rule change is consistent with the Section 6(b)(5) requirements that the rules of an exchange be designed to promote just and equitable principles of trade, remove impediments to and perfect the mechanism of a free and open market and a national market system, and, in general, protect investors and the public interest. [FN37]
The Commission believes the Exchange's proposed System will serve as an innovative complement to the Exchange's existing auction market. The Commission historically has encouraged innovation and the creation of new electronic trading systems so that investors are provided access to a variety of execution alternatives. At the same time, the Commission believes it is important to ensure that a trading system which operates as a facility of a national securities exchange complies with the Act's standards regarding investor protection and fair and orderly markets. The Commission believes that the Exchange's proposal achieves this objective.
*10 Some aspects of the proposal raise complicated regulatory issues. For example, the matching of Orders and Commitments during the Session includes some characteristics of a unitary call market and, therefore, represents a departure from the traditional auction market trading conducted on the Exchange floor. In addition, the System allows non-Exchange members to enter Orders. Other aspects of the proposal raise concerns regarding surveillance, reporting, transparency, control and access, and priority principles of an auction market. After careful review, and for the reasons discussed in more detail below, the Commission believes the proposal adequately addresses the areas of concern and is consistent with the maintenance of free and open markets and investor protection in accordance with Section 6(b)(5) of the Act. [FN38]
The Commission believes that the System is properly regulated as a facility of the Exchange. [FN39] The System will use Exchange equipment and personnel, involve the participation of Exchange floor traders, and rely on the SCCP to clear System trades. Furthermore, matches performed during the Session will be regulated and reported as Exchange trades. The Commission believes that because the System will be using the Exchange's premises, property, and services for effecting and reporting System matches, it will be using the facilities of an exchange as defined in Section 3(a)(2) of the Act. [FN40]
The Commission notes that the Exchange's use of UTTC personnel and equipment in operating the System does not alter the Commission's determination that the System is properly regulated as a facility of the Exchange. The Exchange retains regulatory control over the System and is fully responsible for ensuring that the System complies with the federal securities laws and all applicable rules and regulations. Although UTTC personnel shall assist the Exchange in operating the System, these assistants will be acting as agents of the Exchange. Therefore, the Exchange will maintain control of the System and will exercise authority over the non-Exchange employees that help operate the System.
The Commission believes that operation of the System as a facility of the Exchange raises important issues regarding surveillance of the System, [FN41] UTTC personnel, and Exchange personnel. The Commission believes the Exchange has adequately addressed these surveillance issues. In particular, the Exchange's surveillance group will be equipped with technology to create detailed audit trails that will track Orders and Commitments from entry to the confirmation of matching. The Exchange also will use technology to track Orders and Commitments through the matching algorithm; this will identify the exact point at which Orders and Commitments are matched, or alternatively, not matched. In addition, a corrections alert mechanism will provide notice of all corrections that occur in the CTS after the VWAP calculation period. Finally, Exchange surveillance personnel will use an electronic surveillance system to identify aberrant trading behavior in any eligible stock matched through the System.
*11 The Commission also believes that operation of the System as a facility of the Exchange raises unique concerns regarding access to, and control of, the System. [FN42] For several reasons, the Commission believes that the Exchange and UTTC have adequately addressed these access and control concerns. First, the Commission notes that the Ex |
