U.S. Equities

As previously announced in the August 15 Alert, the MIAX Pearl Equities (EPRL) Exchange published updated Interface Specifications to support system enhancements outlined below.  The deployment of these enhancements into the firm test bed will be deferred to Wednesday, October 5, 2022 (previously announced as September 15, 2022).

New Order Type - Primary Peg Order:

• Available to be used via FIX or the MIAX Express Orders (MEO) binary interface, a Primary Peg Order to buy (sell) will be assigned a working price pegged to the National Best Bid (National Best Offer), subject to its limit price.
• A Primary Peg Order will be non-displayed by default on the MIAX Pearl Equities Book, however the member may elect to have the order be displayed.
• A member may, but is not required to, select an offset equal to or greater than one minimum price variation (“MPV”) for the security (“Primary Offset Amount”)
  • The Primary Offset Amount for a non-displayed Primary Peg Order may be passive or aggressive.
  • The Primary Offset Amount for a displayed Primary Peg Order must be passive.
• Specification Updates:
  • FIX Interface Specification (FOI, FXD, OFXD) – Version 2.2
    • Added support for Primary Peg orders in New Order – Single
    • Added PegOffset in Execution Report
  • MIAX Express Orders (MEO) – Version 2.2
    • Added support for Primary Peg orders in New Order Request
    • Added new error code in New Order Response
    • Added Peg Offset field in the New Order Notification

Enhanced Risk Protections Suite:

• The following protections will be added to the MIAX Pearl Equities existing risk protections suite (pending filing with the SEC):
  • Per Order Risk Metrics
    • Short Sale Exempt Reject
    • Market Order Reject
    • Average Daily Volume (ADV) Check
    • Regulation SHO Security List Reject
    • Restricted Security List Reject
    • Non-Agency Reject
    • Override Capacity to Agency
  • Cumulative Risk Metrics
    • Maximum Gross Notional Open Value Protection
    • Maximum Net Notional Open Value Protection
    • Order Rate Protection
  • Trade Risk Metrics
    • Market Impact Collar
    • Self-Trade Protection Parent Group Level
  • Mass Cancellation Capabilities
    • Purge Group
• Specification Updates:
  • FIX Interface Specification (FOI, FXD, OFD) – Version 2.2
    • Updated the list of available Risk Protections for orders entered via FOI
    • Added Parent Group as a new Self Trade Protection Level in New Order - Single
    • Added Purge Group to support cancellation by Purge Group in New Order - Single
    • Added support for accepting Locate Account in New Order – Single and Order Cancel/Replace Request
    • Added Purge Group, Locate Account and Original Order Capacity in Execution Report
    • Added a note explaining the value that will be received in the Capacity field on the Execution Report
  • MIAX Express Orders (MEO) – Version 2.2
    • Updated the list of available Risk Protections for orders entered via MEO
    • Added Parent Group as a new Self Trade Protection Level in New Order Request
    • Added Purge Group to support cancellation by Purge Group in the New Order Request and Mass Cancel Request
    • Added support for accepting Locate Account in New Order Request and Modify Order Request
    • Added new error codes for New Order Response, Modify Order Response, Mass Cancel Response and Cancel/Reduce Size Order Notification.
    • Added Purge Group in New Order Notification
    • Added Locate Account in New Order Notification, Modify Order Notification and Execution Notification
    • Added new field Original Order Capacity in New Order Notification and Execution Notification
    • Added a note explaining the value that will be received in the Capacity field on the New Order Notification

Important Dates

• An updated version of the Port Attributes with the new Risk Protections is currently available here
• The above features will be available in EPRL Firm Test Bed (FTB2) on October 5, 2022 (previously September 15, 2022)
• A User Guide for the Enhanced Risk Protections Suite will be made available on October 2022
• The above features are targeted to be available in production in Q4 2022 (pending filing with the SEC). The specific production rollout date will be announced with an alert at a later date.

Please review the updated EPRL Interface Specifications and the MIAX Exchange Group Connectivity Guide for further details.

For further information or to arrange testing, please contact MIAX Trading Operations at TradingOperations@MIAXEquities.com or (609) 897-7302.

Regulatory inquiries should be directed to Regulatory@MIAXEquities.com or (609) 897-7309.

To learn more about Pearl Equities please contact Sales@MIAXEquities.com, (609) 897-8177 or visit MIAXEquities.com.