Market Data Infrastructure

SECURITIES AND EXCHANGE
COMMISSION
17 CFR Parts 240, 242, and 249 [Release No. 34–90610, File No. S7–03–20] RIN 3235–AM61 Market Data Infrastructure AGENCY: Securities and Exchange Commission. ACTION: Final rule. SUMMARY: The Securities and Exchange Commission (‘‘Commission’’ or ‘‘SEC’’) is amending Regulation National Market System (‘‘Regulation NMS’’) under the Securities Exchange Act of 1934 (‘‘Exchange Act’’) to modernize 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 is expanding 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 is amending the method by which such NMS information is collected, calculated, and disseminated by fostering a competitive environment for the dissemination of NMS information via a decentralized consolidation model with competing consolidators. DATES: Effective date: The final rules are effective June 8, 2021. Compliance dates: The applicable compliance dates are discussed in
Section III.H, titled ‘‘Transition Period
and Compliance Dates.’’
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. For further information on Regulation SCI: Heidi Pilpel, Senior Special Counsel at (202) 551–5666; David Liu, Special Counsel at (312) 353–6265 or Sara Hawkins, Special Counsel, at (202) 551–5523, Division of Trading and Markets, Commission, 100 F Street NE, Washington, DC 20549. SUPPLEMENTARY INFORMATION: The Commission is adopting 17 CFR 242.614 (new Rule 614) under the Exchange Act, Form CC to require registration of competing consolidators, and a requirement that the participants to the effective national market system plan(s) for NMS stocks amend such plan(s) to reflect the new role and functions of the plan(s). The Commission is also adopting amendments to the following rules:
Commission reference CFR citation (17 CFR) Exchange Act:
Rule 3a51–1 ...................................................................................... § 240.3a51–1. Rule 13h–1 ........................................................................................ § 240.13h–1. Regulation NMS: ...................................................................................... §§ 242.600 through 242.613. Rule 600(b)(2) ................................................................................... § 242.600(b)(2). Rule 600(b)(5) ................................................................................... § 242.600(b)(5). Rule 600(b)(16) ................................................................................. § 242.600(b)(16). Rule 600(b)(19) ................................................................................. § 242.600(b)(19). Rule 600(b)(20) ................................................................................. § 242.600(b)(20). Rule 600(b)(21) ................................................................................. § 242.600(b)(21). Rule 600(b)(26) ................................................................................. § 242.600(b)(26). Rule 600(b)(50) ................................................................................. § 242.600(b)(50). Rule 600(b)(59) ................................................................................. § 242.600(b)(59). Rule 600(b)(68) ................................................................................. § 242.600(b)(68). Rule 600(b)(70) ................................................................................. § 242.600(b)(70). Rule 600(b)(78) ................................................................................. § 242.600(b)(78). Rule 600(b)(82) ................................................................................. § 242.600(b)(82). Rule 600(b)(83) ................................................................................. § 242.600(b)(83). Rule 600(b)(85) ................................................................................. § 242.600(b)(85). Rule 602 ............................................................................................ § 242.602. Rule 603 ............................................................................................ § 242.603. Rule 611 ............................................................................................ § 242.611. Regulation SCI: ........................................................................................ §§ 242.1000 through 242.1007. Rule 1000 .......................................................................................... § 242.1000. Forms, Exchange Act: .............................................................................. Part 249. Form CC ............................................................................................ § 249.1002. Form SCI
........................................................................................... § 249.1900. Finally, the Commission is adopting conforming changes and updates to cross-references in:
Commission reference CFR citation (17 CFR) Exchange Act:
Rule 105(b)(1)(i)(C) ........................................................................... § 242.105(b)(1)(i)(C). Rule 105(b)(1)(ii) ............................................................................... § 242.105(b)(1)(ii). Rule 201(a)(1) ................................................................................... § 242.201(a)(1). Rule 201(a)(2) ................................................................................... § 242.201(a)(2).

Commission reference CFR citation (17 CFR) Rule 201(a)(3) ................................................................................... § 242.201(a)(3). Rule 201(a)(4) ................................................................................... § 242.201(a)(4). Rule 201(a)(5) ................................................................................... § 242.201(a)(5). Rule 201(a)(6) ................................................................................... § 242.201(a)(6). Rule 201(a)(7) ................................................................................... § 242.201(a)(7). Rule 201(a)(9) ................................................................................... § 242.201(a)(9). Rule 201(b)(1)(ii) ............................................................................... § 242.201(b)(1)(ii). Rule 201(b)(3) ................................................................................... § 242.201(b)(3). Rule 204(g)(2) ................................................................................... § 242.204(g)(2). Rule 600 ............................................................................................ § 242.600. Rule 602 ............................................................................................ § 242.602. Rule 611(c) ........................................................................................ § 242.611(c).
Table of Contents
I. Introduction and Background
A. Current Market Data Content and Dissemination Model Under Regulation NMS B. National Market System Initiatives and the Market Data Infrastructure Proposing Release
C. Enhancements to the Content of NMS
Information
D. Enhancements to the Provision of Consolidated Market Data E. Implications for Best Execution
II. Enhancements to NMS Information
A. Introduction
B. Definition of ‘‘Consolidated Market Data’’ Under Rule 600(b)(19)

1. Proposal
2. Final Rule and Response to Comments
3. The Fifth Amendment’s Takings Clause
   C. Definition of ‘‘Core Data’’ Under Rule
   600(b)(21)
4. Proposal
5. Final Rule and Response to Comments
   D. Definition of ‘‘Round Lot’’ Under Rule 600(b)(82)
6. Proposal
7. Final Rule and Response to Comments
   E. Definition of ‘‘Protected Bid or Protected Offer’’ Under Rule 600(b)(70)
8. Proposal
9. Final Rule and Response to Comments
   F. Definition of ‘‘Depth of Book Data’’ Under Rule 600(b)(26)
10. Proposal
11. Final Rule and Response to Comments
    G. Definition of ‘‘Auction Information’’ Under Rule 600(b)(5)
12. Proposal
13. Final Rule and Response to Comments
    H. Definition of ‘‘Regulatory Data’’ Under Rule 600(b)(78)
14. Proposal
15. Final Rule and Response to Comments
    I. Regulation SHO: Conforming
    Amendments to Rule 201
16. Proposal
17. Final Rule and Response to Comments
    J. Definition of ‘‘Administrative Data’’ Under Rule 600(b)(2)
18. Proposal
19. Final Rule and Response to Comments
    K. Definition of ‘‘Self-Regulatory Organization-Specific Program Data’’ Under Rule 600(b)(85)
20. Proposal
21. Final Rule and Response to Comments
    III. Enhancements to the Provision of
    Consolidated Market Data
    A. Introduction
    B. Proposed Decentralized Consolidation Model
22. Comments on the Decentralized
    Consolidation Model
23. Comments on the Effectiveness of the
    Proposal
24. Comments on the Viability of the
    Decentralized Consolidation Model
25. Comments on Conflicts of Interest
26. Comments on Latency
27. Comments on the Potential Impact on
    Costs for Consolidated Market Data
28. Comments on Complexity of the
    Decentralized Consolidation Model
29. Comments on Surveillance and
    Regulation in the Decentralized Consolidation Model
30. Access to Data: Rule 603(b)
31. Calculation of the National Best Bid
    and National Best Offer Under Rule 600(b)(50)
    C. Competing Consolidators
32. Definition of ‘‘Competing Consolidator’’
    Under Rule 600(b)(16)
33. Comments on Resiliency
34. Comments on Data Quality
35. Comments on Competing Consolidator
    Products
36. Comments on Selection of a Competing
    Consolidator
37. Comments on a Standardized
    Consolidation Process
38. Registration and Responsibilities of
    Competing Consolidators: Rule 614
39. Responsibilities of a Competing
    Consolidator
    D. Self-Aggregators
40. Proposal
41. Final Rule and Response to Comments
    E. Amendment to the Effective National Market System Plan(s) for NMS Stocks Under Rule 614(e)
42. Proposal
43. Final Rule and Response to Comments
    F. Systems Capability: Amendment to Rule 1000 of Regulation SCI To Expand ‘‘SCI Entities’’ Definition To Include ‘‘SCI Competing Consolidator’’; Adoption of Rule 614(d)(9): Systems Integrity G. Effects on the National Market System Plan Governing the Consolidated Audit Trail H. Transition Period and Compliance Dates
44. Proposal
45. Final Rule and Response to Comments
    I. Alternatives to the Centralized
    Consolidation Model
46. Distributed SIP Alternative
47. Single SIP Alternative
48. Other Alternatives
    IV. Paperwork Reduction Act
    A. Summary of Collection of Information
49. Registration Requirements and Form CC
50. Competing Consolidators’ Public Posting
    of Form CC
51. Competing Consolidator Duties and Data
    Collection
52. Recordkeeping
53. Reports and Reviews
54. Amendment to the Effective National
    Market System Plan(s) for NMS Stocks
55. Collection and Dissemination of
    Information by National Securities Exchanges and National Securities Associations B. Proposed Use of Information
56. Registration Requirements and Form CC
57. Competing Consolidators’ Public Posting
    of Form CC
58. Competing Consolidator Duties and Data
    Collection
59. Recordkeeping
60. Reports and Reviews
61. Amendment to the Effective National
    Market System Plan(s) for NMS Stocks
62. Collection and Dissemination of
    Information by National Securities Exchanges and National Securities Associations
    C. Respondents
63. Initial Estimate
    D. Total Initial and Annual Reporting and Recordkeeping Burden
64. Registration Requirements and Form CC
65. Competing Consolidators’ Public Posting
    of Form CC
66. Competing Consolidator Duties and Data
    Collection
67. Recordkeeping
68. Reports and Reviews
69. Amendment to the Effective National
    Market System Plan(s) for NMS Stocks
70. Collection and Dissemination of
    Information by National Securities Exchanges and National Securities Associations E. Collection of Information Is Mandatory F. Confidentiality
71. Registration Requirements and Form CC
72. Competing Consolidator Duties and Data
    Collection and Maintenance
73. Competing Consolidators’ Public Posting
    of Form CC
74. Recordkeeping

1 15 U.S.C. 78k–1.
2 15 U.S.C. 78k–1(a)(1).
3See 15 U.S.C. 78k–1(a)(1)(B). See also S. Rep. No. 94–75, 94th Cong., 1st Sess. (1975) (noting that the systems for collecting and distributing consolidated market data would ‘‘form the heart of the national market system’’). 4See 15 U.S.C. 78k–1(a)(1)(C). 5 15 U.S.C. 78k–1(c)(1)(B). 6See infra note 17 and accompanying text (defining ‘‘core data’’). 7See Rule 603 of Regulation NMS; see also, e.g., Securities Exchange Act Release No. 51808 (June 9, 2005), 70 FR 37496, 37560 (June 29, 2005) (‘‘Regulation NMS Adopting Release’’) (‘‘In the Proposing Release, the Commission emphasized that one of its primary goals with respect to market data is to assure reasonable fees that promote the wide public availability of consolidated market data.’’). 8Regulation NMS Adopting Release, supra note 7, at 37560. 9See Securities Exchange Act Release No. 88216 (Feb. 14, 2020), 85 FR 16726, 27 (Mar. 24, 2020) (‘‘Market Data Infrastructure Proposing Release’’ or ‘‘Proposing Release’’). 10The three effective national market system plans that govern the collection, consolidation, processing, and dissemination of certain NMS information are: (1) The Consolidated Tape Association Plan (‘‘CTA Plan’’); (2) the Consolidated Quotation Plan (‘‘CQ Plan’’); and (3) the 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 Privileges Basis (‘‘UTP Plan’’) (together, the ‘‘Equity Data Plans’’). Each of the Equity Data Plans is an effective national market system plan under 17 CFR 242.608 (Rule 608) of Regulation NMS. See also Securities Exchange Act Release Nos. 10787 (May 10, 1974), 39 FR 17799 (order approving CTA Plan); 15009 (July 28, 1978), 43 FR 34851 (Aug. 7, 1978) (order temporarily approving CQ Plan); 16518 (Jan. 22, 1980), 45 FR 6521 (Jan. 28, 1980) (order permanently approving CQ Plan); 28146 (June 26, 1990), 55 FR 27917 (July 6, 1990) (order approving UTP Plan). The options exchanges are participants in the Limited Liability Company Agreement of Options Price Reporting Authority, LLC (‘‘OPRA Plan’’), a plan under Rule 608 of Regulation NMS, which governs the collection, consolidation, processing, and dissemination of last sale and quotation information for listed options. See Securities Exchange Act Release Nos. 17638 (Mar. 18, 1981), 22 SEC. Docket 484 (Mar. 31, 1981); 61367 (Jan. 15, 2010), 75 FR 3765 (Jan. 22, 2010). 11Rule 603(b) of Regulation NMS, 17 CFR 242.603(b), requires that every national securities exchange on which an NMS stock is traded and national securities association act jointly pursuant to one or more effective national market system plans to disseminate consolidated information on quotations for and transactions in NMS stocks, and that such plan or plans provide for the dissemination of all consolidated information for an individual NMS stock through a single plan processor. 12See Rule 602 of
Regulation NMS. 13See 17 CFR 242.601 (Rule 601 of Regulation NMS). 14See Rule 600(b)(67) of Regulation NMS, 17 CFR 242.600(b)(67) (defining plan processor). See also
5. Reports and Reviews
6. Amendment to the Effective National
Market System Plan(s) for NMS Stocks
7. Collection and Dissemination of
Information by National Securities Exchanges and National Securities Associations G. Revisions to Current Regulation SCI Burden Estimates and Adoption of Rule 614(d)(9)

1. Proposed Estimates—Burden and Costs
2. Comments/Responses on Burden and
   Costs
3. Adopted Estimates—Burden and Costs
   V. Economic Analysis
   A. Introduction and Market Failures
4. Introduction
5. Market Failures
   B. Baseline
6. Current Regulatory Process for Equity
   Data Plans and SIP Data
7. Current Process for Collecting,
   Consolidating, and Disseminating Market Data
8. Competition Baseline
   C. Economic Effects of the Rule
9. Consolidated Market Data
10. Decentralized Consolidation Model
11. Economic Effects of Form CC
12. Economic Effects from the Interaction of
    Changes to Core Data and the Decentralized Consolidation Model D. Impact on Efficiency, Competition, and Capital Formation
13. Efficiency
14. Competition
15. Capital Formation
    E. Alternatives
16. Introduce Decentralized Consolidation
    Model With Addition of Full Depth of Book to Core Data Definition
17. Introduce Changes in Core Data and
    Introduce a Distributed SIP Model
18. Require Competing Consolidators’ Fees
    be Subject to the Commission’s Approval
19. Do Not Extend Regulation SCI To
    Include Competing Consolidators
20. Require Competing Consolidators To
    Submit Form CC in the EDGAR System Using the Inline XBRL Format
21. Require Competing Consolidators To
    Submit Monthly Disclosures in the EDGAR System Using the Inline XBRL Format
22. Prescribing the Format of NMS
    Information
    VI. Regulatory Flexibility Certification
    VII. Other Matters
    VIII. Statutory Authority
    I. Introduction and Background
    The widespread availability of timely NMS information is critical to the ability of market participants to participate effectively in the U.S. securities markets. NMS information is made widely available to investors through the national market system, a system set forth by Congress in Section 11A of the Exchange Act 1 and facilitated by the Commission in Regulation NMS. The current national market system for NMS information was developed in the late 1970s, and the Commission is adopting changes that will modernize the national market system for NMS information for the benefit of investors.
    Section 11A of the Exchange Act
    directs the Commission to facilitate the establishment of a national market system for the trading of securities in accordance with the Congressional findings and objectives set forth in
    Section 11A(a)(1) of the Exchange Act.2
    Among the findings and objectives of
    Section 11A(a)(1) are that new data
    processing and communications techniques create the opportunity for more efficient and effective market operations,3 and that it is in the public interest and appropriate for the protection of investors and the maintenance of fair and orderly markets to ensure the availability to brokers, dealers, and investors of information with respect to quotations for and transactions in securities.4 Section 11A of the Exchange Act also authorizes the Commission to prescribe rules to ensure 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.’’ 5 In furtherance of these purposes, the Commission has sought through its rules and regulations to help ensure that certain ‘‘core data’’ 6 is widely available for reasonable fees.7 The Commission has recognized that investors must have certain core data ‘‘to participate in the U.S. equity markets.’’ 8 On February 14, 2020, the Commission proposed to amend Regulation NMS to better achieve the goal of Section 11A of the Exchange Act of assuring ‘‘the availability to brokers, dealers, and investors of information with respect to quotations for and transactions in securities’’ that is prompt, accurate, reliable, and fair.9 The amendments as adopted endeavor to fulfill this goal of Section 11A of the Exchange Act by updating the content of ‘‘core data’’ and the manner in which it is provided to investors in the national market system. A. Current Market Data Content and Dissemination Model Under Regulation NMS The Commission established many of the current requirements of the national market system under Regulation NMS and approved the three effective national market system plans shortly after Congress enacted Section 11A in the 1975 amendments to the Exchange Act (‘‘1975 Amendments’’).10 Under Regulation NMS and the Equity Data Plans,11 the self-regulatory organizations (‘‘SROs’’) are required to provide certain quotation12 and transaction information13 for each NMS stock to an exclusive plan processor (‘‘exclusive SIP’’),14 which consolidates

Section 3(a)(22)(B) of the Exchange Act, 15 U.S.C.
78c(22)(B) (defining exclusive processor). 15The Equity Data Plans disseminate SIP data over three separate networks: (1) Tape A for securities listed on the New York Stock Exchange (‘‘NYSE’’); (2) Tape B for securities listed on exchanges other than NYSE and Nasdaq; and (3) Tape C for securities listed on Nasdaq. These tapes are referred to as the ‘‘consolidated tapes.’’ The CTA Plan governs the collection, consolidation, processing, and dissemination of last sale information for Tape A and Tape B securities. The CQ Plan governs the collection, consolidation, processing, and dissemination of quotation information for Tape A and Tape B securities. Finally, the UTP Plan governs the collection, consolidation, processing, and dissemination of last sale and quotation information for Tape C securities. 16See Rule 600(b)(50) of Regulation NMS for the definition of NBBO. 17See Bloomberg Order, infra note 22, at 3; see also Rescission of Effective-Upon-Filing Procedures for NMS Plan Fee Amendments, Securities Exchange Act Release No. 89618 (Aug. 19, 2020), 85 FR 65470 (Oct. 15, 2020) (‘‘Effective-Upon-Filing Adopting Release’’). 18See Limit Up Limit Down Plan, available at http://www.luldplan.com (last accessed Sept. 24, 2020). 19Rule 201(b)(3). 20For example, messages regarding cancelled and erroneous trades are included in the data disseminated by the exclusive SIPs. See, e.g., Consolidated Tape System, Multicast Output Binary Specification, 36, 47 (October 2, 2020), available at https://www.ctaplan.com/publicdocs/ctaplan/CTS_ Pillar_Output_Specification.pdf. 21Concept Release on Equity Market Structure, Securities Exchange Act Release No. 61358 (Jan. 14, 2010), 75 FR 3593 (Jan. 21, 2010). 22See In the Matter of the Application of Bloomberg L.P., Securities Exchange Act Release No. 83755 at 3 (July 31, 2018), available at https:// www.sec.gov/litigation/opinions/2018/34-83755.pdf (‘‘Bloomberg Order’’); SEC Concept Release:
Regulation of Market Information Fees and Revenues, Securities Exchange Act Release No. 42208 (Dec. 9, 1999), 64 FR 70613, 70615 (Dec. 17,
1999) (‘‘Market Information Concept Release’’)
(stating that the distribution of core data ‘‘is the principal tool for enhancing the transparency of the buying and selling interest in a security, for addressing the fragmentation of buying and selling interest among different market centers, and for facilitating the best execution of customers’ orders by their broker-dealers’’). 23See Proposing Release, 85 FR at 16728, n. 13 and accompanying text. 24While the pre-Regulation NMS rules permitted the independent distribution of quotes by individual SROs, Rule 603(a) of Regulation NMS, 17 CFR 242.603(a), was adopted to impose ‘‘uniform standards’’ on such distribution (i.e., the ‘‘fair and reasonable’’ and ‘‘not unreasonably discriminatory’’ standards). See Regulation NMS Adopting Release, supra note 7, at 37569. Prior to Regulation NMS, however, SROs and their members were prohibited from disseminating their trade reports independently. Id. at 37589. 25See infra Section III.A. 26Commenters generally expressed concern that SIP data provided by the Equity Data Plans was not sufficient for some market participants. See, e.g., letters to Vanessa Countryman, Secretary, Commission, from Mehmet Kinak, Vice President and Global Head of Systematic Trading and Market Structure, and Jonathan D. Siegel, Vice President and Senior Legal Counsel, Legislative and Regulatory Affairs, T. Rowe Price, dated June 3, 2020, (‘‘T. Rowe Price Letter’’) at 1 (‘‘Unfortunately, as the SIPs have not kept pace with the dramatic technological and market developments over the past decade, they are no longer satisfying the needs of a broad cross-section of market participants. Due to its limited content and higher latency, the usage of SIP data is adequate only for investors that visually consume NMS information (e.g., humans looking at quotes on a screen’’); Thomas M. Merritt, Deputy General Counsel, Virtu Financial, Inc., dated May 26, 2020, (‘‘Virtu Letter’’) at 2 (‘‘the ‘core data’ offered through the SIPs is no longer sufficient for most market participants to trade competitively in today’s market place.’’), 5; Michael Blasi, Vice President, Enterprise Infrastructure, and Krista Ryan, Vice President and Associate General Counsel, Fidelity Investments, dated May 26, 2020, (‘‘Fidelity Letter’’) at 2 (‘‘the SIPs have not kept pace with the U.S. equity markets which, through technological and market developments, now offer more products, faster, and at a lower cost.’’); Joseph J. Barry, Senior Vice President and Global Head of Regulatory, Industry, and Government Affairs, State Street Corporation, dated May 26, 2020, (‘‘State Street Letter’’) at 2 (‘‘. . . regulatory obligations and customer expectations related to best execution, transaction cost analysis, transparency and market competition generated further need for data that is unavailable on the SIPs. As a result, market participants have become increasingly dependent on proprietary data feeds marketed by the exchanges outside of the SIPs.’’); Hubert De Jesus, Managing
Director, Global Head of Market Structure and Electronic Trading, and Samantha DeZur, Director, Global Public Policy, BlackRock, Inc., dated May 26, 2020, (‘‘BlackRock Letter’’) at 1 (‘‘However, the current model for and content of NMS market data has not kept pace with the evolution in equity markets and correspondingly the quality of the Securities Information Processors (‘‘SIPs’’) has declined, lowering public confidence in the market.’’); Jennifer W. Han, Associate General Counsel, Managed Funds Association, dated May 29, 2020, (‘‘MFA Letter’’) at 2 (‘‘Today, the current exclusive SIP model and content of core data does not serve the needs of investors, many of whom must subscribe to the exchanges’ proprietary market data feeds at considerable additional cost to trade Continued this information and makes it available to market participants on the consolidated tapes.15 For each NMS stock, the Equity Data Plans currently provide for the dissemination of top-of￾book (‘‘TOB’’) data and transaction information, generally defining consolidated market information (or ‘‘core data’’) as consisting of: (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 national best offer (‘‘NBBO’’) 16 (i.e., the highest bid and lowest offer currently available on any exchange).17 In addition to disseminating core data, the exclusive SIPs collect, calculate, and disseminate certain regulatory data— including information required by the National Market System Plan to Address Extraordinary Market Volatility (‘‘LULD Plan’’),18 information relating to regulatory halts and market-wide circuit breakers, and information regarding the short-sale price test pursuant to Rule 201 of Regulation SHO.19 They also collect and disseminate other NMS information and disseminate certain administrative messages.20 Together with core data, the Commission refers to this broader set of data for purposes of this release as ‘‘SIP data.’’ The purpose of the Equity Data Plans, approved under Regulation NMS, is to facilitate the collection and dissemination of SIP data so that the public has ready access to a ‘‘comprehensive, accurate, and reliable source of information for the prices and volume of any NMS stock at any time during the trading day.’’21 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.22 Many of the requirements under Regulation NMS and the Equity Data Plans that establish the national market system have not been updated since their adoption despite dramatic changes in the operation of the market and market participants’ information needs.23 In addition to the SIP data provided via the Equity Data Plans, most exchanges have developed many proprietary TOB products that contain the quotation and transaction data that
they provide to the exclusive SIPs as well as proprietary depth-of-book (‘‘DOB’’) products that contain more extensive information that is not provided by the exclusive SIPs, such as complete order-by-order information, full depth of book information, auction information, and odd-lot quotation information.24 The exchanges provide individual exchange proprietary data products directly to market participants and sometimes consolidate them with their affiliated exchanges’ proprietary data feeds. The exchanges make these proprietary data products available with different connectivity and transmission options, many of which are faster than those available for the consolidated tapes. Market participants that purchase proprietary DOB data feeds directly generally aggregate the information in a decentralized manner in an effort to create a consolidated view of the market that is both more timely and more complete than the exclusive SIP data feeds provided by the Equity Data Plans. As discussed further below, Regulation NMS and the Equity Data Plans have not kept pace with the business demands of market participants.25 While the exchanges have developed individual proprietary data products to meet the needs of some market participants, the Commission believes that there should be improvement to, and modernization of, the national market system to fulfill the goals of Section 11A of the Exchange Act and to meet the current core data demands of market participants.26 Over

effectively, while others are forced to rely on inferior information and outdated technology.’’); Peter D. Stutsman, Global Equity Trading Manager, The Capital Group Companies, Inc., dated June 2, 2020, (‘‘Capital Group Letter’’) at 2 (‘‘Over the last 15 years, the discrepancy in data elements and latency between proprietary feeds and the consolidated tape has expanded such that the SIP is no longer a realistic tool for institutional investors or broker-dealers in meeting their respective best execution obligations when routing orders.’’); Makan Delrahim, Assistant Attorney General, U.S. Department of Justice, Antitrust Division, Rene L. Augustine, Deputy Assistant Attorney General, Michael F. Murray, Deputy Assistant Attorney General, David B. Lawrence, Chief, Karina B. Lubell, Assistant Chief, Charles J. Ramsey, Attorney, Antitrust Division Competition Policy and Advocacy Section, and Ihan Kim, Attorney, Technology and Financial Services
Section, dated May 26, 2020, (‘‘DOJ Letter’’); Mark
Garabedian, Manager, Trading Data and Analytics, and Lisa Mahon Lynch, Associate Director, Global Trading, Wellington Management Company LLP, dated May 27, 2020, (‘‘Wellington Letter’’). 27See, e.g., letters to Vanessa Countryman, Secretary, Commission, from Lev Bagramian, Senior Securities Policy Advisor, Better Markets, Inc., dated May 26, 2020, (‘‘Better Markets Letter’’) at 1– 2; Joe Wald and Ray Ross, Managing Directors, BMO Capital Markets Group and Co-Heads of Electronic Trading, Clearpool, dated June 2, 2020, (‘‘Clearpool Letter’’) at 1, 11; John Ramsay, Chief Market Policy Officer, Investors Exchange LLC, dated May 28, 2020, (‘‘IEX Letter’’) at 5; Jim Considine, Chief Financial Officer, McKay Brothers LLC, dated May 31, 2020, (‘‘McKay Letter’’) at 1; Rich Steiner, Head of Client Advocacy and Market Innovation, RBC Capital Markets, LLC, dated May 27, 2020, (‘‘RBC Letter’’) at 4; Ellen Greene, Managing Director, Equity and Options Market Structure, SIFMA, dated May 26, 2020, (‘‘SIFMA Letter’’) at 3–4; Capital Group Letter at 2; DOJ Letter at 2, 4; State Street Letter at 2; T. Rowe Price Letter at 1; Virtu Letter at 2. 28See, e.g., Virtu Letter at 5 (‘‘[I]ncluding depth of book information in the SIP will allow investors who cannot afford to pay for costly Exchange proprietary feeds to trade more competitively in the marketplace . . . .’’); SIFMA Letter at 2 (‘‘[W]e do not believe that the SIPs currently provide the necessary data to market participants at the requisite speed to efficiently trade in today’s high speed and automated marketplace. As a result, many broker-dealers, asset managers and other market participants are forced to purchase proprietary data feeds from individual exchanges to create a consolidated and robust view of the market, while additionally bearing the economic burden of having to purchase consolidated data from the SIPs. This results in an enormous cost burden on the marketplace and creates a two-tiered market for market data by limiting access to critical market data at the fastest speeds to those who can afford to pay the exorbitant fees charged for it by the exchanges.’’); MFA Letter at 2 (‘‘Today, the current exclusive SIP model and content of core data does not serve the needs of investors, many of whom must subscribe to the exchanges’ proprietary market data feeds at considerable additional cost to trade effectively, while others are forced to rely on inferior information and outdated technology.’’); Clearpool Letter at 2 (‘‘As we have stated on a number of previous occasions, of all the issues relating to the costs of trading, the trend toward higher market data fees has had the most negative impact on the securities markets. It remains increasingly difficult for many broker-dealers to compete in the current market environment due, in
part, to issues related to the costs associated with
trading.’’); Dorothy Donohue, Deputy General Counsel, Securities Regulation, Investment Company Institute, dated May 26, 2020, (‘‘ICI Letter’’) at 9–10 (‘‘Including auction information in the consolidated feed would enhance transparency into market activity. Doing so also would eliminate proprietary data costs as a barrier to auction trading and encourage a broader range of market participants to submit trading interest.’’). 29Section 11A(a)(1)(C)(ii) of the Exchange Act, 15 U.S.C. 78k–1(a)(1)(C)(ii). 30Section 11A(a)(1)(C)(iii) of the Exchange Act, 15 U.S.C. 78k–1(a)(1)(C)(iii). 31Section 11A(a)(1)(C)(iv) of the Exchange Act, 15 U.S.C. 78k–1(a)(1)(C)(iv). 32Section 11A(c)(1)(B) of the Exchange Act, 15 U.S.C. 78k–1(c)(1)(B). 33See Equity Market Structure Roundtables, Oct. 25–26, 2018: Roundtable on Market Data and Market Access, SEC, available at https:// www.sec.gov/spotlight/equity-market-structure￾roundtables (‘‘Market Data Roundtable’’). 34See Proposing Release, 85 FR at 16765, n. 393 and accompanying text. 35See Proposing Release, 85 FR at 16768. See also infra Section V.B.3(b). Proprietary data fees have increased over the last decade, and are generally more expensive relative to SIP data fees, and there are indicia that exchanges may not be subject to robust competition with respect to market data. See infra notes 1780–1788 and accompanying text. the last 15 years, the exchanges have moved from largely manual, floor-based models to predominantly electronic trading systems and market participants have likewise largely incorporated sophisticated, latency-sensitive, and data dependent electronic trading technologies for their trading needs. This has contributed to some market participants stating that they require additional, and more timely, information for their best execution analysis.27 The Commission agrees that more comprehensive and latency￾sensitive NMS information can be significantly beneficial in facilitating informed trading decisions, and the Commission believes that such information should be more widely distributed and more readily accessible. Further, while the proprietary DOB products provided by exchanges contain the data elements included within expanded core data, commenters have stated that the cost of these proprietary market data products inhibits the purchase of, and the widespread dissemination of, this data to market participants that may need it to participate effectively in the markets.28 The Commission is concerned that the two different methods of data dissemination—SIP data provided pursuant to Regulation NMS and the Equity Data Plans and proprietary data products provided by the exchanges— have contributed to the development of a two-tiered data market that raises fundamental concerns about the ability of the national market system to continue to ensure that the goals of
Section 11A of the Exchange Act are
being met, including: (i) Fair competition among brokers and dealers; 29 (ii) the availability to brokers, dealers, and investors of NMS information; 30 and (iii) the practicability of brokers executing investors’ orders at the best available prices.31 Section 11A of the Exchange Act directs the Commission to facilitate the establishment of a national market system in accordance with these, and other, Congressional findings. Therefore, the Commission believes that Regulation NMS should be amended to update the national market system in accordance with the findings and to carry out the objectives set forth in
Section 11A and to ‘‘assure the prompt,
accurate, reliable, and fair collection, processing, distribution, and publication’’ of NMS information and ‘‘the fairness and usefulness of the form and content of such information.’’ 32 B. National Market System Initiatives and the Market Data Infrastructure Proposing Release The Commission has monitored the national market system and its operation in light of changes in the markets and, over the years, has observed increased concerns about the usefulness, fairness, and promptness of the consolidated tapes. The Division of Trading and Markets held a Roundtable on Market Data in October of 2018,33 at which some market participants discussed their views about the shortcomings of the existing centralized consolidation model and the need for updates to the national market system to reflect the now widespread use of electronic trading and the need for more, faster NMS information.34 Further, the Commission has considered how the provision of the current consolidated tapes and proprietary data feeds has affected investors’ access to NMS information. The Commission understands that different types of investors have different information needs. However, as stated above, the Commission is concerned that a two-tiered system has developed in which certain market participants who are able to afford, and choose to pay for, the exchanges’ proprietary DOB data feeds and associated connectivity and transmission offerings receive more content-rich data faster than those who do not receive these data feeds, such as market participants that face higher barriers to entry from data and other exchange fees.35 Market participants that do not receive proprietary DOB feeds may be affected in their efforts to seek best execution and otherwise effectively compete with market participants that receive proprietary DOB data feeds because they do not obtain access to the additional content

36See supra note 17 and accompanying text. 37The Commission notes that the number of Professional subscribers to the SIP feeds decreased
23.5 percent between the first quarter of 2010,
which is the first quarter for which Professional subscriber data for the SIP Plans was available after the introduction of the first proprietary TOB product in 2009, and the end of 2019. See CTA Plan, Metrics, available at https:// www.ctaplan.com/sip-metrics (last accessed Nov. 20, 2020); UTP Plan, Metrics, available at http:// www.utpplan.com/metrics (last accessed Nov. 25, 2020). For context, the number of registered representatives reported by FINRA during this time period decreased by only 1.0 percent. See FINRA, Statistics, available at https://www.finra.org/ newsroom/statistics (last accessed Nov. 19, 2020). 38See Effective-Upon-Filing Adopting Release, supra note 17. 39 17 CFR 242.608. 40See Joint Industry Plan; Notice of Filing of a National Market System Plan Regarding Consolidated Equity Market Data, Securities Exchange Act Release No. 34–90096 (Oct. 6, 2020), 85 FR 64565 (Oct. 13, 2020) (‘‘New Consolidated Data Plan Notice’’). See also infra Section III.E for a discussion on the Governance Order. 41See, e.g., letter from John A. Zecca, Executive Vice President, Chief Legal Officer, and Chief Regulatory Officer, Nasdaq, to Jay Clayton, Chairman, Commission, dated Apr. 7, 2020 (‘‘Nasdaq Letter II’’); letters to Vanessa Countryman, Secretary, Commission, from Elizabeth K. King, Chief Regulatory Officer, ICE, and General Counsel and Corporate Secretary, NYSE, dated May 15, 2020 (‘‘NYSE Letter I’’); Linda Moore, President and Chief Executive Officer, TechNet, dated Apr. 29, 2020 (‘‘TechNet Letter I’’); Christopher A. Iacovella, Chief Executive Officer, American Securities Association, dated Apr. 23, 2020; Kimberly Unger, Chief Executive Officer and Executive Director, Securities Traders Association of New York, Inc. (‘‘STANY’’), dated May 14, 2020 (‘‘STANY Letter I’’); Institutional Traders Advisory Council to Nasdaq, dated May 15, 2020; Gary A. LaBranche, President and Chief Executive Officer, National Investor Relations Institute, dated May 22, 2020; R T Leuchtkafer, dated May 20, 2020; Patrick J. Healy, Founder and CEO, Issuer Network, dated May 20, 2020 (going further by suggesting the Commission ‘‘table this proposal’’). and may be receiving data in a slower manner. On the other hand, the exchanges’ proprietary TOB products, which are typically cheaper than the SIP data, may be purchased instead of SIP data for certain use cases in certain market segments (e.g., retail investors).36 These proprietary TOB products have decreased many market participants’ utilization of SIP data even though they do not contain all ‘‘core data’’ and do not reflect TOB quotations and transactions from all markets and, therefore, do not display the NBBO. Market participants that solely use proprietary TOB products do not see all quotations in the market, including at times superior quotations, or all executed transactions and instead see only a subset of consolidated data.37 Accordingly, the Commission has undertaken three initiatives related to the
provision of NMS information in the national market system. These initiatives work together to address specific, significant, separate but overlapping, issues in the national market system and are aimed at improving discrete areas in the national market system. First, the Commission amended the process so that, instead of becoming effective upon filing, changes to fees proposed by the Equity Data Plans would be published for public comment and approved by the Commission.38 These procedures enhance the efficiency and transparency of the process of assessing new NMS plan fees. Second, the Commission ordered the participants to the Equity Data Plans to submit a new, single effective national market system plan, i.e., the New Consolidated Data Plan, for Commission consideration under Rule 608 of Regulation NMS.39 The New Consolidated Data Plan includes specific governance provisions that the Commission believes will help to address concerns that have been raised about the existing Equity Data Plans, including conflicts of interest stemming from the sale of competing proprietary data products by the exchanges that currently have majority voting power on the Operating Committee(s) of the Equity Data Plans.40 These committees are, among other things, responsible for proposing fees for SIP data. Finally, in this release, the Commission is adopting amendments to update and modernize the infrastructure of the national market system by adding data content to NMS information as defined under Regulation NMS and by amending the manner in which such NMS information is collected, consolidated, and disseminated. The Commission published the Proposing Release on its website on February 14, 2020. The comment period of 60 days from Federal Register publication ended on May 26, 2020. Many commenters asked the Commission to extend the comment period,41 particularly in light of the COVID–19 pandemic. The Commission has considered all comment letters received to date, including comments that were submitted after the comment deadline had passed. The last comment letter was received on October 13, 2020. Accordingly, the Commission believes that the time during which comments have been accepted is reasonable.
C. Enhancements to the Content of NMS
Information
The Commission is adopting amendments to increase the content of NMS information that is required to be made available under Regulation NMS and to introduce a competitive decentralized consolidation model to disseminate the information. The content of NMS information that is made available under the rules of the national market system has not been adequately updated to reflect the needs of market participants trading in the U.S. market. As the U.S. market has evolved, market participants’ information needs have changed; many market participants need additional information to trade efficiently and competitively. Today, the only means for market participants to receive a wider array of information than what is provided under the national market system is through proprietary data offerings from exchanges (and their affiliates). The Commission is concerned that the national market system, including the content of SIP data and the way such data is disseminated, significantly lags behind these proprietary data offerings and delivery methods established by the exchanges and their affiliates. Therefore, as discussed further below, the Commission believes that the content of NMS information under the rules of the national market system needs to be enhanced to address the needs of market participants. The adopted definitions will expand and modernize the content of NMS information that is made available in the U.S. market in a manner that the Commission believes will better facilitate competition; help to ensure the prompt, accurate, reliable, and fair collection of such information; and help to ensure the usefulness of NMS information. The Commission is adopting a new model for the provision of consolidated market data as discussed in Section III below, but the Commission believes that market participants and investors will benefit from enhanced NMS information regardless of the method by which they receive it. In particular, as a result of the new round lot definition and the inclusion of odd-lot quotations in core data, retail investors will be able to see, and more readily access, better-priced quotations. Further, through the addition of depth of book data and auction information in core data, the scope of NMS information will, to a greater extent, allow some market participants to trade in a more informed, competitive, and efficient manner. The Commission believes that even investors that do not consume that data directly will benefit because their brokers will be able to use the enhanced NMS information to trade more efficiently

42See infra Section II.C.2(a).
43 ‘‘Consolidated market data’’ is defined in Rule 600(b)(19) as the following data, consolidated across all national securities exchanges and national securities associations: (i) Core data; (ii) regulatory data; (iii) administrative data; (iv) self￾regulatory organization-specific program data; and (v) additional regulatory, administrative, or self￾regulatory organization-specific program data elements defined as such pursuant to the effective national market system plan or plans required under § 242.603(b). 44 ‘‘Core data’’ is defined in Rule 600(b)(21) of Regulation NMS. 45See supra Section I.A for a discussion of the regulatory requirements for NMS information. ‘‘Consolidated market data product’’ is defined as any data product developed by a competing consolidator that contains consolidated market data or any of the elements or subcomponents thereof. See Rule 600(b)(20); infra Section II.B.2. 46See infra note 151 and accompanying text with respect to certain information that is not included in the definition of core data. 47See infra Section II.D.1. 48See infra Section II.E.1. 49See Rule 600(b)(50). 50See infra Sections II.D.2(a); II.E.2. 51 Id. 52See infra Section II.C.2(b). 53See infra Section II.F.1. 54See infra Section II.F. 55See infra Section II.G.1. and competitively and to achieve best execution for their customer orders.42 To expand and enhance the data that is required to be made available for collection, consolidation, and dissemination under Regulation NMS, the Commission is adopting several new defined terms in Rule 600 of Regulation NMS, including ‘‘consolidated market data,’’ ‘‘consolidated market data product,’’ ‘‘core data,’’ ‘‘round lot,’’ ‘‘auction information,’’ ‘‘depth-of-book data,’’ ‘‘odd-lot information,’’ ‘‘regulatory data,’’ ‘‘administrative data,’’ and ‘‘self-regulatory organization￾specific program data.’’ Two of the new definitions in Regulation NMS— consolidated market data 43 and core data 44—specify the components of NMS information that must be made available for collection, consolidation, and dissemination under the national market system.45 The other new defined terms establish the scope of information included within the definitions of consolidated market data and core data. The definitions are designed to ensure that NMS information that is made available to market participants meets the goals set forth in Section 11A of the Exchange Act.46 The Commission is defining three new data elements as ‘‘core data:’’ (1) Information about better priced quotations in higher priced stocks (implemented through a new definition of ‘‘round lot’’ and the inclusion of certain odd-lot information), (2) information about quotations that are outside of the best-priced quotations (implemented through a new ‘‘depth of book data’’ definition), and (3) information about orders that are participating in auctions (implemented through a new definition of ‘‘auction information’’). Round Lot Definition. To provide investors with
information about better priced orders in high-priced stocks, the Commission proposed a five-tier definition of ‘‘round lot’’ based on the share price of an NMS stock.47 The Commission also proposed to amend the definition of protected quotation to require that protected quotes be of at least 100 shares.48 These two changes would have established a NBBO 49 that could differ from the best protected bid and best protected offer (‘‘PBBO’’). Commenters responded by expressing support and raising several issues and concerns.50 For the reasons set forth below,51 the Commission has modified the round lot definition so that it has fewer tiers and is based on a higher notional value. Specifically, the adopted round lot definition is 100 shares for stocks priced at $250 or less, 40 shares for stocks priced at $250.01 to $1,000, 10 shares for stocks priced at $1,000.01 to $10,000, and 1 share for stocks priced at $10,000.01 or more. Further, the Commission has decided not to adopt the proposed amendment to the definition of protected quotation. A protected quotation will remain a round lot; however, the protected quotation will change only insomuch as the round lot definition is changing. The Commission also has decided to further increase the availability of information about better priced orders by adopting an additional element of ‘‘core data’’ for aggregated odd-lot quotations on each exchange that are priced at or better than the NBBO.52 The Commission believes that the new definition of round lot and the increased availability of better priced odd-lot information will provide investors with valuable information about the best prices available and help to facilitate more informed order routing decisions and the best execution of investor orders. Depth of Book Data Definition. The Commission proposed a definition of depth of book data to include information about orders outside of the NBBO and PBBO because information about the depth of book on each exchange helps market participants decide where to place orders and provides information about order book imbalances and potential future price moves in a NMS stock.53 The Commission, for the reasons set forth below, is adopting the definition of depth of book data with a few modifications.54 First, the definition has been modified to reflect the fact that the definition of protected quotation is not changing, so it is not necessary to identify depth of book between the NBBO and PBBO. Second, the definition has been modified to specify that the five price levels included in the definition of depth of book data are measured from the NBBO. Third, the definition has been modified to specify that the aggregate size at each of the included price levels shall be attributed to each exchange so that market participants know where liquidity resides. Lastly, depth of book data will include all quotation sizes on a facility of a national securities association, instead of only on exchanges, as proposed. Adoption of the
depth of book data definition with these modifications will provide useful information to market participants and support efficient order handling and execution. Auction Information Definition. Finally, the Commission proposed a definition of auction information to include information about orders that participate in auctions.55 Auctions have become increasingly significant liquidity events. Information about the orders participating in an auction can help market participants decide whether and how to submit orders in and around an auction and understand the potential price moves upon completion of the auction. For the reasons set forth below, the Commission is adopting the definition of auction information as proposed except for a modification to specify that the definition only includes auction information that an exchange publicly disseminates on its proprietary feeds. D. Enhancements to the Provision of Consolidated Market Data The Commission is adopting a new model for the provision of consolidated market data under Regulation NMS to foster a competitive environment for the dissemination of market data. Under the new decentralized consolidation model, competing consolidators will collect, consolidate, and disseminate consolidated market data products, and self-aggregators will collect and consolidate such data for their own internal use. By fostering a competitive environment for the provision and dissemination of critical market data to investors and other market participants, this new model will better achieve the goals of Section 11A of the Exchange

56See infra Section III.B.2; note 588 and accompanying text. 57The SROs are required to provide NMS information to the national market system plan(s) disseminated to market participants under Regulation NMS. See supra Section I.A. 58Proprietary TOB products, like proprietary DOB products, are provided directly to market participants and are not centrally consolidated before dissemination as is required of SIP data under the national market system. 59See also infra Section III.B.9(f) discussing the applicability of Rule 603(a). 60See infra Section III.B. 61The exclusive SIPs are operated by the exchanges, which also develop proprietary data products using the same data that they provide to the exclusive SIPs. See supra Section I.A. 62See infra Section III.B.9(b). 63See infra Section III.B.10. 64 Id. 65See infra Section III.B.8. 66See infra Section III.C.7. 67See infra Section III.B.3. Act and help to ensure broad availability to brokers, dealers, and investors of information with respect to quotations for and transactions in NMS stocks that is prompt, accurate, reliable, and fair. To implement this model, the Commission is amending Regulation NMS rules and adopting a new rule and a new form for entities seeking to register as competing consolidators. Since Congress adopted the 1975 Amendments, the Commission has not substantially updated the distribution of NMS information in the national market system to reflect how the markets operate and investors’ trade. Today, markets rely on highly sophisticated electronic trading systems that can consume many points of data at speeds measured in sub-second increments. The data delivery mechanisms and data feeds established under the national market system have not kept up with the current needs of market participants. To fulfill the data needs of market participants, the exchanges have developed proprietary low-latency market data products that are designed for automated trading systems. These data products, which include data such as depth of book and order imbalance information for opening and closing auctions, are faster and more content￾rich than the delivery mechanisms and content that the SROs provide pursuant to Regulation NMS and the Equity Data Plans. Because of this disparity, many market participants use the exchanges’ proprietary market data products for their competitive electronic trading systems.56 In addition, the exchanges have developed proprietary TOB data products for market participants that are less expensive and less content-rich than the data products that the SROs provide via the exclusive SIPs pursuant to Regulation NMS and the Equity Data Plans.57 Retail investors use these proprietary TOB products, which are specific to an individual exchange or affiliated exchanges. Because they are cheaper and faster, proprietary TOB products—despite their more limited content—decrease the demand for data delivered under the Equity Data Plans.58 The Commission is concerned that market
participants who solely use individual exchange proprietary TOB products are not getting the full consolidated view of the market, may be missing better priced quotes on other exchanges, and may only have a partial view of the trades that were executed in the market. The Commission believes that proprietary DOB and TOB data products that decrease the utilization of SIP data highlight fundamental issues regarding the fairness, usefulness, and efficiency of NMS information and how it is distributed today. Therefore, as discussed further below, the Commission is adopting a new dissemination model for the national market system—a decentralized consolidation model that will foster a competitive environment in the provision of consolidated market data. To effect this change, the Commission is amending Rule 603 under Regulation NMS to: (1) Remove the requirement that all consolidated information for an individual NMS stock be disseminated through a single, exclusive plan processor; and (2) require each national securities exchange and national securities association to make available to competing consolidators and self￾aggregators 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.59 Commenters who responded to this proposal expressed support and raised several issues and concerns.60 For the reasons set forth below, the Commission is adopting the decentralized consolidation model largely as proposed. The new decentralized consolidation model, with its fostering of a competitive environment, will modernize the provision of consolidated market data in the U.S. markets. Today, the national market system comprises two exclusive SIPs that consolidate and disseminate certain NMS information on a non￾competitive basis.61 The non￾competitive structure, as required under Regulation NMS, no longer adequately ensures the timely dissemination of NMS information. The Commission believes the fostering of a competitive environment and enabling the introduction of new market forces into the collection, consolidation, and dissemination process through a decentralized consolidation model will help to deliver consolidated market data to market participants in a more timely, efficient, and cost-effective manner than the current centralized consolidation model. The Commission is adopting Rule 603(b) as proposed.62 As part of establishing the decentralized consolidation model, the Commission is amending the definition of NBBO to remove references to the plan processors and replace them with competing consolidators and self￾aggregators.63 Competing consolidators will be responsible for calculating the NBBO for their subscribers and self￾aggregators will be responsible for calculating their own NBBO.64 Given market participants’ widespread usage of proprietary market data feeds and the array of
issues these participants have raised with respect to NMS information currently provided by the exclusive SIPs, many of these market participants calculate their own NBBOs from different exchange proprietary data feeds in varying locations for their own internal use rather than rely on the exclusive SIPs. These current practices, as well as existing regulatory approaches to independent data aggregation,65 will help to ensure market participants are able to operate with different NBBOs calculated by different consolidators under this new model. Under the new decentralized consolidation model, competing consolidators will be responsible for collecting, consolidating, and disseminating consolidated market data products to subscribers. New Rule 614 and new Form CC will govern the registration and responsibilities of competing consolidators.66 Informed by comments and upon further consideration, the Commission, for the reasons set forth below, is adopting Rule 614 and Form CC largely as proposed but with certain modifications to address points raised during the comment process.67 Market participants need timely consolidated market data to route and execute orders. The Commission believes entities will be incentivized to register as competing consolidators to satisfy the expected robust demand for consolidated market data products. The Commission is also modifying the requirements of Rule 614 so that competing consolidators are not required, as proposed, to offer a product

68See Rule 600(b)(20), which defines ‘‘consolidated market data product.’’ 69See infra Sections II.B.2; III.C.8(a). 70See infra Section III.D. 71 Id. 72See infra Section III.C.7(a)(iv). 73Currently, there are three effective national market system plans for the collection, consolidation, and dissemination of certain NMS information. See supra note 10 and accompanying text. The Commission has ordered the Operating Committees of these three effective national market system plans to file a single new plan. See infra note 1128; see also Section III.E.2(a). On August 11, 2020, the participants filed a proposed plan, which the Commission published for comment on October 6, 2020. See New Consolidated Data Plan Notice, supra note 40. 74See infra Section III.E. 75See infra Section III.F. 76See id. 77See Proposing Release, 85 FR at 16728, n. 17 and accompanying text. containing all elements of consolidated market data. Competing consolidators will be able to develop the consolidated market data products 68 that their subscribers demand.69 Rule 614 requires, among other things, that competing consolidators generate consolidated market data products in a manner that is consistent with the definitions in Regulation NMS and provide monthly performance metrics. Together with the Commission’s oversight of competing consolidators, these requirements will help to ensure that the dissemination of consolidated market data products by competing consolidators is prompt, accurate, reliable, and fair. Also, under the new decentralized consolidation model, self-aggregators will be able to collect and consolidate NMS information for their own internal use. As defined, a self-aggregator will be a broker-dealer, exchange, national securities association, or investment adviser registered with the Commission (‘‘RIA’’) that receives the NMS information that is necessary to generate consolidated market data from the SROs pursuant to Rule 603(b). A self￾aggregator may only generate consolidated market data for its internal use. Market participants—including broker-dealers, exchanges, and RIAs— self-aggregate proprietary market data today. The Commission is adopting this provision to allow these market participants to aggregate consolidated market data for their own internal uses. Notwithstanding the adopted improvements to the collection, consolidation, and dissemination of consolidated market data with the decentralized consolidation model, some market participants will continue to need to aggregate data themselves for their own internal purposes, for a variety of business reasons.70 Specifically, we are adopting a definition of self-aggregator that will permit the exchanges, the Financial Industry Regulatory Authority, Inc. (‘‘FINRA’’), and RIAs to self-aggregate for their own internal purposes, including for the purpose of sharing consolidated market data across affiliated entities that are registered with the Commission.71 In general, self-aggregators will not be permitted
to disseminate or otherwise make available such data to any person, including customers or clients, because the Commission believes the widespread dissemination of consolidated market data must be subject to Commission oversight and, accordingly, must be performed by competing consolidators. As discussed below, competing consolidators will be subject to the registration, disclosure, and other regulatory requirements in Rule 614 and Form CC.72 The competing consolidator regulatory regime should help to ensure that non-registered persons receive market data that is consolidated and delivered in a reliable and accurate manner. Although self￾aggregators will not be permitted to widely disseminate consolidated market data, they will be able to share consolidated market data with their affiliated entities that are registered with the Commission. The Commission has the authority to examine registered affiliated entities and would be able to determine how a self-aggregator provides consolidated market data to a registered affiliate and how the registered affiliate uses that data, whereas the Commission does not have the authority to examine a self￾aggregator’s affiliated entities that are not registered with the Commission. Under the decentralized consolidation model, the effective national market system plan(s) for NMS stocks will continue to play an important role.73 The plan(s) will continue, for example, to develop and propose fees for the data content underlying consolidated market data, collect and allocate revenues collected for such data, develop the monthly performance metrics for competing consolidators, and provide an annual assessment of the competing consolidator model. Therefore, as discussed further below, the Commission is directing the effective national market system plan(s) participants to file an amendment to the plan(s) pursuant to Rule 608 of Regulation NMS to reflect the new functions of the plan(s). The Commission believes that the effective national market system plan structure provides a useful mechanism to gather consensus views from a wide variety of market participants on the operation of the national market system. The provisions requiring amendment to the effective national market system plan(s) are adopted largely as proposed with a few modifications.74 Finally, the Commission is amending Regulation SCI to expand the definition of ‘‘SCI entities’’ to include ‘‘SCI competing consolidators’’ that are subject to the requirements of Regulation SCI after an initial transition period if they meet a threshold based on a share of gross consolidated market data revenues, as described below. The Commission believes that the threshold as adopted is appropriate to identify those competing consolidators whose market share is large enough that they have the potential to significantly impact investors, the overall market, or the trading of securities should the competing consolidator have a systems or cybersecurity issue occur. As
discussed below, based on the threshold being adopted for SCI competing consolidators, the Commission estimates that most competing consolidators will meet this definition.75 In addition, after consideration of commenters’ concerns regarding potential barriers to entry, the Commission is adopting a tailored set of operational capability and resiliency obligations that will apply during an initial transition period and thereafter to competing consolidators that do not meet the threshold in the definition of SCI competing consolidator.76 The amendments will significantly enhance and modernize the content of NMS information and the means by which it is disseminated to market participants. These changes will address meaningful shortcomings that have developed in the national market system relating to the consolidation and dissemination of NMS information.77 The centralized consolidation model is an outdated model that was initially developed for an entirely different, manual market structure, and it is no longer suitable for trading in today’s high-speed electronic markets. Further, the exclusive SIP model was developed when the exchanges were not selling competing proprietary data products that are superior in both content and delivery to the SIP data products. Therefore, as discussed further below, the Commission is amending Regulation NMS to modernize the national market system consistent with its mandate under the Exchange Act so that ‘‘[n]ew data processing and communications techniques [can be used] to create the

78Section 11A(a)(1)(B) of the Exchange Act. 79See Sections 11A(a)(1)(C)(ii) through (iv) of the Exchange Act. 80Regulation NMS Adopting Release at 37538. See also Geman v. SEC, 334 F.3d 1183, 1186 (10th Cir. 2003) (‘‘[T]he duty of best execution requires that a broker-dealer seek to obtain for its customer orders the most favorable terms reasonably available under the circumstances.’’ (quoting Newton v. Merrill, Lynch, Pierce, Fenner & Smith, Inc., 135 F.3d 266, 270 (3d Cir. 1998))); Kurz v. Fidelity Management & Research Co., 556 F.3d 639, 640 (7th Cir. 2009) (describing the ‘‘duty of best execution’’ as ‘‘getting the optimal combination of price, speed, and liquidity for a securities trade’’). 81Regulation NMS Adopting Release at 37538. 82See, e.g., infra Sections II.F.2(h) (discussing comments received on best execution related to depth of book data); III.B.10(c) (discussing comments received on best execution related to ‘‘multiple NBBOs’’ and the selection of a competing consolidator). 83Proposing Release, 85 FR at 16729, 52, 69. 84 Id. at 16734, 55. 85Regulation NMS Adopting Release at 37537. 86 Id. at 37538. 87FINRA has codified a duty of best execution in its rules, requiring a broker-dealer to ‘‘use reasonable diligence to ascertain the best market for the subject security and buy or sell in such market so that the resultant price to the customer is as favorable as possible under prevailing market conditions.’’ FINRA Rule 5310, ‘‘Best Execution and Interpositioning.’’ 88See Regulation NMS Adopting Release at 37538. 89Kurz v. Fidelity, supra note 80, 556 F.3d at 640. 90Securities Exchange Act Release No. 43590 (Nov. 17, 2000), 65 FR 75414, 18 (Dec. 1, 2000). The Commission has recognized that the scope of the duty of best execution must evolve as changes occur in the market that give rise to improved executions for customer orders. Order Execution Obligations, Release No. 37619A (Sept. 6, 1996), 61 FR 48290 (Sept. 12, 1996). 91Similarly, these amendments do not change investment advisers’ duty of best execution. See generally Commission Interpretation Regarding Standard of Conduct for Investment Advisers, Release No. IA–5248 (June 5, 2019). 92The Commission will monitor the impact of these amendments on broker-dealer best execution policies and procedures and will consider whether additional steps, such as further best execution guidance, are necessary or appropriate. 93See Regulation NMS Adopting Release at 37538 (‘‘Broker-dealers must examine their procedures for seeking to obtain best execution in light of market and technology changes and modify those practices if necessary to enable their customers to obtain the best reasonably available prices.’’). 94Best execution considerations may also be relevant to the selection of a market data provider and the choice to consume different data elements today. See FINRA, Regulatory Notice 15–46, 1, 3 n. 12 (2015) (‘‘The exercise of reasonable diligence to ascertain the best market under
prevailing market conditions can be affected by the market data, including specific data feeds, used by a firm. For example, a firm that regularly accesses proprietary data feeds, in addition to the consolidated SIP feed, for its proprietary trading, would be expected to also be using these data feeds to determine the best market under prevailing market conditions when handling customer orders to meet its best execution obligations.’’). 95See Proposing Release, 85 FR at 16741, 54. 96See supra notes 80–81 and accompanying text. opportunity for more efficient and effective market operations’’ 78 and to ensure fair competition, the availability of NMS information, and ‘‘the practicability of brokers executing investors’ orders in the best market.’’ 79 E. Implications for Best Execution The Commission has stated that the duty of best execution requires broker￾dealers to ‘‘execute customers’ trades at the most favorable terms reasonably available under the circumstances, i.e., at the best reasonably available price.’’ 80 The Commission stated that certain other factors that are relevant to best execution include ‘‘order size, trading characteristics of the security, speed of execution, clearing costs, and the cost and difficulty of executing an order in a particular market.’’ 81 Commenters questioned the implications of the proposed changes to the content and provision of NMS information on the duty of best execution.82 In the Proposing Release, the Commission stated that the proposed additional data content in consolidated market data and the method by which such data was disseminated would facilitate the best execution of investor orders and enhance best execution analyses.83 The Commission also stated that it was not ‘‘specifying minimum data elements needed to achieve best execution’’ or ‘‘mandating the consumption’’ of the expanded data content and, more broadly, acknowledged that different market participants and different trading applications have different market data needs.84 A broker-dealer has a legal duty to seek best execution of customer orders.85 The duty of best execution derives from common law agency principles and fiduciary obligations.86 It is incorporated in SRO rules 87 and has been incorporated into the antifraud provisions of the Federal securities laws through judicial decisions.88 In addition to the best price reasonably available, speed of execution and available liquidity,89 the Commission has articulated a non-exhaustive list of factors that may be relevant to broker￾dealers’ best execution analysis: (1) The size of the order; (2) the trading characteristics of the security involved; (3) the availability of accurate information affecting choices as to the most favorable market center for execution and the availability of technological aids to process such information; and (4) the cost and difficulty associated with achieving an execution in a particular market center.90 While these amendments do not change a
broker-dealer’s duty of best execution,91 the Commission recognizes that the changes to consolidated market data resulting from the amendments may be relevant to a broker-dealer’s best execution analysis.92 Broker-dealers must execute customers’ trades at the most favorable terms reasonably available under the circumstances and must examine their procedures for seeking to obtain best execution in light of market and technology changes and modify those practices if necessary.93 Both the additional data content and the new method by which such data will be disseminated represent market and technology changes that should be considered by broker-dealers in connection with their best execution obligations.94 Specifically, the availability of more data content in consolidated market data, including odd-lot information, depth of book data, and auction information, may be relevant to a broker-dealer’s ability to achieve and analyze best execution because it can provide information that, in many circumstances, may be useful in making trading and order placement decisions.95 In addition, the availability of more timely consolidated market data may be relevant to a broker-dealer’s ability to achieve and analyze best execution because it can bear upon the accuracy of the information about the most favorable market center for executing customer orders. Therefore, broker-dealers should consider the availability of consolidated market data, including the various elements of data content and the timeliness, accuracy, and reliability of the data provided by competing consolidators, in developing and maintaining their best execution policies and procedures. Further, because richer, more timely consolidated market data may enhance the ability of broker-dealers to obtain the most favorable terms reasonably available under the circumstances, including the best reasonably available price and other factors,96 for their customer orders, broker-dealers should consider the availability of consolidated market data for purposes of evaluating best execution. However, while the additional data content may be relevant to broker￾dealers’ best execution analyses and, in many cases, will facilitate the ability of broker-dealers to achieve best execution for their customer orders, the Commission, consistent with the approach taken in the Proposing Release, is not setting forth minimum data elements needed to achieve best execution and does not expect that all market participants will need to

97 17 CFR 242.603(c). 98 17 CFR 242.600(b)(17). 99 17 CFR 242.600(b)(95). 100See Proposing Release, 85 FR at 16743–46; infra Section II.D.2(b). 101See Proposing Release, 85 FR at 16760; infra
Section II.H.
102See supra notes 89 and 90 and accompanying text. 103See infra notes 897, 907–908 and accompanying text. 104See infra Section III.C.8(c). 105See supra note 90 and accompanying text. 106Cf. FINRA, Regulatory Notice 15–46, supra note 94. See also letter from Tyler Gellasch, Executive Director, Healthy Markets Association, to Vanessa Countryman, Secretary, Commission, dated May 26, 2020, (‘‘Healthy Markets Letter I’’) at 4–5; letter from Marcia E. Asquith, Executive Vice President, Board and External Relations, Financial Industry Regulatory Authority, Inc., to Vanessa Countryman, Secretary, Commission, dated May 26, 2020, (‘‘FINRA Letter’’) at 6. 107See Proposing Release, 85 FR at 16728. 108See id. 109See id. at 16751. 110See infra note 240. See also Proposing Release, 85 FR at 16739. purchase the most comprehensive or fastest consolidated market data product available. The legal requirements that establish minimum data standards for certain purposes are not changing. Specifically, Rule 603(c) of Regulation NMS,97 the Vendor Display Rule, requires SIPs and broker-dealers to provide a consolidated display, as defined in Rule 600(b)(17) of Regulation NMS,98 in a context in which a trading or order routing decision can be implemented. In addition, in order to comply with Rule 611 of Regulation NMS, the Order Protection Rule, trading centers, as defined in Rule 600(b)(95) of Regulation NMS,99 must have access to the protected bid and protected offer. While these rules are impacted by the new definition of round lot, and the data that must be processed and displayed will change as the definition of round lot changes, the minimum data requirements associated with these rules are not changing.100 Additionally, market participants will need to obtain regulatory data to meet regulatory obligations and to be informed of trading halts, price bands, or other market conditions that may affect their trading activity.101 Best execution analysis varies depending upon the characteristics of customers and orders handled. For example, the data requirements for an institutional broker’s smart order router (‘‘SOR’’) executing large algorithmic orders are likely different than for a small retail broker’s visual display for non-professional individual investors. Given the large array of potential scenarios, the Commission cannot specify the data elements that may be relevant to every specific situation. Rather, broker-dealers must perform a best execution analysis to determine what data is relevant to obtaining best execution of customer orders, in a manner that is similar to decisions they must make today regarding whether to obtain data content that is available on a proprietary basis. In addition, the decentralized consolidation model will change the method by which market data is disseminated by introducing competing consolidators, who will offer consolidated market data products, which broker-dealers may choose as a source of market data. The speed of execution,
the availability of accurate information affecting choices as to the most favorable market center for execution, and the availability of technological aids to process such information may be relevant factors in conducting a best execution analysis.102 While all competing consolidators will offer consolidated market data products, they may do so at different prices or at different latencies or with different amounts of data content.103 Therefore, the selection of a competing consolidator may also be relevant to a broker-dealer’s ability to achieve and analyze best execution. Competing consolidators will be required to disclose information about their consolidated market data products, including the services they will offer, the prices for such services as well as performance metrics.104 These disclosures should help to facilitate a broker-dealer’s ability to achieve and analyze best execution because they provide information regarding the timeliness, completeness, and accuracy of the market data offered by competing consolidators.105 These disclosures also provide statistics on capacity, network delay, and latency, offering additional insight into the technical capabilities and expected performance of a competing consolidator. This information will assist a broker-dealer in selecting an appropriate competing consolidator, which will affect the broker-dealer’s ability to obtain ‘‘the most favorable terms reasonably available under the circumstances’’ for its customer orders. The Commission believes that a broker-dealer that uses low-latency or content-rich consolidated market data, whether self-aggregated or received from a competing consolidator, for its proprietary trading, would also be expected to use those data products when pursuing the best execution of customer orders, particularly those handled within the same aggregation unit that conducts proprietary trading. For example, a broker-dealer should not use a separate, less performant data source for its customer orders than the data source used for proprietary orders that may interact with those customer orders in a manner disadvantageous to those customer orders.106
II. Enhancements to NMS Information
A. Introduction
Today, most market participants utilize electronic trading systems to execute orders for themselves and for their customers. These electronic trading systems, which consume many pieces of data in an effort to trade competitively and efficiently in today’s markets, are designed to analyze more information than is provided by the exclusive SIPs. Given that the current market is vastly different from when the national market system was established in the 1970s, the Commission believes that a broad cross-section of market participants would benefit from information that goes beyond SIP data to trade competitively and efficiently and that the information that is provided within the national market system needs to be augmented with new information elements. As discussed in detail below, the Commission is adopting new rules and amending certain existing rules under Regulation NMS to add new elements to the information that is collected, consolidated, and disseminated under the national market system. By way of example, in the 1970s, trading volume in any given stock was concentrated on its listing exchange and trading largely occurred manually with individuals representing orders on exchange floors.107 Since then, technology has fundamentally altered market operations and trading today largely occurs electronically with little human intervention.108 Numerous other changes have also impacted how trading occurs. For example, in 2001, decimalization reduced the increment of trading from fractions to pennies and resulted in a reduction in the size of liquidity at the best prices, commonly referred to as the ‘‘top of book.’’ 109 The reduction in displayed order interest at the best bid or offer means liquidity is layered across multiple price levels, which makes depth of book information necessary for many market participants and trading systems to trade in an informed and effective manner. In addition, individual odd-lot quotations, especially in high share price stocks, have become more prevalent 110 and important to market participants as individual share prices

111See Proposing Release, 85 FR at 16739 (stating that between 2004 and 2019, the average price of a stock in the Dow Jones Industrial Average nearly quadrupled). 112See id. at 16740 (noting multiple Roundtable panelists and commenters supported the addition of odd-lot information to SIP data), 16751–52 (noting multiple Roundtable panelists and commenters supported the addition of depth of book data to SIP data), 16758 (noting multiple Roundtable panelists and commenters supported the addition of auction information to SIP data). 113See, e.g., 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). 114Section 11A(c)(1)(B) of the Exchange Act provides the Commission with the authority to, among other things, assure the fairness and usefulness of the form and content of quotation and transaction information. 115See, e.g., letter from John A. Zecca, Executive Vice President, Chief Legal Officer, and Chief Regulatory Officer, Nasdaq, to Vanessa Countryman, Secretary, Commission, dated May 26, 2020, (‘‘Nasdaq Letter IV’’) at 31–34; letter from Elizabeth K. King, Chief Regulatory Officer, ICE, and General Counsel and Corporate Secretary, NYSE, to Vanessa Countryman, Secretary, Commission, dated June 1, 2020, (‘‘NYSE Letter II’’) at 3–8; letter from Joseph Kinahan Managing Director, Client Advocacy and Market Structure, TD Ameritrade, to Vanessa A. Countryman, Secretary, Commission, dated June 1, 2020, (‘‘TD Ameritrade Letter’’) at 4. 116See infra Section II.C.2(a). 117See infra Section III.E.2(e). 118See supra Section I.E (discussing the implications for best execution). 119See supra Section I.A. 120As discussed below, the Commission also proposed and is adopting definitions for ‘‘core data,’’ ‘‘regulatory data,’’ ‘‘administrative data,’’ and ‘‘self-regulatory organization-specific program data.’’ See infra Sections II.C, II.H, II.J, II.K, respectively. have increased.111 Finally, an increasing proportion of total trading volume is executed during opening and closing auctions, which has made information about orders participating in auctions increasingly important to many market participants. These changes have led market participants to call for additional information to be included in consolidated market data so that market participants can participate more fully and competitively.112 However, very few adjustments 113 have been made to NMS information to account for these changes since the adoption of the 1975 Amendments. The Commission believes that the content of current SIP data and the mechanism by which SIP data is collected, consolidated, and disseminated has not kept pace with market
developments. Therefore, the Commission is adopting these amendments to specify additional information that must be made available pursuant to the effective national market system plan(s).114 Information about better priced orders in smaller sizes can improve investors’ ability to trade at the best prices available. Further, certain market participants can more efficiently place larger sized orders that may not be fully executed at top of book prices using information about the prices of orders outside of the best bids and best offers, and they can more effectively participate in exchange auctions using relevant information about the trading interest in such auctions. Finally, market participants also need to have, and will continue to receive, regulatory information, administrative data, and other important information to participate effectively in the markets. The Commission received comments on each of these issues. As discussed more fully below, some commenters, stating that the information is not necessary for all investors, questioned the need to add new information elements.115 While the Commission recognizes that different market participants need differing amounts of information to meet different trading objectives, the Commission believes that the availability of the new information will enhance the ability of market participants to trade competitively and efficiently and will indirectly benefit investors who place orders in the national market system even if they do not directly consume all of the new data elements by facilitating executing broker-dealers’ access to information.116 In today’s market, information about odd-lot quotations, depth of book quotations, and auction information has become highly relevant. Together, these pieces of information can be significantly beneficial in facilitating informed trading decisions, and the Commission believes that they should be more widely distributed and more readily accessible. The Commission anticipates that a variety of consolidated market data products will be developed to meet the various needs investors have for data.117 The Commission believes that the amendments will enhance the usefulness of NMS information and thus better inform trading and investment decisions for all investors, which in turn will help maintain fair and efficient markets as well as facilitate best execution of customer orders.118 Accordingly, as discussed in more detail below, the Commission is adopting several new defined terms under Rule 600 of Regulation NMS to specify, and as a result expand and enhance, the data that Regulation NMS requires to be collected, consolidated, and disseminated. Importantly, the Commission is adopting two new definitions under Regulation NMS— ‘‘consolidated market data’’ and ‘‘core data’’—to specify the components of NMS information that are required to be collected, consolidated, and disseminated under the national market system. ‘‘Consolidated market data product’’ is defined as
any data product developed by a competing consolidator that contains consolidated market data or any of the elements or subcomponents thereof. The Commission is also adopting additional defined terms to further set forth the scope of information included within the definitions of consolidated market data and core data. The definitions include information that is currently provided by the exclusive SIPs as well as new information designed to ensure that brokers, dealers, and investors have available information with respect to quotations for and transactions in securities that is prompt, accurate, reliable, and fair.119 B. Definition of ‘‘Consolidated Market Data’’ Under Rule 600(b)(19)

1. Proposal
   The Commission proposed 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 through the proposed definition of ‘‘consolidated market data.’’ Specifically, the Commission proposed that consolidated market data would include 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).120 In addition, the proposed definition of consolidated market data would be used to delineate the responsibilities and obligations of the SROs under Rule 603(b) and competing consolidators under Rule 614. These rules implement the decentralized consolidation model, which is discussed in more detail in
   Section III below.
2. Final Rule and Response to
   Comments
   The Commission received a number of comments on the proposed expansion of NMS information related to the specific elements that make up

121See infra Sections II.C through II.K. 122See Capital Group Letter at 2. 123TD Ameritrade Letter at 3 (quoting Regulation NMS Adopting Release). 124See Clearpool Letter at 11 (stating that the Commission should provide flexibility in the definition of core data or the process by which the elements of core data are determined); RBC Letter at 4 (stating that the proposed definition of core data should serve as a ‘‘floor’’ that the Operating Committee should be permitted to expand upon (but not reduce) pursuant to Plan amendments); letter from Emil R. Framnes, Global Head of Trading, and Simon Emrich, Market Structure and Trading Research, Norges Bank Investment Management Letter, to Vanessa Countryman, Secretary, Commission (‘‘NBIM Letter’’) at 5 (‘‘[I]t might be prudent to allow for further modification of the definition of core data as market structure evolves.’’). 125NYSE Letter II at 3. 126See letter from Kelvin To, Founder and President, Data Boiler Technologies, LLC, to Vanessa Countryman, Secretary, Commission, dated May 26, 2020, (‘‘Data Boiler Letter I’’) at 19–20. However, this commenter also stated that administrative data should be included in the proposed definition of consolidated market data. See id. at 34. 127The Commission is modifying the definition of exchange-specific program data to be self-regulatory organization-specific program data. See infra
Section II.K.
128See infra Sections II.C through II.K. 129See Proposing Release, 85 FR at 16735. See also infra Section II.C.2(a); supra Section I.E. 130See infra Sections II.C through II.K. 131See NYSE Letter II at 3. 132See infra Section III. See also infra notes 139 and 140 and accompanying text (discussing the Commission’s adoption of the new defined term ‘‘consolidated market data product’’). 133See infra Section II.H. 134See Clearpool Letter at 11. 135See Proposing Release, 85 FR at 16734. 136See infra Sections II.C through II.G. 137The Commission will continue to monitor the usefulness of these core data elements to market participants and consider whether any modifications to the definition of core data are necessary or appropriate as the markets evolve. Interested persons also may petition the Commission to amend such definition if they believe particular changes are warranted. 138See infra Sections II.H, II.J, and II.K. Both SRO rule changes and effective national market system plan amendments are subject to the public notice and comment process, as well as Commission review. See Exchange Act Section 19(b)(1), 15 U.S.C. 78s(b)(1); 17 CFR 240.19b–4 (Rule 19b–4); Rule 608(b) of Regulation NMS, 17 CFR 242.608(b). 139See infra Section VIII. 140See infra Section III.C.8(a). consolidated market data,121 and the Commission also received some comments on the proposed definition of consolidated market data. One commenter supported the expansion of NMS information to include the proposed elements of consolidated market data.122 Another commenter agreed with the proposed definition, stating that these data elements need to be clearly defined and categorized and that ‘‘tight definitions would assist to ‘preserve the integrity and affordability of the consolidated data stream.’ ’’ 123 Other commenters, however, stated that the Commission should allow additional core data elements to be included in consolidated market data through a process other than Commission rulemaking.124 A different commenter stated that the proposed changes to consolidated market data are ‘‘not appropriately tailored to the needs of the market’’ and ‘‘are overly broad and unnecessarily complex.’’ 125 Another commenter, while agreeing that the definition of consolidated market data should be defined as proposed, suggested that it should only include depth-of-book data, certain odd-lot information, and three options for including auction data.126 The Commission is adopting the definition of consolidated market data largely as proposed.127 As discussed in detail below,128 the Commission continues to believe that expanding the NMS information that is required to be provided under the rules of the national market system, as set forth in the definition of consolidated market data, would 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.129 As reflected in
comments received from a variety of market participants, each of the elements of consolidated market data—and in particular the expansion of core data to include quotation interest in smaller orders of higher-priced stocks, depth of book data, and auction information— would provide significant, useful information to market participants.130 Consistent with the views of market participants—many of whom will be the users of consolidated market data—that this data would be useful to them to improve investment decisions and facilitate the best execution of customer orders, the Commission believes that the definition of consolidated market data is ‘‘appropriately tailored’’ to market participants’ needs, that it is not overly broad, and that it does not entail unnecessary complexity.131 In addition, the proposed decentralized consolidation model permits competing consolidators to offer, and market participants to consume, customized market data products that suit their particular needs. This flexibility addresses concerns that consolidated market data is overly broad or unnecessarily complex because it allows competing consolidators and their subscribers to adjust the breadth and complexity of the market data products they offer and consume, respectively.132 On the other hand, limiting consolidated market data to only depth of book data, certain odd-lot information, and auction data, as one commenter suggested, would not include regulatory data—such as information regarding trading halts and price bands—that the Commission believes is necessary to trade effectively and efficiently.133 In response to comments recommending a more streamlined or flexible process to include additional data elements in core data,134 the Commission agrees that the definition of consolidated market data should permit additional data elements to be added pursuant to effective national market system plan amendments. However, the Commission continues to believe that this process should be limited to future regulatory, administrative, or self￾regulatory organization-specific program information.135 As discussed below,136 the transaction and quotation information reflected in the definition of core data—including best bids and offers, the NBBO, protected quotations, last sale data, depth of book data, and auction information—is specified in the rule.137 The rule as proposed and adopted is designed to account appropriately for additional regulatory, administrative, and self-regulatory organization-specific program information data elements that may emerge periodically through the approval of new SRO rules or the development and refinement of technical specifications to be included in consolidated market data through the effective national market system plan amendment process.138 The Commission is defining a new term, ‘‘consolidated market data product’’ to mean any data product developed by a competing consolidator that contains consolidated market data or components of
consolidated market data. The definition of consolidated market data product also specifies that components of consolidated market data include the enumerated elements, and any subcomponent of the elements, of consolidated market data in § 242.600(b)(19) and that all consolidated market data products must reflect data consolidated across all national securities exchanges and national securities associations.139 As discussed further below, Rule 614 will require competing consolidators to offer one or more consolidated market data products to their subscribers, and will not, as proposed, require them to offer a product that contains all elements of consolidated market data.140 In addition, the Commission recognizes that some market participants will not want or need a consolidated market data

141U.S. Const. amend. 5 (‘‘No person shall be held to answer for a capital, or otherwise infamous crime, unless on a presentment or indictment of a grand jury, except in cases arising in the land or naval forces, or in the militia, when in actual service in time of war or public danger; nor shall any person be subject for the same offense to be twice put in jeopardy of life or limb; nor shall be compelled in any criminal case to be a witness against himself, nor be deprived of life, liberty, or property, without due process of law; nor shall private property be taken for public use, without just compensation.’’). 142Nasdaq Letter IV at 50. 143 Id. 144 Id. at 50–51. 145See supra note 5. 146See Ruckleshaus v. Monsanto Co., 467 U.S. 986, 1005–07 (1984) (noting that the reasonableness of an investment-backed expectation depends in
part on whether the regulated activity has been in
an area ‘‘that has long been the source of public concern and the subject of government regulation’’); District Intown Properties Ltd. P’ship v. District of Columbia, 198 F.3d 874, 884 (D.C. Cir. 1999) (‘‘Businesses that operate in an industry with a history of regulation have no reasonable expectation that regulation will not be strengthened to achieve established legislative ends.’’); Me. Educ. Ass’n Benefits Tr. v. Cioppa, 695 F.3d 145, 154 (1st Cir.
2012) (the plaintiff’s ‘‘expectations are substantially
diminished by the highly regulated nature of the industry in which it operates’’). 147See Proposing Release, 85 FR at 16730. 148See, e.g., Rules 601, 602, and 603 of Regulation NMS. 149See supra note 16. 150As discussed below, the proposed definition of core data also specified an odd-lot aggregation methodology for protected quotations. See infra
Section II.E.2(b).
151See Proposing Release, 85 FR at 16736. 152See T. Rowe Price Letter at 1–2 (‘‘Expanding the content of NMS information would improve its utility when consumed electronically (e.g., by algorithmic trading systems or smart order routers).’’); BlackRock Letter at 2 (‘‘BlackRock is supportive of expanding and revamping the content of NMS information. We agree that this would help to reduce information asymmetries between market participants who rely upon SIP data and those who purchase proprietary data feeds from the national securities exchanges.’’). 153See Clearpool Letter at 11 (supporting ‘‘the inclusion of this additional information in core data, which can reduce the reliance on exchanges’ proprietary data feeds and provide market participants with additional information to make informed order routing and execution decisions,’’ while also ‘‘recommend[ing] that the Commission require a ‘retail interest indicator’ to be added to quotes to assist market participants in defining what portion of the quote is attributable to retail interest’’); RBC Letter at 4 (stating that RBC ‘‘generally support[s] the Proposal’s definition of Core Data’’); letter from Tim Lang, Chief Executive Continued product that contains all elements of consolidated market data.
3. The Fifth Amendment’s Takings
Clause
The Constitution’s Takings Clause prevents the taking of private property for public use without just compensation.141 One commenter stated that the proposal to expand the data that would be required to be provided under Regulation NMS would violate the Takings Clause by ‘‘effecting a physical taking . . . without just compensation.’’ 142 The commenter asserted that the proposal would require it to ‘‘turn over vast amounts of their proprietary market data—valuable property that Nasdaq currently sells to market participants at a reasonable rate of return—to competing consolidators and self-aggregators at prices set by the operating committee of the consolidated NMS plan.’’ 143 The commenter stated that the government would ‘‘expropriate property belonging to Nasdaq and redistribute it to Nasdaq’s competitors at prices set, in part, by the non-SRO members of the consolidated NMS plan’s operating committee’’ that would be ‘‘laboring under a conflict-of-interest and would have no incentive to pay ‘just compensation’ for the property taken from Nasdaq.’’ 144 Neither the expansion of NMS information pursuant to the definition of consolidated market data nor the requirement that national securities exchanges and associations make the data necessary to generate consolidated market data available to competing consolidators and self-aggregators constitutes a taking for the following reasons. The Commission’s action does not encroach on or appropriate any property. The exchanges developed their proprietary data within a highly regulated statutory and regulatory structure that provides the Commission with ample authority to decide—and revise—which types of information the exchanges must provide to market participants to fulfill their responsibilities under the Exchange Act.145 Moreover, the SROs will be compensated for making the data necessary to generate consolidated market data available to competing consolidators and self-aggregators pursuant to fees established by the effective national market system plan(s). Even if non-SRO members of plan Operating Committees have a degree of authority to influence proposed consolidated market data fees, the Commission retains authority to ensure that those fees are ‘‘fair and reasonable’’ and ‘‘not unreasonably discriminatory.’’ The exchanges thus had no reasonable basis to expect that the current regulatory structure would remain in place in perpetuity in this highly regulated field, and, in any event, they will not be deprived of the economic benefits of the information they will provide to market participants.146
C. Definition of ‘‘Core Data’’ Under Rule
600(b)(21)

1. Proposal
   As stated in the Proposing Release,147 Regulation NMS does not contain a definition of ‘‘core data,’’ although various Regulation NMS rules describe the information that is required to be collected, consolidated, and disseminated under Regulation NMS.148 The Commission proposed defining ‘‘core data’’ to include the information currently referred to as core data—last sale data, each SRO’s best bid and best offer (‘‘BBO’’), and the NBBO 149—along with new information that is not currently required to be provided under Regulation NMS or by the exclusive SIPs. The proposed new information included quotation data for smaller￾sized orders in higher-priced stocks (pursuant to a new definition of ‘‘round lot’’), information on certain quotations below the best bid or above the best offer (pursuant to a new definition of ‘‘depth of book data’’), and information about orders participating in auctions (pursuant to a new definition of ‘‘auction information’’). Specifically, the proposed definition of core data included: (A) Quotation sizes; (B) aggregate quotation sizes; (C) best bid and best offer; (D) national best bid and national best offer; (E) protected bid and protected offer; (F) transaction reports; (G) last sale data; (H) odd-lot transaction data disseminated pursuant to the effective national market system plan or plans required under § 242.603(b) as of [date of Commission approval of this Adopting Release]; (I) depth of book data; and (J) auction information. Additionally, the proposed definition of core data specified how odd-lots are to be aggregated for purposes of certain data elements included within the definition of core data. Specifically, the proposed definition stated that the best bid and best offer, national best bid and national best offer, and depth of book data shall include odd-lots that when aggregated are equal to or greater than a round lot, and that such aggregation shall occur across multiple prices and shall be disseminated at the least aggressive price of all such aggregated odd-lots.150 Finally, the proposed definition of core data did not include certain information—specifically, OTC Bulletin Board (‘‘OTCBB’’) data, and corporate bond and index data—that is currently provided by the exclusive SIPs.151
2. Final Rule and Response to
   Comments
   (a) Expansion of Core Data, Generally Multiple commenters supported the expansion of NMS information generally 152 and of core data 153 in

Officer, ACS Execution Services, LLC, to Vanessa Countryman, Secretary, Commission, dated May 26, 2020, (‘‘ACS Execution Services Letter’’) at 2; IEX Letter at 2 (‘‘We support the Market Infrastructure Proposal because it will update the content of ‘core data’ to better reflect the information needed to participate in today’s markets . . . .’’); ICI Letter at 4 (‘‘We support the Commission expanding the scope of core data, which will benefit funds and their shareholders.’’). 154As discussed below, many commenters also expressed views on the specific elements of the definition of core data. See infra Sections II.D; II.E; II.F; II.G. 155ACS Execution Services Letter at 2. 156Letter from Jeffrey T. Brown, Senior Vice President Legislative and Regulatory Affairs, Charles Schwab & Co., Inc., to Vanessa Countryman, Secretary, Commission, dated May 26, 2020, (‘‘Schwab Letter’’) at 2–3. 157 Virtu Letter at 2, 5 (‘‘[T]he ‘core data’ offered through the SIPs is no longer sufficient for most market participants to trade competitively in today’s marketplace.’’). 158See TD Ameritrade Letter at 3. 159NYSE Letter II at 3–4. 160Nasdaq Letter IV at 7–8. 161 Id. at 8 (footnote removed). See also NYSE Letter II at 3–8; TD Ameritrade Letter at 4. 162The Commission is revising the proposed definition of core data to include odd-lots priced at or better than the NBBO, to specify how quotation sizes are to be displayed in core data, and to require SRO attribution of core data elements. The Commission is also modifying the proposed definitions of depth of book data and auction information and is not adopting the proposed amendments to the definition of protected bid or protected offer, which definitions are embedded in the definition of core data. The particular elements of the definition of core data are discussed below. See infra Sections II.C.2(b); II.D; II.E; II.F; II.G. 163See Proposing Release, 85 FR at 16735–76. 164See, e.g., T. Rowe Price Letter at 2 (‘‘We believe the addition of depth of book data (specifically, the five price levels above the protected offer and below the protected bid) and auction imbalance information, including opening, reopening, and closing auctions, will make SIP data a much more viable alternative to proprietary market data. . . . This additional data will help reduce the information asymmetries that currently exist between SIP data and proprietary data.’’); ACS Execution Services Letter at 2 (‘‘ACS strongly supports expanding core data to include additional information of significance to investors. As the proposal notes, through the provision of such additional information, market participants may have access to data to make better routing and trading decisions.’’). 165See, e.g., Virtu Letter at 5 (‘‘[I]ncluding depth of book information in the SIP will allow investors who cannot afford to pay for costly Exchange proprietary feeds to trade more competitively in the marketplace, and we believe five levels of depth of book is a
reasonable and appropriate place to land.’’); Clearpool Letter at 11 (‘‘[C]urrently, the ‘core data’ provided through the SIP only includes the NBBO and top-of-book data. For this reason, there continues to be no viable alternatives for broker-dealers to paying exchanges for their proprietary market data, both to provide competitive execution services to clients and, equally important, to meet best execution obligations. Clearpool therefore strongly supports the inclusion of this additional information in core data, which can reduce the reliance on exchanges’ proprietary data feeds and provide market participants with additional information to make informed order routing and execution decisions.’’); IEX Letter at 5–6 (‘‘For these reasons, the NBBO no longer encompasses the ‘core data’ that market participants need to stay competitive and satisfy best execution responsibilities. The fact that depth of book data can only be obtained through exchange proprietary data feeds allows exchanges to charge extraordinarily high prices completely disproportionate to any reasonable estimation of the cost of producing that data. . . . Importantly, however, to the extent that a significant subset of market participants could rely on this data as a viable alternative to purchasing proprietary data, or could viably choose to purchase less proprietary data than they need today, it could help to harness market competition to restrain data fee increases that today are largely unrestrained.’’); letter from James J. Angel, Associate Professor of Finance, Georgetown University, to the Commission, dated June 12, 2020, (‘‘Angel Letter’’) at 7–8 (‘‘Providing data on a visibly level playing field will increase public trust in the integrity of the markets. . . . Freely available information about the entire market, including orders inside the spread and the depth of book, will reduce the asymmetry of information in the market between small retail investors and larger players. This added transparency will reduce the notion that markets are ‘rigged’ in favor of larger players.’’). 166See Proposing Release, 85 FR at 16735–59 (discussing market developments such as rising stock prices and increased odd-lot trading, decimalization, and the growth of auctions and the need to expand core data to include smaller-sized orders in higher priced stocks, depth of book data, and auction information to help market participants use core data to trade in a more informed and effective manner in light of these developments); infra Sections II.D through II.G. particular.154 One commenter, ‘‘agree[ing] that the proposed information to be included in core data has become much more important to broker-dealers in recent years . . .,’’ ‘‘strongly support[ed] expanding core data to include additional information of significance to investors.’’ 155 Another commenter stated that ‘‘add[ing] more pricing information to the consolidated tape . . . would be a fundamental improvement that would expand data
access to Main Street investors in a very meaningful way.’’ 156 A different commenter said that ‘‘all data is ‘core data.’ ’’ 157 Some commenters opposed the expansion of core data, however. One commenter, though agreeing that Regulation NMS should define core data, stated that the new proposed core data elements are not necessary or useful for all market participants but will raise the costs of core data for all market participants by requiring them to receive and process core data to meet their regulatory obligations. 158 Similarly, another commenter, though supportive of the Commission formally defining core data in its regulations, argued that the proposed definition was ‘‘poorly designed’’ because it ‘‘only consider[s] the requirements of market participants that need, and are able to consume, a richer data set’’ and that the proposed definition ‘‘would require non-professional investors who do not need such rich data to purchase and consume even more unnecessary data elements (e.g., depth of book data) than the current SIP product provides.’’ 159 Another commenter argued that the Commission falsely assumed that the decision by some market participants to supplement current core data with proprietary data means that this additional data is necessary to all market participants and investors, and that the expanded set of information included in the proposed definition of core data ‘‘is neither necessary nor relevant to the business models and trading or investment strategies of many, if not most, ordinary investors and market participants.’’ 160 Additionally, the commenter stated that the Commission ‘‘failed to collect data regarding whether any meaningful number of market participants that desire access to non-core data are actually unable to obtain it, either directly from exchanges or indirectly (and often free of charge) from their brokers.’’ 161 The Commission is adopting the definition of core data largely as proposed, as discussed further below.162 In the Proposing Release, the Commission stated its preliminary belief that the content of core data has not kept pace with market developments and that the proposed expansion of core data would enhance its usefulness to address the needs of a broad cross￾section of market participants.163 Comments received from a variety of market participants—including exchanges, buy-side firms, and sell-side firms—have borne this out. Numerous commenters expressed support for the proposed definition of core data, stating that the specific subcomponents of core data, such as five levels of depth of book data, would help market participants to trade more effectively.164 Several commenters also pointed out that expanding core data would promote a wider dissemination of this data, including to market participants who cannot afford expensive proprietary feeds.165 For the reasons discussed in the Proposing Release and as set forth in detail below with respect to the specific elements of core data,166 the
Commission believes that the expanded definition of core data will be useful to market participants and will help fulfill needs that are not currently being met by SIP data. Additionally, and for the same reasons, the Commission disagrees with comments suggesting that proposed core data would not be useful to many market participants, that proprietary market data products are adequately meeting the needs of all market participants, and that all market participants that have a need to access

167See supra note 114 (describing the authority under Section 11A of the Exchange Act to specify additional information that must be made available within the national market system); Section I.A (explaining the need to improve and modernize the national market system to fulfill the goals of Section 11A of the Exchange Act and to meet the current core data needs of all market participants). As stated below, some market participants stated that those who do not buy the exchange proprietary DOB feeds and associated connectivity and transmission offerings are at a competitive disadvantage relative to market participants who purchase these feeds. See infra note 1620 and accompanying text. See also infra Sections III.E.2(c); V.C.2(b)(i)a (discussing how the amendments will affect data content fees). 168See TD Ameritrade Letter at 3; NYSE Letter II at 3–4; Nasdaq Letter IV at 7–8. 169See infra Section III.C.8(a). 170Proposing Release, 85 FR at 16775. 171See infra notes 174–176 and accompanying text. 172See letter from Elizabeth K. King, Chief Regulatory Officer, ICE, General Counsel and Corporate Secretary, NYSE to Vanessa Countryman, Secretary, Commission, dated Feb. 5, 2020, (‘‘Feb. NYSE Letter’’) (recommending that the Commission expand SIP content and ‘‘create products designed for modern use cases, including a SIP product with depth-of-book quotes for institutional traders and a National Best Bid and Offer (‘NBBO’) only version for retail customers, with fees based on content entitlements (or levels) instead of user type’’). See also infra notes 1201–1208 and accompanying text. 173See supra note 28 (describing comments received by the Commission regarding the high cost of proprietary data products that contain data needed for effective participation in the markets); infra Sections III.E.2(c); V.C.2(b)(i)a (discussing how the amendments will affect data content fees). 174See infra notes 878–880; supra notes 163–167 and accompanying text. 175See infra notes 878–880 and accompanying text. 176See supra Section I.E. 177See Clearpool Letter at 6. 178See infra Section II.K. 179See Proposing Release, 85 FR at 16746. 180See letter from Patrick Sexton, Executive Vice President, General Counsel, and Corporate Secretary, Cboe, to Vanessa Countryman, Secretary, Commission, dated May 26, 2020, (‘‘Cboe Letter’’) at 15; NYSE Letter II at 5; Nasdaq Letter IV at 14; RBC Letter at 5; letters to Vanessa Countryman, Secretary, Commission, from Kimberly Unger, Chief Executive Officer and Executive Director, STANY, dated June 11, 2020, (‘‘STANY Letter II’’) at 3; Anders Franzon, General Counsel, MEMX LLC, dated May 26, 2020, (‘‘MEMX Letter’’) at 2 (‘‘[A]ll data currently made available through proprietary data feeds should be available through NMS data feeds. This includes complete depth-of-book data (and thus all odd lot data). . . .’’). 181See CBOE Letter at 15. 182See NYSE Letter II at 5. 183See Nasdaq Letter IV at 14. 184See RBC Letter at 5. 185See STANY Letter II
at 3. these products are able to do so. Rather, the definition of core data specifies important information that would be useful to a wide variety of market participants—including those who do not obtain it through proprietary market data products today—and facilitates a broader dissemination of this information.167 In addition, the Commission disagrees with comments that the definition of core data would require market participants, including non-professional investors, to purchase or consume all data that would be defined as core data, and thereby increase the cost of core data for all.168 Competing consolidators are not required to offer a data product that includes all consolidated market data,169 and the Commission has explicitly stated that the proposed definitions of core data and consolidated market data do not ‘‘mandat[e] the consumption’’ of particular data elements.170 Thus, the Commission believes it has considered and addressed the needs of market participants that do not directly need all elements of core data. The purpose of expanding core data is to promote wider dissemination of data that will be useful in meeting the needs of a broad array of market participants. As explained below, the enhanced core data content will benefit all investors, regardless of whether they directly consume it.171 Furthermore, the Operating Committee of the effective national market system plan(s) could develop fees for data content underlying consolidated market data offerings for different subsets of consolidated market data to suit the needs of various market participants, as one member of the Operating Committee has already suggested.172 Within this framework, the Commission believes that the market would develop to enable market participants to consume and pay for the market data that best suits their needs and that there would be downward pressure on data content fees.173 Moreover, the Commission believes that all investors will benefit, directly or indirectly, from the expanded definition of core data. Even if only a subset of market participants may choose to acquire directly a data product that includes the full set of data elements included within the definition of core data, the Commission believes that there will be ample demand for expanded core data 174 and a corresponding incentive for competing consolidators to offer more content-rich products. The Commission expects that direct purchasers of such products likely will include many broker-dealers that are electronically routing orders for execution or executing orders internally. As discussed below, the additional data elements included within the definition of core data are useful to efficiently and effectively route and execute orders in today’s dispersed electronic markets,175 and their widespread availability should facilitate broker-dealers’ ability to achieve best execution for customers.176 Thus, broker-dealers will be incentivized to acquire products containing the expanded core
data elements to compete effectively for customer business. In addition, by including these additional, important market data elements as part of expanded core data, this rulemaking should help facilitate executing broker￾dealers’ access to information, to the benefit of all investors. Accordingly, while the Commission expects only some market participants to choose to purchase a data product that includes the full set of core data, any market participant that submits an order in an NMS stock should benefit indirectly from their doing so because more executing broker-dealers will receive the data elements that will help them place customer orders in a more informed and effective manner. Finally, in response to the comment recommending that a ‘‘retail interest indicator’’ be added to quotes,177 the definition of self-regulatory organization-specific program information already incorporates retail interest indicators disseminated in current SIP data and established pursuant to exchange retail liquidity programs in the definition of consolidated market data.178 (b) Odd-Lot Quotations In the Proposing Release, the Commission solicited comment on whether core data should include odd￾lot quotations, but did not include odd￾lot quotes in the definition of core data other than by incorporating them through the proposed definition of round lot.179 Several commenters recommended directly including odd￾lots in core data rather than doing so through the mechanism of the proposed definition of round lot.180 Specifically, one commenter suggested including odd-lots priced better than the PBBO in core data,181 and another suggested including the best-priced odd-lot quotation from each exchange.182 Another commenter supported the Commission’s aim of increasing odd-lot transparency for higher priced securities but questioned doing so through the proposed definition of round lot.183 One commenter recommended adding unprotected odd-lots to core data, combined with best execution guidance on broker-dealer obligations with respect to odd-lot quotations, rather than redefining round lot.184 Similarly, another commenter recommended including odd-lot quotations in core data while leaving the definition of round lot as it currently stands.185 A

186See Data Boiler Letter I at 19. 187See TD Ameritrade Letter at 4–5. 188Memorandum from the Division of Trading and Markets regarding a June 19, 2020, meeting with representatives of JP Morgan (‘‘JP Morgan Memo to File’’) at 2 (‘‘Under today’s rules: 11.6% of orders contain a contra-side oddlot [sic] quote better than the NBBO. Under SEC’s proposed round lot parameters: (i) Bucket A ($50.00 and less)¥100 share round lot¥6.3% of orders would still contain a contra-side oddlot [sic] quote better than the NBBO; (ii) Bucket B (between $50.01 and $100.00)¥20 share round lot¥10.9% of orders would still contain a contra-side oddlot [sic] quote better than the NBBO; (iii) Bucket C (between $100.01 and $500.00)¥10 share round lot¥11.6% of orders would still contain a contra-side oddlot [sic] quote better than the NBBO; (iv) Bucket D (between $500.01 and $1,000.00)¥2 share round lot¥23% of orders would still contain a contra-side oddlot [sic] quote better than the NBBO; (v) Bucket E ($1,000.01 and higher)¥1 share round lot¥all quotes are at round lot levels.’’). 189Proposing Release, 85 FR at 16741. 190See infra Section II.D (explaining that the Commission is adopting a four-tiered definition of round lot rather than the five-tiered definition that was proposed). 191See JP Morgan Memo to File at 2. different commenter recommended delaying odd-lots to mitigate the impact on processing times.186 On the other hand, one commenter expressed concerns that adding odd-lot quotations to core data would harm investor confidence in the markets resulting from confusion over protected and unprotected quotes and increased costs and latency for core data by adding more information that needs to be disseminated.187 A different commenter presented data showing that, for a significant percent of orders in each of the Commission’s proposed round lot tiers, there would still be a contra-side odd-lot quote better than the NBBO.188 The Commission continues to be concerned that the availability of odd￾lot order information solely to market participants who have purchased proprietary market data products creates a potentially significant information asymmetry relative to market participants who purchase only SIP data.189 For the reasons discussed below, the Commission is also modifying the definition of round lot.190 While the proposed definition of round lot, as modified, would incorporate a substantial proportion of odd-lot quotations that occur at a price better than the NBBO for certain higher-priced stocks, the Commission is concerned that a significant amount of liquidity that could be available at better prices would be excluded from core data.191 After considering comments, and given that the adopted round lot definition, on its own, would have resulted in less odd-lot information being included in core data, the Commission is adopting a definition of core data that includes all odd-lots that are priced at or better than the NBBO, aggregated at each price level at each
national securities exchange and national securities association. As summarized in Tables 1 and 2 below, staff analyzed data on the portion of all corporate stock and ETF volume executed on an exchange, transacted in a quantity less than 100 shares, at a price better than the prevailing NBBO, occurring in a quantity that would be defined as a round lot under both the adopted and proposed definitions of round lot.
TABLE 1
Adopted round lot tier Adopted round lot definition Portion of all corporate stock and ETF volume executed on an exchange, transacted in a quantity less than 100 shares, at a price bet￾ter than the prevailing NBBO, occurring in a quantity that would be defined as a round lot under the adopted definition of round lot $0–$250.00 ......................................................... 100 Shares ....................................................... 0%. $250.01–$1,000 .................................................. 40 Shares ......................................................... 65.35%. $1,000.01–$10,000.00 ........................................ 10 Shares ......................................................... 88.28%. $10,000.01 or more ............................................ 1 share ............................................................. 100.00%. Source: Equity consolidated data feeds (CTS and UTDF), as collected by MIDAS (May 2020); NYSE Daily TAQ.
TABLE 2
Proposed round lot tier Proposed round lot definition Portion of all corporate stock and ETF volume executed on an exchange, transacted in a quantity less than 100 shares, at a price bet￾ter than the prevailing NBBO, occurring in a quantity that would be defined as a round lot under the proposed definition of round lot $0–$50 ................................................................ 100 shares ....................................................... 0%. $50.01–$100 ....................................................... 20 shares ......................................................... 86.32%. $100.01–$500 ..................................................... 10 shares ......................................................... 93.57%. $500.01–$1,000 .................................................. 2 shares ........................................................... 98.85%. $1,000.01 or more .............................................. 1 share ............................................................. 100%. Source: Equity consolidated data feeds (CTS and UTDF), as collected by MIDAS (May 2020); NYSE Daily TAQ. In comparison to the proposed tiers, the round lot tiers in the final rule would have excluded a significant proportion of better-priced odd-lot liquidity, particularly for stocks priced between $50.01 and $250.00, and thus would not have included this liquidity in core data absent the Commission also including certain odd-lots in the definition of core data. The Commission believes that this better-priced odd-lot liquidity needs to be reflected in core data because it will help investors and other market participants to trade in a more informed and effective manner and to achieve better executions and reduce the information asymmetries that currently exist between subscribers to SIP data and subscribers to proprietary data. However, the Commission continues to be concerned that adding all odd-lot quotations, particularly those at less aggressive price levels, could ‘‘burden systems, increase complexity, and degrade the usefulness of information in a manner that may not be warranted by the relative benefit of the additional information to investors and market participants’’ and that the inclusion of

192Proposing Release, 85 FR at 16741. 193As discussed below, the Commission is adopting a standard odd-lot aggregation methodology for all elements of core data, including the NBBO, wherein odd-lots across multiple price levels would be aggregated and disseminated at the least aggressive price. See infra Section II.C.2(d). As a result, odd-lots priced at or better than the NBBO could be both included in the NBBO and displayed in the aggregate at each price level by exchange. The Commission believes that this is appropriate, since the NBBO and odd-lot interest at or better than the NBBO provide independently valuable information to market participants. For example, odd-lots priced at or better than the NBBO are beneficial for order routing and achieving best execution, while the NBBO is protected under Rule 611 and must be provided in certain contexts pursuant to the Vendor Display Rule (Rule 603(c)). Additionally, as discussed below, competing consolidators will have the ability to customize data products for their customers, allowing investors to receive only the information they are able to process, so the Commission does not believe that including better-priced odd-lots both at each price level at each exchange and as part of an aggregated round lot would confuse investors. 194The Commission is adding odd-lots priced at or better than the NBBO through a new definition, ‘‘odd-lot information,’’ that is included in the definition of core data. The definition of odd-lot information will include both odd-lots priced at or better than the NBBO and odd-lot transaction data. Odd-lot transaction data, which was added to SIP data by the national market system plans in 2013 (see Proposing Release, 85 FR at 16739), was proposed to be included in core data as a separate element, but the Commission believes it will simplify the definition of core data to include in a single defined term as ‘‘odd-lot information’’ odd￾lots priced at or better than the NBBO and odd-lot transaction data. See infra Section VIII. 195As discussed below, odd-lots priced less aggressively than the NBBO are not included in core data unless they aggregate to a round lot and are within the first five price levels after the NBBO. See infra Section II.F.2(e) (discussing odd-lot aggregation in the depth of book context). 196See supra note 194. 197See Proposing Release, 85 FR at 16736, 16739. 198See also infra Section II.C.2(c) (discussing why certain other data that is included in SIP data today is not included in core data but will be available through other means). 199This would not reintroduce a single-price-only odd-lot aggregation methodology in the same sense that prompted concerns from some commenters. See infra note 232 and accompanying text; Section II.C.2(d). Aggregating better-priced odd-lots at each price level at each exchange is not the same as aggregating odd-lots into round lots. Rather, it simply means that better-priced odd-lot orders will be represented in core data
in terms of the total number of shares available at each price level at each exchange rather than on an order-by-order basis. For example, if the NBB for XYZ, Inc. is 100 shares at $25.00, and there are three orders of five shares and two orders of ten shares at $25.01 on Exchange A, a competing consolidator’s core data product would show 35 shares at $25.01 on Exchange A. 200See infra Section II.D (stating that increasing the minimum stock price for the first sub-100 share round lot tier from $50 to $250 will not improve odd-lot transparency for stocks priced between $50 and $250). See also supra Tables 1 and 2. 201See NYSE Letter II at 5. 202 In response to the comment suggesting only including the best-priced odd-lot quote from each exchange, staff supplemented the analysis above (see, e.g., Tables 1 and 2) that evaluated the volume of trades occurring in a quantity that would be defined as a round lot under the adopted definition, by also considering the volume of quotation data for the week of May 22–29, 2020, for stocks priced from $250.01 to $1000.00, which will have a round lot size of 40 shares pursuant to the modified definition of round lot that the Commission is adopting herein. Staff found that there is odd-lot interest priced better than the new round lot NBBO 28.49% of the time, and, in 48.49% of those cases, there are better priced odd-lots at multiple price levels, confirming the view that only including the best-priced odd-lot quote from each exchange would not include sufficient information about better-priced odd-lot liquidity in core data. 203See TD Ameritrade Letter at 4–5. odd-lot quotations in proposed core data should be ‘‘reasonably calibrated.’’ 192 Therefore, the Commission is modifying the proposed definition of core data to include odd-lots that are priced at or more aggressively than the NBBO.193 Specifically, pursuant to the revised definition of core data that the Commission is adopting, core data will include odd-lot quotations priced greater than or equal to the national best bid and less than or equal to the national best offer, aggregated at each price level at each national securities exchange and national securities association, in addition to odd-lot transaction data.194 Making the best priced quotations available in core data is consistent with the Commission’s goals in expanding the content of NMS information: Enhancing the availability and usefulness of the information, reducing information asymmetries, and facilitating best execution. In addition, this modification is reasonably calibrated to include the odd-lot quotation data that would be of the most interest to investors and other market participants—namely, quotations that offer pricing at or superior to the NBBO—thus limiting complexity and systems burdens, and therefore costs, relative to alternatives such as including all odd-lot quotations.195 The Commission is also adopting the proposed inclusion of odd-lot transaction data in the definition of
core data, through the definition of odd-lot information.196 Odd-lot transaction data is included in SIP data today, and it constitutes part of the baseline information that provides the foundation of transparency and price discovery in the U.S. securities markets.197 The Commission therefore believes that it should be included in the definition of core data so that investors and other market participants who consume core data can continue to use it to make informed trading and investment decisions.198 To further limit the cost and complexity of the inclusion of odd-lots priced at or better than the NBBO in core data, the definition of core data requires these odd-lots to be represented in the aggregate at each price level at each national securities exchange or national securities association rather than on an order-by-order basis.199 Finally, as discussed below, the Commission is modifying the proposed definition of round lot, which, relative to the proposal, will reduce the number of round lot tiers and eliminate certain better priced quotation information from the NBBO.200 However, the inclusion of odd-lot quotes priced at or better than the NBBO will make available additional quotation information market participants can use to trade in a more informed and effective manner, which counterbalances this reduction in information. The Commission believes that including only the best-priced odd-lot quote from each exchange, as one commenter suggested,201 would not include sufficient information about better-priced odd-lot liquidity in core data. Because for many securities there are odd-lot quotes priced better than the NBBO at multiple price levels,202 the Commission believes that including only the best-priced odd-lot quote from each exchange in core data would perpetuate some of the critical information asymmetries between SIP data and proprietary data and could impair the usability of core data for many market participants. Furthermore, the Commission does not share the view of some commenters that its adoption of a modified definition of core data that incorporates odd-lots priced at or better than the NBBO is an alternative to redefining round lot sizes. Defining smaller-sized orders in higher-priced stocks as round lots, in addition to providing transparency into such quotations, ensures that these smaller-sized orders can establish the NBBO, receive order protection, and invoke the applicability of several other rules under Regulation NMS. The Commission does not agree that including quotation information about odd-lot orders priced at or better than the NBBO in core data, and enabling more investors to see and access this information, will undermine investor confidence in the markets resulting from potential confusion over protected versus unprotected quotes.203 As is the case today, Rule 611 will not protect these odd-lot orders except to the extent that they are aggregated into round lots. Investors and other market participants who do
not believe they need to consume information on odd-lots priced at or better than the NBBO may choose not to do so, and therefore the

204See infra Section III.B.
205See Order Execution Obligations, supra note 90, at 48305 (‘‘The market maker still will have best execution obligations with respect to the remaining odd-lot portion of the customer limit order.’’). 206See supra note 95 and accompanying text. See also supra Section I.E. 207See supra note 199; infra Section III.B.5. 208 Data Boiler Letter I at 19. 209 Id. 210 ‘‘OTC Equity Security’’ is defined in FINRA Rule 6420(f) to mean ‘‘any equity security that is not an ‘NMS stock’ as that term is defined in Rule 600(b)(47) of SEC Regulation NMS; provided, however, that the term ‘OTC Equity Security’ shall not include any Restricted Equity Security.’’ In its comment letter, FINRA notes that the Proposing Release refers to ‘‘OTCBB’’ data to describe the quotation and transaction data for OTC equities, which includes both transaction data from the FINRA OTC Reporting Facility (‘‘ORF’’) and quotation data from the OTCBB. See FINRA Letter at 9. 211Currently, Nasdaq UTP Plan Level 1 subscribers can obtain OTC equity quotation and transaction feeds for unlisted stocks. Similarly, the CTA Plan permits the dissemination of ‘‘concurrent use’’ data relating to NYSE-listed corporate bonds and indexes. See Proposing Release, 85 FR at 16736. 212 Data Boiler Letter I at 21. 213See TD Ameritrade Letter at 4; MEMX Letter at 6. 214See TD Ameritrade Letter at 4. 215FINRA Letter at 9. 216 Id. at 11. 217 Id. 218See Proposing Release, 85 FR at 16736–37. 219See infra Section III.B. 220As discussed below, the fees for such additional data would be proposed and filed by an individual SRO pursuant to Section 19(b), 15 U.S.C. 78s(b), and Rule 19b–4, rather than by the effective national market system plan(s). See infra Section III.B. 221 In addition, one commenter suggested including exchange-traded product (‘‘ETP’’) intraday indicative values (‘‘IIVs’’) in core data and standardizing symbology across equity data feeds. See Angel Letter at 1, 11. The Commission is not including IIVs in core data because IIVs are not NMS stock quote or trade information and are therefore outside the scope of this proposal. In addition, the Commission did not require exchange￾traded funds (‘‘ETFs’’) to disseminate IIVs in adopting Investment Company Act Rule 6c-11. See Securities Act Release Nos. 33–10695; IC–33646 (Sept. 25, 2019), 84 FR 57162, 57179–80 (Oct. 24,
2019) (describing various shortcomings of IIV and
stating that the Commission ‘‘do[es] not believe that IIV will provide a reliable metric for retail investors . . .’’). The commenter also argued that the different suffixes for various securities—including preferred shares, rights, and warrants—cause ‘‘confusion for investors and increases the risk of costly trading mistakes.’’ Id. at 11. This comment is unrelated to the dissemination of NMS stock quote or trade information and is therefore outside the scope of this proposal. 222See supra note 210. On September 24, 2020, FINRA filed a proposed rule change to eliminate its OTCBB. Historically, FINRA operated the OTCBB to provide an electronic quotation medium for OTC equity securities. However, FINRA represents that quoting on the OTCBB has declined and that the OTCBB does not currently display or widely disseminate quotation information on any OTC equity securities. FINRA represents that all quotation activity in OTC equity securities now occurs on member-operated interdealer quotation systems. As a result, in place of the OTCBB, FINRA is proposing to adopt enhanced requirements governing member interdealer quotation systems that provide real-time quotations in OTC equity securities. Among other things, the proposed rules would require such systems to maintain and enforce written policies and procedures relating to the collection and dissemination of quotation information in OTC equity securities on or through their systems. See Securities Exchange Act Release No. 99067 (Oct. 1, 2020), 85 FR 63314 (Oct. 7, 2020) (SR–FINRA–2020–031). 223See FINRA Rule 6600. Commission does not believe the inclusion of this information in core data will confuse investors.204 Moreover, odd-lots are subject to best execution requirements,205 so investors have the assurance that their broker￾dealers are required to seek the most favorable terms reasonably available under the circumstances for such orders despite the fact that the odd-lot quotes are not protected quotations pursuant to Rule 611.206 Furthermore, the Commission does not believe adding odd-lot quotations priced at or better than the NBBO to core data would materially increase latency for core data. Market participants are not required to consume and process this additional odd-lot data, and could choose a consolidated market data product offered by a competing consolidator that does not contain such information, reducing concerns about the latency effects of additional odd-lot information on core data more broadly. In addition, the Commission believes that the decentralized consolidation model will result in lower latencies for the delivery of all consolidated market data.207 The Commission does not believe that including a subset of odd-lot quotes in core data is, as one commenter suggested, likely to ‘‘drag the processing time of SIP[s] and CC[s].’’ 208 The Commission believes that the most sophisticated, latency-sensitive market participants rely on proprietary market data feeds that include all
odd-lots simultaneously with all other market data, which suggests that the inclusion of odd-lots, particularly the subset of odd-lots that will be included as part of core data, will not materially slow data dissemination. Therefore, the Commission does not believe it is necessary to consider new rulemaking that would ‘‘make odd-lots become true ‘outliers’ ’’ and/or require the publication of ‘‘ ‘delayed’ odd-lot trades and quotations statistics.’’ 209 (c) OTC Equity, Corporate Bond, Index, and Other Information In the Proposing Release, the Commission solicited comment regarding the exclusion of information related to OTC equities,210 certain corporate bonds, and indices from the definition of core data.211 Commenters had mixed views about whether to include such information in the definition. One commenter favored the exclusion of this information on the grounds that core data should be kept ‘‘light,’’ 212 while others agreed with the Commission that this information does not relate to ‘‘NMS securities’’ and that it should not be included on that basis.213 One of those commenters, however, suggested the Commission ensure the information remain available to retail investors.214 On the other hand, FINRA highlighted that excluding such data ‘‘would reduce investor access to [such data] and raise investor costs.’’ 215 FINRA argued that because OTC equities may become listed and become NMS stocks and vice versa, providing that information in the same data feed ‘‘facilitates more orderly markets and transparency continuity in relation to transitioning issuers.’’ 216 Excluding such data would also, FINRA argued, increase costs for both FINRA and market participants.217 Given that OTC equities, corporate bonds, and indices are not NMS stocks,218 the Commission is not revising the proposed definition of core data to include this information, even though this information is currently disseminated by the SIPs. Nothing in these amendments prohibits SROs from independently providing this kind of market data. As discussed below,219 under the decentralized consolidation model, competing consolidators would be permitted to purchase data from the SROs and offer data products to subscribers that go beyond core data or consolidated market data.220 Therefore, the exclusion of these types of data from the definitions of core data and consolidated market data does not preclude the provision of this data to market participants who wish to receive it.221 Additionally, as trades in OTC equities are reported to only one SRO (i.e., FINRA) while NMS stocks are traded on multiple SROs, there is less need to consolidate OTC data pursuant to an effective national market system plan, which functions primarily to consolidate data across market centers. Furthermore, FINRA makes information on OTC trades widely available to market participants through its ORF.222 In addition, FINRA’s rules related to the reporting of OTC equity transaction data remain in effect, and any change
to FINRA’s rules would require Commission review.223 Finally, pursuant to Exchange Act Sections 15A(b)(5), (b)(6), and (b)(9), FINRA could recoup the costs of providing OTC quotation and transaction data by

224 15 U.S.C. 78o–3(b)(5), (b)(6), and (b)(9). 225See infra Section III.H. 226For example, if Market A had 25 shares offered at $1.98, 25 shares offered at $1.99, and 50 shares offered at $2.00, the round lot offer would be displayed as 100 shares offered at $2.00. As discussed below, the Commission proposed a single-price odd-lot aggregation methodology for purposes of protected quotations. See infra Section II.E.1. 227See Fidelity Letter at 4; IEX Letter at 4. 228 IEX Letter at 4–5. 229TD Ameritrade Letter at 2. See also IEX Letter at 5 (‘‘[I]t is important that this method be specified in SEC rules so as to ensure a common understanding of the NBBO by all market participants.’’). 230 Data Boiler Letter I at 24. 231The Commission is specifying that the definition of core data does not require cross-market odd-lot aggregation. 232As explained below, the Commission is also extending the multiple-price odd-lot aggregation methodology to protected quotations. See infra
Section II.E.
233See Data Boiler Letter I at 24.
234See infra Section II.E.2(b).
235See CBOE Letter at 13–14. For example, an investor would have to know that, for a $300 stock, ‘‘2’’ means 80 shares pursuant to the adopted round lot sizes. 236The Commission has considered whether the entire size should be displayed including any odd￾lot portion rather than rounding down to the nearest round lot multiple. The purpose of rounding down to the nearest round lot multiple is to ensure that the enumerated elements of core data reflect orders of meaningful size. Specifically with respect to the NBBO, rounding down also helps to ensure that the protected portion of the order is clearly represented, which addresses concerns about impacts on investor confidence and confusion that could result from showing unprotected size at the NBBO. In addition, as discussed above, odd-lots priced at or better than the NBBO, including the odd-lot portion of a mixed lot order at the NBBO, will be included in core data. 237See infra Section VIII. 238See also Section II.F.2(b). 239See supra note 17 and accompanying text (stating that core data currently includes the price, size, and exchange of the last sale; each exchange’s current highest bid and lowest offer, and the shares available at those prices; and the NBBO). charging fees that are fair, equitable, and do not impose an unnecessary burden on competition.224 The Commission will monitor, during the transition period and thereafter,225 the impact of these amendments on the provision of OTC quotation and transaction data, including its cost and availability, and consider whether additional steps are necessary or appropriate. (d) Odd-Lot Aggregation The Commission proposed that the best bid and best offer, national best bid and national best offer, and depth of book data shall include odd-lots that when aggregated are equal to or greater than a round lot, and that such aggregation shall occur across multiple prices and shall be disseminated at the least aggressive price of all such aggregated odd-lots.226 Several commenters supported odd-lot aggregation across multiple price levels for purposes of determining these elements of core data.227 One commenter argued that this method would ‘‘provide market participants with a reasonably complete view of the best bids and offers for each security.’’ 228 Another commenter stated that ‘‘a common odd-lot aggregation logic should be employed by all exchanges for the purpose of displaying meaningful size.’’ 229 However, a different commenter recommended that odd-lot quotes not be aggregated across multiple price levels because it ‘‘would cause unnecessary confusion.’’ 230 The Commission is adopting the definition of core data with odd-lot aggregation across multiple price levels and specifying that such aggregation is for each market.231 Specifically, the best bid and best offer, national best bid and national best offer, and depth of book data shall include odd-lots that when aggregated are equal to or greater than a round lot, and such aggregation shall occur
across multiple prices and shall be disseminated at the least aggressive price of all such aggregated odd-lots.232 The Commission does not believe that this would cause unnecessary confusion 233 because many exchanges currently aggregate odd-lot prices in this manner. Setting forth this cross-price aggregation methodology in Commission rules will promote consistency in the calculation and display of core data. Additionally, this method of odd-lot aggregation will enable market participants to obtain a more reasonably complete view of the best bids and best offers of each security than they would if odd-lots were not aggregated or aggregated at only a single price level because the aggregation methodology the Commission is adopting captures liquidity dispersed across multiple prices. Furthermore, this odd-lot aggregation methodology would benefit market participants by promoting tighter spreads in all stocks, especially high priced ones.234 (e) Quotation Sizes and SRO Attribution in Core Data Currently, the size of the NBBO is represented in core data in terms of the number of round lots. For example, if a 200 share bid at $25.00 establishes the national best bid, the SIP feed shows ‘‘2’’ at $25.00. One commenter, believing that this practice might be confusing given the new round lot sizes, particularly to retail investors, recommended requiring size to be represented in actual shares rather than round lots.235 The Commission agrees that continuing the current size representation convention—i.e., the number of round lots—could be confusing. Accordingly, the Commission is modifying the proposed definition of core data to require quotation sizes for core data elements— including the NBBO, each SRO’s best and protected quotes, depth of book data, and auction information—to be disseminated in share sizes, rounded down to the nearest round lot multiple. For example, a 275 share buy order at $25.00 for a stock with a 100 share round lot would be disseminated as ‘‘200.’’ 236 The Commission is also modifying the proposed definition of core data to specify that core data elements— specifically, the best bid and best offer, NBBO, protected bid and protected offer, transaction reports, last sale data, odd-lot information, depth of book data, and auction information—to the extent that they are disseminated in a consolidated market data product, must be attributed to the national securities exchange or national securities association that is the source of each such element.237 The Commission believes that SRO attribution is critical to the utility of these core data elements so that market participants know where to access a displayed quotation.238 This requirement is consistent with the inclusion of exchange information in current SIP data.239 D. Definition of ‘‘Round Lot’’ Under Rule 600(b)(82)

1. Proposal
   To better ensure the display and accessibility of significant liquidity for higher-priced stocks, the Commission proposed a definition of round lot that would assign different round lot sizes to individual NMS stocks depending upon their stock price. Specifically, the Commission proposed to define round lot as: (1) For any NMS stock for which the prior calendar month’s average closing price on the primary listing exchange was $50.00 or less per share, an order for the purchase or sale of an NMS stock of 100 shares; (2) for any NMS stock for which the prior calendar month’s average closing price on the primary listing exchange was $50.01 to $100.00 per share, an order for the purchase or sale of an NMS stock of 20 shares; (3) for any NMS stock for which the prior calendar month’s average closing price on the primary listing exchange was $100.01 to $500.00 per share, an order for the purchase or sale of an NMS stock of 10 shares; (4) for any NMS stock for which the prior calendar

240Staff, using the week of June 8–12, 2020, instead of the week of September 10–14, 2018, repeated the analysis from the Proposing Release of odd-lot trade and message volume, duration on the inside, order-book distribution, and quoted spreads for the top 500 securities by dollar volume included in the Proposing Release (see Proposing Release, 85 FR at 16739–40). The results were very similar and confirmed observations discussed in the Proposing Release. Bid-ask spreads widened significantly when calculated using only round lots relative to the odd-lot quotations displayed on proprietary feeds, and as average stock share prices rose, bid￾ask spreads based only on round lots generally widened by a greater amount than did spreads based on round lots and odd-lots. Specifically, for the 500 most frequently traded securities by dollar volume, the average bid-ask spread of the 50 securities with the highest share prices decreased (improved or tightened) by $0.19839 when calculated using the proprietary feeds relative to the exclusive SIP feed. Bid-ask spreads for the 50 securities with the lowest share prices showed less improvement when using the proprietary feeds relative to the exclusive SIP feed, decreasing (or tightening) on average by $0.00093. Moreover, frequently traded, high priced securities were more likely to have executions occur in odd-lot sizes (about 34% of the share volume of the 50 securities with the highest share prices) than lower priced securities (about 3.4% of the share volume of the 50 securities with the lowest share prices). Finally, around 91% of the trades that occurred in the two largest securities by market capitalization that have share prices greater than $1,000 occurred in odd￾lot share amounts. 241Staff, using data from May 2020 instead of September 2019, repeated the analysis from the Proposing Release of the proportion of odd-lot trades that occurred at prices that are better than the prevailing NBBO included in the Proposing Release (see Proposing Release, 85 FR at 16740). The results were very similar and confirmed observations discussed in the Proposing Release. During May 2020, a substantial proportion of odd-lot trades occurred at prices that were better than the prevailing NBBO. Specifically, approximately 45% of all trades executed on exchange and approximately 10% of all volume executed on exchange in corporate stocks and ETFs (6,926 unique symbols) occurred in odd-lot sizes (i.e., less than 100 shares), and 40% of those odd-lot transactions (representing approximately 35% of all odd-lot volume) occurred at a price better than the NBBO. 242See, e.g., BlackRock Letter at 3 (stating that the proposed round lot definition is ‘‘an elegant solution for increasing odd-lot transparency which innately extends the inclusion of odd-lots to complementary rules and mechanisms such as the determination of the national best bid and offer (‘NBBO’), the behavior of order types, and the disclosure of execution statistics’’
and strikes an appropriate balance between including every odd￾lot order and enhancing the quality of market data by establishing a threshold notional amount, but cautioning that round lots should be judiciously calibrated into groups to minimize complexity); Fidelity Letter at 6 (supporting a revised definition of round lot for higher priced securities but urging the Commission to undertake an investor education campaign and to provide sufficient implementation time); Schwab Letter at 4; letter from Joan C. Conley, Senior Vice President and Corporate Secretary, Nasdaq, to Vanessa Countryman, Secretary, Commission, dated July 22, 2020, (‘‘Nasdaq Letter V’’) at 3 (‘‘Of 31 total comments on the proposed introduction of round lot tiers, fewer than half (14) supported the actual proposal; 11 comments supported a definition different from what the Commission proposed, and 6 opposed it.’’); letter from Luc Burgun, President and CEO, NovaSparks S.A., to Vanessa Countryman, Secretary, Commission, dated Aug. 7, 2020, (‘‘NovaSparks Letter’’) at 1; letter from Christopher Solgan, VP, Senior Counsel, MIAX Exchange Group, to Vanessa Countryman, Secretary, Commission, dated Aug. 18, 2020, (‘‘MIAX Letter’’) at 5–6 (recommending that the Commission periodically review the definition of round lot). 243See, e.g., IEX Letter at 3–4 (stating that the proposed round lot definition would make round lots ‘‘less arbitrary and more comparable across securities . . . [because] [e]ach round lot tier above the $50 price level would represent a minimum notional value of $1,000, resulting in relatively comparable treatment across securities, regardless of per share price’’); letter from Hitesh Mittal, Founder and Chief Executive Officer, BestEx Research, to Vanessa A. Countryman, Secretary, Commission, dated May 21, 2020, (‘‘BestEx Research Letter’’) at 2; Data Boiler Letter I at 24. 244See, e.g., T. Rowe Price Letter at 4; Capital Group Letter at 3. 245See State Street Letter at 3. 246Angel Letter at 15. See also Nasdaq Letter V at 17–19 (suggesting adding intelligent ticks, in which the standard one cent tick that applies to all NMS stocks would be replaced with tick sizes that vary depending upon the trading characteristics of each such stock, while eliminating round lots). 247See, e.g., Clearpool Letter at 11–12; STANY Letter II at 3 (‘‘A more prudent and nonetheless effective approach to addressing the increased trading in odd-lots, would be to include odd-lot quotations in core data while leaving the definition of round-lot as it currently stands.’’); Capital Group Letter at 3; Letter from Gerald D. O’Connell, SIG Compliance Coordinator, Susquehanna International Group, to Vanessa Countryman, Secretary, Commission, dated July 27, 2020, (‘‘Susquehanna Letter’’) at 2 (stating that any benefits of the proposing release ‘‘will be impacted by . . . quoting congestion; . . . customer confusion; and . . . gaming strategies.’’); Nasdaq Letter IV at 10; STANY Letter II at 3–4
(recommending that the Commission conduct a derivative market impact analysis because ‘‘STANY is concerned the Commission has not considered the impact and potential for investor confusion when trading options on securities with round-lots quotes in sizes less than the 100-share option contract convention’’); TD Ameritrade Letter at 10 (‘‘In the current Proposal for round lot tiers at five different increments, the Firm is also concerned for the potential confusion that may also be posed to investors trading options when contracts remain at 100 shares and the NBBO is quoted in lesser sizes.’’); letter from Robert W. Holthausen, Professor of Accounting and Finance, and Robert Zarazowski, Managing Director, Wharton Research Data Services, The Wharton School, University of Pennsylvania, to Vanessa Countryman, Secretary, Commission, dated May 26, 2020, (‘‘Wharton Letter’’) at 4 (‘‘A top of book replacement product for TAQ, despite possible cheaper costs from competing consolidators, even if it did not consist of more consolidated market data, would incur significantly greater storage costs than TAQ due to changes in the definition of ‘round lot.’ ’’) (footnotes removed). month’s average closing price on the primary listing exchange was $500.01 to $1,000.00 per share, an order for the purchase or sale of an NMS stock of 2 shares; and (5) for any NMS stock for which the prior calendar month’s average closing price on the primary listing exchange was $1,000.01 or more per share, an order for the purchase or sale of an NMS stock of 1 share. The Commission proposed using the IPO price if the prior month’s average closing price is not available. As explained in the Proposing Release, a significant proportion of quotation and trading activity occurs in odd-lots, particularly for frequently traded, high-priced stocks.240 The proposed definition of round lot would incorporate information about meaningfully sized orders, including many odd-lot quotations in higher￾priced stocks that are priced more favorably than the current round lot NBBO, into core data.241 This would improve the comprehensiveness and usability of core data, facilitate the best execution of customer orders, and reduce information asymmetries.
2. Final Rule and Response to
Comments
The Commission received multiple comments on the definition of round lot. Commenters offered suggestions on various ways the proposed round lot tiers should be adjusted and opined on the proposed methodology for determining a stock’s price for purposes of assigning a round lot size to a stock. (a) Round Lot Tiers Generally: Several commenters expressed general support for a revised definition of round lot for higher-priced securities, but some suggested certain modifications to the proposed definition or otherwise qualified their support.242 Some commenters agreed with the Commission’s proposed tiers of round lot sizes,243 while others agreed with the tier-based approach, but suggested fewer tiers.244 One commenter, stating that a one-share round lot for stocks over $1,000 could have ‘‘unintended negative impacts’’ on price discovery and routing complexity, suggested that the Commission ‘‘defer action’’ on defining round lots (and including them in core data) until the Commission receives further public input.245 Some commenters recommended the Commission eliminate the concepts of round lots and odd-lots in favor of displaying the exact number of shares of every order, arguing that the concepts are ‘‘obsolete’’ because ‘‘[m]odern computer processing power is up to the task’’ of calculating ‘‘in real time the cost to buy or sell a given number of shares at the displayed prices.’’ 246 Several commenters suggested that the proposed five tiers would increase complexity, add confusion, compound costs, create execution-quality challenges, and undermine the usefulness of the proposal, although these commenters offered different suggestions to improve the proposal.247 One commenter, however, stated that

248See MEMX Letter at 4.
249See Clearpool Letter at 11–12 (recommending, in the alternative, reducing the number of tiers to three with round lot sizes of 100, 50, and 20); letter from Roman Ginis, Founder, Intelligent Cross, to Vanessa Countryman, Secretary, Commission, dated June 1, 2020, (‘‘IntelligentCross Letter’’) at 3; ACS Execution Services Letter at 3. 250See letter from Alec Hanson, Founder, AHSAT LLC, to Vanessa Countryman, Secretary, Commission, dated May 26, 2020, (‘‘AHSAT Letter’’) at 3–5. A mixed lot is an order for a number of shares greater than a round lot that is not a multiple of a round lot (for example, an order for 107 shares). See, e.g., Cboe BZX Rule 11.10. 251See ICI Letter at 7–8; letter from Stephen John Berger, Managing Director, Global Head of Government and Regulatory Policy, Citadel Securities, to Vanessa Countryman, Secretary, Commission, dated May 26, 2020, (‘‘Citadel Letter’’) at 2; ACS Execution Services Letter at 3; STANY Letter II at 3. 252See IntelligentCross Letter at 3. 253See, e.g., TD Ameritrade Letter at 6–7; T. Rowe Price Letter at 4; Capital Group Letter at 3. 254See TD Ameritrade Letter at 6–7 (‘‘The Proposal for changing the nearly universal 100 share round lot to a price-tiered model appears to be based on some misconceptions. Odd lot trade frequency, which is cited as the justification for the price-tiered model, is not a valid proxy for passive order interest. In reality, trade size is more often dictated by the liquidity-taker than the liquidity￾provider and is often a result of algorithmic ‘pinging’ behavior. TD Ameritrade performed a review in 2019 showing that the increase in odd lot trades was largely due to small liquidity-taking orders, not small passive orders.’’) (footnotes removed). 255See id. at 10–11. 256See T. Rowe Price Letter at 4. 257See Capital Group Letter at 3. 258See Virtu Letter at 3; SIFMA Letter at 9; MFA Letter at 10; Susquehanna Letter at 2–4 (stating that the proposal would be likely to increase significantly, for many high-priced securities, ‘‘growth in quote changes, order routes, missed executions, and reroutes from missed executions,’’ but acknowledging that these consequences would be reduced to the extent that fewer tiers are adopted); STANY Letter II at 3 (stating that ‘‘[a]mong those members who support a change in the definition of round-lots, there is a decided preference for’’ this particular three-tiered definition). 259SIFMA Letter at 9. 260See Schwab Letter at 4. In a subsequent letter, this commenter provided further support for its suggestion of these three tiers. See letter from Jeffrey T. Brown, Senior Vice President, Legislative and Regulatory Affairs, Charles Schwab & Co., Inc., to Vanessa Countryman, Secretary, Commission, dated Oct. 13, 2020, (‘‘Schwab Letter II’’) at 1 (‘‘An analysis of orders filled for Schwab clients in the first quarter of 2020 shows that just 5 percent of all odd lot orders are placed for stocks priced greater than $500. Of these orders, roughly the
same number of orders are placed for stocks priced from $500 to $1000 and stocks priced greater than $1000. With such a low proportion of orders at prices greater than $500, Schwab believes the additional data provided by the SEC’s proposed highest tier would not justify the operational complexity it would create or potential to confuse investors.’’). 261See BlackRock Letter at 3. 262See Nasdaq Letter IV at 14–15. See also Angel Letter at 14 (‘‘The Commission appears to have done little in the way of substantive economic analysis to determine the optimal round lot size as a dollar value. If it had, the proposed dollar value would not be oscillating between $100 and $5,000.’’). 263See Nasdaq Letter IV at 14. 264See id. at 18. 265See id. at 17. 266See Nasdaq Letter V at 4–5. 267See supra Section II.C.2(b). One commenter suggested an ‘‘intelligent tick’’ regime as an alternative to new round lots. However, the commenter’s intelligent tick proposal states that the proposal ‘‘attempts to address a discrete set of challenges in the national market system’’ and that policy makers also need to consider ‘‘other, related challenges,’’ including round lots. See Nasdaq, Intelligent Ticks: A Blueprint for a Better Tomorrow (Dec. 2019) at 8, available at https:// www.nasdaq.com/docs/2019/12/16/Intelligent￾Ticks.pdf. Therefore, the commenter’s intelligent tick proposal is not presented as an alternative to adopting new round lot sizes. Changes to the tick size of stocks are outside the scope of the rulemaking and the market data issues the Commission is addressing herein. adding tiers would not significantly increase complexity.248 Notional Value: Some commenters stated that the definition of core data should include all quotes over a certain notional value.249 Another commenter recommended basing round lots on the notional value of an order, rather than the number of shares, and suggested that the Commission ensure that anything over a minimum threshold qualifies as a round lot, eliminating mixed lots.250 Different Threshold: Some commenters suggested increasing the $1,000 price-based threshold but did not suggest a specific number.251 One commenter suggested, as an alternative to including all quotes above a notional level in core data (as noted above), increasing the price-based threshold to $2,000, stating that ‘‘the notional value of the median trade today is about $2,000.’’ 252 Different Tiers: Multiple commenters offered recommendations to recalibrate the tiers in the proposed round lot definition, ranging from two to four tiers.253 One commenter, who opposed changing the definition of round lot,254 suggested that, if the Commission is committed to changing the definition of round lot, it should use two tiers: 100 shares for stocks priced under $500 and 50 shares for stocks priced over $500.255 Another commenter suggested a different definition using two tiers: 100 shares for stocks priced less than $250 and 10 shares for stocks at or greater than $250,
where the 10 share round lot would remain unprotected.256 Another commenter suggested three tiers: 100 shares for stocks priced under $100, 10 shares for stocks priced between $100.01 and $1,000, and 1 share for stocks priced over $1,000.01.257 Some commenters suggested a different three￾tiered definition: 100 shares for stocks priced under $500, 10 shares for stocks priced from $500.01 to $1,000, and 1 share for stocks priced $1,000.01 or more.258 One of these commenters stated that their ‘‘recommended round lot sizes of 1, 10 and 100 shares are ones that are used today and that market participants are accustomed to seeing.’’ 259 Another commenter suggested another three-tiered definition: 100 shares for securities priced up to $50, 20 shares for securities priced between $50.01 and $500, 2 shares for securities priced from $500.01 and higher.260 Another commenter suggested reducing the proposed five tiers to four by collapsing the two-share and one-share highest-priced tiers because there are so few stocks in each of those tiers.261 Inadequate Justification for the Proposed Tiers: One commenter stated the Commission failed to explain adequately its rationale for choosing the tiers it chose, suggesting the levels are arbitrary.262 That commenter also argued that the tiers are ‘‘clunky’’ and could result in large shifts in a round lot size in response to a small change in a stock’s price.263 The commenter further stated that the Commission failed to consider alternatives to the round lot definition, including the commenter’s ‘‘intelligent tick’’ proposal, which would vary tick size based upon the trading characteristics of each NMS stock.264 Additionally, that commenter argued that the tiers would complicate the national market system and ‘‘upend longstanding conventions’’ for market participants and their systems as to how they view and process quotes, especially the convention that one order of a security is generally thought of as 100 shares of that security.265 Similarly, in a subsequent letter, this commenter stated that the Commission did not undertake ‘‘data driven analysis’’ of the proposed round lot definition, that commenters raised concerns about the complexity of the proposal, and that therefore the Commission cannot determine whether the benefits of the proposal outweigh the costs.266 The Commission is adopting a modified definition of round lot (and, as discussed above, is including odd-lots that are priced at or more aggressively than the NBBO in core data).267 Specifically, the Commission is adopting a four-tiered definition of round lot: 100 shares for stocks priced $250.00 or less per share, 40 shares for stocks priced $250.01 to $1,000.00 per share, 10 shares for stocks priced $1,000.01 to $10,000.00 per share, and 1 share for stocks priced $10,000.01 or more per share. These adjustments are responsive to comments that the proposed five-tiered approach is unnecessarily complex and that the new tiers should be based on a higher

268See supra Table 1 (showing that under the four-tiered round lot approach that the Commission is adopting, 0%, 65.35%, 88.28%, and 100% of all corporate stock and ETF volume transacted in a quantity less than 100 shares and at a price better than the prevailing NBBO would be captured in the $0–$250.00, $250.01–$1,000.00, $1,000.01– $10,000.00, and $10,000.01 or more tiers, respectively). 269See IntelligentCross Letter at 3 (‘‘[T]he notional value of the median trade today is about $2,000’’); Virtu Letter at 3–4 (estimating that ‘‘average retail trade size between 2007 and the present is around 436 shares or $14,581’’ but also stating that data from 2019 to present show that the vast majority (over 75%) of all trades are still for less than $10,000); Angel Letter at 17 (‘‘[T]he median trade size is roughly $10,000.’’). 270See infra Section II.E.2(a). 271See supra Tables 1 and 2. 272See supra Section II.C.2(b). 273See supra notes 249–250 and accompanying text. 274Similarly, the Commission does not believe that the concept of a round lot should be eliminated as ‘‘obsolete’’ because round lot orders continue to play an important role in the national market system by delineating orders of meaningful size and focusing regulatory requirements and protections— such as those set forth in Rules 602 and 603, 17 CFR 242.604, 242.605, 242.606, and 242.610 (Rules 604, 605, 606, and 610), and Rule 611 of Regulation NMS—on such orders as opposed to less significant orders. See Proposing Release, 85 FR at 16743–46. Rather, the Commission believes that eliminating the concept of a round lot could cause investor confusion and other unintended consequences. 275 IEX Letter at 4. 276See infra Section II.H. 277According to data analyzed by staff for September 2020, 9,023 stocks would be included in the 100-share tier, while only 117 stocks would be included in the 40-share tier, 16 stocks would be included in the 10-share tier, and 1 stock would be included in the one-share tier. notional value threshold. The Commission agrees that the number of round lot tiers should be decreased to reduce cost and complexity, avoid potential confusion among market participants, and promote a smoother transition to the new price-based round lot structure. In addition, the Commission believes that the objective of including additional information regarding orders currently defined as odd-lots in core data to enhance the usefulness of this data to market participants, reduce information asymmetries, and facilitate best execution would still be achieved with the simplified definition that the Commission is adopting.268 Moreover, under the modified approach, the new round lot tiers would still be normalized at a particular notional value threshold, albeit higher than the $1,000 notional value reflected in the proposed definition, promoting more consistent treatment of securities of varying prices than the 100-share definition that predominates today irrespective of how much a stock is
worth. Commenters submitted data suggesting that average trade and order sizes are significantly higher than $1,000.269 To confirm those comments, staff evaluated all trades that occurred in 2019 and observed that the average number of shares for all trades was about 193 shares, with an average trade size of $8,842 (excluding auctions, the average number of shares per trade was 178 shares, with an average trade size of $8,068). As a round lot is a trading unit that reflects an order of meaningful size to market participants, and since average trade or order sizes are a reasonable proxy for what market participants consider to be a meaningfully sized order, the Commission believes it is appropriate to adjust the notional value threshold of the new tiers upward to $10,000 in response to these comments. The Commission believes that using a round
figure that is in line with data provided
by commenters and internal staff analysis (i.e., $10,000) will reduce potential investor confusion and implementation cost and complexity. In addition, as discussed in more detail below, commenters overwhelmingly favored protecting orders in the new, smaller round lot sizes, and the Commission is not adopting its proposal to require protected quotations to be of at least 100 shares.270 In a market environment where the new round lots are protected, adjusting the notional value threshold upward is appropriate so that order protection under Rule 611, and the applicability of other rules under Regulation NMS, are limited to meaningfully sized orders. Similarly, a higher notional value threshold for the new round lot tiers will prevent orders of a smaller notional value from establishing a new NBBO, which could have added significant cost and complexity to the national market system. The Commission acknowledges that increasing the minimum stock price for the first sub-100 share round lot tier from $50 to $250 will not improve odd￾lot transparency for stocks priced between $50 and $250.271 However, as discussed above,272 the Commission is including information about all odd-lots priced at or better than the NBBO in core data, which will counterbalance this loss of odd-lot transparency. In making these choices, the Commission has balanced the competing objectives of: (a) Improving the display and accessibility of orders that are of significant notional size; (b) reducing quoted spreads; and (c) reducing an excessive amount of complexity that comes with having too many tiers. The Commission is also not revising the proposed definition of round lot to reflect a ‘‘pure’’ notional value approach—whereby all quotes over a certain notional amount, regardless of the number of shares, would constitute a round lot—as some commenters suggested.273 The new 40-, 10-, and 1- share tiers effectively require orders to be over a certain notional value to be assigned to those round lot sizes, but the Commission is reluctant to disrupt the longstanding practice of defining a round lot in terms of a number of shares. Doing so could substantially increase complexity and require significant additional systems reprogramming costs.274 While 100, 10, and 1 are the round lot sizes in use today, the Commission does not believe that the round lot sizes of 100, 40, 10, and 1 that the Commission is adopting will materially increase the difficulty of transitioning to the new round lot sizes. Only a few, infrequently traded stocks have round lot sizes other than 100 today, so market participants are not accustomed to 10 or 1 share round lot sizes on a significant scale. Additionally, the thresholds of the new round lot tiers that the Commission is adopting are set at a consistent notional value of $10,000, which, as one commenter observed, results in a more consistent treatment of securities regardless of per-share price 275 and helps to ensure that orders of meaningful size across
securities of various prices are defined as round lots. The Commission believes that this structure will facilitate the transition to the new round lot sizes. Moreover, regulatory data includes an indicator of the applicable round lot size,276 and the Commission is requiring the representation of quotation sizes in terms of the number of shares rather than the number of round lots. These requirements should alleviate concerns regarding potential confusion caused by the switch to different round lot sizes because the size of each quotation and the round lot of each stock will be included in consolidated market data. Finally, only 134 stocks currently have share prices above $250.00, further limiting the cost and complexity of the introduction of the new round lot sizes.277 For these reasons, the Commission does not believe that the price-based definition of round lot will be confusing to investors. Additionally, the Commission does not believe that a one-share round lot for stocks priced at or above $10,000.01 would have ‘‘unintended negative impacts’’ on price discovery and routing

278See State Street Letter at 3 (suggesting there could be such impacts for a one-share round lot for stocks over $1,000). 279See State Street Letter at 3. 280See Market Data Roundtable, supra note 33. 281See Proposing Release, 85 FR at 16739–43. 282See supra Table 1 and Table 2; notes 240 and 241. 283See supra note 277 and accompanying text. 284See Options Clearing Corporation, Equity Options, available at https://www.theocc.com/ Clearance-and-Settlement/Clearing/Equity-Options￾Product-Specifications (last accessed Sept. 17, 2020). 285See infra Section III.H. 286See Nasdaq Letter IV at 17; Angel Letter at 17; AHSAT Letter at 4; NovaSparks Letter at 1. 287See Nasdaq Letter IV at 17. 288 Id. 289Angel Letter at 17. 290AHSAT Letter at 4. 291NovaSparks Letter at 1. 292See MFA Letter at 10; Data Boiler I at 25. 293 Data Boiler I at 25. 294See Proposing Release, 85 FR at 16743. One commenter ‘‘suspect[ed]’’ that calculating round lot sizes automatically in real time might be operationally simpler and urged the Commission to ‘‘listen carefully to the brokerage ops people’’ with respect to this issue. See Angel Letter at 17. However, the Commission did not receive any comments from brokerage operations professionals or other commenters that provided a reasoned explanation for a different approach. 295See infra Section V.C.1(b)(v). 296Moreover, the Commission does not believe the round lot tiers will be ‘‘clunky,’’ as one commenter suggested. Nasdaq Letter IV at 14. The Commission appreciates the commenter’s concern that a small price shift around certain thresholds could cause large changes in round lot size, but the monthly methodology would address this concern by requiring a more sustained or extensive price shift to cause a stock to switch tiers. 297See supra Section II.D.1. 298See Proposing Release, 85 FR at 16743, 47. 299 Data Boiler Letter I at 25 (‘‘We tend to think:
no round lot size information until there is a prior full calendar month’s average closing price on the primary listing exchange was [sic] $500.01 or greater. Yet, we remain flexible to accommodate whatever minimum number of trading days as [sic] required by the industry and the SEC.’’). complexity 278 because, based on current pricing, only one stock would be included in the one-share tier, and that stock already has a round lot size of one. Furthermore, the Commission does not believe it should defer action on defining round lot until it receives further public input, as one commenter recommended,279 because the Commission received substantial comment on this issue from a wide range of market participants during this rulemaking process and in connection with the Market Data Roundtable.280 Moreover, the definition of round lot is based on data-driven analysis. The Proposing Release included, among other things, data on the increasing prevalence of odd-lot trades, particularly among higher-priced stocks, the proportion of odd-lot trades occurring at prices better than the NBBO, and the proportion of these better-priced odd-lots that would be captured by the proposed definition of round lot.281 As discussed above, staff has updated these data analyses and has performed similar data analyses.282 The adopted definition is consistent with and supported by these analyses. Finally, in response to the comment on the impact of the definition of round lot on options markets and on the standard convention that an options contract represents 100 shares of the underlying equity, the Commission does not believe that any such impact will be substantial or disruptive. As stated above, only a limited number of stocks will experience a change in their round lot sizes as a result of the amended definition of round lot.283 Moreover, options on at least one stock that currently has a sub-100 round lot size are traded in standard units of 100 shares, so there is some precedent for deviation between the standard number of shares for an options contract and the standard unit of trading for the underlying stock. Similarly, corporate actions, such as rights offerings, stock dividends, and mergers can result in adjusted contracts representing something other than 100 shares of stock.284 For these reasons, the Commission believes that options markets will be able to adjust without undue cost to the new round lot sizes that will apply to some NMS stocks. The Commission will monitor the impact of these amendments on options markets going forward, including during the transition period.285 Monthly Round Lot Calculation: Some commenters disagreed with using the prior calendar month’s average closing price on the primary listing exchange to determine a stock’s price for purposes of assigning a round lot size to a stock, as proposed.286 One commenter stated that the proposed monthly calculation for determining round lot size would be operationally risky and prone to errors and
confusion.287 That commenter suggested a monthly calculation might ‘‘cause a stock’s round lot size to become significantly out of step with what it should be, particularly during periods of significant market volatility or when stock splits occur.’’ 288 Another commenter suggested that monthly updates would be ‘‘messier’’ than updating continuously.289 A different commenter suggested ‘‘mak[ing] the referenced price that of the order itself (so each price level has a corresponding round lot size, and a given stock may have multiple round lot sizes at once).’’ 290 Another commenter recommended quarterly recalculations because the proposed monthly process ‘‘will add an administrative burden.’’ 291 On the other hand, some commenters agreed with the proposal, stating that a monthly calculation time period strikes an appropriate balance.292 One commenter noted that the monthly calculation ‘‘should not be too much hassle as long as the requirements are . . . clear.’’ 293 Selecting an appropriate stock price metric for the round lot size determination involves striking an appropriate balance between using accurate, up-to-date pricing information and avoiding the cost and complexity of over-frequent computation and potential round lot reassignment. The Commission continues to believe the proposed monthly approach strikes an appropriate balance.294 The Commission believes continuous updating of round lot size or an order￾based calculation would be too complex and would be subject to short-term price fluctuations, while quarterly updating could result in severely out-of-date tier assignments. Additionally, market participants are accustomed to other kinds of monthly updates, including for SRO fees, so monitoring for round lot size changes resulting from price moves and making corresponding systems adjustments would not be overly burdensome or costly.295 Therefore, the Commission is adopting a stock price calculation methodology based on the prior calendar month’s average closing price on the primary listing exchange, as proposed. Additionally, to alleviate concerns that a stock’s round lot size changing as its stock price changes could be confusing to market participants, the new definition of regulatory data, as discussed below, includes an indicator of the applicable round lot. The Commission believes that including this information about the applicable round lot size in consolidated market data will reduce confusion as market participants adjust to the new round lot sizes.296 As stated above,297 the proposed definition of round lot provided that the IPO price would be used to determine an NMS stock’s round lot size if the prior calendar month’s average closing price is not available, and the Commission solicited comment regarding the stock price calculation methodology that should be utilized in this situation.298 The Commission received one comment in response.299 The Commission recognizes that there are other scenarios aside from IPOs— such as
listings of securities traded in the OTC market or direct listings— where there may not be a full prior

300See infra Section VIII. 301Staff analysis found that for U.S. equity IPOs traded on U.S. exchanges and issued over the last year (as of November 12, 2020), the average share price was $13.75 and the highest share price was $120. 302See Proposing Release, 85 FR at 16743–45 (explaining the requirements of Rules 602, 603, 604, 605, and 610 of Regulation NMS and the impact of the proposed round lot definition upon these rules). Rule 602 governs the dissemination of quotations in NMS securities. Rule 603 governs the distribution, consolidation, and display of information with respect to quotations for and transactions in NMS stocks. Rule 604 governs the display of customer limit orders for NMS stocks. Rule 605 governs the disclosure of order execution quality information. Rule 610(d), 17 CFR 242.610(d), requires each national securities exchange and national securities association to establish, maintain, and enforce rules that, among other things, require its members to reasonably avoid displaying quotations that lock or cross any protected quotation in an NMS stock and that prohibit its members from engaging in a pattern or practice of displaying quotations that lock or cross any protected quotation in an NMS stock, absent an applicable exception. 303Letter from Phil Mackintosh, Chief Economist, Nasdaq, to Vanessa Countryman, Secretary, Commission, dated May 26, 2020, (‘‘Nasdaq Letter III’’) at 24–25. 304 Data Boiler Letter I at 26. 305See infra Section III.B.10. 306NYSE Letter II at 6–7. 307 Id. 308Fidelity Letter at 6. 309Cboe Letter at 8. 310Proposing Release, 85 FR at 16744. 311See NYSE Letter II at 6–7. In addition, the comment related to additional complexity in the Vendor Display Rule as a result of the proposed amendment to the definition of protected quotation is no longer applicable, as the Commission is not adopting the proposed amendment to that definition. See infra Section II.E.2. 312MFA Letter at 12–13. 313 Id. 314Nasdaq Letter IV at 20–21 (footnotes removed). 315See Proposing Release, 85 FR at 16744. 316See supra Section II.D; infra Section II.E. month of closing prices on the primary listing exchange that can be averaged to ascertain the stock’s price. Therefore, the Commission is modifying the proposed definition of round lot to delete references to the IPO price and to add a new provision that for any NMS stock for which the prior calendar month’s average closing price is not available, that stock’s round lot shall be 100 shares.300 This more general formulation will capture IPOs as well as other types of initial stock listings. In addition, assigning an initial, default round lot size of 100 shares to newly listed stocks will provide certainty and consistency and avoid the need to make last minute computations. Finally, the default assignment of a 100-share round lot size should be accurate for almost all new listings, since their prices tend to be well below $250 per share.301 (b) Impact on Other Rules in Regulation NMS The
Commission received multiple comments regarding how the proposed definition of round lot would impact Rules 602, 603, 604, 605, and 610.302 Rule 602 Comments: One commenter suggested that having multiple NBBOs would make the concept of locked and crossed markets and execution quality ‘‘depend on your data provider and location. That in turn makes ‘fair access’ of exchange data (Rule 602) a little redundant. The SEC hopes there are around a dozen consolidators, so it’s likely some will be faster than others.’’ 303 On the other hand, another commenter agreed with the Commission ‘‘that the bids and offers collected and made available under Rule 602(a) should be in the proposed round lot sizes, and the proposed round lot definition should apply to the obligations of responsible brokers or dealers under Rule 602(b).’’ 304 The amendments to the definition of NBBO to accommodate the decentralized consolidation model and the notion of ‘‘multiple NBBOs,’’ which already exist today,305 do not have any direct bearing on the requirements of Rule 602, which relate to the collection and provision of certain quotation data to vendors. Rule 603 Comments: A number of commenters addressed the impact of the definition of round lot on Rule 603(c), the Vendor Display Rule. One commenter argued that the Commission did not consider the ‘‘indirect impact’’ of ‘‘the NBBO reflecting smaller-sized orders’’ on the Vendor Display Rule.306 That same commenter stated, ‘‘[t]he Commission also fails to consider whether the costs associated with retaining the Vendor Display Rule outweigh its benefits if the Commission adopts its proposed changes to the definition of ‘round lot.’ ’’ 307 Another commenter argued that the round lot change would mean a ‘‘SIP, broker, or dealer would be required to provide a consolidated display reflecting smaller￾sized orders in higher-priced stocks.’’ 308 A different commenter suggested that the protected quotation definition would increase complexity because the Vendor Display Rule ‘‘generally requires a ‘consolidated display,’ which would include an NBBO based on the revised round-lot sizes, in a context in which a trading or order routing decision can be implemented but would not require the display of valuable information about the protected quotation.’’ 309 The Commission continues to believe that providing a consolidated display that includes the new round lot NBBO is appropriate to help ensure that market participants receive basic quotation information, in a context in which a trading or order routing decision can be implemented. This information should reflect orders of meaningful size, including smaller-sized orders in higher-priced stocks.310 Moreover, the commenter did not describe any specific costs, including any indirect costs, that it believed the Commission had not considered.311 Rule 604 Comments: One commenter suggested the round lot definition would create a burden on market participants to engage in ‘‘careful monitoring and
changes to the programming of market makers[’] systems . . . each month’’ in order to remain compliant with Rule 604, given the potential for month-to-month changes in round lot sizes for individual securities.312 That commenter recommended a three-tiered structure to reduce such a burden.313 Another commenter suggested that the round lot definition’s narrowing of the Rule 604 odd-lot exception, resulting in the display of customer limit orders at the NBBO but less than 100 shares, in combination with the proposed amendment to the definition of protected quotation, would ‘‘separate[ ] brokers’ Rule 604 requirements from their best execution obligations . . . [and] create[ ] challenges for a broker-dealer to meet its best execution obligations because under the proposed amendments, a customer limit order that is less than 100 shares would not be protected under Rule 611.’’ 314 The Commission continues to believe that Rule 604 should use round lots, as defined and adopted herein, as the measure for customer limit orders that must be reflected in a specialist or OTC market maker’s published bid or offer because customer limit orders of meaningful size should be displayed. The Commission believes this will further the objective of Rule 604:
ensuring that customers have the ability to effectively seek price improvement through the dissemination of their limit orders by specialists or OTC market makers.315 Moreover, the concerns raised regarding Rule 604 complexities that would arise as a result of the proposed five-tier round lot definition and the proposed amendments to the definition of protected quotation are diminished significantly since the Commission is adopting a four-tiered definition of round lot with a higher notional value size and is not adopting the proposed amendments to the definition of protected quotation.316 Rule 605 Comments: Many commenters discussed the effects of the definition of round lot on the execution

317STANY Letter II at 4, 6. See also Nasdaq Letter IV at 19–20 (stating that the proposed definition of round lot will render Rule 605 execution quality statistics less accurate, that statistics on price improvement for higher-priced stocks may show a reduction in the number of shares of marketable orders that received price improvement because price improvement would be measured against a narrower NBBO, that an increase in the frequency or length of crossed markets resulting from the proposed definitions of round lot and protected quote could cause more orders to be excluded from Rule 605 execution quality statistics, rendering those statistics less accurate, and that the creation of multiple NBBOs would undermine the comparability of Rule 605 statistics across different market centers). 318Nasdaq Letter IV at 17. 319 ICI Letter at 6–7. See also T. Rowe Price Letter at 2 (stating that one objective of the Commission’s rulemaking was to improve the accuracy of Rule 605 reports). 320See, e.g., Virtu Letter at 4 (‘‘many of the Rule 605 execution quality share buckets now bear little relation to the average trade sizes sent by the majority of investors. . . . [F]or stocks with prices over $50, about 70% of trades are odd-lot orders which would not be captured by the current Rule
605. . . . [A] significant overhaul of Rule 605
would be necessary, including possibly expanding measurement of execution quality to include depth of book’’). 321Citadel Letter at 4. 322Healthy Markets Letter I at 1. 323See Angel Letter at 16. 324See Proposing Release, 85 FR at 16745. 325See id. 326See infra Section III.B.10(b). 327See supra note 241 and accompanying text. 328Additionally, because the Commission is adopting modified definitions of round lot and protected quotation, one commenter’s concern is no longer applicable—specifically, that an increase in the frequency or length of crossed markets as a result of the proposed definitions of round lot and protected quotation could cause more orders to be excluded from Rule 605 execution quality statistics. See Nasdaq Letter IV at 19–20. 329NYSE Letter II at 7–8. 330 Id. 331 Data Boiler Letter I at 26. 332See Clearpool Letter at 13–14; TD Ameritrade Letter at 9 (‘‘Because the proposed round lot sizes would allow stepping ahead by economically insignificant amounts, locked and crossed markets may not simply be arbitraged away. At times liquidity-takers may perceive a sophisticated trader has locked or crossed the market for an economically insignificant amount and be reluctant to interact with them. This may lead to occasions of sustained locked and crossed markets, similar to what was observed prior to Reg. NMS Rule 610’s prohibition on locked and crossed markets.’’); ICI Letter at 7, n. 24 (expressing ‘‘concern’’ about this approach); BlackRock Letter at 4 (‘‘This would directly contravene the intent of employing the round lot definition as a mechanism for expanding odd-lot coverage, as the application of other provisions, such as order protection, to round lot orders was a key consideration of this approach. Further, this policy perpetuates an archaic double standard for odd-lot quotations which seem incongruous to the acknowledged economic significance and prevalence of odd-lot activity in the market.’’) (footnotes removed); SIFMA Letter at 1–2 (arguing the Commission should make any changes to Rule 610(d) of Regulation NMS in a separate proposal after ‘‘further industry dialogue and consideration’’); Nasdaq Letter IV at 18 (‘‘Many of the same concerns that Nasdaq has with respect to the Commission’s round lot and trade-through protection proposals also apply to the Commission’s proposal to allow orders to lock or cross unprotected round lot displayed quotes of less than 100 shares.’’). 333Clearpool Letter at 13–14; BlackRock Letter at 5. 334NYSE Letter II at 8. See also Nasdaq Letter IV at 19 (‘‘[E]ven if the Commission is correct that protection against locked and crossed markets is no longer warranted, the Commission fails to explain why it is reasonable, and not arbitrary, for it to roll back Rule 610(d) only for quotes of under 100 shares, rather than for all quotes in NMS stocks.’’). quality statistics under Rule 605. One commenter argued that ‘‘Rule 605 reports would no longer . . . provid[e] uniform comparisons because the NBBO
that each market center will use will be different,’’ and some suggested changes to Rule 605 in response.317 Another commenter argued that the monthly round lot calculation could create investor confusion if a stock is near a different tier threshold regarding whether ‘‘the execution information about such stocks needs to be added to Rule 605 reports,’’ leading ‘‘investors to be misled by execution quality statistics.’’ 318 However, other commenters suggested the proposal would improve the accuracy of Rule 605 reports.319 Some commenters argued for ‘‘moderniz[ing]’’ Rule 605.320 One suggested ‘‘(a) creating a ‘marketable benchmark’ statistic that reflects the size of the quote at the NBBO, (b) adding notional buckets as an additional method of categorization, and (c) incorporating all customer orders regardless of size.’’ 321 Another commenter provided an example of how the exclusion of odd-lot quotes from the SIP feeds can skew Rule 605 price improvement statistics.322 Additionally, a different commenter suggested measuring Rule 605 price improvement statistics using an ‘‘Effective Best Bid or Offer’’ calculated using the average fill price of an order at a given time.323 The Commission continues to believe that the order execution disclosures required under Rule 605 should be based on an NBBO that reflects orders in the new round lot sizes.324 The definition of round lot will allow additional orders of meaningful size to determine the NBBO, and, therefore, the execution quality and price improvement statistics required under Rule 605 would be based upon an NBBO that the Commission believes is a more meaningful benchmark for these statistics.325 As explained below, the Commission does not believe that the amendments to the definition of NBBO to accommodate the decentralized consolidation model or the notion of ‘‘multiple NBBOs,’’ which already exist today, will confuse market participants.326 Similarly, the Commission does not believe the accuracy or comparability of Rule 605 statistics will be impaired. On the contrary, the Commission believes that an NBBO that incorporates orders that often reflect superior pricing by comparison to today’s round lot orders 327 will provide market participants with more accurate information about the true quality of the executions they are receiving, even if this information may show a reduction in the number of shares that received price improvement.328 Finally, while the Commission has reviewed the comments about the need to modernize and update Rule 605, any changes to Rule 605—as opposed to the more limited impact on Rule 605 as a result of the Commission’s adoption of the definition of round lot—are beyond the scope of the present rulemaking. Rule 610 Comments: Commenters discussed the effects of the definition of round lot on 17 CFR 242.610(c) and (d) (Rule 610(c) and (d)). One commenter stated that, with the definition of round lot affecting Rule 610(c), the Commission did ‘‘not consider the harm that an
expanded fee limitation would have on competition, or the burdens it would place on market participants, including trading centers that display quotes.’’ 329 The commenter stated that in not expanding order protection to orders in the new round lots, the Commission is eliminating one of the bases it used when it first created the fee limitation in Regulation NMS.330 On the other hand, another commenter agreed the Commission should change Rule 610(c) to apply to quotations in the proposed round lot sizes because doing so ‘‘would further that rule’s objectives of ensuring the accuracy of displayed quotations by establishing an outer limit on the cost of accessing them.’’ 331 Multiple commenters raised concerns that the proposed amendment to the definition of protected quotation would limit the restrictions in Rule 610(d) on locked and crossed markets, allowing round lots smaller than 100 shares to be locked and crossed.332 Some commenters recommended ‘‘the locking and crossing requirements . . . be extended to orders reflected in the NBBO.’’ 333 Another commenter stated that the Commission did not ‘‘justify why it is proposing to expand the fee limitation applicable to SROs’ best bids and offers under Rule 610(c), but not proposing to expand the limits in Rule 610(d) on SRO members locking and crossing protected quotations.’’ 334 Furthermore, one commenter argued that the Rule 610(d) effects ‘‘could add significant complexity to broker-dealers’

335FINRA Letter at 7.
336The concern expressed by one commenter suggesting that the Commission is eliminating one of the bases for the fee limitation in Rule 610(c) of Regulation NMS is no longer applicable in light of the Commission’s decision not to adopt the proposed amendments to the definition of protected bid or protected offer. See infra Section II.E. Similarly, the concerns relating to Rule 610(d) of Regulation NMS expressed by several commenters that the proposed amendments to the definition of protected bid or protected offer would allow quotations in the new round lot sizes to be locked or crossed are no longer applicable. Id. 337See NYSE Letter II at 7–8. 338See, e.g., Cboe U.S. Equities Fee Schedules, BZX Equities, Transaction Fees; NYSE Price List 2020 (last updated Nov. 2, 2020), available at https://www.nyse.com/publicdocs/nyse/markets/ nyse/NYSE_Price_List.pdf; Nasdaq, Price List— Trading Connectivity, available at http:// nasdaqtrader.com/Trader.aspx?id= PriceListTrading2 (last accessed Nov. 25, 2020). 339See infra notes 364 and 365 and accompanying text. 340See infra Section V.C.1(b)(vii) (stating that the impact of these amendments on 610(c) of Regulation NMS might not result in economic effects). 341See Proposing Release, 85 FR at 16747–50. Rule 611 of Regulation NMS requires trading centers to have policies and procedures that are reasonably designed to prevent ‘‘trade-throughs’’ on that trading center of protected bids or protected offers in NMS stocks, subject to specified exceptions. Rule 600(b)(94) of Regulation NMS defines ‘‘trade-through’’ as ‘‘the purchase or sale of an NMS stock during regular trading hours, either as principal or agent, at a price that is lower than a protected bid or higher than a protected offer.’’ Rule 600(b)(94) of Regulation NMS, 17 CFR 242.600(b)(94). 342See Proposing Release, 85 FR at 16737. 343See Submitted Comments, Comments on Proposed Rule: Market Data Infrastructure, Commission, available at https://www.sec.gov/ comments/s7-03-20/s70320.htm; Nasdaq Letter V at 3 (‘‘Just five commenters supported the Commission’s proposed treatment of the Order Protection Rule; 24 others opposed it outright.’’). See, e.g., Cboe Letter at 8; MIAX Letter at 6; Fidelity Letter at 7; Citadel Letter at 2; BestEx Research Letter at 6–9. 344See T. Rowe Price Letter at 2. 345See IEX Letter at 7; Data Boiler Letter I at 21. 346See T. Rowe Price Letter at 3. In addition, one commenter highlighted that extending order protection to the new round lots would create complexity and confusion: ‘‘Protecting the new round lots could also significantly alter the behavior of market makers like Virtu, impacting their approach to internalization and affecting their capacity to provide price improvement to retail investors. It could also dramatically alter the flow of orders to the exchanges and other trading venues. And, of course, it would impose unknown, but surely significant, implementation costs on market participants.’’ Virtu Letter at 5.
347See, e.g., Cboe Letter at 8; MEMX Letter at 4; NYSE Letter II at 6; Nasdaq Letter IV at 13–17; Fidelity Letter at 7; Citadel Letter at 2; FINRA Letter at 6–7; Healthy Markets Letter I at 5. 348STANY Letter II at 4. See also Schwab Letter II at 2 (stating that protecting only transactions of 100 shares or more ‘‘would create [an NBBO] that is distinct from the [PBBO] and would leave broker￾dealers with uncertainty over order routing and data display decisions. Schwab believes this would confuse investors.’’). 349See Fidelity Letter at 7. best execution analyses and could create confusion and uncertainty regarding the quotations that a broker-dealer should rely upon to provide best execution for its customers.’’ 335 The Commission continues to believe that applying the fee limitations of Rule 610(c) to orders of meaningful size, as reflected in the proposed definition of round lot, would further the rule’s objectives of ensuring the accuracy of displayed quotations by establishing an outer limit on the cost of accessing them and would help ensure that the rule applies consistently to orders of meaningful size.336 Further, the Commission does not believe that an expanded fee limitation would harm competition or unduly burden market participants, as one commenter stated.337 The national securities exchanges do not distinguish between protected or best quotations and other quotations for purposes of their transaction fees,338 so the extension of the requirements of Rule 610(c) to orders in the new round lot sizes will not affect an area of exchange pricing that has been subject to competition or differentiation among exchanges. In addition, as a result of the amended definition of round lot, a relatively small number of NMS stocks will have their round lot size change,339 so the impact on exchanges and other trading centers and market participants should be small.340 E. Definition of ‘‘Protected Bid or Protected Offer’’ Under Rule 600(b)(70)

1. Proposal
   In connection with the proposed round lot definition, the Commission proposed to amend the definition of protected bid or protected offer in 17 CFR 242.700(b)(70) (Rule 600(b)(70)) by requiring automated quotations that are the best bid or offer of a national securities exchange or national securities association to be ‘‘of at least 100 shares’’ in order to qualify as a protected bid or protected offer. The Commission proposed this change to maintain the status quo with regard to protected quotes, which are currently required to be round lots, and to avoid expanding to the proposed smaller round lots the order protection requirements of Rule 611 and the requirements of Rule 610(d) to prevent locked/crossed markets.341 Additionally, the Commission proposed that protected quotations would only include odd-lots at a single price (rather than multiple price levels) that, when aggregated, are equal to or greater than 100 shares.342
2. Final Rule and Response to
   Comments
   The Commission received multiple comments on the definition of protected bid or protected offer. Many commenters opposed the proposal to amend the definition and argued that round lots, which determine the NBBO, should be protected quotations. These commenters stated that not protecting the round lot NBBO would result in unnecessary complexity, investor confusion, more trade-throughs, additional locked and crossed markets, and harm to retail investors. Other commenters also discussed odd-lot aggregation for the purposes of the definition of protected bid or protected offer. Commenters also addressed the effects of withdrawing the protected status of the 12 stocks that currently have round lots smaller than 100 shares. Additional commenters discussed the effects of a different PBBO and NBBO on best execution. (a) Expanding Protection to New Round Lots Most commenters that mentioned order protection suggested that the definition of protected quotation should reflect the new round lot NBBO and not be limited to those quotations that are of at least 100 shares.343 One commenter supported the proposal not to protect the new round lots of less than 100 shares,344 and two were neutral.345 In support, one commenter stated that the order protection rule would continue to function similarly to the way it does today and that extending order protection to the new round lots would have significant negative trading implications, such as encouraging the posting of quotes in insignificant sizes, which would cause asset managers to break down large orders to avoid signaling their full trading intent.346 Complexity and Confusion: Multiple commenters suggested that the amendment to the definition of protected quote would add complexity, including by requiring market participants to monitor an NBBO and a PBBO throughout the trading day.347 One commenter noted that the ‘‘confusion and complexity of a NBBO that deviates from the PBBO outweighs concerns about protecting quotes that otherwise may not be ‘meaningful.’ ’’ 348 Similarly, another commenter argued that the round lot definition, in combination with the definition of protected bid or protected offer, would create a bifurcated system of displayed orders where better priced displayed orders are not protected against trade￾throughs.349

350See Nasdaq Letter IV at 21.
351See id. at 16.
352See supra Section I.E.
353See, e.g., Fidelity Letter at 7; BlackRock Letter at 4; MFA Letter at 10–12. 354Nasdaq Letter IV at 21. See also SIFMA Letter at 10, 13; FINRA Letter at 7. 355T. Rowe Price Letter at 2. 356See Cboe Letter at 6–7; Nasdaq Letter IV at 13–
17. See also BlackRock Letter at 4 (‘‘[A] recent
academic study has identified that ‘trade-throughs of non-protected odd-lot orders are frequent’ such that this ‘limitation in the National Market System . . . results in a hidden cost to equity traders.’ ’’). 357See Nasdaq Letter IV at 16. 358See TD Ameritrade Letter at 10. 359Schwab Letter II at 2. 360See SIFMA Letter at 14; Nasdaq Letter IV at 14–15. 361However, the Commission is still making the technical change to delete the references to ‘‘The Nasdaq Stock Market, Inc.’’ in the definition. The Commission did not receive comments on this piece of the proposal and continues to believe the language is redundant because the Nasdaq Stock Market is now a national securities exchange. See Proposing Release, 85 FR at 16749. 362See Proposing Release, 85 FR at 16747–49. 363See supra Section II.D. 364This information is based on data analyzed by staff for September 2020. 365By comparison, under the proposed definition of round lot, Rules 611 and 610(d) of Regulation NMS would have extended to over 1,600 stocks in the absence of the proposed amendment to the definition of protected bid or offer. 366See infra Section II.E.2(c). 367See supra Section II.D. Additionally, one commenter suggested that amending the definition of protected quote would de-couple the order protection rule and the duty of best execution, creating confusion where brokers have access to a wide swath of required core data but may, or may not, be obligated to use that data to benefit customers.350 Locked and Crossed Markets: Some commenters argued that the proposal to limit the definition of protected quotation to orders of 100 shares or more partially rescinds the rule against locked or crossed markets, allowing some orders to lock or cross the market depending on the price of the stock, the size of the order, and the state of the NBBO.351 Best Execution: 352 Some commenters argued that a bifurcated approach to protected and unprotected round lots would add complexity regarding best execution obligations, including routing and execution decisions.353 Others suggested that if the Commission were to adopt the proposed bifurcated approach, the Commission should ‘‘promulgate clear guidance’’ surrounding market participants’ best execution obligations.354 However, one commenter stated that it was ‘‘not convinced by criticisms that the Proposal would alter asset managers’ best execution obligations as a result of potentially different reference prices (i.e., NBBO vs. PBBO).’’ 355 Effects on Retail Investors: Some commenters suggested that limiting protected quotations to those of 100 shares would harm retail orders/ investors because displayed retail orders in the new round lot sizes would be traded-through.356 Furthermore, a commenter argued that the Commission provided no reasonable basis for the proposal to treat round lots differently and that the proposal would unfairly discriminate against retail investors.357 One commenter suggested that the order protection rule fosters retail
investor confidence and that not protecting the new round lots could erode trust in the markets.358 Another commenter suggested that market makers may not protect round lot orders that are not within the scope of the order protection rule and stated that limiting order protection to transactions of 100 shares or more would ‘‘discourage limit orders—a valuable driver of price discovery—as investors would be less likely to receive execution without price protection.’’ 359 Separate Rulemaking: Some commenters stated that they disagreed with the proposal to separate order protection from the NBBO, and if the Commission were to make such a change, it should do so in a separate rulemaking.360 The Commission is not adopting the proposed amendment to the definition of protected bid or protected offer.361 A wide range of commenters expressed significant concerns regarding this aspect of the proposal, including concerns about complexity and ambiguity that could stem from the best execution, routing, and order handling ramifications of introducing round lot quotes that are unprotected, a potential increase in trade-throughs and locked and crossed markets, and possible erosion of confidence among retail investors that their orders are being treated fairly. The Commission recognizes these concerns and does not believe that adopting the proposed amendments to the definition, at this time, would appropriately advance the broader objectives of the proposal, particularly enhancing the utility and availability of consolidated market data. In support of its preliminary belief that Rules 611 and 610(d) should not be extended to the smaller-sized quotations reflected in the proposed definition of round lot, the Commission cited concerns expressed by various market participants about the existing scope of these rules.362 However, given the concerns expressed in comments on the proposal, the Commission believes that not extending Rules 611 and 610(d) to the new round lot sizes could create unnecessary complexity and confusion. For example, the Commission continues to believe that improvements in trading and order routing technology since 2005 and the applicability of best execution requirements to orders of all sizes would incentivize market participants to engage with orders in the new round lot sizes even if they were not protected, and that these technological improvements and market forces would also help mitigate excessive locking or crossing of quotations in the new round lot sizes. However, the Commission also agrees with commenters that consistently applying Rules 611 and 610(d) to all round lot sizes would promote confidence among investors and other market participants that market participants will engage with orders in the new round lot sizes and that orders in the new round lot sizes will not be excessively locked or crossed. Furthermore, other modifications to the proposal that the Commission is adopting herein mitigate the Commission’s concerns, as
expressed in the Proposing Release, about the expansion of the order protection requirements in Rule 611 and the prohibitions on locked and crossed markets in Rule 610(d). Specifically, as discussed above, the Commission is: (a) Modifying the proposed definition of round lot so that only stocks priced over $250.00 will be assigned to a round lot size less than 100; and (b) increasing the notional size thresholds of the new round lot sizes so that protected order interest at the new round lot sizes is more meaningful.363 Further, since currently only 134 stocks are priced over $250.00,364 the scope of the extension of Rules 611 and 610(d) would be fairly limited, extending to a much smaller number of stocks than under the proposed amendments.365 Furthermore, of this number, six NMS stocks already have a round lot size of less than 100 today.366 Therefore, only 128 NMS stocks would receive trade￾through protection for smaller-sized orders. Additionally, with the larger notional size of $10,000 adopted for the definition of round lot,367 the extension of order protection to round lots would apply only to orders of a more substantial size. (b) Odd-Lot Aggregation for Protected Quotations A number of commenters discussed odd-lot aggregation with respect to protected quotes, and most stated that

368See, e.g., AHSAT Letter at 4.
369See Cboe Letter at 9–12; IEX Letter at 7; Nasdaq Letter IV at 16–17; Virtu Letter at 5. 370See Cboe Letter at 10–11. 371See TD Ameritrade Letter at 11. 372See BlackRock Letter at 4; SIFMA Letter at 7– 8 (suggesting different odd-lot aggregation methodologies would ‘‘rais[e] additional technical issues’’ and recommending that the Commission should provide clarification as to how depth-of￾book data is determined, ‘‘particularly because the aggregation process appears to work differently for the PBBO versus the NBBO, BBO and depth-of-book determinations’’). 373See BlackRock Letter at 4. 374MEMX Letter at 4. 375 IEX Letter at 7. 376Capital Group Letter at 4. 377For example, if there is one 50-share bid at $25.10, one 50-share bid at $25.09, and two 50- share bids at $25.08, the adopted cross-price odd￾lot aggregation method would show a protected 100-share bid at $25.09, while the proposed single￾price odd-lot aggregation method would show a protected 100-share bid at $25.08. 378See, e.g., BlackRock Letter at 4. 379See Proposing Release, 85 FR at 16747–50. 380See supra notes 368 through 376. 381See SIFMA Letter at 13–14. 382See NYSE Letter II at 6. 383See supra Section II.E.2(a). 384 In addition, for four of the twelve stocks that currently have non-100 share round lot sizes, the round lot size would not change, and these stocks would not experience a change in terms of the applicability of Rules 611 or 610(d) of Regulation NMS. 385See Proposing Release, 85 FR at 16749. the Commission should allow aggregation across multiple price levels, instead of at just one level.368 Some commenters stated that preventing odd￾lot orders from being aggregated across different price levels to create protected quotes, as proposed, would cause spreads to widen, with one commenter providing empirical data, based on quoting activity during the month of April 2020, showing that average spreads would widen by over $0.50 for shares with prices of $500.01 to $1,000.00 and nearly $1.50 for shares with prices of $1,000.01 or more.369 One commenter suggested this restriction would hurt retail investors because it would result in their orders being executed at inferior prices.370 Another commenter suggested that only allowing odd-lot aggregation at one price level, instead of across price levels, would lead to fewer protected quotes.371 One commenter suggested that different odd-lot aggregation methodologies between the NBBO and the PBBO would create confusion among market participants.372 That commenter also suggested that different methodologies could raise confusion from a best execution perspective.373 Similarly, one commenter suggested only allowing odd-lot aggregation at one price level, combined with the proposal to provide all levels of depth up to the PBBO, would ‘‘create[] implementation difficulties.’’ 374 Another commenter suggested that, given the proposal’s intent to maintain the status quo with respect to the scope of orders that are subject to Rule 611, the
Commission should consider continuing the existing market practice, as codified in exchange rules, to aggregate quotes at multiple price levels.375 One commenter stated that if order protection were extended to all round lots, the commenter would ‘‘support aggregating odd lots in the manner currently described for the PBBO.’’ 376 In light of these comments, the Commission is modifying the proposed definition of core data to require odd-lot aggregation across multiple prices for purposes of the NBBO and protected quotations.377 The Commission believes that this approach will: (a) Provide a consistent odd-lot aggregation methodology for all elements of core data; (b) be consistent with existing practices, as some commenters pointed out,378 and would avoid potential costs associated with changing these practices; and (c) avoid unintended consequences that could adversely affect investors, such as widening spreads or reducing the number of protected quotes. As stated in the Proposing Release,379 this methodology effectively extends order protection to the aggregated odd-lot orders. However, as discussed above,380 a majority of commenters who opined on odd-lot aggregation for protected quotations preferred a cross-price methodology. Lastly, the comment raised regarding the need for a consistent odd-lot aggregation methodology for the NBBO and protected quotations is less relevant in light of changes the Commission is adopting herein—namely, that the new round lot NBBO will be protected. (c) Removing Protected Status From Certain NMS Stocks Some commenters stated that removing protected status for those NMS stocks that currently have a protected quotation size of under 100 shares would potentially increase the number of locked and crossed markets for the twelve current NMS stocks that have protected quotations of under 100 shares.381 One commenter stated that the Commission did not analyze the effects of removing order protection from those twelve stocks.382 The Commission understands these concerns regarding the possible reduction of order protection and locked/crossed markets restrictions for these 12 stocks in their current round lot sizes. However, as discussed above,383 the Commission is not adopting the proposed amendments to the definition of protected bid or offer, so all NMS stocks—including the 12 that currently have non-100 round lot sizes—would be assigned to round lot sizes based on their per share price, and all round lot orders in these stocks would be protected quotations subject to the trade-through prevention requirements of Rule 611 and the locked and crossed markets restrictions of Rule 610(d). In addition, the Commission acknowledges that, based on staff analysis of stock prices as of September 2020, one stock will have its round lot size increased from 10 to 40, one will have its round lot size increased from 1 to 10, and six will have their round lot size increased from 10 to 100. As a result, order protection pursuant to Rule
611 and the locked/crossed markets prohibitions of Rule 610(d) will no longer apply to some smaller orders in these stocks.384 However, the Commission continues to believe that determining the round lot sizes of all stocks based upon price, without special exceptions for certain stocks that currently have non-standard round lot sizes, will reduce complexity and implementation costs, set consistent expectations regarding round lot sizes among market participants, facilitate the transition to price-based round lots, and justify any potential costs of increasing the round lot sizes of a limited number of stocks.385 F. Definition of ‘‘Depth of Book Data’’ Under Rule 600(b)(26)

1. Proposal
   The Commission proposed to include ‘‘depth of book data,’’ defined as follows, as an element of core data: All quotation sizes at each national securities exchange, aggregated at each price at which there is a bid or offer that is lower than the best bid down to the protected bid and higher than the best offer up to the protected offer, and all quotation sizes at each national securities exchange, aggregated at each of the next five prices at which there is a bid that is lower than the protected bid and offer that is higher than the protected offer. The Commission solicited comment on various aspects of the proposed definition of depth of book data, including whether the definition captures the appropriate level of depth data and whether the Commission should include more or fewer levels of

386See Angel Letter at 1–9 (stating that including depth of book in core data is a ‘‘great idea’’ and emphasizing the importance of depth of book data, particularly to retail investors trading in illiquid stocks of smaller companies and using liquidity￾providing limit orders); letter from Allison Bishop, President, Proof Trading, to Vanessa Countryman, Secretary, Commission, dated May 1, 2020, (‘‘Proof Trading Letter’’) at 1; Healthy Markets Letter at 3; DOJ Letter at 2–4; NovaSparks Letter at 1. 387See IEX Letter at 5; Capital Group Letter at 2– 3; Fidelity Letter at 4–5; Schwab Letter at 4; T. Rowe Price Letter at 2; Wellington Letter at 1; Virtu Letter at 5; SIFMA Letter at 7; STANY Letter II at 4; IntelligentCross Letter at 4. In addition, staff conducted the same analysis of book depth that was included in the Proposing Release but evaluated proprietary market data from a more recent time period (the week of May 4, 2020) than was included in the Proposing Release (July 19, 2019). The results were very similar and confirmed the Commission’s view that there is a substantial amount of quotation volume several levels below the best bid. Staff observed substantial quotation volume several levels below the best bid (the offer side was not examined). On average, there is quotation interest at every $0.01 increment at least ten levels out for the most liquid stocks; for the least liquid stocks, there is a large gap between the best bid and the next highest bid, and large gaps are generally also present between the next several bid levels. In addition, the staff review found a significant percentage of the total notional value of all depth of book quotations for both liquid and illiquid stocks falls within the first five price levels. 388See State Street Letter at 2–3 (stating that institutional firms generally use up to five levels of depth for order routing); ICI Letter at 8–9 (stating that depth of book data ‘‘should consist of at least five price levels, based on the typical trading needs of funds’’); Clearpool Letter at 14 (stating that five levels of depth of book data is sufficient to improve the usefulness of core data for most market participants and that ‘‘five price levels typically tend to be a sufficient level of depth for Clearpool for sweeping multiple levels of the book in executing an order’’); SIFMA Letter at 7 (‘‘[A] review of our institutional member firms found that while some used less than five levels and others used more, five levels of depth strikes an appropriate balance for the order routing purposes of most.’’). 389See Citadel Letter at 1. 390See infra Sections II.F.2(b) through II.F.2(c). 391See infra Section II.F.2(d) (discussing comments suggesting that full, order by order depth of book should be included in core data and the potential latency ramifications thereof). 392See infra Section III.B.5. 393See infra Section V.C.1(c)(iv). 394See STANY Letter II at 4; TD Ameritrade Letter at 5 (‘‘[T]he proposal to include five
levels of depth would add ten quotes per security for every exchange, which today amounts to 130 new data points per security.’’). 395See STANY Letter II at 4; TD Ameritrade Letter at 5 (‘‘[T]the Proposal includes all price levels between the BBO and the protected quote, which for higher priced securities could add hundreds more data points.’’); NYSE Letter II at 5 (stating that the number of price levels between the best and protected quotes, as proposed, could be more than five levels and could fluctuate intra-day as quotes update). 396See SIFMA Letter at 7. 397As discussed below, an indicator of the national securities exchange or national securities association on which the liquidity at a depth of book price level resides will be included in the adopted definition of depth of book data. 398See supra Section II.E.2. 399Among other things, a protected bid or offer must be an ‘‘automated quotation,’’ which means a quotation displayed by a trading center that: (1) Permits an incoming order to be marked as immediate-or-cancel; (2) Immediately and automatically executes an order marked as immediate-or-cancel against the displayed quotation up to its full size; (3) Immediately and automatically cancels any unexecuted portion of an order marked as immediate-or-cancel without routing the order elsewhere; (4) Immediately and automatically transmits a response to the sender of an order marked as immediate-or-cancel indicating the action taken with respect to such order; and (5) Immediately and automatically displays information that updates the displayed quotation to reflect any change to its material terms. Rules 600(b)(6), (70) of Regulation NMS, 17 CFR 242.600(b)(6), (70). Therefore, a ‘‘manual quotation’’ that is not automated—also known as a ‘‘slow quote’’—can sometimes be the best quotation without being a protected quotation. Rule 600(b)(45) of Regulation NMS, 17 CFR 242.600(b)(45). depth or otherwise revise the definition to capture the key depth information that would be useful to market participants.
2. Final Rule and Response to
Comments
The Commission received comments expressing support for the proposed definition of depth of book data and comments raising various concerns, recommendations, and requests for clarification. As discussed in more detail below, the Commission is adopting a modified definition of depth of book data in response to comments. (a) Support for Five Levels of Depth Several commenters expressed general support for including depth of book data in core data 386 or specifically agreed with the Commission’s proposed five levels of depth,387 with some explaining that five levels of depth is suitable for certain market participants or trading practices.388 One commenter expressed general support for the expansion of core data, including depth of book data, provided that it does not materially increase overall latency.389 The Commission agrees that including depth of book data in core data will be useful for and beneficial to a variety of market participants and is adopting the definition of depth of book data largely as proposed, with certain modifications.390 The Commission does not believe that including depth of book data in core data will materially increase the overall latency of core data for several reasons. First, only five levels of depth are included, limiting the number of quotes necessary to be processed.391 Moreover, the decentralized consolidation model will result in consolidated market data, including depth of book data, being delivered to market participants with lower latencies.392 In addition, the Commission believes that market participants that choose to receive the full set of consolidated market data, including depth of book data, will either leverage the existing technology that they currently use to receive depth of book data on a proprietary basis or make the investments in technology to receive the data so that the additional content will not add significant latency.393 (b) Proposed Definition Would Include More Than Five Levels of Depth Some commenters stated that the proposed definition would include five levels of depth on each exchange, which could be confusing and costly and could add latency by increasing actual quote traffic and information to be processed significantly beyond five levels.394 Some commenters also stated that the proposal to include price levels between the best and protected quotes could similarly include a large number of additional data points.395 Some commenters recommended that the Commission clarify how depth of book data will be determined and made available on an individual exchange basis, particularly with respect to how odd-lots would be aggregated at depth of book price levels.396 The Commission believes that these comments highlight the need to more clearly articulate the scope of data that the definition of depth of book data includes and how this data will be attributed to individual SROs 397 in the consolidated market data products made available by competing consolidators. The Commission is
therefore adopting a modified version of the definition of ‘‘depth of book data.’’ First, the revised definition of depth of book data will not include the first clause of the proposed definition, which referred to ‘‘all quotation sizes at each national securities exchange, aggregated at each price at which there is a bid or offer that is lower than the best bid down to the protected bid and higher than the best offer up to the protected offer.’’ As discussed above, the Commission is not adopting the proposed amendments to the definition of protected bid or protected offer, which would have required such quotations to be ‘‘of at least 100 shares.’’ 398 As a result, as is the case today, in the vast majority of cases the best quotes and the protected quotes will be the same.399 Therefore, the definition of depth of book data does not need to include quotation interest between the best and protected quotes. This modification also addresses commenters’ concerns that this aspect of the proposed definition would have

400The Commission notes that, in this example, the interest at $25.02 would also be included in core data because the NBBO is one of the elements of core data. 401As explained below, Rule 614(d) requires competing consolidators to calculate, generate, and make available to subscribers a consolidated market data product, which can contain all elements of consolidated market data or a subset thereof, but competing consolidators are permitted to offer custom products containing more information as well. Competing consolidators would compensate SROs for the data necessary to generate consolidated market data through fees established by the effective national market system plan(s) and would compensate SROs for data that goes beyond consolidated market data on a proprietary basis pursuant to individual SRO fee schedules. See infra note 1132. 402See id. 403See Proposing Release, 85 FR at 16753 (stating that defining depth of book data to include a finite number of price levels would limit ‘‘processing demand on systems’’ and avoid ‘‘excessive message traffic or complexity’’). 404See Proposing Release, 85 FR at 16753 (stating that depth of book data should ‘‘enhance[ ] the utility of proposed core data for a wide range of market participants’’ rather than ‘‘supplanting the proprietary depth offerings of the exchanges that contain additional content and that may be more appropriate for certain market participants or more specialized use cases’’). Market participants in need of more depth than included in the definition of depth of book data could purchase a custom depth product separately from exchanges or through a competing consolidator. included an excessive amount of information in core data that would be difficult to calculate and consume as prices fluctuate throughout the trading day. Second, in response to comments suggesting that the proposed definition of depth of book data would require five price levels from each exchange to be included in core data, the Commission is modifying the second clause of the proposed definition so that it refers to the next five prices at which there is a bid (offer) that is lower (higher) than the national best bid (offer) rather than five price levels from the protected bid or offer. These changes specify that the starting points for the ‘‘next 5 prices’’ are the highest priced bid and lowest priced offer on any exchange (i.e., the national best bid and national best offer) rather than on each exchange. Thus, the modified definition specifies that depth of book data includes five levels of aggregated quotation sizes; it does not include more than five levels to account for differences in the highest priced bid or lowest priced offer on each exchange. The following example illustrates the price levels that are included in the definition of depth of book data. In this example, depth of book data would include aggregate quotation sizes at each price level at and between $25.01 400 and $24.97 because the starting point
for the ‘‘next five prices’’ is $25.02 (the best bid on Exchange A and the national best bid) rather than $25.01 (the best bid on Exchange B) or $25.00 (the best bid on Exchange C). Depth of book data would not include the interest at or below $24.96, even if that interest is within the top five levels of any given exchange, because it is not within the first five price levels from the national best bid. A competing consolidator could provide interest beyond the first five levels of depth across exchanges but would have to acquire such data on a proprietary basis from the exchanges.401 The Commission believes that revising the definition of depth of book data so that the included price levels are the five prices below the national best bid and above the national best offer, rather than the five prices above and below the best quotes on each exchange, is appropriate because it limits the amount of information that competing consolidators will process and display,402 which mitigates concerns raised by some commenters about adverse consequences—such as unnecessary complexity or increased processing demands and latency—that could result from a broader interpretation of the proposed definition.403 In addition, the Commission believes, consistent with the views expressed by various commenters, that a broad array of market participants could use five levels of depth of book data away from the national best bid and national best offer to trade in an informed and effective manner.404 Third, the Commission is modifying the definition of depth of book data to specify that, in addition to quotation sizes at the first five price levels from the NBBO, the aggregate size at each ER09AP21.000</GPH> Example 1: Bids for XYZ, Inc. on Three Exchanges Exchange A Exchange B Exchange C Best bid 100 shares at $25.02 100 shares at $25.01 100 shares at $25.00 DOB 1 100 shares at $25.01 100 shares at $25.00 100 shares at $24.99 DOB2 100 shares at $25.00 100 shares at $24.99 100 shares at $24.97 DOB3 100 shares at $24.99 100 shares at $24.98 DOB4 100 shares at $24.98 DOB5 100 shares at $24.97 Note: Prices in shaded areas would not be included in core data pursuant to the definition of depth of book data as amended.

405For example, if the national best bid is $25.10, Exchanges A and B have 100-share bids at $25.09, and Exchange C has two 100 share bids at $25.09, the competing consolidator would disseminate: 100 shares at Exchange A, 100 shares at Exchange B, 200 shares at Exchange C. The Commission believes that aggregating quotation sizes at each price level at each exchange will limit the number of messages included in depth of book data as compared to an order by order approach, reducing potential concerns about processing demands on systems, latency, and operational costs. See infra Section II.F.2(d). 406See infra Section II.F.2(c) for an explanation of why the Commission is revising the definition of depth of book data to include quotations on a facility of a national securities association. 407Proposing Release, 85 FR at 16754. 408Proposing Release, 85 FR at 16756. 409FINRA Letter at 12–13. 410 Id. The commenter recommended this particular formulation, rather than a direct reference to the ADF, ‘‘to account for the possibility that other quotation facilities may be developed in the future.’’ Id. at 13. 411See MEMX Letter at 5; BlackRock Letter at 2. 412See MEMX Letter at 5. 413See BlackRock Letter at 2. 414See IntelligentCross Letter at 4. 415See Clearpool Letter at 14. 416See Data Boiler Letter I at 19. 417Proposing Release, 85 FR at 16734, 53. 418 Id. at 16753. 419 Id. included price level shall be attributed to each exchange on which the interest is available. Although the proposed definition of depth of book data referred to quotation sizes ‘‘at each national securities exchange’’ in order to require the price and size information in depth of book data to be associated with the source exchange, the Commission believes that specifying that depth of book data includes the aggregate 405 quotation size available at each price at each national securities exchange and national securities association would clarify where the liquidity resides.406 For instance, with respect to Example 1, depth of book data would include:
$25.01 (100 on Exchange A, 100 on Exchange B) $25.00 (100 on Exchange A, 100 on Exchange B, 100 on Exchange C) $24.99 (100 on Exchange A, 100 on Exchange B, 100 on Exchange C) $24.98 (100 on Exchange A, 100 on Exchange B) $24.97 (100 on Exchange A, 100 on Exchange C) The Commission believes that attributing the quotation size at each price to its source national securities exchange or association can, in many circumstances, be essential to achieving the benefits of including depth of book data in consolidated market data. Improved placement of liquidity-taking and liquidity providing orders, for example,407 requires knowledge of the exchange at which the liquidity resides so that market participants can direct orders to that exchange. (c) Expand Definition to FINRA’s Alternative Display Facility The proposed definition of depth of book data referred to quotations only on national securities exchanges, but the Commission solicited comment on whether to include the depth of book quotations of national securities associations to account for the possibility of quotes being reported to FINRA’s Alternative Display Facility (‘‘ADF’’) in the future.408 One commenter stated that while the ADF does not currently have quoting participants, it is an actively maintained FINRA facility and could readily add quoting participants in the future.409 This commenter recommended including future potential ADF quotations by modifying the definition of depth of book data to refer to all quotation sizes at each national securities exchange and ‘‘on a facility of a national securities association.’’ 410 The Commission agrees and is modifying the proposed definition of depth of book data so that it refers to quotation sizes on a facility of a national securities association as well as quotation sizes on a national securities exchange. The Commission agrees with the commenter that any depth of book quotation activity displayed through the ADF or similar facilities is comparable to the exchange depth of book data that would be included as core data under the proposal and that it should be made available on the same terms as exchange depth of book data. To provide market participants with a more complete view of the liquidity that may be available at depth of book price levels, the Commission is modifying the proposed depth of book data definition so that any future ADF depth of book quotation data—or data from similar national securities association facilities that may be developed—would be included in core data without the need for additional Commission rulemaking. In addition, by modifying the definition to refer generally to a facility of a national securities association, rather than specifically to FINRA’s ADF, the definition will include any potential national securities association depth of book quotations. (d) Include Full Depth of Book and Order by Order Data Some commenters suggested including full depth of book data in core data rather than five levels of depth
of data.411 One commenter stated that the proposal could be ‘‘counterproductive and confusing’’ and recommended adding full depth of book data, including order-by-order data across all price levels.412 Another commenter recommended including complete, order-by-order depth of book data in core data, explaining that ‘‘the existence of proprietary data feeds alongside a public tape creates incentives which are incompatible with promoting fair and orderly markets.’’ 413 One commenter agreed with the proposed five-levels of depth of book data but stated that, while not necessary for all market participants, providing full depth of book would not tax systems much more than providing five levels, since ninety percent of ‘‘quote changes’’ occur at the top five price levels.414 However, another commenter stated that providing complete depth of book data is not necessary at this time, explaining that additional data results in increased data processing, latency, and complexity that could impair the usability of the data.415 Finally, one commenter suggested that the Commission should replicate the full depth of book curve to help subscribers of consolidated data better understand the supply and demand imbalance of liquidity in real time.416 The Commission does not believe that the definition of depth of book data should be expanded to include complete, order-by-order depth of book at all price levels. As explained in the Proposing Release, the expansion of NMS information generally, and the inclusion of depth of book data in core data specifically, was intended to provide additional information that would be useful to a broad cross-section of market participants and to reduce information asymmetries between users of proprietary data and users of SIP data.417 However, the Commission explained that these objectives must be balanced against the risk of excessive complexity, message traffic, processing demand on systems, and associated operational costs that might result from the inclusion of more complete depth of book information.418 The Commission recognized that some market participants may need more granular and expansive data, such as the proprietary depth of book products offered by many exchanges, for certain use cases.419 Including complete depth of book data in core data would go beyond the needs of a wide array of market participants or standard use cases for depth of book data in trading, and could result in additional operational costs and latency because of increased message traffic with order by

420See, e.g., supra note 388.
421See IntelligentCross Letter at 4.
422Similarly, in response to the comment regarding the full depth of book curve, see supra note 416 and accompanying text, while full order book shape patterns may contain valuable information for certain sophisticated computerized models, the Commission, as discussed above, is concerned that mandating the inclusion of the entire depth of book across all national securities exchanges would have significant processing, latency, and cost ramifications. 423See Cboe Letter at 15. 424See id. at 16–17; see also SIFMA Letter at 7 (requesting clarification regarding how odd-lots will be aggregated at depth of book price levels). 425See supra Section II.C.2(b). 426See also infra Section II.F.2(h) (explaining the relevance of depth of book data to best execution analyses); Proposing Release, 85 FR at 16754 (explaining how depth of book data can enable market participants to trade in a more informed and effective manner). 427Proposing Release, 85 FR at 16754. order data at all price levels. Therefore, consistent with the views of several commenters,420 the Commission continues to believe that while five levels of depth of book data would significantly enhance the usability of core data for many market participants, including complete depth of book data in core data could impair the usability of core data for many subscribers. Moreover, while the Commission has considered the view expressed by one commenter that providing depth of book data at all price levels would not be overly burdensome and would not tax systems much more than providing five levels, this commenter also acknowledged that full depth of book data is not necessary at this time for all market participants.421 The Commission shares some commenters’ concern about the processing and latency ramifications of including complete depth of book data and therefore is not adopting a definition of depth of book data that goes beyond five levels.422 (e) Odd-Lots at Depth and Determination of Five Price Levels One commenter recommended that ‘‘depth-of-book quotations aggregated at each of the first five price levels where a displayed order is available to trade . . . regardless of the associated size displayed at those prices’’ be disseminated.423 This commenter requested that the Commission clarify, preferably with an example, how odd￾lots would be aggregated at depth of book price levels, stating that the proposed definition of core data requires odd-lots to be aggregated across prices and disseminated at the least aggressive price for purposes of depth of book data, while the proposed definition of depth of book data provides that the required five price levels are determined by the presence of a ‘‘bid’’ or ‘‘offer,’’ which by definition, implies a round lot.424 The Commission does not agree that all odd-lots within the first five price levels of the NBBO should be displayed in core data or that the five price levels included in depth of book data should be determined by the presence of an odd-lot
quotation at those price levels. First, as explained in detail above, the inclusion of odd-lot quotations in core data must be reasonably calibrated to include the information that is most relevant to investors and other market participants.425 While the Commission believes that information on the most attractively priced individual odd-lots— namely, those priced at or better than the NBBO—should be included in core data, the inclusion of information regarding individual odd-lots at inferior prices is not warranted because these quotations do not represent direct and immediate opportunities for price improvement.426 Second, the magnitude of the quotation size available at a particular price level should factor in to whether that price level counts as one of the five price levels that are included in core data. Otherwise, particularly in cases where liquidity is widely dispersed over a number of price levels, as is the case with many illiquid stocks, orders of insignificant notional value could ‘‘take up’’ price levels and prevent the dissemination of more significant interest at price levels further away. For example, if the NBB for stock A is $25.15, and there are 1 share bids at $25.14–$25.10 and a 100 share bid at $25.09, the five bids of relatively insignificant notional value at $25.14– $25.10 would prevent the bid of relatively significant notional value at $25.09 from being captured by the definition of depth of book data. For this reason, the proposed definition of depth of book data included a ‘‘minimum size requirement’’ for depth price levels— namely, the presence of a ‘‘bid or offer,’’ which incorporates the concept of a ‘‘round lot.’’ 427 That said, in response to the commenter’s request, the Commission is clarifying that the requirement for the presence of a bid or offer in determining the five price levels does not require a ‘‘pure’’ or ‘‘unitary’’ round lot consisting of only one order to be present at a price level. Rather, odd-lots that aggregate into a round lot pursuant to the prescribed method could also establish a price level, as long as there is at least one round lot of interest—unitary or aggregated—on at least one SRO. As a round lot reflects trading interest of meaningful size to market participants, the Commission believes that odd-lots that in the aggregate reflect size equivalent to a round lot also represent trading interest of meaningful size and should be included in depth of book data. The following example illustrates how odd-lot aggregation would operate in the depth of book context. Example 2: Odd-Lot Aggregation at Depth Price Number of shares bid for stock X Exchange A Exchange B Exchange C $25.50 .......................................................................................................................................... 100 (NBB) ...... 0 0
25.49 ............................................................................................................................................ 0 ..................... 100 0
25.48 ............................................................................................................................................ 0 ..................... 0 50
25.47 ............................................................................................................................................ 60 ................... 0 50
25.46 ............................................................................................................................................ 0 ..................... 0 0
25.45 ............................................................................................................................................ 60 ................... 0 0
25.44 ............................................................................................................................................ 0 ..................... 25 0
25.43 ............................................................................................................................................ 0 ..................... 75 0
25.42 ............................................................................................................................................ 100 ................. 0 0
25.41 ............................................................................................................................................ 0 ..................... 0 2
25.40 ............................................................................................................................................ 0 ..................... 5 0
25.39 ............................................................................................................................................ 0 ..................... 0 100

428CBOE Letter at 19.
429As discussed above, other alternatives presented by commenters, such as including five price levels of depth of book information without regard to whether those price levels are round lots, have other drawbacks. See supra notes 423–427 and accompanying text. 430See Proposing Release, 85 FR at 16768; infra
Section III.B.5.
431See Nasdaq Letter IV at 33; TD Ameritrade Letter at 5; NYSE Letter II at 3–4. 432See Nasdaq Letter IV at 33. 433See Nasdaq Letter V at 5. 434See TD Ameritrade Letter at 5. 435See supra note 388. 436See infra note 1974 and accompanying text. 437See TD Ameritrade Letter at 5. 438See supra Section II.C.2(a). 439See infra note 879 and accompanying text. 440These indirect benefits would accrue to customer orders executed by broker-dealers that do not currently use proprietary depth of book data but that would use the depth of book data as adopted and as included in core data. 441See supra Section I.E (discussing the implications of these amendments generally for best execution obligations); infra Section II.F.2(h) (discussing best execution obligations in the context of depth of book data). 442See TD Ameritrade Letter at 5. 443See Proposing Release, 85 FR at 16754. 444See supra note 387. Here, the first five prices at which there is a bid that is lower than the NBB—measured in terms of the presence of at least one singular or aggregated round lot on at least one SRO—are $25.49 (100 shares on Exchange B), $25.47 (50 shares at $25.48 and 50 shares at $25.47 on Exchange C, aggregated and displayed at the less aggressive price), $25.45 (60 shares at $25.47 and 60 shares at $25.45 on Exchange A, aggregated and displayed at the less aggressive price), $25.43 (25 shares at $25.44 and 75 shares at $25.43 on Exchange B, aggregated and displayed at the less aggressive price), and $25.42 (100 shares on Exchange A). Hence, in Example 2, depth of book data would include: 100 shares at $25.49, $25.47, $25.45, $25.43, and $25.42 (with attribution to the relevant SRO, as explained above). One commenter argued that allowing aggregation across multiple price levels to determine whether there is a round lot bid or offer at a particular depth of book price level could create significant computational issues, particularly when orders are cancelled and the five price levels would have to be redetermined, possibly resulting in diminished competing consolidator performance and higher capacity requirements for downstream users of the data. This commenter also argued that displaying depth of book price levels in this manner could potentially lead to a deceptive view of market activity at prices that are nowhere near current market prices, raising concerning issues related to investor protection.428 The Commission acknowledges that aggregating odd-lots to determine depth of book price levels will require computation by competing consolidators and that new orders or order cancelations and modifications could require the five levels to be redetermined. However, alternatives such as the inclusion of all odd-lots at inferior prices would require more outbound message traffic from competing consolidators to subscribers and would therefore raise similar concerns about system performance and the capability of subscribers to consume the data.429 In addition, as explained below and
in the Proposing Release, the decentralized consolidation model will foster a competitive environment for the provision of consolidated market data, and the Commission believes that this will lead to improvements in the use of more competitive, low-latency aggregation and transmission technologies, mitigating concerns about computational and performance issues related to the generation and dissemination of depth of book data.430 Competing consolidator subscribers also have the option of consuming varying levels of depth of book data, depending on their needs, and could determine that the latency costs of consuming several levels of depth exceed the benefits. Furthermore, the Commission does not believe that aggregating odd￾lots across prices will lead to a deceptive view of market activity or mislead investors because exchanges currently aggregate odd-lots across price levels to form round lots and provide their best bids and offers to the exclusive SIPs at the least aggressive price of all such odd-lots. In addition, Commission rules, which will include this methodology, will provide transparency to market participants regarding the inclusion in core data of odd-lots at depth of book price levels aggregated pursuant to this methodology, which addresses the concern that cross-price odd-lot aggregation would lead to a deceptive view of market activity or mislead investors. (f) Insufficient Justification for Inclusion of Depth of Book Data in Core Data Some commenters questioned whether there is sufficient need among market participants for depth of book data to be included in core data.431 One commenter stated that depth of book data is for ‘‘serious traders’’ and is already available on a proprietary basis for anyone who needs it, and that it is not clear whether there would be demand for the ‘‘truncated’’ set of information reflected in the proposed definition of depth of book from any particular set of market participants.432 In a subsequent letter, this commenter stated that the Commission’s depth of book data proposal ‘‘lacks data driven analysis’’ and that the Commission ‘‘released no independent studies or research analyzing the impact of this proposal or addressing the five price level demarcation.’’ 433 Similarly, another commenter stated that depth of book data is not ‘‘necessary or helpful for all investors’’ and that its inclusion in core data would increase core data costs unnecessarily and create confusion as to what is necessary for regulatory compliance.434 The Commission disagrees with these comments. As evidenced by the support for including five levels of depth of book data expressed by a wide range of commenters—including exchange, buy￾side, and sell-side market participants, many of whom explained with specificity why five levels of depth of book would meet their needs 435—the Commission believes there is demand for core data that includes depth of book data, including the definition of depth of book data, as modified and
adopted herein. The Commission also believes that including depth of book data in core data would promote a broader distribution of this data among market participants, particularly those who do not currently subscribe to the proprietary depth of book products offered by the exchanges.436 Nevertheless, the Commission acknowledges that depth of book data may not be ‘‘necessary or helpful for all investors’’ 437 in a direct sense, but even investors who do not directly consume depth of book data will benefit from it indirectly,438 since many of their broker-dealer intermediaries would likely use depth of book data for improved order placement,439 which ultimately will improve the execution quality of customer orders.440 Furthermore, the Commission has explained the implications of these amendments on best execution obligations in detail.441 Therefore, the inclusion of depth of book data in core data should not ‘‘cause confusion as to what may be required for regulatory compliance.’’ 442 Finally, the Commission disagrees that the definition of depth of book data is unsupported by ‘‘data driven analysis’’ because the Commission considered staff analyses of depth of book data in both proposing 443 and adopting 444 the definition.

445See BestEx Research Letter at 2, 5 (‘‘Given that exchanges have zero competition in providing their own market data feeds, we welcome the Commission’s proposed mandate that exchanges provide depth of book information and auction information to competing SIP vendors, thus reducing information asymmetry among market participants. However, we believe that SIP providers should not be required to include that information in their products.’’). 446See BlackRock Letter at 2–3. 447See infra Sections III.C.1(b); III.C.8(a). 448See infra Section III.E.2(e). 449See, e.g., RBC Letter at 4; SIFMA Letter at 3– 4; T. Rowe Price Letter at 1; Clearpool Letter at 1, 11 (stating that data content currently available only in proprietary feeds is necessary for best execution); Capital Group Letter at 2; McKay Letter at 1; Better Markets Letter at 1–2; DOJ Letter at 4. 450See State Street Letter at 2; IEX Letter at 5. 451Nasdaq Letter IV at 7. See also FINRA Letter at 7 (stating generally that the proposed changes to the content of consolidated market data and the manner in which it would be disseminated raise questions regarding best execution requirements and that the Commission should consider providing best execution guidance for broker-dealers). 452See supra Section I.E. 453See id. 454See id. 455See id. 456See supra note 451 and accompanying text. See also supra note 92. 457See Proposing Release, 85 FR at 16759. 458See id. 459The adopted definition of auction information also includes one technical change from the proposed definition—using the plural ‘‘auctions’’ rather than the singular ‘‘an auction’’ in the phrase ‘‘generated by a national securities exchange leading up to and during auctions.’’ The plural form is more consistent with the use of ‘‘auctions’’ in the next clause of the definition. See infra Section VIII. (g) Need for Competing Consolidators To Offer Depth of Book Some commenters supported requiring SROs to provide depth of book information to competing consolidators but opposed requiring competing consolidators to include depth of book in the products offered to their subscribers 445 or emphasized that competing consolidators should be provided with enough raw data to be competitive with proprietary offerings but permitted to offer a range of products due to investors’ diverse market data needs.446 The Commission agrees that competing consolidators should be permitted to offer customers a range of products, including customized depth of book products that include more or less depth of book information than set forth in the definition of depth of book data. Modifying the requirements of Rule 614 so that competing consolidators will only be required to generate and offer one or more consolidated market data products, which can contain some or all of the elements of consolidated market data, will enable competing consolidators to specialize in different products to address their subscribers’ market data needs.447 Competing consolidators that
receive proprietary data products from SROs to create products that go beyond consolidated market data (e.g., full depth of book data), would compensate SROs for this use pursuant to individual SRO fee schedules, while competing consolidators that limit their use of SRO data to the creation of products that include consolidated market data or a subset thereof would be charged pursuant to the effective national market system plan(s) fee schedules. If the effective national market system plan(s) establishes fees for data content underlying consolidated market data offerings that use subsets of consolidated market data, the competing consolidator would have the option of providing customized products that do not, for example, include all five levels of depth of book data, including products providing only the NBBO and/ or the top of book quotes of exchanges.448 (h) Best Execution Obligations Regarding Depth of Book Data Some commenters discussed market participants’ duty of best execution in light of the inclusion of depth of book data in core data. Some commenters noted that including depth of book data in core data would assist market participants in fulfilling their best execution requirements.449 Others went further and stated that depth of book data is currently necessary to fulfill their best execution obligations.450 However, one commenter stated that ‘‘[s]upplementing core market data with depth-of-book data would confound market participants in fulfilling their best execution obligations.’’ 451 As explained above, these amendments do not change the duty of best execution.452 Rather, the availability of additional data content as core data—including depth of book data—may be relevant to a broker￾dealer’s ability to achieve and analyze best execution, and broker-dealers should consider the availability of this information in connection with their best execution obligations.453 However, for the reasons stated above, the Commission is not setting forth minimum data elements needed to achieve best execution or specifying the data elements that may be relevant to any specific situation or customer.454 In addition, the Commission has explained the implications of these amendments on best execution obligations in detail,455 and does not agree that market participants will be ‘‘confounded’’ in fulfilling their best execution obligations by the addition of depth of book data to core data.456 G. Definition of ‘‘Auction Information’’ Under Rule 600(b)(5)

1. Proposal
   The Commission proposed to define ‘‘auction information’’ as an element of core data. Specifically, ‘‘auction information’’ would be defined as all information specified by national securities exchange rules or effective national market system plans that is generated by a national securities exchange leading up to and during an auction—including opening, reopening, and closing auctions—and disseminated during the time periods and at the time intervals provided in such rules and plans. Auctions have become increasingly important liquidity events in recent years and have come to represent a significant proportion of overall trading volume. The Commission proposed to include auction information in core data to promote more informed and effective trading in auctions, which could also facilitate price formation and improve execution quality for more traders and investors.457 The Commission solicited comment on the proposed definition of auction information, including the scope of auction-related information that should be included in the definition.458
2. Final Rule and Response to
   Comments
   Many commenters favored including auction information in core data, but some opposed doing so. The Commission is adopting the definition of auction information, as proposed, with one modification.459 Specifically, the Commission is adding the word ‘‘publicly’’ before ‘‘disseminated’’ to specify that only auction information that is publicly disseminated on an exchange’s proprietary feeds is included in the definition of auction information and hence as an element of core data. The Commission believes that this modification will help ensure that all auction information that an exchange includes in its proprietary feeds will be included in core data, addressing the information asymmetries that currently exist between users of SIP data and proprietary data and facilitating the ability of core data subscribers to participate in auctions in an informed

460See Proposing Release, 85 FR at 16758–59. 461See NYSE Rule 123C(6)(b) (relating to the dissemination of certain auction-related information to floor brokers). 462See IEX Letter at 6; MEMX Letter at 5–6; Cboe Letter at 21; BlackRock Letter at 2; Fidelity Letter at 5; Schwab Letter at 5; State Street Letter at 2– 3; T. Rowe Price Letter at 2; Capital Group Letter at 2; ICI Letter at 9–10; SIFMA Letter at 7; Citadel Letter at 1 (supporting the inclusion of auction information in core data as long as it does not materially increase latency); Virtu Letter at 5; IntelligentCross Letter at 4; STANY Letter II at 4; BestEx Research Letter at 5 (stating that competing consolidators should be able to determine whether or not to include auction information in the products offered to subscribers); Healthy Markets Letter at 3; Clearpool Letter at 15; Wellington Letter at 1; Proof Trading Letter at 1 (stating that auction information could be useful for agency trading); NovaSparks Letter at 1. 463See ICI Letter at 9–10 (‘‘Doing so also would eliminate proprietary data costs as a barrier to auction trading and encourage a broader range of market participants to submit trading interest.’’); see also SIFMA Letter at 7. 464See RBC Letter at 5. 465See Angel Letter at 8. 466See Proposing Release, 85 FR at 16756 (stating that auctions account for approximately 7% of daily equity trading volume based on data available on Cboe’s website from November 2019). Staff conducted the same analysis of auction data that was included in the Proposing Release but for a more recent time period (the month of June 2020) and observed that auctions account for approximately 7% of daily equity trading volume. Staff also observed that auctions accounted for more than 20% of total volume on two days (June 19 and June 26). See Cboe: U.S. Equities Market Volume Summary, available at https://markets.cboe.com/ us/equities/market_share/ (last accessed Aug. 30, 2020). 467See Proposing Release, 85 FR at 16756–57. 468See id. at 16826–27. 469Nasdaq Letter IV at 51. 470See id. (‘‘When performing an opening or closing auction, Nasdaq receives orders and disseminates (via NOII messages) the results of those simulations. The frequency at which the NOII is disseminated changes over the course of an auction; for example, in the closing auction, the NOII is disseminated every ten seconds for the first five minutes of the auction, and then every second for the final five minutes of the auction. The NOII includes a number of data fields, including: Symbol (indicating the security to which the NOII relates); Near Indicative Price (which is based on orders in both the closing and continuous books); Far Indicative Price (which is based on orders solely in the closing book); Current Reference Price (which is based solely on orders in the continuous book); Paired Shares (indicating how many shares would execute at the Current Reference Price); Imbalance Shares (indicating the number of shares that would
remain after execution at the Current Reference Price); and Imbalance Side (indicating whether the Imbalance Shares relate to buy orders or sell orders). The three prices in the NOII are not simply based on executed transactions, but rather they are simulations of what the price ‘‘would be’’ if the auction were to execute at that moment, based on different inputs. Each day, Nasdaq generates over 400 simulations of these three prices for each security. As there are over 3000 securities traded on Nasdaq each day, this means that Nasdaq compiles more than 1.2 million NOII records each day. The selection and arrangement of the NOII data fields are original and reflect Nasdaq’s creative judgment; Nasdaq did not copy this selection of auction data, and there is no precedent for this unique and creative assembly of auction data fields. . . .’’). 471 Id. 472 Id. 473See Fidelity Letter at 5; SIFMA Letter at 7. 474See SIFMA Letter at 7. 475See supra note 114. and effective manner.460 This modification would also clarify that auction information does not include auction-related information that is made available to a limited group of market participants under certain exchange models, but not made publicly available.461 (a) Support for Inclusion of Auction Information in Core Data Many commenters supported the inclusion of auction information in core data, emphasizing the importance of this information in light of the increasing proportion of transaction volume that takes place during opening and closing auctions.462 One commenter stated that including auction information in core data would eliminate proprietary data costs as a barrier to auction trading and encourage a broader range of market participants to submit trading interest into auctions, enhancing market liquidity and price discovery.463 Another commenter cited recent market wide circuit breaker halts and the consequent re-opening auctions as reasons for its support of including auction information in core data.464 Another commenter stated that retail investors should be properly informed with appropriate information about the indicative auction price and the trading imbalance.465 The Commission agrees with these comments on the growing significance of auctions and auction information to investors and other market participants. As the Commission stated in the Proposing Release, opening and closing auctions conducted by the exchanges have become increasingly important liquidity events and represent a significant proportion of overall trading volume.466 The growth of passive, index-tracking investment strategies through mutual funds, ETFs, and similar products has contributed to the higher concentration of trading in closing auctions.467 For these reasons, the Commission believes that auction information should be included in core data to promote more informed and effective participation in auctions by market participants and to potentially broaden the range of market participants who participate in
auctions, enhancing auction liquidity and price discovery. Specifically, the Commission believes that auction information, such as order imbalances and indicative prices, helps market participants determine whether to participate in auctions, how to trade leading up to an auction, and how to best place their trading interest into an auction.468 Finally, the Commission agrees that recent market wide circuit breaker halts, which occurred after the Commission’s issuance of the Proposing Release, further underscore the need for auction information to be included in core data so that information related to the reopening auctions that occur after such halts is broadly disseminated to market participants, promoting more informed participation in these auctions. (b) Asserted Violation of Intellectual Property Rights One commenter stated that it ‘‘possesses copyright rights in its auction data as a compilation . . .’’ and the proposal would require that it ‘‘forfeit these copyrights rights.’’ 469 The commenter noted that there have been ‘‘auctions of financial instruments for hundreds of years,’’ and that it ‘‘has developed a unique approach to auctions that includes a creative selection and arrangement of auction data.’’ 470 The commenter stated that it ‘‘has the exclusive right to reproduce its compilation in copies, to prepare derivative works based on the compilation, and to distribute copies of the compilation.’’ 471 The commenter further stated that the proposal would ‘‘force Nasdaq to surrender these rights, robbing Nasdaq of its ability as copyright owner to obtain fair market value of licenses for its intellectual property.’’ 472 Some commenters disagreed.473 One commenter stated that viewing auction information (or depth of book data) as the intellectual property of the exchanges would ignore the fact that the broker-dealers who submit the orders and the investors who generate the orders are the source of this data and would contravene broker-dealers and investors’ ownership rights in the underlying data.474 The Commission does not agree that the definition of auction information or its inclusion in core data would violate any copyright interests of the commenter. The Commission has the authority to determine the content of the quotation and transaction information made available under the national market system rules, including information related to exchange auctions.475 In addition, other Commission rules require the public disclosure or provision of information that must be compiled, such as Rules 601 (transaction reports), 602 (quotations), 605 (order execution

476See also Securities Exchange Act Release No. 74244 (Feb. 11, 2015), 80 FR 14564, 14669–70 (Mar. 19, 2015) (Regulation SBSR—Reporting and Dissemination of Security-Based Swap Information Adopting Release) (‘‘Under the federal securities laws, the Commission imposes a number of requirements that compel the provision of information to the Commission itself or to the public. . . . Businesses that operate in an industry with a history of regulation have no reasonable expectation that regulation will not be strengthened to achieve established legislative ends.’’). 477For example, the dissemination of auction information as required by these amendments does not violate any patents that the commenter has identified, as these amendments do not compel the disclosure of the process of how the auction prices are derived. See Rule 600(b)(5) of Regulation NMS (defining ‘‘auction information,’’ by reference to information specified in exchange rules, which do not disclose how auction prices are derived). Rather, these amendments require exchanges to make auction information available to competing consolidators and self-aggregators so that market participants may submit trading interest into auctions in a more informed manner. 478Auction data for a particular NMS stock will likely be generated by a single exchange, namely the primary listing exchange for that stock. However, all data elements that make up consolidated market data, such as individual quotes and trades or regulatory data, originate from a single SRO, and, as explained below, the Operating Committees of the effective national market system plans historically have determined how best to allocate consolidated market data revenues among the SROs to fairly reflect their individual contributions. See infra Sections III.E.2(b), III.E.2(f). In addition, certain NYSE auction data is currently included in Tape A. See Proposing Release, 85 FR at 16757. 479See Nasdaq Letter IV at 33. 480See TD Ameritrade Letter at 5. 481See supra note 462. 482See Angel Letter at 8. 483See supra note 468. 484See supra Section II.C.2(a); infra Sections V.C.1(c)(iii) (discussing how the amendments will affect access to auction information); III.E.2(c); V.C.2(b)(i)a (discussing how the amendments will affect data content fees). 485See ICI Letter at 9–10 (‘‘Including auction information in the consolidated feed would enhance transparency into market activity. Doing so also would eliminate proprietary data costs as a barrier to auction trading and encourage a broader range of market participants to submit trading interest.’’); SIFMA Letter at 7 (‘‘Adding this [auction] data to the definition of core data would assist with alleviating some of the discrepancies in content between the exchange proprietary feeds and the current SIP feeds and provide market participants with the ability to rely on SIP feeds rather than incurring the substantial costs in being forced to purchase both the proprietary data and the SIP data.’’). 486See
supra note 484. 487See supra Section I.E. 488TD Ameritrade Letter at 4. 489See Cboe Letter at 21. information), and 606 (order routing information) of Regulation NMS and 17 CFR 240.15c2–12 (Exchange Act Rule 15c2–12) (credit rating and audit information related to municipal securities).476 Moreover, auction information, such as order imbalances and indicative pricing, pertains to certain outputs of an exchange’s auction process. Such auction information does not require the disclosure of any details about the process of the auction or require the exchanges to ‘‘reproduce’’ their compilations. Rather, the exchanges can comply with the requirement to make information related to their auctions available to competing consolidators and self-aggregators without using their existing compilation systems; they are free to collect and publish the factual information required by the amendments to be made public by any means they choose in a manner that does not utilize any copyrightable format or collection methodology. Therefore, to the extent that any intellectual property rights attach to exchange auction processes themselves, these amendments do not violate those rights.477 Furthermore, exchanges will continue to be compensated for making auction information available to competing consolidators and self-aggregators through fees established by the effective national market system plan(s). The Operating Committee of the effective national market system plan(s) will propose fees for the data content underlying consolidated market data, including auction information, as well as updates to the formula for allocating revenues from this data among the SROs.478 In so doing, the Commission expects the Operating Committee to assess the impact of the inclusion of auction information in consolidated market data on the fees to be charged for the data content underlying consolidated market data, as well as how exchanges that contribute auction information should be compensated for this data through the allocation formula. (c) Assertion of Insufficient Justification for Inclusion of Auction Information in Core Data One commenter characterized auction information as ‘‘esoteric’’ and ‘‘designed to assist sophisticated market participants,’’ arguing that anyone who needs this information can buy it now, that it is likely to be ‘‘useless’’ to anyone who does not currently buy it, and that including it in core data will not make it ‘‘any more or less available.’’ 479 Similarly, another commenter stated that auction information is not ‘‘necessary or helpful for all investors’’ and that its inclusion in core data would increase core data costs unnecessarily and create confusion as to what is necessary for regulatory compliance.480 A variety of commenters—including exchange, buy-side, and sell-side market participants—stated, and the Commission agrees, that auction information is not ‘‘esoteric’’ information that would be of use only to some small subset of ‘‘sophisticated’’
market participants.481 Rather, the Commission continues to believe that auction information would be useful or beneficial to a broad cross-section of market participants—including retail investors, according to one commenter 482—and would enable these market participants to participate in auctions, and to trade leading up to auctions, in a more informed manner.483 Furthermore, as explained above, even market participants that do not directly acquire all elements of core data, including auction information, will still indirectly benefit from the inclusion of auction information in core data. The inclusion of auction information in core data will facilitate greater access to this information among a broader group of executing broker-dealers and will enable them to place orders into auctions more effectively and to achieve better executions for their customer orders.484 As commenters stated, proprietary data costs may discourage some market participants from participating in auctions.485 The Commission is sensitive to these concerns and believes that including auction information in core data would help facilitate its broader dissemination.486 Finally, the Commission is not mandating the consumption of auction information and has explained the implications of these amendments on best execution obligations above.487 The Commission believes the inclusion of auction information in core data will not create confusion as to regulatory requirements, as one commenter stated might happen.488 (d) Include Competing Crosses in Auction Information One commenter recommended expanding the proposed definition of auction information to include data on competing crosses offered by national securities exchanges other than the listing market, such as one of the commenter’s products (the Cboe Market Close product), so that investors have a full view of exchange trading in other mechanisms through which investors can seek to have their orders executed at official opening or closing prices.489 The Commission does not believe that information on competing crosses should be included in core data at this time. Auctions are held pursuant to exchange rules at specified periods during the trading day (e.g., at the open, at the close, or during the day to reopen a stock that has been halted) when continuous trading is not occurring.

490See, e.g., NYSE Rule 123C(8). See also Proposing Release, 85 FR at 16756. 491See, e.g., NYSE Rule 123C(1)(e). See also Proposing Release, 85 FR at 16756. 492Securities Exchange Act Release No. 88008 (Jan. 21, 2020), 85 FR 4726 (Jan. 27, 2020). Through Cboe Market Close, buy and sell market on close orders for stocks not listed on Cboe are matched together and executed at the closing price of the stock’s primary listing exchange. Because the Cboe Market Close process is using the primary listing exchange’s closing price as the execution price, the Cboe process is not independently discovering a closing price different than the primary listing exchange. Id. at 4727, 4738 (‘‘The Commission finds that . . . Cboe Market Close should not disrupt the price discovery process in the closing auctions of the primary listing exchanges. Importantly, Cboe Market Close will only accept, match, and execute unpriced MOC orders with other unpriced MOC orders (i.e., paired-off MOC orders). Contrary to some commenters’ assertions that MOC orders contribute to the determination of the official closing price, the Commission believes that paired￾off MOC orders, which do not specify a price but instead seek to be executed at whatever closing price is established via the primary listing exchange’s closing auction, do not directly contribute to setting the official closing price of securities on the primary listing exchanges but, rather, are inherently the recipients of price formation information.’’). 493See supra Section II.B.2; infra Section II.K.2. 494See TD Ameritrade Letter at 6 (‘‘Inclusion under the broader Consolidated Market Data definition would still require for the collection, aggregation, and dissemination of the data to make it available to self-aggregators and competing consolidators but would avoid future confusion about what is required of end users for regulatory purposes in the future.’’). 495See Data Boiler Letter I at 20. 496See supra Section II.C.2(a). 497See supra Section I.E. These amendments do not mandate the consumption of auction information, regardless of whether auction information is defined as core data or consolidated market data, contrary to what one commenter suggested. See supra note 494 and accompanying text. During auctions, buy and sell orders generally interact at the single price, within limits, that maximizes the trading volume that can be executed.490 For example, a closing auction generally is held at the end of regular trading hours on the primary listing exchange pursuant to a process set forth in the primary listing exchange’s rules to determine a security’s official closing price.491 While the Cboe Market Close process seeks to provide executions on Cboe BZX Exchange at the official closing price published by the primary listing exchange, which is typically determined through an auction, it is not itself an auction process that establishes pricing.492 In proposing to include auction information in core data, the
Commission was responding to the growing importance of auctions themselves rather than competing cross processes that leverage auction-based pricing. Because competing cross processes are a derivative of the underlying auctions that establish prices, the Commission does not believe that including information regarding Cboe Market Close or similar competing cross processes would further the objective of promoting more informed participation in auctions. The Commission’s decision does not preclude the dissemination of information related to such processes on a proprietary basis or prevent competing consolidators from acquiring and providing this information to their subscribers. Additionally, self￾regulatory organization-specific program information can also be required to be included in consolidated market data pursuant to the national market system plan or plans required under Section 242.603(b) or amendments thereto that are approved by the Commission.493 (e) Classification of Auction Information One commenter stated that auction information (along with odd-lots and depth of book data) should be part of the consolidated market data, rather than core data, and expressed its doubt that firms would have an option to receive only a portion of core data.494 Another commenter stated that auction information should be further split into three products: (1) Core data that has no auction data but includes Cboe Market Close orders in order not to drag the processing speed of normal data distribution; (2) separate subscription for auction imbalance information (matched quantity, imbalance size, near price, far price, paired shares, and imbalance shares); and (3) integrated auction data in a combined feed, the speed of which may be slower than (1) and (2).495 The Commission believes that auction information should be part of core data. Core data includes elements that the Commission has determined to be useful to inform trading decisions by today’s investors. Auction information is important to investors who wish to participate in the opening, reopening, and closing auctions, which make up an increasing proportion of overall trading volume. However, as discussed above,496 the Commission is not creating any new regulatory obligation to consume auction information.497 Furthermore, the Operating Committee of the effective national market system plan(s) could set separate fees for different data content subsets, and competing consolidators could offer a variety of customized market data products to meet their subscribers’ the diverse needs. This would help ensure that market participants pay for only the data that they consume and addresses the commenter’s recommendation to provide for product differentiation and customer choice with respect to auction data. H. Definition of ‘‘Regulatory Data’’ Under Rule 600(b)(78)

1. Proposal
   The Commission proposed defining regulatory data as follows: (1) Information required to be collected or calculated by the primary listing exchange for an NMS stock and provided to competing consolidators and self-aggregators pursuant to the effective national market system plan or plans required under Rule 603(b), including, at a minimum: (A) Information regarding Short Sale Circuit Breakers pursuant to Rule 201 of Regulation SHO; (B) information regarding Price Bands required pursuant to the LULD Plan; (C) information relating to regulatory halts or trading pauses (news dissemination/pending, LULD, and market wide circuit breakers (‘‘MWCBs’’)) and reopenings or resumptions; (D) the official opening and closing prices of the primary listing exchange; and (E) an indicator of the applicable round lot size; and (2) information required to be collected or calculated by the national securities exchange or national securities association on which an NMS stock is traded and provided to competing consolidators and self-aggregators pursuant to the effective national market system plan(s) required under Rule 603(b), including, at a minimum: (A) Whenever such national securities exchange or national securities association receives a bid (offer) below (above) an NMS stock’s lower (upper) LULD price band, an appropriate regulatory data flag identifying the bid (offer) as non-executable; and (B) other regulatory messages including sub￾penny execution and trade-though exempt indicators. For purposes of item (1)(C) of the proposed definition, the primary listing exchange that has the largest proportion of companies included in the S&P 500 Index shall monitor the S&P 500 Index throughout the trading day; determine whether a Level 1, Level 2, or Level 3 decline, as defined in self-regulatory organization rules related to Market-Wide Circuit Breakers, has occurred; and immediately inform the other primary listing exchanges of all such declines (so that the primary listing exchange can initiate trading halts, if necessary).
2. Final Rule and Response to
   Comments
   The Commission received several comments regarding the definition of

498See FINRA Letter at 9; NYSE Letter II at 21; MFA Letter at 9; Capital Group Letter at 2; TD Ameritrade Letter at 3. 499See Capital Group Letter at 2; TD Ameritrade Letter at 3; MFA Letter at 9 (recommending that competing consolidators should be allowed to provide a regulatory data only feed and/or exchanges should be allowed to provide regulatory data on proprietary feeds); Data Boiler Letter I at 33; MEMX Letter at 6. 500See FINRA Letter at 7; NYSE Letter II at 21. 501See FINRA Letter at 7. 502See NYSE Letter II at 21. 503See infra Sections III.E.2(c); V.C.2(b)(i)a (discussing how the amendments will affect data content fees). 504See Nasdaq, Equity Trader Alert #2016–79:
NASDAQ Announces Improved Protections for Equity Markets Coming Out of Halts (‘‘Leaky Bands’’) (Apr. 12, 2016), available at https:// www.nasdaqtrader.com/ TraderNews.aspx?id=ETA2016-79; NYSE, Trader Update: NYSE and NYSE MKT: Enhanced Limit Up Limit Down Procedures (Aug. 1, 2016), available at https://www.nyse.com/trader-update/history# 110000029205; Securities Exchange Act Release No. 34–78435 (July 28, 2016), 81 FR 51239 (Aug. 3,
2016) (SR–FINRA–2016–028).
505Proposing Release, 85 FR at 16807–09. 506See, e.g., NYSE Rule 7.37(e) (showing the data feeds for handling, execution, and routing of orders and subscribing to the direct feeds for all national securities exchanges except three exchanges (Investors’ Exchange, LLC, Long-Term Stock Exchange, Inc., and MEMX LLC)); Nasdaq Rule 4759 (showing the data feeds for handling, routing, and execution of orders and subscribing to the direct feeds for all national securities exchanges except six exchanges (NYSE National, MIAX Pearl, Long-Term Stock Exchange, NYSE Chicago, MEMX, and IEX)). 507 Id. 508See infra Section III.D.2(a). The exchanges today perform with proprietary data many functions that are similar to self-aggregation, such as calculating the best bid and offer to decide where to route routable orders. The Exchanges would continue to have the option to self-aggregate under the adopted rules, allowing the exchanges to perform many of the functions they do today, including, among other things, routing of orders and compliance with the order protection rule. See also supra note 503 (regarding the Commission’s expectations with respect to the fees for data content, including regulatory data). regulatory data.498 Some commenters supported including regulatory data in consolidated market data and did not comment on the substance of the definition of regulatory data.499 Other commenters pointed out difficulties or unintended consequences that they believed would result from the proposed definition.500 The Commission is adopting the definition of regulatory data as proposed. As discussed below, the Commission believes that the information in the definition of regulatory data should help market participants meet their regulatory obligations and be informed of trading halts, price bands, or other market conditions that may affect their trading decisions. (a) Complexity of Shifting Responsibilities to Primary Listing Exchanges One commenter stated that shifting the dissemination of LULD and Short Sale Circuit Breaker information from the exclusive SIPs to multiple primary listing exchanges would lead to these key market functions becoming disaggregated, more expensive, more prone to errors, and more complex due to multiple calculation methodologies and the need to uniformly adapt to change requests that impact the calculations.501 Another commenter stated that the Commission did not consider how a primary listing exchange responsible for calculating and disseminating regulatory data would obtain the information needed to perform these calculations from the other exchanges and failed to account for the financial costs, competitive implications, and latency impacts of this design.502 The Commission does not believe that the proposal would significantly increase the cost, complexity, or error rate of regulatory data such as LULD or Short Sale Circuit Breakers information. With respect to LULD information, just as the primary listing exchanges provide trading
pause and reopening auction messages to the two exclusive SIPs today, the primary listing exchanges will provide this same information to competing consolidators and self￾aggregators under the decentralized consolidation model. Similarly, with respect to Rule 201 information, the primary listing exchange currently determines whether a Short Sale Circuit Breaker has been triggered and notifies the exclusive SIPs; under the decentralized consolidation model, the primary listing exchange will notify competing consolidators and self￾aggregators. The Commission does not believe the incremental cost of providing this data to additional entities—i.e., competing consolidators and self-aggregators—will be substantial. Further, the Commission does not believe that the competing consolidator model would significantly increase complexity because the primary listing exchanges today already disseminate regulatory messages to the two exclusive SIPs. Finally, the Commission does not believe that shifting the calculation of regulatory data to primary listing exchanges would lead to more errors as the commenter suggested, since primary listing exchanges are capable of generating regulatory messages accurately and already generate many of these messages today. Moreover, the primary listing exchanges, and not only those that oversee the operation of exclusive SIPs, are qualified and capable to calculate LULD price bands, as the exclusive SIPs do today. The Commission does not agree with the commenter that the costs of performing these calculations at the primary listing exchange would be greater than the costs of doing so at the exclusive SIPs because the mechanical nature of these calculations would not introduce variable costs depending upon the entity performing the calculation. Furthermore, the Commission anticipates that the Operating Committee of the effective national market system plan(s) could reimburse these costs from plan revenue prior to allocation. In addition, as discussed below, the Commission believes that various factors would exert a downward pressure on the fees for the data content underlying consolidated market data, including regulatory data.503 Because the primary listing exchanges already calculate ‘‘synthetic’’ LULD price bands after reopening prices are disseminated but before the ‘‘official’’ price bands are sent by the SIPs,504 any costs of requiring them to do so pursuant to the definition of regulatory data and the decentralized consolidation model should be limited. Finally, with respect to the comment that the Commission did not account for the financial costs of its regulatory data proposal, the Commission provided an estimate of the burdens and costs of providing competing consolidators and self-aggregators with the data necessary to generate consolidated market data, including regulatory data, and solicited comment on this estimate.505 With respect to the comment regarding how primary listing exchanges would obtain the information
needed to calculate and disseminate regulatory data from the other exchanges, the Commission observes that many primary listing exchanges already subscribe to the proprietary feeds of many other exchanges and will continue to have this option under the decentralized consolidation model.506 Like many other market participants, the primary listing exchanges do so to calculate their own NBBOs based on data from across the national market system and use the proprietary feeds, rather than the SIP feeds, for their matching engines.507 Furthermore, the Commission is adopting rules to allow the primary listing exchanges the option of obtaining the data from other exchanges necessary to perform these calculations through self-aggregation.508 In addition, the Commission does not believe the proposal will introduce

509LULD Plan Section V(A).
510 In addition, the Operating Committee of the effective national market system plan(s) could consider the costs of providing competing consolidators and self-aggregators with regulatory data in proposing fees for consolidated market data and could propose adjustments to the revenue allocation formula to compensate primary listing exchanges in particular. 511See Letter from Anthony J. Albanese, Chief Regulatory Officer, NYSE, et al. dated June 15, 2020 (‘‘Joint CRO Letter’’) at 3. 512See infra note 771 and accompanying text. In addition, time stamps will be added to all consolidated market data, including regulatory data, by the SROs as well as competing consolidators. See infra Sections III.C.8(b); III.E.2(h). These timestamps will help identify when LULD halts and Regulation SHO restrictions were triggered and communicated. 513See infra Section III.B.5. 514See id. 515See infra note 1128. 516RBC Letter at 7. 517See infra note 1127. 518See Proposing Release, 85 FR at 16759. 519See MFA Letter at 9 (‘‘The Commission should require competing consolidators to provide a regulatory data-only feed at a fair and reasonable price relative to the cost of that subset of consolidated market data. Alternatively, we believe the Commission should explicitly permit exchanges to provide regulatory data through their proprietary market data feeds.’’). 520See infra Section III.E.2(c). unwarranted complexity or inconsistency in the dissemination of regulatory data. While each primary listing exchange will calculate LULD price bands, the primary listing exchanges are not permitted to apply ‘‘separate calculation methodologies’’ as suggested by the commenter, since the reference price calculation methodology is set forth in the LULD Plan and not subject to deviations.509 The definition of regulatory data that the Commission is adopting assigns a single entity, the primary listing exchange, with the responsibility to calculate regulatory data such as LULD price bands or to monitor the S&P 500 for purposes of sending MWCB alerts in order to avoid the complexity and confusion that could result from having multiple entities— competing consolidators and self￾aggregators—performing these functions. Finally, the Commission does not believe these additional requirements would impose any competitive disadvantages on primary listing exchanges. Listing securities already entails significant regulatory obligations, including, as discussed above, the provision of certain regulatory data to the exclusive SIPs, as well as other regulatory functions that are required of a listing SRO to regulate its listed securities and the issuing companies. The Commission estimates that the incremental burdens imposed by the amendments, including the calculations required to disseminate the elements of regulatory data, and costs, if any, necessary to obtain the data underlying those calculations, would be minimal, particularly because the primary listing exchanges already perform many of these
functions today.510 (b) Geographic Latency of Regulatory Data One commenter stated that as a result of competing consolidators being positioned at different locations, listing exchanges are likely to experience a delay in identifying the moment a LULD halt or a Regulation SHO restriction is triggered, which may result in executed trades that violate the LULD Plan and Regulation SHO, and that such latency issues will make it difficult for SROs to surveil and determine with certainty that a market participant intentionally violated a LULD or Regulation SHO rule.511 The Commission acknowledges that competing consolidators would be in different locations, likely co-located at the exchanges’ primary data centers currently in Mahwah, Carteret, Secaucus, and Weehawken, New Jersey. However, the Commission does not believe that the different locations would make it more difficult for SROs to conduct their market surveillance with respect to LULD and Regulation SHO. Currently, the SROs develop surveillance systems using the data sources that allow them to perform their regulatory obligations.512 As discussed below,513 the varying distances between the existing SIPs and the locations of different exchanges ensure that SIP￾provided regulatory messages will arrive at different times today, measured in microseconds or finer increments of time. The Commission believes that, in fact, there will be less of a latency differential experienced under the decentralized consolidation model because it eliminates other material geographic latencies in the consolidation and regulatory message generation process.514 One commenter stated that assigning responsibility to the primary listing exchanges to produce regulatory information such as LULD bands, market-wide circuit-breaker information, and Regulation SHO thresholds underscores the importance of the Governance Order 515 and having a single effective national market system plan and a single, independent plan administrator and of ‘‘standing up the governance regime quickly’’ prior to the launch of the competing consolidator model.516 The Commission believes that ascribing the responsibility for calculating and providing regulatory data to primary listing exchanges pursuant to these amendments is not dependent on the changes contemplated in the Governance Order,517 such as the submission of a single consolidated data plan. Independent of issues related to the governance of the effective national market system plan(s), the primary listing markets, which are already performing many of these functions, are well-situated to calculate and provide regulatory data under the decentralized consolidation model.518 One commenter recommended that the Commission should require competing consolidators, not the effective national market system plan(s) participants, to make available a regulatory-data-only feed at a fair and reasonable price because this information is a public good, or, alternatively should allow exchanges to provide
regulatory market data through their proprietary feeds.519 Regulatory data is essential for the investing public and necessary for market participants to fulfill regulatory obligations. The fees for regulatory data must be fair and reasonable and not unreasonably discriminatory.520 As discussed below, the Commission believes that the introduction of competitive forces and other factors will constrain regulatory data fees. Moreover, these amendments permit the Operating Committee of the effective national market system plan(s) to propose fees for data content underlying different consolidated market data offerings, including consolidated market data offerings that use a subset of consolidated market data, and permit competing consolidators to offer a variety of products—including, potentially, a regulatory-data-only product—suited to the needs of their subscribers. Therefore, the Commission is adopting the proposal without any changes.
I. Regulation SHO: Conforming
Amendments to Rule 201

1. Proposal
   Under the definition of regulatory data, the primary listing exchange for an NMS stock would make the determination regarding whether a Short Sale Circuit Breaker has been triggered. The Commission proposed to amend the process required under Rule 201 in two ways. First, if the Short Sale Circuit Breaker has been triggered, the listing market would be required immediately to notify competing consolidators and self-aggregators

521For example, a listing market could self￾aggregate for its own listings and obtain consolidated data from a competing consolidator for stocks listed elsewhere. The rules that the Commission is adopting do not require a listing market to purchase consolidated data from a competing consolidator. 522See infra Section III.E.2(j) (discussing the requirement that the effective national market system plan(s) be amended to include a list of the primary listing exchange for each NMS stock). 523See Data Boiler Letter I at 27. 524See Proposing Release, 85 FR at 16763. 525This commenter stated that the current administrative data ‘‘provides additional context for market participants to understand, and efficiently and accurately use, the proposed core and regulatory data to support their trading activities.’’ Data Boiler Letter I at 35. The commenter further added that ‘‘there can be streamlining opportunity for [competing consolidators] to eliminate any repetitive information during distribution and recipients should have a choice to opt-out.’’ Id. As stated above, the decentralized consolidation model permits competing consolidators to offer different products to market data end users, allowing end users to decide which data feeds to purchase and utilize. (rather than notifying a single plan processor as was previously the case). Competing consolidators would then be required to consolidate and disseminate this information to their subscribers. Specifically, the Commission proposed to amend Rule 201(b)(1)(ii)— which requires Short Sale Circuit Breakers to be applied ‘‘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 pursuant to an effective national market system plan’’—by removing the reference to the plan processor to reflect the proposed decentralized consolidation model. Furthermore, the Commission proposed amending Rule 201(b)(3)—which requires listing markets to immediately notify ‘‘the single plan processor responsible for consolidation of information for the covered security pursuant to Rule 603(b)’’ when a Short Sale Circuit Breaker has been triggered—by removing the single plan processor notice requirement and replacing it with the requirement for the listing market to immediately make such information available as provided in Rule 603(b) (i.e., to competing consolidators and self-aggregators). Second, under the proposed decentralized consolidation model with competing consolidators and self￾aggregators, the listing market, in order to make determinations as to whether a Short Sale Circuit Breaker has been triggered as required by 17 CFR 242.201(b)(1)(i) (Rule 201(b)(1)(i)), would have the option of obtaining proposed consolidated market data from one or more competing consolidators (rather than from a single plan processor as is currently the case), to aggregate consolidated market data itself, or some
combination of the two.521 The Commission also proposed certain conforming amendments in Rule 201 to harmonize that rule with the Proposing Release. Currently, 17 CFR 242.201(a) (Rule 201(a)) defines ‘‘listing market’’ by reference to the listing market as defined in the effective transaction reporting plan for the covered security. Since primary listing exchanges will be required to collect and calculate regulatory data, the Commission proposed to introduce a definition of ‘‘primary listing exchange’’ in Rule 600(b)(68) to provide greater clarity with respect to the responsibilities regarding regulatory data. Specifically, under proposed Rule 600(b)(68), primary listing exchange would be defined as, for each NMS stock, the national securities exchange identified as the primary listing exchange in the effective national market system plan or plans required under Rule 603(b).522 The Commission believes that it is appropriate for the effective national market system plan(s) to determine which exchange is the primary listing exchange for each NMS stock and that the definition would ensure that primary listing exchanges are clearly identified. The Commission also believes that the definition of listing market in Rule 201(a)(3) should be amended so that it cross-references this proposed definition of primary listing exchange to facilitate the consistent identification of primary listing exchanges across Regulation SHO and Regulation NMS and to avoid potentially duplicative or confusing definitions in the Commission’s rules.
2. Final Rule and Response to
Comments
The Commission received one letter supporting the amendments to Regulation SHO.523 For the same reasons discussed above with regard to how the proposed amendments would facilitate the decentralized consolidation model, the Commission is adopting the amendments to Regulation SHO as proposed. J. Definition of ‘‘Administrative Data’’ Under Rule 600(b)(2)

1. Proposal
   The Commission proposed defining ‘‘administrative data’’ as administrative, control, and other technical messages made available by national securities exchanges and national securities associations pursuant to the effective national market system plan or plans required under § 242.603(b) or the technical specifications thereto as of the date of Commission approval of the proposal. Administrative data would be a component of the definition of ‘‘consolidated market data,’’ which permits additional administrative data elements to be added pursuant to amendments to the effective national market system plan(s). Examples of administrative messages include market center and issue symbol identifiers, and examples of control messages include messages regarding the beginning and end of trading sessions. As the Commission stated in the proposing release, the proposed definition was ‘‘intended to capture administrative information that is currently provided in SIP data.’’ 524
2. Final Rule and Response to
   Comments
   The Commission received one comment supporting the proposed definition of administrative data,525 and is adopting the definition as proposed. The Commission continues to believe that including administrative messages in consolidated market data will facilitate market participants’ efficient and accurate use of consolidated market data. Further, the Commission believes that this information is useful to market participants and should continue to be widely available. The Commission believes that SROs would be well￾situated to provide administrative data messages, which relate to SRO-specific details such as the market-center identifiers or the beginning and ending of trading sessions, because SROs have direct and immediate access to this information and could efficiently integrate it into the data feeds that they will utilize to make available the data necessary for competing consolidators and self-aggregators to generate core and regulatory data. K. Definition of ‘‘Self-Regulatory Organization-Specific Program Data’’ Under Rule 600(b)(85)
3. Proposal
   The Commission proposed to define exchange-specific program data as: (1) Information related to retail liquidity programs specified by the rules of national securities exchanges and disseminated pursuant to the effective national market system plan or plans required under § 242.603(b) as of the date of Commission approval of the proposal and (2) other exchange-specific information with respect to quotations for or transactions in NMS stocks as

526See IEX Letter at 7.
527 Data Boiler Letter I at 35–36.
528See NYSE Letter II at 28.
529Nasdaq Letter IV at 33.
530The Commission is also modifying proposed Rule 600(b)(85)(ii) of Regulation NMS so that it refers to ‘‘[o]ther self-regulatory organization￾specific information with respect to quotations for or transactions in NMS stocks . . .’’ rather than ‘‘other exchange-specific information with respect to quotations for or transactions in NMS stocks . . .’’. See infra Section VIII. 531See also supra Section II.F.2(c) (explaining that the Commission is adopting a modified definition of depth of book data that includes liquidity at depth of book price levels that may be available on FINRA’s ADF or other facilities of a national securities association in the future). 532See supra Section II.B.2. 533See Proposing Release, 85 FR at 16765–66 (describing the latencies that exist in the current centralized consolidation model). The existing centralized consolidation model system suffers from three sources of latencies: (a) Geographic latency, (b) aggregation latency, and (c) transmission latency. Geographic latency is typically the most significant component of the latencies that the exclusive SIPs experience compared to the proprietary data feeds. Geographic latency, as used herein, refers to the time it takes for data to travel from one physical location to another, which must also take into account that data does not always travel between two locations in a straight line. Aggregation or consolidation latency, as used herein, refers to the amount of time an exclusive SIP takes to aggregate the multiple sources of SRO market data into SIP data and includes calculation of the NBBO. Transmission Continued specified by the effective national market system plan or plans required under § 242.603(b). The Commission stated that existing retail liquidity programs, which offer opportunities for retail orders to receive price improvement, and, in certain cases, other exchange-specific program information should continue to be included in proposed consolidated market data. If (i) an exchange(s) develops new program(s) in the future, and (ii) the broad dissemination of information about such programs as part of consolidated market data would facilitate participation in such programs, an amendment to the effective national market system plan(s) could be filed with the Commission under Rule 608 of Regulation NMS to include such information in consolidated market data.
2. Final Rule and Response to
Comments
The Commission received comments regarding the definition of exchange￾specific program data. One commenter supported the inclusion of exchange￾specific program data in consolidated market data, stating that this data, which is already carried by the SIPs, is highly relevant and important to all types of market participants.526 Another commenter agreed with the inclusion of information related to existing retail liquidity programs but stated that there should be a ‘‘procedural mechanism to review if there might be other new exchange-specific program information to be included in the future.’’ 527 Some commenters objected to the proposed definition of exchange￾specific program data. One commenter stated that the proposal would require changes to exchange-specific programs to become effective through an effective national market system plan amendment even though exchanges are currently free to propose such programs through the SRO rulemaking process provided in Section 19(b) of the Exchange Act and that requiring such changes to be duplicatively filed as proposed plan amendments would serve no policy or regulatory purpose and would improperly give competing exchanges (as members of the plans’ Operating Committee) a vote in whether or not an exchange may change its programs.528 Another commenter characterized exchange-specific program information as ‘‘an essentially unknown category of information that may or may not be useful to particular categories of investors’’ and stated that the Commission has determined that ‘‘virtually all categories of information— even indeterminate ones—constitute core data.’’ 529 The Commission is adopting the definition of exchange-specific program data largely as proposed, but is modifying the definition to ‘‘self￾regulatory organization-specific program data’’ so that it extends to national securities associations in addition to all national securities exchanges.530 The Commission believes that information related to any program developed by a national securities association in the future should also be able to be included in consolidated market data if specified by the effective national market system plan(s).531 Information related to retail liquidity programs is already in the SIP feeds today, and the Commission agrees that this information is relevant to market participants who wish to submit orders to, or otherwise participate in, such programs and should therefore be included in consolidated market data. To the extent other exchange-specific or national securities association-specific programs may be developed in the future, the Commission believes such information would be similarly relevant to market participants who wish to engage with such programs. The Commission also agrees that a procedural mechanism to modulate the inclusion in consolidated market data of information related to future SRO￾specific programs is needed. The Commission believes that requiring such data to be included by amendment to the
effective national market systems plan(s), as proposed, is the appropriate mechanism because, as explained above, it allows for the inclusion of additional SRO-specific program information data elements that may emerge periodically through the approval of new SRO rules.532 The Commission disagrees with the comment that this process would be ‘‘duplicative’’ of the Section 19(b) process or give an exchange’s competitors a vote in whether an exchange may change its programs. The
Section 19(b) process for approval of an
SRO’s rules and a plan amendment serve two distinct purposes. An individual SRO could develop a new program on its own initiative pursuant to the Section 19(b) process. The SRO could disseminate information related to any such program to market participants on a proprietary basis only. On the other hand, a plan amendment would only be required in order to include this information in consolidated market data if an SRO decides to pursue the option and the Operating Committee agrees it is appropriate to provide it to market participants under the national market system rules. Finally, the Commission disagrees that exchange-specific program data is an ‘‘essentially unknown category of information’’ that may or may not be useful to market participants. The rules would allow the effective national market system plan(s) to add other SRO￾specific information if the Operating Committee determines that the information would be useful to market participants. The Commission believes that allowing the Operating Committee(s) some flexibility to add additional SRO-specific information would be in the interest of investors and would strengthen the national market system. The Equity Data Plans have utilized such a mechanism in the past.
III. Enhancements to the Provision of
Consolidated Market Data
A. Introduction
The Commission is adopting a decentralized consolidation model in which competing consolidators, rather than the exclusive SIPs, will collect, consolidate, and disseminate consolidated market data. This new model will address the geographic, aggregation, and transmission latencies that characterize the existing centralized consolidation model,533 which has

latency, as used herein, refers to the time interval between when data is sent (e.g., from an exchange) and when it is received (e.g., at an exclusive SIP and/or at the data center of the subscriber), and the transmission latency between two fixed points is determined by the transmission communications technology through which the data is conveyed. 534The CTA/CQ SIP is located in Mahwah, NJ, and the UTP SIP is located in Carteret, NJ. Other exchanges and broker-dealers are located in Secaucus, NJ. These three main data center locations are typically referred to as the ‘‘New Jersey Triangle.’’ 535See supra note 533. 536See, e.g., SIFMA Letter at 3 (‘‘Even if a broker￾dealer elects to consolidate market data through proprietary feeds, it must also purchase the core data from the SIPs for a number of reasons, such as to comply with the Vendor Display Rule, receive regulatory messages like trading halts and have a backup source of data in case an exchange experiences issues with its proprietary feeds.’’). But see BestEx Research Letter at 2 (‘‘Despite the claims of many market participants, the SIP is a critical component of the US equity market structure and is widely used by institutional broker-dealers.’’). The commenter, however, also stated that ‘‘the reforms to the SIP proposed by the Commission will make it even more robust and useful.’’ Id. at 1. While SIP data is widely used, market participants, as well as the commenter, acknowledge that the decentralized consolidation model will modernize the national market system and make it more useful for today’s trading. 537See Market Information Concept Release, supra note 22, at 70614. 538Section 11A(c)(1)(B) of the Exchange Act states that the Commission should assure, among other things, the ‘‘prompt’’ collection, processing, distribution, and publication of information. Further, 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.’’ S. Rep. No. 94–75 at 8 (1975) (‘‘Senate Report’’). 539Market Information Concept Release, supra note 22, at 70614. 540One commenter stated that ‘‘[c]urrent market structure allows investors’ order [sic] to be traded at stale prices.’’ Better Markets Letter at 6. See also Capital Group Letter at 2, 4; Clearpool Letter at 2; DOJ Letter at 2, 4; Fidelity Letter at 2; MFA Letter at 2; State Street Letter at 2, 3; T. Rowe Price Letter at 1–2; Virtu Letter at 2, 5. 541Section 11A(a)(1)(B) of the Exchange Act. 542See supra Section II.C.2(a) (discussing the indirect benefits to market participants whose executing broker-dealers will receive expanded data content from competing consolidators); infra
Section III.B.5 (discussing indirect benefits to
investors from enhancements to trading by their broker-dealers resulting from reductions in latency, the expanded data content and the competitive environment fostered by the decentralized consolidation model). 543See Proposing Release, 85 FR at n. 395. Under the centralized consolidation model, quotes and trades that occur on Nasdaq for NYSE-listed stocks must be provided to the CTA/CQ SIP for dissemination. Under the decentralized consolidation model, such quotes and trades in NYSE-listed stocks will be provided directly by Nasdaq to competing consolidators and self￾aggregators. relied upon the exclusive SIP for each NMS stock to centrally collect, consolidate, and disseminate SIP data from its location, regardless of the location of other exchanges, FINRA, or subscribers. The Commission believes this new model will foster a competitive environment for the dissemination of consolidated market data and will modernize the underlying architecture of the national market system. The centralized consolidation model has largely remained unchanged despite significant market developments since it was developed in the 1970s. Today, the exclusive SIPs are located in disparate locations far from each other and from end users. Each exclusive SIP must collect data from geographically dispersed SRO data centers, consolidate that data, and then disseminate that data as SIP data from the exclusive SIP’s location to end-users, which are often in other locations. The need for market information to travel back and forth across the ‘‘New Jersey triangle’’ 534 prior to reaching subscribers creates significant geographic and other latencies.535 This structure, as well as the limited data content available in SIP data, has led many market participants to relegate SIP data to backup data.536 The national market system for the collection, consolidation, and dissemination of SIP data was established to be the heart of the national market system and is designed to provide broad public access to a consolidated, real-time stream of market information.537 Investors’ need for real time information has been recognized since the adoption of the 1975 Amendments and is reflected in Section 11A of the Exchange Act.538 In the context of market data, the Commission has said that ‘‘real time’’ means that ‘‘there is very little delay between the time a quotation is made or a transaction is effected and the time that this information is made available to investors and others who use the information.’’ 539 Some market participants believe that the latencies inherent in the centralized consolidation model have affected the ability of brokers to trade competitively and to provide best execution to customer orders, especially when compared to proprietary data products that are not encumbered by centralized consolidation.540 Significant technological changes have occurred since the 1970s and the passage of the 1975 Amendments. Electronic trading has all but supplanted manual trading, and
electronic trading systems can handle and process data at speeds unheard of when the national market system was established. While the Equity Data Plans have made various investments and systems upgrades over time, they have not kept up with the demands of all market participants. The concurrent existence of the centralized consolidation model for SIP data and the decentralized consolidation model for proprietary data has resulted in a two-tiered market in which certain market participants that can afford and choose to pay for proprietary data feeds receive content-rich data faster than those who do not purchase these feeds, including market participants who may face higher barriers to entry from data and other exchange fees. Market participants that do not receive proprietary DOB feeds may be affected in their efforts to seek best execution and otherwise effectively compete with market participants that receive proprietary DOB data feeds because they do not obtain access to the additional content and may be receiving data in a slower manner. Therefore, the Commission believes that the national market system must be modernized to allow ‘‘new data processing and communications systems [to] create the opportunity for more efficient and effective market operations.’’ 541 The centralized consolidation model no longer meets market participants’ need for real-time consolidated market data.542 The purpose of the decentralized consolidation model is to modernize the infrastructure of the national market system by eliminating the outdated centralized architecture for data consolidation and dissemination. Under the current model, each exclusive SIP must collect data for specific NMS stocks from geographically dispersed SRO data centers, consolidate the data, and then disseminate it from its location to end￾users, which are often in other locations. The new decentralized consolidation model will speed up the dissemination of consolidated market data by allowing competing consolidators to collect data directly from each SRO and consolidate the data in the same data center as end users. Latency-sensitive data end-users will be able to receive consolidated market data products at the same data center location from which the competing consolidator operates. Under this new model, the relevant exchange will provide quotes and trades in the NMS stocks they trade directly to competing consolidators and self￾aggregators and the hub-and-spoke method of centralized collection and dissemination will be eliminated.543 Further, by fostering a competitive environment for the collection, consolidation, and dissemination of consolidated market data, the

544One commenter stated that it expects that its use of direct feeds would be eliminated if the proposal is implemented. See NBIM Letter at 4. 545See Proposing Release, 85 FR at 16764–65. 546See Proposing Release, 85 FR at nn. 419–20. 547See BlackRock Letter; Fidelity Letter; State Street Letter; Wellington Letter; ICI Letter; Virtu Letter; AHSAT Letter; IntelligentCross Letter; BestEx Research Letter; MEMX Letter; Clearpool Letter; T. Rowe Price Letter; ACS Execution Services Letter; IEX Letter; SIFMA Letter; MFA Letter; Schwab Letter; RBC Letter; STANY Letter II; Angel Letter; Nasdaq Letter III; Nasdaq Letter IV; NYSE Letter II; FINRA Letter; Cboe Letter; Proof Trading Letter; Citadel Letter; TD Ameritrade Letter; Data Boiler Letter I; Healthy Markets Letter I; Joint CRO Letter; Susquehanna Letter; NovaSparks Letter; Better Markets Letter; Capital Group Letter; McKay Letter; NBIM Letter; Wharton Letter; letter from Kermit R. Kubitz, dated May 26, 2020, (‘‘Kubitz Letter’’); letter from Kelvin To, Founder and President, Data Boiler Technologies, LLC, dated June 10, 2020, (‘‘Data Boiler Letter II’’); DOJ Letter; letter from Nandini Sukumar, Chief Executive Officer, World Federation of Exchanges, to Chairman Clayton and Commissioners Lee, Peirce, and Roisman, dated May 26, 2020, (‘‘WFE Letter’’); letters to Vanessa Countryman, Secretary, Commission, from Stephen J. McNeany Chief Executive Officer, and Frank W. Piasecki, President, ACTIV Financial Systems, Inc., dated May 26, 2020, (‘‘ACTIV Financial Letter’’); Doris Choi, Co-General Counsel, ICE Data Services, dated May 29, 2020, (‘‘IDS Letter I’’); John L. Thornton and R. Glenn Hubbard, Co-Chairs, and Hal S. Scott, President, Committee on Capital Markets Regulation, dated Apr. 23, 2020, (‘‘Committee on Capital Markets Regulation Letter’’); Kevin R. Edgar, Counsel, BakerHostetler LLP and Counsel, Equity Markets Association, dated June 30, 2020, (‘‘Equity Markets Association Letter’’); Joanna Mallers, Secretary, FIA Principal Traders Group, dated June 3, 2020, (‘‘FIA PTG Letter’’); Tom C. W. Lin, Professor of Law, Temple University Beasley School of Law, dated May 26, 2020, (‘‘Temple University Letter’’); Tyler Gellasch, Executive Director, Healthy Markets, dated July 27, 2020, (‘‘Healthy Markets Letter II’’); Doris Choi, Co-General Counsel, ICE Data Services, dated Aug. 12, 2020, (‘‘IDS Letter II’’). 548See BlackRock Letter; Fidelity Letter; State Street Letter; Wellington Letter; ICI Letter; Virtu Letter; AHSAT Letter; FIA PTG Letter; IntelligentCross Letter; Committee on Capital Markets Regulation Letter; BestEx Research Letter; Wharton Letter; MEMX Letter; Clearpool Letter; T. Rowe Price Letter; Capital Group Letter; DOJ Letter; ACS Execution Services Letter; IEX Letter; SIFMA Letter; ACTIV Financial Letter; MFA Letter; Better Markets Letter; NBIM Letter; NovaSparks Letter; letter from Anthony H Steinmetz, dated Feb. 17, 2020, (‘‘Steinmetz Letter’’) (supporting the proposal generally). 549See
STANY Letter II; Angel Letter; Nasdaq Letter III; Nasdaq Letter IV; NYSE Letter II; FINRA Letter; Cboe Letter; Proof Trading Letter; Citadel Letter; TD Ameritrade Letter; Kubitz Letter; Data Boiler Letter I; Data Boiler Letter II; Healthy Markets Letter I; WFE Letter; Joint CRO Letter; Equity Markets Association Letter. 550See MEMX Letter at 3, 8; Committee on Capital Markets Regulation Letter at 3; BestEx Research Letter at 1; State Street Letter at 3; ACTIV Financial Letter at 1; Fidelity Letter at 9; SIFMA Letter at 5, 12; Wellington Letter at 1; IntelligentCross Letter at 4–5; ICI Letter at 4, 10; RBC Letter at 6; DOJ Letter at 5; Capital Group Letter at 4; T. Rowe Price Letter at 4; Virtu Letter at 6. 551See SIFMA Letter at 5; Fidelity Letter at 3, 10; IEX Letter at 2. 552See MEMX Letter at 6, 7, 8; Fidelity Letter at 3, 10; Wellington Letter at 1; ICI Letter at 4, 10; Capital Group Letter at 4; BlackRock Letter at 5; IEX Letter at 3; Better Markets Letter at 3; AHSAT Letter at 1, 3; DOJ Letter at 3, 4; SIFMA Letter at 1, 5, 11; ACS Execution Services Letter at 5. 553See MFA Letter at 2; Capital Group Letter at 2, 4; ICI Letter at 4; DOJ Letter at 2–3, 4; SIFMA Letter at 5; MEMX Letter at 2, 8; NBIM Letter at 4. 554See NovaSparks Letter at 1. 555See BestEx Research Letter at 1, 4; DOJ Letter at 3–4, 5; Committee on Capital Markets Letter at 3; IntelligentCross Letter at 5; Better Markets Letter at 3; RBC Letter at 5–6; State Street Letter at 3; Fidelity Letter at 3, 9; Wellington Letter at 1; BlackRock Letter at 5; IEX Letter at 3; SIG Letter at

1. 556See Committee on Capital Markets Regulation
   Letter at 3; BestEx Research Letter at 1; RBC Letter at 5–6; State Street Letter at 3. 557See Healthy Markets Letter I at 2; Kubitz Letter at 1; Data Boiler Letter I at 46–47; Data Boiler Letter II at 1; Citadel Letter at 5; TD Ameritrade Letter at 2; NYSE Letter II at 22; Nasdaq Letter IV at 2–3, 8; Angel Letter at 18–20; STANY Letter II at 5. 558See FINRA Letter at 3, 4; letter from Linda Moore, President and CEO, TechNet, to Vanessa Countryman, Secretary, Commission, dated June 18, 2020, (‘‘TechNet Letter II’’) at 2. 559See STANY Letter II at 5; Data Boiler Letter I at 47; TD Ameritrade Letter at 15; Nasdaq Letter Continued decentralized consolidation model will incentivize greater innovation, competitive pricing, and the timely adoption of updated technologies into the national market system. The Commission believes that the decentralized consolidation model will better serve the needs of market participants and investors. It should address concerns about the costs associated with the current structure, in which many market participants are compelled to buy proprietary feeds and the exclusive SIP feeds to trade competitively and represent their customers’ orders.544 The amendments also should address the concerns about, and improve, the content and latency differentials that currently exist between SIP data and proprietary data.545 The Commission believes that the amendments will provide all market participants with access to a real-time stream of consolidated market data, improve the national market system, help to ensure the continued success of the U.S. securities markets, and better achieve the goals of Section 11A of the Exchange Act by assuring ‘‘the availability to brokers, dealers and investors of information with respect to quotations for and transactions in securities’’ that is prompt, accurate, reliable, and fair. B. Proposed Decentralized Consolidation Model The Commission proposed a decentralized consolidation model in which new competing SIPs, called competing consolidators, would collect the data content underlying consolidated market data from the individual SROs, consolidate the information of all of the SROs, and disseminate that consolidated information as consolidated market data to end users. The proposed decentralized consolidation model also would allow broker-dealers to act as self-aggregators to collect all of the data content underlying consolidated market data from the individual SROs and consolidate that information solely for their internal use. The Commission proposed this model to reduce significantly the geographic and other latencies inherent in the existing centralized consolidation model. The proposed decentralized consolidation model would allow competing consolidators and self-aggregators to eliminate the back-and-forth travel of data associated with the centralized consolidation model, to operate in the data center of their choice (i.e., in close proximity to data subscribers), and to foster a competitive
   environment for the aggregation and transmission of consolidated market data.546
2. Comments on the Decentralized
   Consolidation Model
   The Commission received comments on the proposed decentralized consolidation model.547 Many commenters supported the goals of the decentralized consolidation model and the potential positive impacts this model would have on the provision of consolidated market data,548 while numerous commenters raised issues with—or questioned certain aspects of— the proposed model.549 Commenters that supported the decentralized consolidation model believed that it would inject needed competition into the consolidated market data environment,550 address conflicts of interest in the centralized consolidation model,551 reduce latency in the dissemination of consolidated market data,552 improve the usefulness of consolidated market data as an alternative to proprietary market data feeds,553 improve the reliability of the consolidated market data infrastructure,554 and reduce the cost of consolidated market data 555 while increasing its quality.556 Commenters that raised concerns about the proposed decentralized consolidation model said that it would not achieve its goal of disseminating consolidated market data to market participants in a more timely, efficient, and cost-effective manner than the current centralized consolidation model; 557 that its impact on the markets would be uncertain until implementation; 558 that the impact on fees and costs for consolidated market data was uncertain; 559 that the new

IV at 23, 26, 47–48, 60. See also, e.g., Angel Letter at 22–23. 560See Cboe Letter at 23–24; FINRA Letter at 3,
4. See also, e.g., Angel Letter at 21.
561See FINRA Letter at 3, 4; Nasdaq Letter IV at 27, 29, 30. 562See Nasdaq Letter IV at 23–26; NYSE Letter II at 13, 17–18; IDS Letter I at 3, 4, 7–8; IDS Letter II at 1, 3; STANY Letter II at 6; Data Boiler Letter I at 46; Angel Letter at 18, 20; Equity Markets Association Letter at 3; FINRA Letter at 3; TechNet Letter II at 1–2. 563See FINRA Letter at 2, 3, 5–6; Angel Letter at 18–19; Healthy Markets Letter I at 4–5; TechNet Letter II at 2; STANY Letter II at 6, 8; Joint CRO Letter at 2; Data Boiler Letter I at 48; Nasdaq Letter III at 8; Citadel Letter at 5; TD Ameritrade Letter at 12–13; WFE Letter at 1. 564See Nasdaq Letter IV at 2, 3, 4, 12–13, 35; Joint CRO Letter at 2, 3, 4; FINRA Letter at 4, 5, 6; TechNet Letter II at 2; Data Boiler Letter I at 48; Healthy Markets Letter I at 4–5; TD Ameritrade Letter at 13; Citadel Letter at 5; Kubitz Letter at 1; NYSE Letter II at 23. 565See Cboe Letter at 23; Nasdaq Letter IV at 49; STANY Letter II at 5, 6; Citadel Letter at 5; NYSE Letter II at 11, 22, 23; TD Ameritrade Letter at 12; Proof Trading Letter at 1; Angel Letter at 18, 19; FINRA Letter at 8; IDS Letter I at 15; Data Boiler Letter II at 1. 566See Citadel Letter at 5; STANY Letter II at 8. 567See Healthy Markets Letter I at 2; Kubitz Letter at 1; Data Boiler Letter I at 46–47; Data Boiler Letter II at 1; Citadel Letter at 5; TD Ameritrade Letter at 2, 12; NYSE Letter II at 22; Nasdaq Letter IV at 2– 3, 8; Angel Letter at 18–20; STANY Letter II at 5. 568 Kubitz Letter at 1. 569See Data Boiler Letter II at 1. 570 5 U.S.C. 551 et seq. 571See NYSE Letter II at 22. 572See STANY Letter II at 5; TD Ameritrade Letter at 2. 573TD Ameritrade Letter at 2. 574TechNet Letter II at 2. 575See TD Ameritrade Letter at 12. 576See Data Boiler Letter I at 46–47. 577See Nasdaq Letter IV at 3. 578See id. 579See MEMX Letter at 3, 8; T. Rowe Price Letter at 4; Committee on Capital Markets Regulation Letter at 3; BestEx Research Letter at 1; State Street Letter at 3; ACTIV Financial Letter at 1; Fidelity Letter at 9; SIFMA Letter at 5, 12; Wellington Letter at 1; IntelligentCross Letter at 4–5; ICI Letter at 4, 10; RBC Letter at 6; DOJ Letter at 5; Capital Group Letter at 4; Virtu Letter at 6. 580See Committee on Capital Markets Regulation Letter at 3; BestEx Research Letter at 1; RBC Letter at 6; State Street Letter at 3. 581See Fidelity Letter at 3, 9, 10; Committee on Capital Markets Regulation Letter at 3; BestEx Research Letter at 1, 4; ACTIV Financial Letter at 1; SIFMA Letter at 12; State Street Letter at 3; Wellington Letter at 1; IntelligentCross Letter at 5; ICI Letter at 4; RBC Letter at 5–6; DOJ Letter at 3– 4, 5; Better Markets Letter at 3; BlackRock Letter at 5; IEX Letter at 3. 582See SIFMA Letter at 1, 5, 11; ICI Letter at 4, 10; Capital Group Letter at 4; MEMX Letter at 8; Fidelity Letter at 3, 10; BlackRock Letter at 5; IEX Letter at 3; Better Markets Letter at 3; AHSAT Letter at 1; DOJ Letter at 3–4, Wellington Letter at 1 (‘‘We believe the
introduction of competitive forces to the distribution of data will result in lower-latency, faster data that is more broadly available and also at reduced costs for participants.’’); NovaSparks Letter at 1 (‘‘The competitive nature of the new model will encourage Competing Consolidators to deliver excellent reliability, functionality and performance.’’). 583See SIFMA Letter at 5, 12. 584See State Street Letter at 3. 585Capital Group Letter at 4. 586See T. Rowe Price Letter at 4. 587 Virtu Letter at 6. 588See MFA Letter at 2; Capital Group Letter at 2, 4; ICI Letter at 4; DOJ Letter at 2–3, 4; SIFMA Letter at 5; MEMX Letter at 2, 8; NBIM Letter at 4, 5–6. architecture could result in increased costs for some market participants; 560 and that it could result in increased costs for SROs.561 Commenters also questioned its feasibility,562 the complexity introduced by multiple competing consolidators,563 its impact on regulation,564 and its benefits to latency.565 A few commenters also suggested that the decentralized consolidation model would benefit from further consideration by market participants and the Commission and should be the subject of a separate rulemaking.566 These comments are addressed below.
2. Comments on the Effectiveness of the
Proposal
Several commenters questioned whether the proposed decentralized consolidation model would achieve its goal of disseminating consolidated market data to market participants in a more timely, efficient, and cost-effective manner than the current centralized consolidation model.567 One commenter stated that while the proposed system may be desirable, ‘‘it is not clear how the development of multiple parties interacting and providing quotations and trade data can be implemented over time to assure accuracy, completeness and avoidance of gaming and fraud.’’ 568 Another commenter said that the proposed decentralized consolidation model is impractical and would increase market fragmentation.569 One commenter stated that the Commission failed to show how the decentralized consolidation model would result in the dissemination of market data that is prompt, accurate, reliable, and fair and said that the proposal violates the Administrative Procedure Act (‘‘APA’’) 570 because it did not demonstrate a rational connection between the proposal and its goals.571 A few commenters stated that the Proposing Release did not include enough information to evaluate whether the decentralized consolidation model would reduce market data costs, improve transmission latency, and improve resiliency.572 One commenter stated that the proposal lacked information about ‘‘data quality, availability, reliability and potential for significant additional cost’’ and expressed the view that the negative effects of the proposal could exceed any benefits to retail investors.573 Another commenter said that it was ‘‘unclear whether the prices set by competing consolidators will be reliable, resilient, or well-regulated; and how anomalies and disparities among competing consolidators will be resolved.’’ 574 Some commenters raised questions regarding the competitive aspects of the proposal. One commenter stated that there was no guarantee that competition would improve latency and cost,575 and another commenter questioned the ability of competing consolidators to provide the needed competition to decrease latency and cost.576 Further, one commenter stated that, although the proposal would provide for competition, there is no guarantee that competition would occur or that the proposal would result in a competitive outcome that would benefit investors.577 This commenter stated that competition would result in competing consolidators selling differentiated products that would result in a proliferation of market data tiers and information asymmetries.578 However, several commenters said that the proposed decentralized consolidation model would introduce needed competition,579 which would result in better quality consolidated market data,580 lower market data costs,581 and improved latency.582 One commenter stated that competition in the consolidation and dissemination of market data would increase investor choice and would address both the conflicts of interest that exist in the centralized
consolidation model and the latency advantages enjoyed by market participants that are able to purchase proprietary data feeds.583 One commenter stated that competition will allow for innovation that could reduce dependence on proprietary market data,584 and another asserted that ‘‘a market with competing data feeds will be more efficient and effective.’’ 585 One commenter said that modernization through competitive market forces would bring desired changes to consolidated market data and its framework,586 and another supported the proposal’s addition of competition ‘‘while still preserving a significant role for the exchanges to participate.’’ 587 Several commenters stated that the proposed decentralized consolidation model could improve the usefulness of consolidated market data and make it a viable alternative to proprietary market data feeds.588 Commenters indicated that the exchange operators of the exclusive SIPs currently lack the incentive to improve the content,

589See BestEx Research Letter at 1; State Street Letter at 3. 590See DOJ Letter at 4; MEMX Letter at 8 (‘‘The new content and infrastructure enhancements would provide an opportunity to introduce new less-expensive NMS data alternatives to proprietary market data products.’’). 591See DOJ Letter at 4. 592See MFA Letter at 2 (stating that the proposal should narrow the ‘‘significant gap in usefulness between exchange proprietary data feeds and consolidated market data’’); Capital Group Letter at 2. 593MEMX Letter at 2. 594See ICI Letter at 4. 595Capital Group Letter at 4. 596See NBIM Letter at 5–6. 597See id. at 4. 598 Id. at 4, 5. This commenter said that to be ‘‘consistently competitive,’’ broker-dealers need to self-aggregate and use the fastest connectivity available. According to this commenter, this would require using direct proprietary market data feeds for algorithmic executions. Id. at 3–4. 599See 15 U.S.C. 78k–1(c)(1)(B). 600See Healthy Markets Letter I at 2; Kubitz Letter at 1; Data Boiler Letter I at 46–47; Citadel Letter at 5; TD Ameritrade Letter at 2, 12; NYSE Letter II at 22; Nasdaq Letter IV at 2–3, 8; Angel Letter at 18– 20; STANY Letter II at 5. 601See TD Ameritrade Letter at 12; Data Boiler Letter I at 46–47; Nasdaq Letter IV at 3. 602See BestEx Research Letter at 1; State Street Letter at 2; SIFMA Letter at 5. 603See SIFMA Letter at 3, 5; BestEx Research Letter at 1, 4 (citing the Proposing Release, 85 FR at 16767). The first commenter stated that the current market data infrastructure provides no incentives for the SRO operators of the SIPs to make such improvements. See SIFMA Letter at 3. The commenter also noted the ‘‘inherent conflicts of interest in the existing exclusive SIP model.’’ Id. at 5. 604See McKay Letter at 2; MIAX Letter at 1; NovaSparks Letter at 1 (‘‘[A] wide variety of trading firms consolidate this data and we believe several vendors will soon become Competing Consolidator.’’). See also Miami International Holdings Announces That It Is Evaluating Registration as a Competing Consolidator, dated Nov. 18, 2020, available at https:// www.miaxoptions.com/press-releases. The Commission notes that Virtu Financial submitted a comment letter on a proposed rule change in which it expressed interest in establishing a competing consolidator. See letter from Douglas A. Cifu, Chief Executive Officer, Virtu Financial, to Vanessa A. Countryman, Secretary, Commission, dated Aug. 28, 2020, available at https://www.sec.gov/ comments/sr-nyse-2020-05/srnyse202005-7707480- 222891.pdf. 605See Committee on Capital Markets Regulation Letter at 3; Fidelity Letter at 9; BestEx Research Letter at 1; ACTIV Financial Letter at 1; SIFMA Letter at 5, 12; State Street Letter at 3; IntelligentCross Letter at 5; ICI Letter at 4, 10; RBC Letter at 6; DOJ Letter at 5; Wellington Letter at 1; Capital Group Letter at 4. delivery, and pricing of consolidated market data because improved consolidated market data could reduce demand for the
proprietary data feeds that the exchanges sell.589 Two commenters stated that the proposal would result in a less costly alternative to proprietary market data feeds.590 One of these commenters stated that alternatives to proprietary data feeds could increase participation in the financial services industry and bring down costs for market participants.591 Two commenters stated that the proposal would narrow the content and latency gaps between proprietary market data feeds and consolidated market data.592 One commenter said that equalizing the content and distribution of market data provided by exchanges to competing consolidators and self￾aggregators and proprietary market data would eliminate the ‘‘two-tiered’’ market data structure.593 Another commenter stated that the proposal’s improvements to content and latency could result in greater reliance on consolidated market data.594 One commenter stated that the proposal would ‘‘put consolidators on more equal footing’’ with proprietary market data feeds.595 Another commenter indicated that the geographic diversification of competing consolidators could increase the use of consolidated market data.596 The commenter stated that its own need for direct proprietary market data feeds would be eliminated if a competing consolidator were located within the same data center as the broker-dealers the commenter uses.597 The commenter also stated that it is unlikely that broker￾dealers and ‘‘higher-turnover market participants’’ would use consolidated market data as a substitute for lowest￾latency, self-aggregated direct proprietary market data feeds because latency minimization is critical for their trading activities.598 The Commission believes that the decentralized consolidation model will modernize the national market system so that consolidated market data is disseminated to market participants in an accurate, reliable, prompt, and fair manner.599 The Commission also believes that the decentralized consolidation model will help to ensure the accuracy and completeness of consolidated market data. The Commission disagrees with the comments that stated that the decentralized consolidation model would not achieve the goal of disseminating consolidated market data to market participants in a more timely, efficient, and cost-effective manner than the current centralized consolidation model.600 Further, in response to comments that stated that competition either would not materialize or would not guarantee any benefits to market participants,601 the Commission believes that the amendments will allow the introduction of competitive forces, and foster a competitive environment, for the dissemination of consolidated market data. Today, there is no competition in the collection, consolidation, and dissemination of SIP data. The exclusive SIPs do not compete with each other because Rule 603(b) currently requires the dissemination of all consolidated information for an individual NMS stock to occur through an
exclusive SIP. Therefore, each exclusive SIP represents different tapes. The amendments to Rule 603(b) will provide an opportunity for competition to improve the dissemination of consolidated market data. Market participants have stated frequently that SIP data is slower than certain proprietary market data products distributed by the exchanges 602 and that the SRO operators of the Equity Data Plans—some of whom have an inherent conflict of interest because their proprietary data products compete with the SIP data distributed by the Equity Data Plans—have had little incentive to improve the quality of SIP data.603 The exclusive SIPs have not kept pace with the needs of certain market participants, while the exchanges have expanded the content and reduced the latency of their proprietary data products in response to market participants’ needs. Some commenters stated that they will consider entering the competing consolidator business.604 These statements suggest the potential competitive landscape that will develop in the national market system with the decentralized consolidation model. The Commission believes that competitors will be drawn to the significant market for the enhanced data content that will be included in consolidated market data. By fostering a competitive environment for consolidated market data, the Commission is providing the opportunity for competing consolidators to end the exclusive SIP monopoly by competing on the technology and data services they offer. A competitive environment should lead to the use of new, updated technology in a more expedited fashion than occurs today. The Commission believes that competing consolidators will develop different consolidated market data products and services for their subscribers and will compete on the basis of latency, resiliency, services and products offered, and other factors, including price. The Commission agrees with the commenters who stated that competition will lower market data costs, reduce latency, and provide better quality data.605 Due to the structure of the decentralized consolidation model, the Commission believes that competing consolidators and self-aggregators will

606As described in the Proposing Release, the transmission methods mandated by the Equity Data Plans typically rely on transmission options that are slower than competitive options. See Proposing Release, 85 FR at 16767. 607See Committee on Capital Markets Regulation Letter at 3; Fidelity Letter at 9; BestEx Research Letter at 1; ACTIV Financial Letter at 1; SIFMA Letter at 5, 12; State Street Letter at 3; IntelligentCross Letter at 5; ICI Letter at 4, 10; RBC Letter at 6; DOJ Letter at 5; Wellington Letter at 1; Capital Group Letter at 4. 608Rule 603(b) of Regulation NMS. See infra
Section III.B.9.
609The Commission recognizes that there will be a small ‘‘extra hop’’ for competing consolidators that could result in a small amount of additional latency as compared to proprietary data because competing consolidators must collect, consolidate, and disseminate consolidated market data products to end users. However, the extra hop will be significantly less than the geographic latency that currently exists with the exclusive SIPs. The extra hop refers to the need to transmit data within a data center, a span of feet, as compared to geographic latency among geographically diverse data centers, a span of miles. More specifically, a competing consolidator that chooses to collect, consolidate, and disseminate market data within the same data center as its end-users will only have to disseminate consolidated market data within the data center, while exclusive SIPs must collect data from geographically dispersed SRO data centers, and consolidate and disseminate consolidated market data to end-users in other data centers. If a competing consolidator does not consolidate data at its users’ data centers, its end-users may still benefit from reduced aggregation and transmission latencies due to the competitive aspect of the decentralized consolidated model. Further, the amount of latency that may result from using competing consolidators will depend upon other technical choices and competencies of the competing consolidator (i.e., a competing consolidator may choose to use the most technologically advanced aggregation and transmission technologies and therefore narrow its latency differential with proprietary data; conversely, a decision to use less state-of-the-art technology could widen this latency differential while potentially lowering costs to users). Self￾aggregators would not have the extra hop because they will be collecting and consolidating this data for themselves. See infra Section III.D.2(d). 610 Kubitz Letter at 1. 611Under Section 11A(b)(3)(B) of the Exchange Act, 15 U.S.C. 78k–1(b)(3)(B), the Commission will be able to grant the registration of a competing consolidator only if the Commission is able to find, among other things, that the competing consolidator is so organized, and has the capacity, to be able to assure the prompt, accurate, and reliable performance of its functions and to operate fairly and efficiently as a SIP. 612See infra Section III.C.8. significantly reduce the geographic, aggregation, and transmission latency differentials that exist between SIP data and proprietary data. With respect to geographic latency, competing consolidators will be able to deliver consolidated market data products directly to subscribers because such data will no longer be required to travel several miles to a separate location for consolidation by the exclusive SIPs. By allowing consolidation to occur at the data center where a data end-user is located instead of occurring only at the CTA/CQ SIP in Mahwah, NJ, and the Nasdaq UTP SIP data
center in Carteret, NJ, market participants located outside of these data centers should receive consolidated market data at reduced geographic latencies. With respect to aggregation latency, competition will incentivize competing consolidators to minimize the amount of time it takes to aggregate SRO data into consolidated market data products. Competition will also incentivize competing consolidators to reduce transmission latency because they will not be restricted to the transmission methods mandated by the Equity Data Plans; 606 therefore, they can compete based on the efficiency of their delivery of consolidated market data products. Even if a competing consolidator chooses not to consolidate data at its users’ data centers, the Commission believes the users may still benefit from reduced aggregation and transmission latencies because competing consolidators will be incentivized to use the latest aggregation and transmission mechanisms as a means to attract subscribers. The Commission believes that the competition fostered by the new model will enhance the speed and quality of the collection, consolidation, and dissemination of consolidated market data. For example, competing consolidators could seek to provide faster consolidation times, reduce transmission and connectivity latency, provide greater connectivity bandwidth, and reduce connectivity fees. Several commenters agreed that competition will enhance the national market system.607 The Commission recognizes that some market participants that require the lowest possible latency and additional (e.g., order-by-order data) content may continue to use proprietary data feeds for certain trading applications. However, for applications that do not require additional content beyond the scope of new core data, the Commission believes that, once operating in a competitive landscape with the requirement that data be made available ‘‘in the same manner and using the same methods, including all methods of access and the same format,’’ 608 latency alone will not be a compelling reason to subscribe to proprietary data.609 As affirmed by commenters, the Commission believes the model’s significant improvements to the latency and content of consolidated market data products will enhance the usefulness of the data provided to users under the national market system. The rules adopted for the decentralized consolidation model have been designed to avoid ‘‘gaming and fraud’’ 610 and to ensure the accuracy and completeness of consolidated market data. Competing consolidators and self-aggregators will be regulated entities, which will help monitoring efforts regarding the accuracy and completeness of consolidated market data. Competing consolidators are required to register with the Commission pursuant to Rule 614 and will be subject to Commission oversight. In addition, self-aggregators, which must be registered entities—i.e., broker￾dealers, national securities exchanges, national securities associations, or
RIAs—will be subject to Commission oversight. Under Rule 614, all competing consolidators will be subject to standards with respect to the promptness, accuracy, reliability, and fairness of their consolidated market data products’ distribution.611 Form CC will require competing consolidators to provide operational transparency, and Rule 614(d) will require a competing consolidator to publish monthly performance metrics and other information concerning performance and operations.612 These requirements should help to ensure that consolidated market data products are provided in a prompt, accurate, and reliable manner by providing transparency to subscribers and potential subscribers into a competing consolidator’s performance and operations. Because these provisions require that all competing consolidators disclose the same information, they will allow market participants to evaluate and compare competing consolidators more easily based on cost, service, and performance. These requirements are designed to establish a system whereby a competing consolidator will have to provide consolidated market data products with competitive latency, but also reliably and accurately, and in a cost-effective manner in order to attract and maintain its subscriber base. The Commission does not believe that the decentralized consolidation model will be impractical or increase market fragmentation. While the decentralized consolidation model introduces multiple competing consolidators disseminating consolidated market data products, today, market participants utilize data products developed by multiple data vendors, exchanges, and the exclusive SIPs. The decentralized consolidation model does not introduce additional fragmentation in the market data landscape.

613See Proposing Release, 85 FR at 16768. See also supra note 533 (discussing the latencies that exist in the current centralized consolidated model). See also infra Section III.B.5 (discussing comments on the decentralized consolidation model’s impact on latency). 614See Proposing Release, 85 FR at 16782. See infra Section III.C.8 (discussing competing consolidator responsibilities under Rule 614). 615See Nasdaq Letter IV at 23–26; NYSE Letter II at 9, 13–18; IDS Letter I at 3, 4, 7–8, 9; STANY Letter II at 6; Data Boiler Letter I at 46; Angel Letter at 18, 20. 616See IDS Letter I at 3, 7; NYSE Letter II at 3, 13; Nasdaq Letter IV at 25; Equity Markets Association Letter at 3 (quoting NYSE Letter II at 3). 617See NYSE Letter II at 9, 13–18; IDS Letter I at 3–4. One commenter said that the Commission should have considered the European Union’s efforts to create a consolidated tape with competing consolidators, noting that no such competing consolidators have registered. Angel Letter at 20. This commenter said that the proposal’s lack of discussion of other jurisdictions as alternatives was a potential violation of the APA. See id. at 21. The Commission does not believe the European Union’s experience with developing a consolidated tape is relevant for purposes of this proposal. The market and regulatory structure of the European Union are different than they are in the United States. In December 2019, the European Securities and Markets Authority (‘‘ESMA’’) released a report describing the obstacles to developing a consolidated tape in the EU, including the lack of data quality for OTC transactions, the need for a consolidated tape provider to have to negotiate contracts for data from 170 trading venues and approved publication arrangements, and certain regulatory requirements. See ESMA, MiFID II/ MiFIR Review Report No. 1: On the development in prices for pre- and post-trade data and on the consolidated tape for equity instruments (Dec. 5, 2019), available at https://www.esma.europa.eu/ sites/default/files/library/mifid_ii_mifir_review_ report_no_1_on_prices_for_market_data_and_the_ equity_ct.pdf. See also European Commission, The Study on the Creation of an EU Consolidated Tape (Sept. 2020), available at http:// www.marketstructure.co.uk/wp-content/uploads/ Full-Report--The-Study-on-the-Creation-of-an-EU￾Consolidated-Tape.pdf. The U.S. equity markets do not face the same issues and have vast experience in creating consolidated market data. 618See IDS Letter I at 7. See also NYSE Letter II at 13. This commenter said that the success of the proposed decentralized consolidation model ‘‘rests entirely on unfounded assumptions regarding the appearance of a market for competing consolidators . . .’’ Id. at 3. 619See IDS Letter I at 7. This commenter, a market data aggregation firm, also said that it would be very costly for it to become a competing consolidator because it would have to develop a new infrastructure to collect, consolidate, and
disseminate NMS data since its method of data consolidation and dissemination is ‘‘fundamentally different’’ than that used by the exclusive SIPs. See IDS Letter II at 1, 2–3. 620See IDS Letter I at 3, 9. The commenter also said that the Commission failed to meet its burden to examine economic costs and inefficiencies of the proposal because it did not consider the possibility of a delayed implementation, or that it may never be implemented or that it may cease to be viable. See also IDS Letter II at 3. The commenter stated that the proposal did not discuss contingencies in the event of such occurrences. See IDS Letter I at
8. See also Nasdaq Letter IV at 24 (stating that the
Commission did not imagine an environment in which only a few competing consolidators survive the initial period of entry). 621Nasdaq Letter IV at 25. See also Angel Letter at 20 (stating the only competing consolidators will be the two existing exclusive SIPs because only they can afford to comply with Regulation SCI). 622See NYSE Letter II at 17–18; IDS Letter I at 3– 4. 623See NYSE Letter II at 17–18. See also IDS Letter I at 3–4, 16 (stating that because the proposal did not establish criteria to determine when a competing consolidator would be deemed a facility of an exchange, there was no reasoned basis to assume that half of the competing consolidators would be exchanges); infra Section III.C.7(a)(iv) (discussing competing consolidators affiliated with exchanges). 624See NYSE Letter II at 18. 17 CFR 242.614(a)(1) (Rule 614(a)(1)) provides that only entities that receive information with respect to quotations for and transactions in NMS stocks directly from a national securities exchange or national securities association pursuant to an effective NMS plan, and generate consolidated market data for dissemination, will be required to register as competing consolidators. See infra Section III.C.7(a)(iii) (discussing this change). 625See NYSE Letter II at 18. 626See id. at 17; Nasdaq Letter IV at 2, 24; STANY Letter II at 7 (‘‘[S]elf-aggregators may diminish what could potentially be a thin field.’’). 627See NYSE Letter II at 17. See also Nasdaq Letter IV at 2. In the Proposing Release, the Commission described the significant latencies that exist in the centralized consolidation model and explained specifically how the decentralized consolidation model will address them.613 Further, the Commission discussed how the proposed rules will address data quality, availability, and reliability 614 and the disclosure of fees set by competing consolidators. The Commission provided information demonstrating how the proposed rules would achieve the Commission’s goal of modernizing the national market system so that consolidated market data is disseminated to market participants in an accurate, reliable, prompt, and fair manner.
3. Comments on the Viability of the
Decentralized Consolidation Model Commenters questioned whether enough competing consolidators would enter the market to make the decentralized consolidation model viable.615 Some commenters stated that the success of the model depends on the creation of multiple competing consolidators.616 Several of these commenters stated that the proposal lacked support to assume that multiple competing consolidators would enter the market.617 One commenter stated that the proposal assumes there would be a competitive market but lacks support for its assumption that there would be multiple competing consolidators.618 This commenter said that a competitive market could not arise if only a few competing consolidators were established, resulting in competing consolidators charging a premium for consolidated market data.619 The commenter said that the proposal did not consider this possibility, nor did it reasonably consider whether any competing consolidators would register, their viability, and the costs to investors and other market participants if the competing consolidators ceased operating.620 One commenter said that there may be few competing consolidators because ‘‘SROs or other firms may have cost or other economic advantages (e.g., scale or scope economies) not enjoyed by other potential consolidators . . .’’ resulting in competition insufficient to achieve the proposal’s goals.621 Two other commenters, however, stated that the proposal incorrectly presumed the willingness of SROs to become competing consolidators.622 One of the commenters stated that the proposal lacked analysis supporting why SROs would want to incur the costs of becoming a competing consolidator, why the SROs that operate the existing exclusive SIPs would want to become competing consolidators, and how exchange-affiliated competing consolidators could avoid being deemed a facility of an exchange.623 Finally, one commenter questioned the proposal’s assumption that current market data vendors would choose to become competing consolidators.624 The commenter said data vendors that want to continue to receive proprietary data from an SRO would have to register as competing consolidators, or they would have to subscribe to a competing consolidator to purchase this data. The commenter said the price of this data could increase, causing a data vendor’s customer base to decrease. The commenter said the proposal lacks analysis of whether the added costs to vendors outweigh the benefits to vendors and said the proposal would cause data vendors to leave the market.625 Three commenters stated that large broker-dealers would opt to become self-aggregators instead of becoming competing consolidators or being subscribers of competing consolidators.626 Because one commenter believed that larger broker￾dealers would likely become self￾aggregators, the commenter said that the remaining potential customer base for competing consolidators would be less likely to need faster and more comprehensive market
data and thus would not benefit from the introduction of competing consolidators.627 Another

628See Nasdaq Letter III at 7. 629See Nasdaq Letter IV at 24. One commenter also said that customers that decide to self-aggregate instead of subscribe to a competing consolidator would reduce the number of potential subscribers for competing consolidators. Accordingly, the potential revenues of competing consolidators would be reduced as well. IDS Letter I at 14. 630See infra Section V.C.2(a)(ii)c. The Commission estimates that approximately eight entities, including SRO affiliates and broker-dealers that currently aggregate for themselves, will become competing consolidators. See infra Section IV.C.1(b). Some commenters responded that they are considering registering as competing consolidators. See supra note 604. The Commission believes that even if a smaller number of competing consolidators enters the market, there will be some degree of competition, which will yield benefits. See infra Section V.C.2(a)(ii). 631See infra Section III.E.2(c). 632See infra Section III.B.6. 633See supra note 630. 634See infra Section III.C.7. See also infra Section III.H. 635See CTA Plan, CTA Tape A & B Subscriber/ Household Metrics: CTA Q2 2020, available at https://www.ctaplan.com/publicdocs/ctaplan/ CTAPLAN_Population_Metrics_2Q2020.pdf (last accessed Nov. 27, 2020) (describing the different categories of subscribers). 636See UTP Plan, UTP Q2 2020 U.S. Equities Securities Information Processor (UTP SIP) Key Quarterly Operating Metrics of TAP: Tape C Subscriber/Household Metrics, available at http:// www.utpplan.com/DOC/UTP_2020_Q2_Stats_with_ Processor_Stats.pdf (last accessed Nov. 27, 2020) (describing the different categories of subscribers). 637See supra note 626. 638See supra note 533. 639Additionally, self-aggregators are permitted to generate consolidated market data solely for internal use. A firm that wants to generate and disseminate consolidated market data to its customers will have to purchase the consolidated market data from a competing consolidator rather than self-aggregate to avoid the internal use limitation or would have to purchase proprietary data feeds. See Rule 600(b)(83); see also infra
Section III.D.2.
commenter stated that less than 1% of exclusive SIP customers are proprietary DOB feed customers, and because proprietary data feeds would continue to be faster than competing consolidators, the potential increase in subscribers for competing consolidators over the total number of professional SIP data subscribers would amount to a fraction of the 1%.628 The commenter stated that the Commission’s assumption that there would be 12 competing consolidators did not consider that many users of NMS information would become self￾aggregators and not subscribers of competing consolidators.629 The Commission believes that the decentralized consolidation model is a viable data dissemination model and that a sufficient number of competing consolidators will register to provide data consolidation and dissemination services to market participants due to significant anticipated demand from market participants for consolidated market data products that will be provided competitively, with lower latency, enhanced content, and competitive pricing.630 Competing consolidators will be the only entities permitted to receive the data content underlying consolidated market data at the prices set by the Equity Data Plans, which will be filed with the Commission pursuant to Rule 608 and reviewed for compliance with statutory and regulatory standards,631 and permitted to sell consolidated market data products to customers, and the prices set by competing consolidators will be subject to competitive forces under the decentralized consolidation model. As consolidated market data products, including connectivity to competing consolidators, would be subject to competitive pricing, they would likely be offered at lower prices than the current equivalent proprietary data products.632 The Commission believes that competitive pricing, combined with market participants’ need for consolidated market data, will drive demand for competing consolidators. The decentralized consolidation model will foster a competitive environment, which should provide benefits to market participants even if there is a small number of competing consolidators.633 Competing consolidators will be able to register and begin operations at any time.634 This competitive dynamic should enhance the operation of the national market system by incentivizing competing consolidators to continually seek to provide optimal consolidated market data products for end users. In addition, the Commission believes that because market participants require consolidated market data to participate in the market and to comply with regulatory requirements, such as Rule 611 and Rule 603(c), competing consolidators will enter the market to service this demand. The Commission believes that market participants will continue to need consolidated market data under the decentralized consolidation model because a significant number of non-professional subscribers and other market participants use SIP data today and likely will not become
self-aggregators, thereby promoting the viability of this model. The Equity Data Plans report significant numbers of subscribers for SIP data. For example, the CTA Plan reports 5.4 million non-professional subscribers, 290,000 professional subscribers, 368 real-time internal use only vendors, 234 real-time external vendors, and 327 non-display vendors in the second quarter of 2020.635 The Nasdaq UTP Plan reports 5.7 million non-professional subscribers, 280,000 professional subscribers, 316 real-time only vendors, 252 real-time external vendors and 319 non-display vendors for second quarter of 2020.636 Many of these current exclusive SIP subscribers are likely to need the data services of a competing consolidator, which indicates the potential demand for consolidated market data products. Further, some market participants that currently rely on proprietary market data feeds may decide to utilize a competing consolidator because the Commission believes that competing consolidators will offer faster and more comprehensive alternatives to current exclusive SIP and proprietary feeds at competitive pricing. Three commenters suggested that large broker-dealers that self-aggregate would either not become competing consolidators or would not become subscribers of competing consolidators.637 Some market participants today purchase exchange proprietary data products and aggregate such data for their own uses. There is no regulatory requirement to purchase proprietary data, but a market has developed for these enhanced products. The Commission believes that competing consolidators, operating in a decentralized consolidation model, will improve the latencies that exist in the current centralized consolidation model. The competitive environment fostered by the decentralized consolidation model should result in greater innovation and the timely adoption of updated technologies into the aggregation and transmission of consolidated market data.638 Further, the Commission believes that the additional content that will be available in consolidated market data products may also serve some market participants that purchase proprietary data. As a result, the Commission believes that some market participants may choose to use consolidated market data products disseminated by competing consolidators rather than aggregate it themselves; for example, with the improved latencies of a competing consolidator, it could be more convenient or cheaper for certain market participants to subscribe to a competing consolidator than to self-aggregate.639 Further, the Commission believes that it is possible that a broker-dealer or RIA that self-aggregates could decide to become a competing consolidator. For example, a firm may decide that the benefits of entering the competing consolidator business, such as

640See letter from Douglas A. Cifu, Chief Executive Officer, Virtu Financial, to Vanessa A. Countryman, Secretary, Commission, dated Aug. 28, 2020, at 4, available at https://www.sec.gov/ comments/sr-nyse-2020-05/srnyse202005-7707480- 222891.pdf (expressing interest in establishing a competing consolidator); infra Section V.C.2(d)(i). 641The commenter said that no potential competing consolidator would register and incur the attendant costs of becoming a competing consolidator before the Commission approves the effective national market system plan. The commenter said, ‘‘[n]o rational entity would expend the effort to create a competing consolidator if it cannot estimate the relevant costs and benefits.’’ IDS Letter I at 8. The commenter also said that without knowing the number of competitors and customers and the fees it can charge, a potential competing consolidator cannot estimate whether its revenue would exceed its costs. See IDS Letter I at 14. 642 Id. at 3. 643See id. 644NYSE Letter II at 14. See also id. at 15 (stating that potential competing consolidators would be deterred from registering because they would not know the cost of market data or what they could charge for consolidated market data). 645See infra Section III.E.2(c). 646See infra Section III.H. 647See infra Section III.E.2(c). 648See supra note 635 and accompanying text. 649See, e.g., CTA Plan, Key Operating Metrics of Tape A&B U.S. Equities Securities Information Processor (CTA SIP), available at https:// www.ctaplan.com/publicdocs/ctaplan/CTAPLAN_ Processor_Metrics_3Q2020.pdf (last accessed Nov. 27, 2020) (providing peak messages per second, 100 milliseconds, and 10 milliseconds and peak transactions and capacity transactions per day and latency information for Tapes A and B); UTP Q3 2020—July Tape C Quote Metrics, available at http://www.utpplan.com/DOC/UTP_website_ Statistics_Q3-2020-July.pdf (last accessed Nov. 27,
2020) (for Tape C).
650See NYSE Letter II at 13, n. 42.
651 Id.
652See id.
653See id. at 14.
654See IDS Letter I at 9.
655See id.
656See id. at 3.
657See Proposing Release, 85 FR at 16776. 658See SIFMA Letter at 5; Fidelity Letter at 3, 10; IEX Letter at 1, 2. 659See SIFMA Letter at 5; Fidelity Letter at 3. 660 IEX Letter at 2. generating a new revenue stream or providing services to its customers by disseminating consolidated market data products to them, exceed the costs of becoming a competing consolidator.640 One commenter stated that unresolved issues regarding the regulatory framework for competing consolidators would deter competing consolidators from registering, including whether and when the Commission would approve an effective national market system plan.641 The commenter said the proposal ‘‘does not adequately consider or analyze the structural requirements or potential revenue and cost streams for competing consolidators or the implications of this model on costs to market participants . . .’’ 642 The commenter said the proposal raises questions regarding the fees competing consolidators can charge and the value they add to subscribers.643 Similarly, another commenter stated that ‘‘[t]he stability and viability of any potential competing consolidator’s revenues are entirely dependent on outside conditions, including the yet-to￾be determined fees set by NMS plans . . . . ’ ’’ 644 While the Commission acknowledges that the future fees for data content underlying consolidated market data have not been developed or proposed by the effective national market system plan(s),645 the Commission believes that this should not be an impediment to potential competing consolidators evaluating whether to register. The fees for the data content underlying consolidated market data will be established before competing consolidators can begin to register 646 and will be the same for all data users, so competing consolidators can evaluate how they will compete on the services they provide to subscribers, such as their aggregation and transmission services for consolidated market data products. Further, the Commission believes that there will be downward pressure on the fees for the data content underlying consolidated market data as compared to fees for proprietary data.647 Potential competing consolidators can evaluate the potential subscriber pool 648 of market participants that do not self-aggregate, including current SIP users, and current exclusive SIP metrics to evaluate potential technology needs.649 Finally, one commenter stated that the Commission did not address the possibility that a competing consolidator could begin operations, the exclusive SIPs would be dismantled, and the competing consolidator could go out of business and cease operations by publishing a notice of its cessation of operations on Form CC.650 This commenter also stated that the Commission did not ‘‘meaningfully rebut’’ the reasons why competing consolidators would not appear in sufficient numbers, qualifications, and duration to produce the proposed decentralized consolidation model 651 and that the Commission
assumes, without relying on underlying data, that competing consolidators would be able to operate successfully.652 The commenter said this lack of analysis was a violation of the APA.653 Similarly, another commenter questioned what would happen if a number of competing consolidators ceased operations, which would result in the system not being viable.654 This commenter compared competing consolidators that could terminate operations by filing a Form CC to the exclusive SIPs, which are obligated to perform their duties.655 The commenter also stated that the proposal failed to consider the costs to investors and other market participants if a competing consolidator ceased to operate.656 The Commission believes that it is highly unlikely that all competing consolidators would cease operations because market participants require consolidated market data to trade, both for competitive purposes and to comply with regulatory requirements such as best execution, the Vendor Display Rule, and the Order Protection Rule. Market participants that do not self￾aggregate will not be able to trade without the consolidated market data products produced by competing consolidators. This demand for consolidated market data will ensure that competing consolidators, as the providers of consolidated market data products, are operating in the national market system at all times. If one competing consolidator ceases to operate, the Commission believes that other competing consolidators will be available to provide consolidated market data products to the customers of the competing consolidator that has ceased operations or that new entrants would quickly arise to fill any gaps in supply. Finally, consistent with the requirements under the APA, the Commission discussed in the Proposing Release why it believes that competing consolidators would begin operations in the decentralized consolidation model and why they would be viable.657
4. Comments on Conflicts of Interest
Three commenters said the proposed decentralized consolidation model would mitigate the conflicts of interest that exist in the current centralized consolidation model, in which the exchanges operate the exclusive SIPs while also selling proprietary market data products that compete with SIP data.658 Two of the commenters highlighted high market data costs and latency as two effects of the conflicts, suggesting that eliminating such conflicts would help make competing consolidators’ data dissemination a ‘‘viable alternative’’ to proprietary feeds.659 Another commenter stated that the proposal would ‘‘replace an outdated and conflicted monopoly system to deliver core data with one that is competitive and better able to adapt to future changes and investors’ needs.’’ 660 The Commission agrees that

661See AHSAT Letter at 1, 3; BlackRock Letter at 5; DOJ Letter at 2–3, 4; Fidelity Letter at 3, 10; MEMX Letter at 6, 7, 8; SIFMA Letter at 1, 5, 11; Wellington Letter at 1; ICI Letter at 4, 10; ACS Execution Services Letter at 5; Better Markets Letter at 3; Capital Group Letter at 4; IEX Letter at 3. 662See DOJ Letter at 4. 663AHSAT Letter at 1. 664SIFMA Letter at 1. 665See id. at 11. See also NovaSparks Letter at 1 (stating that competition will encourage competing consolidators to deliver excellent performance). 666See MEMX Letter at 6, 7, 8; ICI Letter at 10; BlackRock Letter at 5. 667See ICI Letter at 10. 668See MEMX Letter at 6, 8; BlackRock Letter at
5. See also NBIM Letter at 6 (stating that it uses
direct feeds to reflect the ‘‘physical reality’’ of the broker-dealers whose performance it needs to evaluate and that the proposal would provide an opportunity for competitive processors located in the same data centers as most institutional broker￾dealers to emerge). 669See ACS Execution Services Letter at 5 (stating that the model would reduce content and latency differentials between SIP and proprietary market data); DOJ at 2–3, 4 (supporting the proposal’s efforts to address the granularity and latency differentials between SIP and proprietary market data). 670See Cboe Letter at 23; Citadel Letter at 5; STANY Letter II at 5, 6; NYSE Letter II at 11, 22, 23; Nasdaq Letter IV at 49; Angel Letter at 18, 19; TD Ameritrade Letter at 12; FINRA Letter at 8; IDS Letter I at 15; Data Boiler Letter II at 2; Proof Trading Letter at 1. 671See TD Ameritrade Letter at 12. 672See Data Boiler Letter II at 2. 673See Nasdaq Letter IV at 49. 674NYSE Letter II at 9, 10, 23. Similarly, one commenter stated that the Commission solely relied on comments from the Market Data Roundtable to support its belief that the decentralized consolidation model would reduce transmission latency differentials between SIP and proprietary market data. See Nasdaq Letter IV at 45. 675The commenter said that the Commission has ignored ‘‘the impact of significant changes to the SIP infrastructure already implemented by the SROs and to the governance of the national market systems that the Commission recently imposed, while overlooking the impressive performance of the existing system in a time of extreme market volatility.’’ NYSE Letter II at 10. 676Today, each exclusive SIP must collect data from geographically dispersed SRO data centers, consolidate the data, and then disseminate the consolidated data from the exclusive SIP’s location to end-users, which are often in other locations, in a hub-and-spoke form of centralized consolidation that creates additional latency. See Proposing Release, 85 FR at 16765. 677See NBIM Letter at 4. 678See infra Section V.C.2(c) (discussing the effect of the decentralized consolidation model on innovation in data delivery and reducing latency differentials). Although the exclusive SIPs have reduced their aggregation latencies and made other improvements, as the Commission stated above, there is currently no competition for consolidated market data, and the technology for the distribution of SIP data has continued to meaningfully lag behind technologies utilized across the private competitive data landscape. See supra Section III.B.2. the decentralized consolidation model will help mitigate the conflicts of interest inherent in the existing exclusive SIP model by allowing independent entities in the form of competing consolidators and self￾aggregators, rather than SRO-affiliated exclusive SIPs, to collect, consolidate, and disseminate consolidated market data.
5. Comments on Latency
Several commenters stated that the proposed decentralized consolidation model could reduce latency in the dissemination of consolidated market data.661 One commenter stated that the decentralized consolidation model would allow more timely delivery of consolidated market data.662 Another commenter said the proposal’s content and latency reforms ‘‘go a long way.’’ 663 One commenter stated that the proposal’s changes to latency would ‘‘modernize market data infrastructure.’’ 664 This commenter said that competition among competing consolidators would reduce geographic and aggregation latency.665 Other commenters also noted the proposed decentralized consolidation model’s potential beneficial effects on geographic latency.666 One commenter stated that the proposal would reduce geographic latency because exchange data would no longer be aggregated by the exclusive SIPs in two locations, and competing consolidator subscribers could receive consolidated data within the data center of the competing consolidator.667 Two commenters said that the proposed decentralized consolidation model could reduce the geographic, aggregation, and transmission latency differentials between proprietary market data feeds and SIP data.668 Other commenters also noted the proposed decentralized consolidation model’s potential to reduce both the latency and the content differentials between proprietary market data feeds and SIP data.669 However, several commenters questioned whether the decentralized consolidation model could meaningfully impact the latency of consolidated market data.670 One commenter said that there was no guarantee that competition would result in improved latency.671 Another said that exchanges could increase the latency gap between proprietary data and consolidated market data with frequent upgrades.672 One commenter stated that the proposal failed to explain how the decentralized consolidation model would reduce latency and asked the Commission to explain why the proposed model is preferable to the distributed SIP alternative, which would address geographic latency.673 Another commenter said that the proposed decentralized consolidation model is inconsistent with the Commission’s obligations under the APA because it is not based on current market conditions and relies instead on ‘‘outdated discussions and panelist comments’’ from the Market Data Roundtable.674 The commenter said that changes to market data infrastructure and governance have since reduced the latency differentials.675 The Commission believes that fostering a competitive environment for the collection, consolidation, and dissemination of consolidated market data will result in such data being delivered to market participants in a decentralized manner with improved geographic, aggregation, and transmission latencies. With respect to geographic latency, unlike the current exclusive centralized consolidation model, the decentralized consolidation model will allow the direct delivery of each
SRO’s market data to competing consolidators and self-aggregators, and competing consolidators may be located in the same data center as their subscribers. This stands in stark contrast to today’s model where (a) one consolidator is located in one centralized data center while (b) a significant number (in some cases a majority) of subscribers are located in different data centers, and (c) each SRO’s market data is required to travel to the one centralized location to be aggregated, prior to (d) traveling to yet another data center for receipt and use by subscribers.676 In the decentralized consolidation model, SRO data will no longer be required to travel to a separate central location for consolidation by an exclusive SIP. Consolidation could occur at the data center where a data end-user is located instead of occurring only at the CTA/CQ SIP and the Nasdaq UTP SIP data centers. As one commenter stated, the physical location of a processor is critical.677 Furthermore, competition will incentivize competing consolidators to minimize latency and improve aggregation and transmission performance and services for consolidated market data products through the use of low-latency aggregation and transmission technologies.678 Competing consolidators and self-aggregators will not be restricted to the transmission methods mandated by the Equity Data Plans, and competing consolidators will compete with each other based on the efficiency of their aggregation of raw SRO data to generate consolidated market data. In contrast to today’s non￾competitive exclusive SIPs, the Commission believes that competing consolidators will be incentivized to

679See text accompanying notes 602–603. The Commission notes that the Nasdaq UTP SIP revised its technology in the fourth quarter of 2016 to lower quote latency at the 99th percentile from 5,393 microseconds to 28 microseconds. In the same quarter, the CQS SIP’s 99th percentile of latency was 1,570 microseconds and it did not reduce that latency to below 100 microseconds until the third quarter of 2020. See Nasdaq UTP Q3 2020— September Tape C Quote Metrics, available at http://utpplan.com/DOC/UTP_website_Statistics_ Q3-2020-September.pdf (last accessed Nov. 27, 2020); Key Operating Metrics of Tape A&B U.S. Equities Securities Information Processor (CTA SIP), available at https://www.ctaplan.com/ publicdocs/ctaplan/CTAPLAN_Processor_Metrics_ 3Q2020.pdf (last accessed Nov. 27, 2020). 680See SIFMA Letter at 11; BlackRock Letter at 5. 681See ICI Letter at 10; BlackRock Letter at 5. 682See, e.g., ICE Global Network: New Jersey Metro, available at https://www.theice.com/market￾data/connectivity-and-feeds/wireless/new-jersey￾metro (last accessed Nov. 27. 2020); Nasdaq, Wireless Connectivity—Metro Millimeter Wave Frequently Asked Questions, available at https:// www.nasdaq.com/docs/2020/01/15/Metro_ Millimeter_Wave_FAQ.pdf (last accessed Nov. 27, 2020). 683See NovaSparks Letter at 1. See also Nasdaq Equity Trader Alert #2015–194, ‘‘Nasdaq Reintroducing FPGA Order Entry Ports, Announcing Port and Pricing Updates for 2016,’’ available at https://www.nasdaqtrader.com/ TraderNews.aspx?id=ETA2015-194 (last accessed Nov. 27, 2020); Flanagan, Terry, Co-Location: How Close Can You Get?, MarketsMedia (Dec. 27, 2012), available at https://www.marketsmedia.com/co￾location-how-close-can-you-get/ (explaining the use of FPGA to reduce co-location latencies). 684See IDS Letter I at 15. 685See id. 686See infra Section III.B.9. 687See Citadel Letter at 5; STANY Letter II at 6; NYSE Letter II at 11, 23. 688See NYSE Letter II at 23. 689See id. at 11. 690See Angel Letter at 18. 691See AHSAT Letter at 1; BlackRock Letter at 5; DOJ Letter at 2–3, 4; Fidelity Letter at 10; MEMX Letter at 3, 6, 7, 8; SIFMA Letter at 1, 11; Wellington Letter at 1; ICI Letter at 10; ACS Execution Services Letter at 5; Better Markets Letter at 3. 692See Proof Trading Letter at 1. 693See, e.g., Capital Group Letter at 2, 4; Fidelity Letter at 2; State Street Letter at 2. 694See supra note 670. 695See Nasdaq Letter IV at 8, 23–24; NYSE Letter II at 22, 23; STANY Letter II at 6; Angel Letter at 19; FINRA Letter at 8–9. 696Angel Letter at 19. 697See id. 698See Proposing Release, 85 FR at 16767–8. make continued improvements.679 For example, competing consolidators will be incentivized to minimize the amount of time it takes to aggregate consolidated market data products; 680 reduce their transmission latency681 (e.g., by offering wireless connectivity through microwave or laser technology, currently offered by exchanges 682); reduce connectivity latency (e.g., by offering field-programmable gate
array (‘‘FPGA’’) services 683); lower connectivity fees; enhance customer service; and enhance their technology and services to remain competitive. Competing consolidators providing consolidated market data products to clients for electronic trading will likely compete along all of these lines, similar to the manner in which the providers of proprietary data products have competed. Further, self-aggregators will be able to better utilize technologies to perform their aggregation and transmission functions. One commenter asserted that the proposed decentralized consolidation model assumed that competing consolidators would specialize in lower latency data but said that this assumption was accurate only if the SROs from which they receive data can offer low-latency connectivity.684 The commenter noted that the proposal could result in the discontinuation of low-latency connectivity options by SROs and said that the Commission did not assess the impact of the proposal on this connectivity market.685 The Commission believes that this comment fails to recognize the ways in which the proposal addressed the connectivity market. In specifying ‘‘by the same means, and on the same terms,’’ at a minimum, the Commission has prohibited an SRO from providing superior connectivity for proprietary data products than it provides for NMS data. The Commission further addresses these concerns below.686 Some commenters stated that competing consolidators would not eliminate geographic latency.687 One commenter stated that geographic latency would still exist despite implementation of the proposed decentralized consolidation model.688 The commenter stated that incremental reductions to transmission latency would be the most the decentralized consolidation model could achieve but that the Commission failed to analyze whether such reductions would be worth the cost of the proposal.689 Another commenter stated that competing consolidators would still be subject to geographic and operational latency, which would result in competing consolidators located within the same data center disseminating differing prices.690 Other commenters stated that the proposed decentralized consolidation model would reduce the latencies associated with the dissemination of SIP data.691 The Commission agrees and believes that the model will significantly reduce geographic latency because, as described above, it will allow consolidation of market data to occur at the data center where a data end-user is located and end the consolidation of data at a single location where end-users may not be located. While full elimination of geographic latency for NMS data is impossible in a marketplace where different markets are located in different geographic locations, the reduction of latency caused by a centralized consolidation requirement is desirable and will result in significant latency benefits. If a competing consolidator chooses not to provide a consolidation service in all of the data centers of
its users, the Commission believes the users will still benefit from reduced aggregation and transmission latencies resulting from competition among competing consolidators. Finally, one commenter said that the current latency of the exclusive SIPs is sufficient for agency trading and doubted that any latency improvements would benefit long-term investors.692 However, several commenters representing long-term investors expressed the view that the current latency of the SIPs was not sufficient to meet their needs.693 While the current latency of the exclusive SIPs may be sufficient for some retail investors and other visual consumers of market data, the Commission believes that the reduction in latency should enhance trading by the brokers who service retail investors by allowing them to evaluate the markets quickly, adjust their quotes, trade more efficiently and competitively, and facilitate best execution. Furthermore, the addition of new data content in consolidated market data and the competitive environment fostered by the decentralized consolidation model may allow agency brokers to purchase consolidated market data products, which may be offered at a lower cost than current proprietary data, rather than proprietary data feeds, which could result in cost savings for investors. While some commenters stated the proposed decentralized consolidation model would have little, if any, impact on latency,694 other commenters said that the decentralized consolidation model would perpetuate latency differentials.695 One commenter stated that competing consolidators would initiate a ‘‘costly arms race in speed,’’ 696 resulting in major market participants complaining about having to pay a premium for the fastest consolidator.697 One commenter said nothing in the proposal would address the Commission’s concerns expressed in

699Nasdaq Letter IV at 23–24. This commenter also said that the ‘‘two-tiered’’ environment adds no cost to the majority of traders and believed that SIP data is sufficient for human traders who would not benefit from expensive infrastructure and that professional traders tend to opt for custom solutions rather than buying the same products anyway. Nasdaq Letter III at 5. 700See Nasdaq Letter IV at 8. 701See id. at 8, 42. 702 Id. at 26. 703See Nasdaq Letter IV at 8, 23–24; NYSE Letter II at 22, 23; STANY Letter II at 6; Angel Letter at 19; FINRA Letter at 8–9. 704See NYSE Letter II at 22, 23; STANY Letter II at 6. 705See NYSE Letter II at 23. See also Healthy Markets Letter I at 2–3. 706See NYSE Letter II at 23. 707FINRA Letter at 8. 708See id. at 8. The commenter also said that competing consolidators that aggregate data for themselves would have a latency advantage over their subscribers. Id. 709See id. at 8–9. See also Healthy Markets Letter I at 3 (recommending that an exchange that wished to send data to its customer be required to do so ‘‘through an affiliate that would receive the same data, at the same time, on the same terms, and at the same cost as any competing SIP distributor’’). 710See NBIM Letter at 4. This commenter, however, also stated that from an asset manager’s perspective, the proposal would reduce its needs for direct feeds if there is a competitive consolidated tape offering. Id. 711See infra Section III.D.2(d). 712 In the Proposing Release, the Commission noted that self-aggregators could have a minor latency advantage over market participants that use a competing consolidator for their consolidated market data. See Proposing Release, 85 FR at 16791. 713Self-aggregators could have a cost advantage over market participants that receive consolidated market data from a competing consolidator because self-aggregators will not be required to compensate a competing consolidator for its services. A self￾aggregator will of course incur expenses to generate consolidated market data including the costs of having the systems capability to collect, consolidate, and generate consolidated market data. It may use a vendor to establish connectivity to an SRO or to perform aggregation or other functions necessary for generating consolidated market data. As a result, any potential cost advantage of a self￾aggregator over market participants that purchase consolidated market data from competing consolidators may not be significant. 714See infra Section V.C.4(b). 715See BestEx Research Letter at 4; DOJ Letter at 4, 5; Committee on Capital Markets Letter at 6; IntelligentCross Letter at 5; Better Markets Letter at tiered market data environment’’ 699 and argued that competing consolidators would create a multi-tiered market where market participants would be charged more for better products and faster services.700 Further, this commenter stated that competing consolidator subscribers, such as retail investors, would be at a latency disadvantage
to self-aggregators that can generate an NBBO faster.701 This commenter also said that competing consolidators could even start a ‘‘new fragmentation war’’ for latency-sensitive subscribers that need to be co-located near their competing consolidator.702 The Commission believes that competing consolidators, based on subscriber demand, will develop different consolidated market data products for their subscribers and will compete on the basis of latency, resiliency, products and services offered, and other factors, including price. Subscribers also will be able to evaluate competing consolidators on the basis of system availability, network delay statistics, and data quality and system issues that will be publicly available in the Form CC and the performance statistics and operational information required to be disclosed by competing consolidators on a monthly basis by Rule 614. Different subscribers and trading applications may prioritize these factors differently. The Commission recognizes that there will be different needs for different participants and applications. However, the Commission does not believe that the realm of such differentiation and innovation should be exclusively limited to proprietary data products. As noted above, some commenters believed that the decentralized consolidation model would perpetuate latency differentials.703 Although there may be differences in the latencies among competing consolidators, the Commission believes the decentralized consolidation model will result in a net benefit in overall improved latencies for users of consolidated market data relative to the current model, and competitive market forces should reduce the likelihood of an unlevel playing field. Two commenters stated that self￾aggregators would have a latency advantage over competing consolidators, which would continue a two-tiered market data environment despite the presence of competitive forces.704 One of the commenters said that self-aggregators would continue to obtain and use market data faster than subscribers of competing consolidators.705 The commenter also said that the proposal lacked an analysis of the latency advantages of self￾aggregators over competing consolidators.706 Another commenter said the decentralized consolidation model would ‘‘institutionalize latency inequities’’ through the use of self￾aggregators and competing consolidators.707 The commenter stated that the latency advantage of self￾aggregators over competing consolidators was not actually minor, nor did it believe that competing consolidators could minimize the latency differences.708 This commenter suggested that the Commission should either require the SROs to delay provision of market data to self￾aggregators or allow only competing consolidators to provide consolidated market data.709 One other commenter stated that broker-dealers that offer algorithmic trading would not be able to utilize a competing consolidator due to the inherent latency of third party
aggregation.710 As discussed more fully below,711 the Commission acknowledges that, unlike self-aggregators, competing consolidators would need to transmit consolidated market data to their customers,712 but does not believe that this would lead to the development of a two-tiered market. Latency sensitive customers of competing consolidators are likely to be co-located in the same data centers as their competing consolidators, so the transmission time between the servers of the competing consolidator and its customer will be exceedingly small. The Commission expects that market participants that elect to aggregate consolidated market data, whether competing consolidators or self-aggregators, will innovate and compete aggressively on the efficiency and cost-effectiveness of their aggregation technologies to attract and retain subscribers (in the case of competing consolidators) or to facilitate their trading strategies (in the case of self-aggregators). The Commission believes that the development and implementation of the technology to collect, consolidate, and generate consolidated market data will create opportunities for latency efficiencies that are of substantially greater magnitude than the transmission time between the server of a competing consolidator and its customer. Competing consolidators, for example, may benefit from economies of scale that allow them to offer a very low￾latency product more cost effectively that an individual self-aggregator. In some cases, a competing consolidator may have a latency or cost advantage, and in others a self-aggregator may have such advantages.713 Competition may also impact the efficiency of choices.714 Therefore, the Commission does not believe that self-aggregators would necessarily have a systematic latency advantage over customers of competing consolidators.
6. Comments on the Potential Impact on
Costs for Consolidated Market Data Several commenters said that the proposed decentralized consolidation model would result in a reduction in the cost of consolidated market data.715 One

3; RBC Letter at 5–6; State Street Letter at 3; Fidelity Letter at 3, 9; Wellington Letter at 1; BlackRock Letter at 5; IEX Letter at 3. 716See BestEx Research Letter at 4. 717See DOJ Letter at 3–4 (‘‘The Department agrees with the SEC’s belief 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.’ ’’); Committee on Capital Markets Regulation Letter at 6; IntelligentCross Letter at 5; Fidelity Letter at 9; Wellington Letter at 1; ICI Letter at 4. 718See Better Markets Letter at 3. 719See RBC Letter at 5–6. 720See IEX Letter at 3. 721See Citadel Letter at 5. 722See STANY Letter II at 5; Data Boiler Letter I at 46–47; TD Ameritrade Letter at 12; NYSE Letter II at 9. 723See Cboe Letter at 23–24; FINRA Letter at 1, 2, 3, 4; Angel Letter at 21, 24; Kubitz Letter at 1; Nasdaq Letter IV at 23, 26, 47–48, 60; TD Ameritrade Letter at 15. 724See STANY Letter II at 5. Similarly, another commenter said the proposal lacked a ‘‘reasoned analysis of expected costs and fees for market data under the decentralized consolidation model.’’ NYSE Letter II at 9. See also id. at 19–20. 725See Data Boiler Letter I at 46–47. 726See TD Ameritrade Letter at 12. 727See Nasdaq Letter IV at 23, 26, 47–48, 60; TD Ameritrade Letter at 15. 728See Nasdaq Letter IV at 23. 729See id. at 26. 730See id. at 60, n. 162. 731See id. at 47–48. 732TD Ameritrade Letter at 15. 733See Angel Letter at 23. 734See id. at 20. 735See id. at 21. 736See Cboe Letter at 23–24; Kubitz Letter at 1; Angel Letter at 21, 24; Nasdaq Letter IV at 27, 30, 60, n. 162; Data Boiler Letter II at 1. 737See FINRA Letter at 4; Nasdaq Letter IV at 5, 27, 30. 738Cboe Letter at 23–24. 739See Cboe Letter at 4. 740See Angel Letter at 24. 741 Data Boiler Letter II at 1. 742See FINRA Letter at 4; Nasdaq Letter IV at 5, 27, 30. 743See Nasdaq Letter IV at 5, 27, 30. See also Clearpool Letter at 3 (suggesting safeguards to keep exchanges from increasing consolidated market data prices to recoup any revenue lost from the proposed requirement to sell core data to competing consolidators). 744See FINRA Letter at 4. commenter stated that having multiple competing consolidators will reduce the prices of consolidated market data and proprietary market data feeds.716 Several commenters stated that competition could bring down fees or the cost of consolidated market data.717 One commenter said that competing forces should help market participants to access market data in a cost-effective manner,718 and another commenter said that competition would maintain fair prices.719 A commenter stated that the proposal would constrain the cost of consolidated market data through competition among consolidators and the requirement that the fees charged to competing
consolidators by the SROs be subject to approval.720 Another commenter said the introduction of competing consolidators could impact aggregation and dissemination costs but stated that the proposal did not explain how competing consolidators would address exchange market data fees.721 However, other commenters expressed uncertainty about whether the proposed decentralized consolidation model would lower the cost of consolidated market data 722 or believed that the proposed model would increase costs.723 One commenter stated that the proposal lacked proof that competing consolidators would reduce market data costs, explaining that the proposal lacked sufficient guidance and analysis of how market data fees would be determined, how to define reasonable fees, and how the proposed model would control costs to participants.724 Another commenter said that competing consolidators would not result in enough competition to lower the cost of consolidated market data,725 and a commenter stated that there was no guarantee that competition would improve costs.726 Commenters also stated that the proposed decentralized consolidation model would increase the cost of consolidated market data.727 One commenter stated that nothing in the proposal supported the conclusion that competing consolidators would price consolidated market data economically efficiently.728 This commenter argued that market data costs would be higher because differentiation would result in higher prices as differentiated competing consolidators would have fewer customers over which to spread their fixed costs.729 This commenter also said that the proposed increased content of consolidated market data could increase costs and burden retail investors who have no need for the more comprehensive data.730 The commenter also said that costs will be dependent on the effective national market system plan(s) and fee proposals.731 Another commenter said that retail investors could incur ‘‘exponentially more’’ costs as a result of the proposal.732 One commenter stated that product differentiation among competing consolidators could lead to an increase in prices as the fastest competing consolidators would charge more due to inelastic demand.733 This commenter also believed that only the existing SIPs could afford Regulation SCI compliance; therefore, as the only competing consolidators, they would charge oligopolistic prices for consolidated market data.734 This commenter also said that the real prices for consolidated market data are determined by what the Commission will permit the exchanges to charge, not competition.735 Several commenters stated that the proposed decentralized consolidation model would result in higher consolidated market data costs 736 as well as other costs 737 for market participants. One commenter said that competing consolidators would ‘‘impose meaningful costs on investors’’ and said that the proposal did not explain how competing consolidators would charge fees to investors
(such as whether they could charge additional fees for content or only for data delivery).738 This commenter also said that the proposal is deficient because ambiguities surrounding fees to be charged by competing consolidators to investors, as well as by SROs to competing consolidators, impede meaningful public comment and the ability of the Commission to perform a cost-benefit analysis as required under the APA.739 One commenter said that exchanges facing competitive pressure from shareholders will be forced to charge high prices to competing consolidators, which will then pass down these prices to their subscribers.740 Another commenter said that competing consolidators are ‘‘an intermediary between suppliers and users adding a layer of cost to the overall system.’’ 741 Two commenters stated that market participants would face increases in other costs as a result of the proposal.742 One of the commenters said that exchange trading costs for retail and other investors will increase due to reductions in SROs’ market data revenue as a result of the proposal.743 The other commenter said that costs would increase as a result of requiring broker-dealers (or other market participants) to subscribe and pay fees to multiple competing consolidators.744 The Commission recognizes that the fees for the data content underlying consolidated market data are unknown at this time and that such fees are a fixed cost for all competing consolidators to assess when developing their business plans. However, in response to the comments that expressed uncertainty about the direction of consolidated market data costs as a result of the proposal and those comments that stated that consolidated market data costs would increase for market participants, the

745See infra Section III.E.2(c) (discussing the statutory requirements applicable to consolidated market data and the standards the Commission has historically applied to assessing compliance with the statutory requirements). 746 15 U.S.C. 78f(b)(4), 15 U.S.C. 78o–3(b)(5), and 15 U.S.C. 78k–1(c)(1)(C)–(D). 747 17 CFR 242.603(a). 748 17 CFR 240.19b–4. 749See infra Section III.E.2(c). 750See Effective-Upon-Filing Adopting Release supra note 17. 751See Governance Order, infra note 1128; New Consolidated Data Plan Notice, supra note 40. 752See Sections 11A(c)(1)(C)–(D) of the Exchange Act and Rule 603(a) of Regulation NMS, 17 CFR 242.603(a). 753See Form CC, Exhibit F. 754See supra note 743. 755See note 2392 and accompanying text. 756See FINRA Letter at 4. 757Those broker-dealers that do not currently have back-up capabilities may decide not to have back-up capabilities under the decentralized consolidation model. To the extent that such broker-dealers decide to subscribe to redundant back-up competing consolidator feeds, they may incur higher costs. Further, as discussed below, the effective national market system plan(s) will have to develop MISU policies for consolidated market data subscribers. See infra Section III.E. 758See TechNet Letter II at 1–2; STANY Letter II at 8. 759See TechNet Letter II at 1–2. This commenter said that every new competing consolidator brings ‘‘exponentially increasing risks’’ and that the competing consolidator model lacked strong industry support. Id. at 2. Commission believes that competition will constrain the prices at which competing consolidators can sell consolidated market data products. Further, the Commission believes that there will be downward pressure on the fees for the data content underlying consolidated market data as compared to fees for proprietary data.745 Specifically, the new data content underlying consolidated market data (i.e., depth of book data, auction information, and odd-lot information) are currently elements of proprietary data products that are assessed under the statutory standards that apply to proprietary data, including Sections 6(b)(4), 15A(b)(5), and 11A(c)(1)(C)–(D) of the Exchange Act 746 and Rule 603(a) under Regulation NMS.747 These proprietary data fees are filed with the Commission pursuant to Section 19(b) of the Exchange Act and Rule 19b–4 thereunder 748 and are effective upon filing with the Commission. Fees for the data content underlying consolidated market data will be assessed against the statutory standard that applies to fees proposed by the effective national market system plan(s), including Sections 11A(c)(1)(C)–(D) of the Exchange Act and Rule 603(a) under Regulation NMS. The proposed fees must be fair and reasonable and not unfairly discriminatory.749 The fees must be filed with the Commission pursuant to Rule 608 and will be published for public comment and thereafter, if consistent with the Exchange Act, must be approved by the Commission before becoming
effective.750 In addition, a New Consolidated Data Plan has been filed that contains a proposed new governance structure and procedures that, if approved, will address some of the conflicts of interest inherent in the existing governance structure and will bring a more inclusive representation of market participants into the process for developing fees for the data content underlying consolidated market data.751 The Commission believes that the governance model required to be included in the proposed New Consolidated Data Plan will support the building of broad consensus in developing the future fees for the data content underlying consolidated market data. Notwithstanding the new governance model, the new fees for data content underlying consolidated market data will have to satisfy statutory standards: They must be fair and reasonable and not unfairly discriminatory.752 Further, competition should constrain other aspects of consolidated market data costs, including the fees charged by competing consolidators for their products and services. Competing consolidators will compete in their aggregation and transmission services, which should also be reflected in their prices for such services. All competing consolidators will be required, under Rule 614(d), to disclose publicly metrics and other information concerning their performance and operations, which will allow market participants to evaluate effectively competing consolidators, fostering competition among competing consolidators. Further, competing consolidators are required to disclose their prices for consolidated market data products.753 In response to the comments warning that product differentiation would permit competing consolidators to increase their fees for consolidated market data products, the Commission believes that competing consolidators will face competition from each other and from potential new entrants, especially if a differentiated product serves as a material economic opportunity. This threat of competition will discipline prices and efficiency in the consolidated market data space. For example, if products tailored to the different needs of market participants become popular, competition should drive the creation and sale of similar products at prices attractive to subscribers. In response to the comment that stated that exchange trading costs, and consequently retail investor trading costs, would increase due to a reduction in exchange revenue as a result of the proposal,754 the Commission notes that the exchanges may file proposed rule changes to reflect any necessary adjustments to their fees as a result of the proposal. These proposed rule changes must meet the applicable statutory standards for fees. However, a reduction in proprietary data revenue, if it were to occur, would not, by itself, necessarily make it optimal for exchanges to adjust their trading fees.755 In response to the comment that stated that market participant costs will increase as a result of
the proposal because all market participants would need to retain a back-up competing consolidator,756 the Commission is not requiring market participants to have back-up competing consolidators. Market participants may choose to subscribe to competing consolidators that are ‘‘SCI competing consolidators’’—those subject to the requirements of Regulation SCI that help ensure that the core technology systems of SCI entities remain reliable and resilient, including the requirements to have geographically diverse back-up and recovery capabilities, and conduct an SCI review each year, as discussed below. Some market participants may choose to subscribe to multiple competing consolidators. In either case, this choice will be for market participants to elect after evaluating the needs of their business and their customers. The Commission cannot estimate at this point specific cost increases, if any, for market participants that subscribe to competing consolidators.757 But market participants may face an overall reduction in costs due to the competitive environment for consolidated market data fostered by the decentralized consolidation model.
7. Comments on Complexity of the
Decentralized Consolidation Model Several commenters stated that the proposed decentralized consolidation model would generally add complexity to the consolidated market data environment.758 One commenter said that competing consolidators would increase technological complexity, which would also increase risk and aggregate costs, while reducing resilience.759 Another commenter said that the complexity and costs created by competing consolidators could exceed

760See STANY Letter II at 8.
761FINRA Letter at 3.
762See infra Section III.C.2. The competing consolidator model is designed to result in multiple viable sources of consolidated market data, not a single source of such data. Therefore, there will not be a single point of failure. However, the second prong of the definition of ‘‘critical SCI systems’’ in Regulation SCI, 17 CFR 242.1000 through 242.1007—a catch-all for systems that ‘‘[p]rovide functionality to the securities markets for which the availability of alternatives is significantly limited or nonexistent and without which there would be a material impact on fair and orderly markets’’— would apply in the event that availability of alternatives were significantly limited or nonexistent in the future. See infra Section III.F for a discussion of the application of Regulation SCI to competing consolidators. 763See infra Section V.C.2(c)(iv) (discussing the benefits of the decentralized consolidation model to market resiliency). 764See Nasdaq Letter IV at 2, 3, 4, 12–13, 35; TechNet Letter II at 2; Kubitz Letter at 1; Joint CRO Letter at 2, 3, 4; FINRA Letter at 3, 4–5, 6; Citadel Letter at 5; TD Ameritrade Letter at 13. 765See Nasdaq Letter IV at 35; TechNet Letter II at 2; Kubitz Letter at 1. 766See Citadel Letter at 5; FINRA Letter at 4, 5, 6; TD Ameritrade Letter at 13. 767See Nasdaq Letter IV at 2. 768See id. at 37; see also NYSE Letter II at 22. 769See Nasdaq Letter IV at 35; see also NYSE Letter II at 22. 770See Joint CRO Letter at 3. 771Section 6(b)(1) of the Exchange Act provides that an exchange must be so organized and have the capacity to be able to enforce compliance by its members, and persons associated with its members, with the Exchange Act, the rules and regulations thereunder, and the rules of the exchange. See also
Section 15A(b)(2) of the Exchange Act. See, e.g.,
Securities Exchange Act Release Nos. 74690 (Apr. 9, 2015), 80 FR 20282 (Apr. 15, 2015) (proposed rule change from Nasdaq explaining that Nasdaq uses a real-time surveillance system that uses a ‘‘mirrored’’ version of Nasdaq’s ‘‘NMS feed,’’ which consumes the Nasdaq Protected Quote Service as well as certain proprietary market data feeds and SIP data); 74967 (May 15, 2015), 80 FR 29127 (May 20, 2015) (proposed rule change from Nasdaq PHLX (‘‘Phlx’’) stating that Phlx’s surveillance similarly relies on a mirrored version of Phlx’s NMS feed, which consumes the Phlx Protected Quote Service and certain proprietary market data feeds and SIP data). See also Nasdaq Rule 4759(a) and Nasdaq PSX Rule 3304(a) for a list of the proprietary quotation feeds and SIP feeds used by the respective exchanges for the handling, routing, and execution of orders, as well as for regulatory compliance functions related to those functions. 772The Commission has modified the definition of self-aggregator so that SROs would be permitted to be self-aggregators. 773See Rule 614(d); see also infra Section III.C.8. 774The information to be published by competing consolidators is based upon information that is currently produced by the CTA/CQ SIP and the Nasdaq UTP SIP, either for public or internal distribution. The exclusive SIPs currently publish to their respective websites monthly processor metrics that provide the following information:
System availability, message rate and capacity Continued their benefits to investors.760 One commenter said that the proposed decentralized consolidation model and the proposed changes to consolidated market data ‘‘could introduce significant additional costs, confusion and complexity into an already complex system for equity market data, and raises a number of questions and issues.’’ 761 The markets currently have a decentralized model of data dissemination with regard to the exchange proprietary data feeds. This decentralized model operates alongside the current centralized consolidation model, and market participants must navigate the different data offerings, connectivity options, and fees. Therefore, the Commission does not believe that a decentralized consolidation model would necessarily increase complexity. Rather, the Commission believes that the decentralized consolidation model may lessen some of the complexities that exist today by eliminating the need to purchase both SIP data and proprietary data for some market participants. Additionally, because the Commission expects that there will be multiple competing consolidators providing consolidated market data products to market participants, rather than one exclusive SIP—the single point of failure that exists in the current model— the Commission believes that the decentralized consolidation model will enhance, rather than harm, the resiliency of the national market system.762 If one competing consolidator ceases operations, its impact on the markets should be minimized due to the presence of other competing consolidators that can perform the same functions 763 and the ability of new entrants to serve as competing consolidators.
8. Comments on Surveillance and
Regulation in the Decentralized Consolidation Model Several commenters expressed concern about the proposed decentralized consolidation model’s impact on regulation.764 Some commenters stated that the proposed model would present regulatory risks.765 Additionally, commenters asked questions related to the proposed model’s regulatory impact.766 One commenter stated that the proposal overlooked the effect of the proposed decentralized consolidation model on market surveillance and enforcement.767 The commenter also said that the proposal would limit exchange market data revenue because revenues would be based upon ‘‘some unspecified measure of cost,’’ which would impact exchanges’ abilities to perform their self-regulatory functions,768 while also increasing the cost of regulatory compliance.769 Another commenter, representatives from two exchanges, stated that the proposal leaves unclear whether SROs will be required to purchase all of the consolidated market data feeds of competing consolidators and self￾aggregators for surveillance purposes, or if SROs can use a limited number of such feeds instead.770 The Commission does not believe that the decentralized consolidation model raises unique regulatory risks, undermines effective SRO surveillance, or imposes burdens on broker-dealers. The U.S. equity markets and the regulatory programs that have been developed to oversee their operation already have experience handling multiple sets of data due to the existence of the exclusive SIPs’ feeds and proprietary data feeds. Market participants currently can utilize many data options for different purposes, and the SROs are able to develop surveillance programs to oversee their members. Further, in the current model with both SIP data and proprietary data, the SROs develop their surveillance systems based on the data sets they believe best allow them to perform their regulatory obligations.771 Broker-dealers using different data sets than those used by their SROs already have to respond to SRO surveillance requests based on the different data used by the SROs. This process will not change in the decentralized consolidation model. Surveillance and regulatory programs that utilize SIP data may have to be updated to utilize a new data source, either from a competing consolidator or based on self-aggregation by the SRO.772 SROs will not be required to purchase every consolidated feed from all competing consolidators to conduct enforcement or surveillance, just as they are not required today to purchase all consolidated (synthetic NBBO) data products provided by each of the different market data vendors aggregating proprietary feeds. Furthermore, all competing consolidators will register with the Commission and become regulated entities (if not already SROs) subject to Rule 614 of Regulation NMS and Commission oversight. As required by Rule 614, competing consolidators will provide information about their operations through a public Form CC, as well as monthly
reports on their performance and other metrics relevant to potential subscribers, such as latency, system up-time, and system issues.773 Like many of the disclosures made by the exclusive SIPs,774 the information

statistics, and the following latency statistics from the point of receipt by the SIP to dissemination from the SIP: Average latency and 10th, 90th and 99th percentile latency. See CTA Metrics, available at https://www.ctaplan.com/metrics (last accessed Nov. 27, 2020); UTP Metrics, available at http:// www.utpplan.com/metrics (last accessed Nov. 27, 2020). Additionally, the exclusive SIPs post on their websites any system alerts and the Nasdaq UTP Plan posts vendor alerts as well. See CTA Alerts, available at https://www.ctaplan.com/alerts (last accessed Nov. 27, 2020); UTP–SIP System Alerts, available at http://www.utpplan.com/system_alerts (last accessed Nov. 27, 2020); UTP Vendor Alerts, available at http://www.utpplan.com/vendor_alerts (last accessed Nov. 27, 2020). Further, the exclusive SIPs publish on their websites charts detailing realized latency from the inception of a Participant matching engine event through the point of dissemination from the exclusive SIP. See CTA Latency Charts, available at https:// www.ctaplan.com/latency-charts (last accessed Nov. 27, 2020); UTP Realized Latency Charting, available at http://www.utpplan.com/latency_ charts (last accessed Nov. 27, 2020). 775Because this information is useful to current users of the exclusive SIPs and participants of the Equity Data Plans, the Commission believes that it should be made publicly available by competing consolidators. 776See Nasdaq Letter IV at 37; see also NYSE Letter II at 22. 777See Nasdaq Letter IV at 35; see also NYSE Letter II at 22. 778See infra Section III.E.2. The Commission discusses the potential economic effects of the proposal on exchange proprietary market data revenue in Section V.C.4(a). See infra Section V.C.4(a); see also infra text accompanying notes 2468–2469. 779 Kubitz Letter at 1. 780Under Rule 600(b)(16) of Regulation NMS, a competing consolidator is defined as a SIP. See infra Section III.C.1(b). 781See infra Section III.C.8. 782See Citadel Letter at 5; FINRA Letter at 4–5, 6. 783See Citadel Letter at 5. 784See also infra Section III.C.7(a)(iv); Brief of the Securities and Exchange Commission, Amicus Curiae, No. 15–3057, City of Providence v. Bats Global Markets, Inc. (2d Cir.), at 21, 22. Courts have found that SROs are entitled to absolute immunity from private claims under certain circumstances. In particular, ‘‘when acting in its capacity as a SRO, [the SRO] is entitled to immunity from suit when it engages in conduct consistent with the quasi￾governmental powers delegated to it pursuant to the Exchange Act and the regulations and rules promulgated thereunder.’’ See DL Capital Group, LLC v. NASDAQ Stock Market, Inc., 409 F. 3d 93, 97 (2d Cir. 2005) (quoting D’Alessio v. New York Stock Exchange, Inc., 258 F. 3d 93, 106 (2d Cir. 2001)). If an SRO fails to comply with the provisions of the Exchange Act, the rules or regulations thereunder, or its own rules, the Commission is authorized to take action. See 15 U.S.C. 78s(g). 785See Proposing
Release, 85 FR at 16769. 786See id. 787See id. 788 17 CFR 242.603(b). required pursuant to Rule 614(d) will be publicly available.775 Competitive forces also will incentivize competing consolidators to operate reliably and with low latency, and in conjunction with Commission oversight, the application of Regulation SCI and the required disclosures and transparency provided by Rule 614, should help to ensure high performance and system integrity. In response to the comment that stated the proposal would limit exchange market data revenue, hurting exchanges’ abilities to perform their self-regulatory functions 776 and increasing the cost of regulatory compliance,777 the Commission notes that SROs will develop fees for the data content underlying consolidated market data via the effective national market system plan(s), and the SROs will receive their revenue allocation for their data, as they do today.778 One commenter suggested having an ‘‘authority or agency’’ evaluate whether the proposed decentralized consolidation model could be gamed, arbitraged, or fraudulently used in a way to interfere with retail investors’ access to market data and execution of trades.779 The Commission believes that the adopted rules, as well as the oversight of SROs, competing consolidators, and self-aggregators should help to ensure that retail investors’ access to consolidated market data would not be impacted by the decentralized consolidation model. Specifically, Rule 603(b) requires the SROs to provide their information to competing consolidators, which would be responsible for disseminating consolidated market data products to their subscribers, which would likely include broker-dealers that have retail customers. Among other requirements, Rule 603(c) would continue to apply; therefore, broker-dealers and SIPs 780 must continue to provide a consolidated display of information in the context in which a trading decision can be implemented. Further, Rule 614(d)(3) requires competing consolidators to make available consolidated market data products to subscribers on terms that are not unreasonably discriminatory.781 Competing consolidators will also be subject to the requirements of Rule 614(d), which, among other things, mandate the filing of a public Form CC to provide operational transparency, as well as the public monthly disclosure of metrics and other information concerning performance and operations. These requirements should allow subscribers of a competing consolidator to verify that consolidated market data products are provided in a prompt, accurate, and reliable manner and thus motivate competing consolidators to continue to provide consolidated market data products accordingly. Commenters also raised questions related to the proposed decentralized consolidation model’s regulatory impact.782 One commenter asked whether there would be any regulatory immunity differences between competing consolidator offerings from SROs and non-SROs.783 SRO immunity
considerations would depend on the particular facts and circumstances.784
9. Access to Data: Rule 603(b)
(a) Proposal
Rule 603(b) of Regulation NMS currently requires a centralized consolidation model. The Commission proposed to amend Rule 603(b) to require each SRO to provide its NMS information, including all data necessary to generate consolidated market data, to all competing consolidators and self-aggregators in the same manner and using the same methods, including all methods of access and data formats, as such SRO makes available any information to any other person. Under the proposed approach, competing consolidators and self-aggregators would collect each SRO’s market data that is necessary to generate consolidated market data.785 As proposed, the same access options available to proprietary feeds, including, but not limited to, transmission medium (i.e., fiber optics or wireless), multicast communication, co-location options, physical port, logical port, bandwidth, and FPGA services, would be required to be made available for proposed consolidated market data feeds. Further, any enhancements to proprietary feed methods of access would similarly be made to consolidated market feeds.786 In the Proposing Release, the Commission stated that the exchanges could utilize their existing proprietary data product offerings that contain consolidated market data elements or the exchanges could develop new consolidated market data offerings for purposes of making information available under Rule 603(b). Competing consolidators and self-aggregators could choose to purchase products that include only the proposed consolidated market data elements or products that contain elements of both proposed consolidated market data and other proprietary data.787 The Commission also proposed to remove the requirement in Rule 603(b) that ‘‘all consolidated information for an individual NMS stock [be disseminated] through a single plan processor’’ 788 because it would be inconsistent with the proposed decentralized consolidation model. In a decentralized consolidation model, multiple competing consolidators would

789Proposing Release, 85 FR at 16771. 790 15 U.S.C. 78s(b) and 17 CFR 240.19b–4. See id. at 16769. 791See id. 792 17 CFR 242.608. 793See also infra Section III.C.8(a). 794For example, competing consolidators and self-aggregators will collect quotation information that is necessary to calculate the NBBO as described in Rule 600(b)(50). 795Competing consolidators and self-aggregators would be permitted to choose among the data feed options offered by the SROs to satisfy their obligations under Rule 603(b) to collect the SRO information that is necessary to generate consolidated market data. See also Section III.E.2(g) for a discussion of the licensing, billing and audit process. The effective national market systems plans through their licensing, billing and audit processes can determine the extent to which data content utilized by competing consolidators and self-aggregators constituted elements of consolidated market data. 796See infra Section III.B.9(f). 797Fees for proprietary data are filed with the Commission pursuant to Section 19(b) of the Exchange Act and Rule 19b–4 thereunder. 798Fees for the data content underlying consolidated market data will be filed with the Commission pursuant to Rule 608 of Regulation NMS, 17 CFR 242.608. 799See McKay Letter; SIFMA Letter. See also Clearpool Letter at 7 (supporting the proposed language of Rule 603(b)). 800SIFMA Letter at 11. See also McKay Letter at 4 (stating that the proposed language of Rule 603(b) would prevent an exchange from creating a proprietary data feed that would not be sufficient to create consolidated market data but which has a latency or other access advantage associated with it). 801See SIFMA Letter at 11. 802See Fidelity Letter at 10. 803BestEx Research Letter at 5. 804See MEMX Letter at 9. disseminate consolidated market data in individual NMS stocks rather than single plan processors.789 In the proposal, the Commission stated that the proposed decentralized consolidation model and the proposed consolidated market data definition would not preclude the exchanges from continuing to sell proprietary data and that the fees for proprietary data, which are outside of the proposed definition of consolidated market data, would be subject to the rule filing process pursuant to Section 19(b) of the Exchange Act and Rule 19b–4.790 The Commission stated that if an exchange provided its proprietary data products to a competing consolidator or self￾aggregator and a competing consolidator or self-aggregator developed a product, or otherwise used data, that exceeded the scope of proposed consolidated market data (e.g., full depth of book data), the competing consolidator or self-aggregator would be charged separately for the proprietary data use pursuant to the individual exchange fee schedules.791 Self-aggregators and competing consolidators that limited their use of exchange data to proposed consolidated market data elements would be charged only for proposed consolidated market data
pursuant to the effective national market system plan(s) fee schedules, in accordance with Rule 608 of Regulation NMS.792 (b) Final Rule and Response to Comments The Commission is adopting the amendments to Rule 603(b) as proposed. The Commission believes that these changes to Rule 603(b) are appropriate to establish the decentralized consolidation model. Under Rule 603(b), the SROs are required to make available all quotation and transaction information that is necessary to generate consolidated market data in the same manner and using the same methods, including all methods of access and the same format, as such SRO makes available any information with respect to quotations for and transactions in NMS stocks to any person. Competing consolidators and self-aggregators will be able to collect from the SROs that NMS information that is necessary to generate consolidated market data as defined in Rule 600(b)(19),793 which includes core data,794 regulatory data, administrative data, and self-regulatory organization-specific program data. Under Rule 603(b), the SROs are allowed to provide their core data to competing consolidators and self￾aggregators via the existing proprietary data feeds, a combination of proprietary data feeds, or a newly developed consolidated market data feed.795 However, if an SRO developed a dedicated consolidated market data feed, the SRO will have to take steps to ensure that any proprietary data feed is not made available on a more timely basis (i.e., by any time increment that could be measured by the SRO) than a consolidated market data feed.796 Rule 603(a) also applies to the provision of data content underlying consolidated market data by the SROs to competing consolidators. The Commission believes that under Rule 603(a), if an SRO developed a consolidated market data feed, it would likely have to throttle any order-by-order proprietary data feed so that it is not made available on a more timely basis than such dedicated consolidated market data feed. Any dedicated consolidated market data feed developed by an exchange would likely involve processing by an exchange to segment its consolidated market data elements, which adds latency to data dissemination, while an order-by-order proprietary data feed would involve no less processing by the exchange. Further, the SROs are allowed to offer different access options (e.g., with different latencies, throughput capacities, and data-feed protocols) to market data customers, as long as any access options available to proprietary data customers are made available to competing consolidators and self￾aggregators for their selection for the collection of the data necessary to generate consolidated market data. In addition, if an SRO provided its proprietary data products to competing consolidators or self-aggregators for purposes of Rule 603(b) and a competing consolidator or self￾aggregator developed a product, or otherwise used data content that is beyond the scope of
consolidated market data (e.g., full depth of book data), the proprietary data content will be subject to the individual exchange fees for proprietary data,797 while the data content underlying consolidated market data will be subject to the fees established pursuant to the effective national market system plan(s).798 The Commission received several comments on its proposed amendments to Rule 603(b). Some commenters stated that the changes to Rule 603(b) were key to the success of the proposal.799 One commenter stated that the proposed changes to Rule 603(b) ‘‘should help to ensure that proprietary feeds, competing consolidators and self-aggregators operate on a more level playing field with regards to the speed that market participants can obtain market data and access.’’ 800 The commenter continued that the proposal would create a true alternative to subscribing to and paying for each individual exchange’s proprietary feed.801 Another commenter stated that the requirement to make data available to competing consolidators in the same manner as the exchanges make it available to any other person would address latency issues that exist in core data.802 One commenter suggested that the exchanges provide content that is similar to what they provide on their direct feeds, stating that all data can be useful for ‘‘execution algorithms’ quantitative trading decisions.’’ 803 Another commenter suggested that the exchanges should provide a single data feed—their proprietary DOB feed—to satisfy the requirements of the proposed rules, simplify data distribution, and ease Rule 603(a) burdens.804 The Commission has set forth minimum data content underlying consolidated market data that must be made available by the SROs under Rule 603(b). The Commission has identified these elements as necessary for a wide array of trading in the national market system.

805See supra note 795 and accompanying text. 806See Proposing Release, 85 FR at 16770. 807 Data Boiler Letter II at 1. 808 Id. at 1. 809See infra Section III.B.9(f). 810See IDS Letter I at 11. 811See Proposing Release, 85 FR at 16770. 812See Kubitz Letter. 813McKay Letter at 3. See also Temple University Letter at 2 (stating that ‘‘intermediaries’’ including exchanges and SIPs should not ‘‘unfairly discriminate or privilege certain market participants to the detriment of others in terms of data access, execution and other market data operations’’ and that such intermediaries should act ‘‘independently and neutrally towards market participants to ensure the competitive integrity of the marketplace’’). 814See McKay Letter at 3. 815 Id. 816See NovaSparks Letter at 1–2. Because the Commission recognizes that some market participants may need more information than what is defined as consolidated market data, SROs can provide additional information to these customers via proprietary feeds. Further, as discussed above, the SROs can satisfy their obligations under Rule 603(b) by utilizing their proprietary data feeds, a combination of proprietary data feeds, or a newly developed core data feed that contains all of the data content underlying consolidated market data.805 Rule 603(b) does not specify a required method of delivery of the data content underlying consolidated market data but requires that such data be provided in the same manner and using the same methods of access and the same format,806 as the SROs use to make any NMS information available in NMS stocks to any person. One commenter, however, stated, without further explanation, that the ‘‘same manner and methods’’ language was ‘‘merely a standard price list offered by the exchange.’’ 807 The commenter further stated that the ‘‘same format’’ language would hurt average investors and give high frequency trading firms an advantage and asserted that ‘‘[o]ne can only attempt to match faster connectivity by altering data format and compression methods.’’ 808 To the extent that the commenter is suggesting that investors who obtain consolidated market data products from a competing consolidator may be at a disadvantage to self-aggregators because of the latency advantage of self-aggregators, the Commission believes, as discussed in
Section IV.D.2(d), that the self￾aggregators will not necessarily have a
systematic latency advantage over competing consolidators. If the commenter is suggesting that SROs provide data in a different format to compensate for faster connectivity, Rule 603(b) requires the SROs to make the data content underlying consolidated market data available to competing consolidators and self-aggregators in the same manner and methods, including all methods of access and the same format, as proprietary data. Further, Rule 603(a) prohibits an SRO from making NMS information available to any person on a more timely basis (i.e., by any time increment that could be measured by the SRO) than it makes such data available to competing consolidators and self-aggregators.809 Another commenter stated that the proposed language in Rule 603(b) did not consider that an exchange’s connectivity options may not have the capacity to be provided to all competing consolidators and self-aggregators in the same manner and using the same methods.810 The commenter stated that the proposal did not address the possible impact on wireless connectivity or how customers would be affected if the SROs ceased to offer wireless connectivity. The commenter did not expand upon how the decentralized consolidation model would burden capacity beyond what occurs today in the provision of proprietary data using the same connectivity options. The exchanges assess capacity needs for their proprietary data products and will be able to assess such needs for the connectivity options for the data content underlying consolidated market data. Each individual SRO will be required to provide the data underlying consolidated market data to competing consolidators and self-aggregators in the same manner and using the same methods as is provided for proprietary data. The exchanges can utilize their proprietary data feeds to make the data content underlying consolidated market data available to competing consolidators and self-aggregators and will be able to offer any access options available to proprietary data feeds to competing consolidators and self￾aggregators for their selection. (c) Comments on Access Options In the Proposing Release, the Commission stated that the exchanges could provide different access options (e.g., with different latencies, throughput capacities, and data feed protocols) to market data customers, but any access options available to proprietary data customers must also be available to competing consolidators and self-aggregators. As proposed, Rule 603(b) would require exchanges to provide all forms of access used for proprietary data to all competing consolidators and self-aggregators for the collection of the data necessary to generate proposed consolidated market data.811 Further, an exchange must offer the same form of access, such as fiber optics, wireless, or other forms, in the same manner and using the same methods, including all methods of access and the same format, as the exchange offers for its proprietary data. For instance, if an exchange
has more than one form of transmission for its proprietary data, then the exchange must offer the competing consolidators and self-aggregators those types of transmission for consolidated market data. As discussed, the rule will not require an exchange to offer new forms of access, but if an exchange did offer any new forms of access for proprietary data, it will have to offer them for consolidated market data as well. One commenter stated that all forms of data submission must assure full and equal, transparent, and equally timed access to data.812 Another commenter stated that the most important component for the success of the competing consolidator model is ‘‘to ensure that all market participants have the opportunity for equal access within the facilities of an exchange for purposes of receiving market data from the exchange, transmitting that market data out of the exchange and receiving and distributing market data from another exchange (e.g., to receive and deliver an away exchange’s market data.’’ 813 This commenter further stated that exchanges should not favor certain market participants over others and that equal access must cover both egress and ingress within exchange data centers.814 Further, the commenter stated that the economic incentive to become a competing consolidator may not be sufficient without such equal access.815 Another commenter cautioned that allowing an exchange to develop a new market data product that contains only the data elements that are specified in the proposed definition of consolidated market data could be problematic because (1) competing consolidators likely will have feed handlers for publicly available feeds, which would impose additional burdens; and (2) there would be no incentive for exchanges to keep the latency of these special feeds similar to that of public feeds.816 The Commission believes that the SROs should be required to provide the information necessary to generate consolidated market data in the same manner and using the same methods, including all methods of access and the same format as they provide to any person. Different forms of access affect

817See also infra Section III.B.9(f). 818See McKay Letter at 6. 819See id. at 7. The commenter suggested that ‘‘indirect control’’ means the use of the exchange or its affiliate’s influence, weight or pressure to create an advantage or disadvantage in exchange connectivity to select market participants. Further, the commenter described several different forms of direct or indirect control, including ‘‘requiring market participants to connect to a meet me room, specifying the types of cross connects that may be used, restricting the use of certain frequencies to certain market participants, through the use of one or more affiliates or select third parties to create advantages, or pursuant to formal and informal arrangements with the data center operator.’’ Id. at 8–9. 820See id. at 10. 821See Proposing Release, 85 FR at 16771. For example, exchanges could adopt equal cable length protocols (i.e., where cross-connect cable lengths from network equipment to customer cabinets are harmonized for equal access) and ports of the same bandwidth (i.e., 1G, 10G, and 40G) to ensure that all of the exchange’s data center connections provide market data simultaneously to market participants located within a data center. the delivery of data. If an exchange provided a superior form of access to its proprietary data products, then transmission of consolidated market data would be negatively impacted and the benefits of the decentralized consolidation model, such as lower latencies, would not be realized. The national market system would be affected by this disparity as it is today— with certain proprietary data products providing superior access as compared to consolidated market data products. As stated in the Proposing Release, different market participants have different access needs. The Commission is not mandating a specific access option or limiting options for market participants, but all access options, including co-location, must be available to all market participants whether they are purchasing the data content underlying consolidated market data or proprietary data. The access requirement under Rule 603(b) requires the exchanges to provide their NMS information, including all data necessary to generate consolidated market data, at one data dissemination location co-located near each exchange’s matching engine. The requirement in Rule 603(b) that access be provided in the same manner as any other information is provided to any person encompasses co-location options that are provided by exchanges to market participants that purchase proprietary data. Proprietary data users are typically co-located near an exchange’s matching engine. Rule 603(b) will allow competing consolidators and self￾aggregators to receive data at the same speeds, and with the same access options, as the exchange offers its market data.817 Different co-location options within a data center could raise concerns about whether that exchange is providing the same manner of access to
its data as required under Rule 603(b). Further, the exchanges would not be permitted to provide their NMS information necessary to generate consolidated market data in a faster manner to any affiliate exchange, a subsidiary, or other affiliate that operates as a competing consolidator or a subsidiary or affiliate that competes in the provision of proprietary data. (d) Comments on Latency Neutralization In the Proposing Release, the Commission stated that proposed Rule 603(b) would require that all access options be provided in a latency￾neutralized manner such that all participants within an exchange’s data center—such as proprietary data subscribers, competing consolidators, and self-aggregators—would receive information at the same time, regardless of their location or status within the data center. The Commission continued that exchanges could, for example, adopt equal cable length protocols (i.e., where cable lengths from network equipment to customer cabinets are harmonized for equal access) to ensure that all of the exchange’s data center connections provide market data simultaneously. Finally, the Commission stated that the SROs must use the same latency-neutralization processes for competing consolidators and self-aggregators as they offer subscribers of proprietary data. One commenter stated that to provide a level playing field ‘‘latency￾neutralized’’ access must apply to locally produced data (i.e., data produced within an exchange’s data center where a market participant is co￾located) and that the exchange must not interfere in the competition to provide inbound market data from exchanges located in other market centers.818 This commenter provided a detailed discussion of five steps of data access and delivery that it believed should be subject to latency neutralization requirements under Rule 603(b) if an exchange or its affiliate exercises direct control or indirect control.819 Specifically, the commenter stated that latency neutralization should apply to (1) the initial distribution from an exchange’s market data distribution engine to the cabinets of a competing consolidator, self-aggregator, or other direct recipient of market data; (2) the distribution from a competing consolidator’s cabinet out of an exchange’s data center to equipment (e.g., wireless or fiber equipment) for distribution to subscribers (described as the ‘‘egress leg’’); (3) the receipt of market data from an away exchange for delivery to co-located customers in the exchange’s data center (described as the ‘‘ingress leg’’); (4) the delivery of data from a competing consolidator’s cabinet of market data received from away markets to the competing consolidator’s subscribers that are located in the same data center (described as the ‘‘delivery to subscriber leg’’); and (5) the transmission of data from an exchange data center to be received at other exchange data centers and/or for distribution to non-co-located market participants (described as the ‘‘transit
leg’’). This commenter stated that these considerations are important to determining when and where competition begins in providing consolidated market data and that it believes that competition should begin when market data leaves those areas over which an exchange or its affiliates exercise direct or indirect control.820 Rule 603(b) requires that the exchanges provide their NMS information, including all data necessary to generate consolidated market data, in the same manner and using the same methods as such exchange provides any information to any person. As discussed above, this language encompasses the provision of data by an exchange at one data dissemination location co-located near each exchange’s matching engine to allow competing consolidators and self￾aggregators to receive data at that location at the same speeds, and with the same access options, as the exchange offers its market data. The SROs are required to use the same latency-neutralization processes for competing consolidators and self￾aggregators as they offer to subscribers of proprietary data such that all participants within the exchange’s data center, regardless of their location or status within the data center, would receive the data at the same time.821 In the Proposing Release, the Commission described latency neutralization protocols that exchanges could adopt, such as equal cable length protocols where cable lengths from network equipment to customer cabinets are harmonized for equal access. Any differential treatment of competing consolidators in the transmission of consolidated market data within a data center controlled by an exchange must be filed with the Commission as a proposed rule change pursuant to
Section 19(b) of the Exchange Act and
Rule 19b–4 thereunder and satisfy statutory requirements, such as not

822Section 6(b)(5) of the Exchange Act, 15 U.S.C. 78f(b)(5). 823Section 6(b)(8) of the Exchange Act, 15 U.S.C. 78f(b)(8). 824See FINRA Letter at 4. 825See id. 826Connectivity to the data underlying consolidated market data would be a new data service because such service does not currently exist. The SROs will have to file with the Commission any proposed new fees for connectivity to their individual data that underlies consolidated market data pursuant to Section 19(b) of the Exchange Act and Rule 19b–4 thereunder, and any proposed connectivity fee must satisfy the statutory standards, including being fair and reasonable, being not unreasonably discriminatory, and reflecting an equitable allocation of reasonable fees. See Sections 6(b)(4) and 15A(b)(5) of the Exchange Act. See also infra note 1158 and accompanying text and Section III.E.2(c). 827See Rule 603(a)(2) of Regulation NMS, 17 CFR 242.603(a)(2). 828See Regulation NMS Adopting Release, supra note 7, at 37569. Specifically, the Commission stated, ‘‘Rule 603(a)(2) requires that any SRO, broker, or dealer that distributes market information must do so on terms that are not unreasonably discriminatory. These requirements prohibit, for example, a market from making its ‘core data’ (i.e., data that it is required to provide to a Network processor) available to vendors on a more timely basis than it makes available the core data to a Network processor.’’ Id. 829 Id. at 37567. 830For example, latency is currently measured for SIP data in microsecond increments. See CTA Key Operating Metrics of Tape A&B U.S. Equities Securities Information Processor (CTA SIP), available at https://www.ctaplan.com/publicdocs/ ctaplan/CTAPLAN_Processor_Metrics_3Q2020.pdf (last accessed Nov. 27, 2020). 831The NBBO will reflect the new round lot sizes. See supra Section II.D.2. 832See TD Ameritrade Letter at 12 (‘‘In the present-day structure, SIPs provide a ‘gold copy’ standard of the NBBO which can be used for comparison when meeting the regulatory requirements of best execution and the Vendor Display Rule . . . The industry may have as many NBBO quotes as there are [competing consolidators] and self-aggregators.’’); Healthy Markets Letter I at 4 (‘‘We have significant concerns that by creating multiple, alternative SIPs, that market participants may cherry-pick the data feed that costs them the least or makes them look the best.’’); Nasdaq Letter IV at 12; Fidelity Letter at 10–11. 833See TD Ameritrade Letter at 12–13 (‘‘Furthermore, even if proprietary feeds disseminate a different quote than the NBBO, such quote has never been permitted for purposes of use in the Vendor Display Rule, meaning the retail investor has not previously experienced a multiple NBBO environment.’’). See also Fidelity Letter at 10–11 (‘‘Under the Proposal, retail customers placing orders in the same security at two different brokerage firms may receive two different prices depending upon which competing consolidator each firm uses.’’).
This scenario could happen today. The Commission does not believe the decentralized consolidation model will introduce confusion for retail investors. Retail investors will continue to be able to see the NBBO provided by their broker-dealer, whether it is calculated by their broker-dealer or a competing consolidator. 834See TD Ameritrade Letter at 13. 835See id. The commenter further questioned whether regulators would grant relief when being designed to permit unfair discrimination 822 nor impose a burden on competition.823 (e) Comments on SRO Costs One commenter, FINRA, stated that the ADF would be required to connect and provide data to all competing consolidators and self-aggregators.824 FINRA said that it potentially could incur significant costs to establish and maintain this required connectivity, despite minimal fee revenue from data disseminated from the ADF given the low volume of regularly reported trades and lack of quoting participants.825 FINRA stated in its comment letter that the ADF has a low volume of over-the￾counter (‘‘OTC’’) trades and no quotes. Therefore, the connectivity options would not need to support much data capacity, which should limit the amount of costs incurred by FINRA to establish such connectivity. However, FINRA could seek to recoup any costs associated with establishing and maintaining connectivity to competing consolidators and self-aggregators by proposing connectivity fees pursuant to
Section 19(b) of the Exchange Act.826
Information about OTC quotations and trades in NMS stocks are an important component of SIP data today and will continue to be important in consolidated market data. This OTC information must be collected, consolidated, and disseminated in the decentralized consolidation model. (f) Interpretation of Rule 603(a) Currently, Rule 603(a) requires that SROs distribute NMS information on terms that are fair and reasonable and not unreasonably discriminatory.827 The Commission stated in the Regulation NMS Adopting Release that Rule 603(a) would prohibit an SRO from making its core data available to vendors on a more timely basis than it makes such data available to the exclusive SIPs.828 In particular, the Commission said that ‘‘independently 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 data to a Network processor.’’ 829 Today, latency differentials of any measurable amount are meaningful for certain market participants and their trading strategies. The Commission believes that Rule 603(a) prohibits an SRO from making NMS information available to any person on a more timely basis (i.e., by any time increment that could be measured by the SRO 830) than it makes such data available to the existing exclusive SIPs and as amended, competing consolidators and self￾aggregators. When it adopted Regulation NMS, the Commission did not provide a de minimis exception to the timeliness of data availability in Rule 603(a). If an SRO can measure the timeliness of data transmission in a specific increment, such increment generally should be utilized for determining whether such data has been transmitted on a more timely basis to persons other than an existing exclusive SIP, competing consolidators, or self-aggregators.
10. Calculation of the National Best Bid
and National Best Offer Under Rule 600(b)(50) (a) Proposal The Commission proposed to amend the definition of national best bid and national best offer to reflect that competing consolidators and self￾aggregators, rather than the exclusive SIPs, would be calculating the NBBO in the proposed decentralized consolidation model. In addition, to accommodate this proposed decentralized consolidation model, the Commission proposed to bifurcate the NBBO definition between NMS stocks and other NMS securities (i.e., listed options) to reflect that the proposed decentralized consolidation would apply only with regard to NMS stocks, and therefore the plan processor for options would continue to be responsible for calculating and disseminating the NBBO in listed options. The proposed changes to the definition of NBBO would not impact the manner in which the NBBO is calculated for NMS stocks.831 (b) Comments on Complexity and Confusion Resulting From Multiple NBBOs The Commission received multiple comments with respect to the proposed definition of NBBO, with commenters expressing concerns about multiple NBBOs and the impact on market participants and investors. Commenters stated that confusion could result from multiple NBBOs being available to market participants.832 One commenter stated that retail investors do not have experience with multiple NBBOs.833 The commenter further noted that multiple NBBOs would make broker￾dealers’ Rule 605 reports difficult to compare because broker-dealers could be using different NBBOs.834 The commenter questioned whether a broker-dealer would be responsible for execution quality and compliance with the Vendor Display Rule if the competing consolidator that the broker￾dealer is using miscalculates the NBBO.835

reviewing execution quality on an order by order basis, when different competing consolidators are calculating NBBOs differently. 836See Nasdaq Letter IV at 7 (‘‘Shedding the single NBBO—which has long been investors’ ‘North Star’ for price discovery—in favor of multiple NBBOs would further complicate market structure, confuse investors as to whether they are actually seeing the best price, and hinder market surveillance and enforcement efforts.’’). 837See FINRA Letter at 6. 838See id. at 3–4. 839See Healthy Markets Letter I at 4. 840See id. 841See Schwab Letter at 6; NYSE Letter II at 24; WFE Letter at 1. 842See Data Boiler Letter I at 3. The commenter did not describe how it thought multiple NBBOs would impact liquidity. As discussed, the current market operates with multiple NBBOs. The Commission believes that the NBBOs that will be calculated in the decentralized consolidation model better reflect current market conditions due to the improvements in latencies and therefore, will be more prompt, accurate, and reliable. The enhanced and faster consolidated market data resulting from the proposal should allow market participants access to more up-to-date market data (including NBBO data) than provided by the SIP, permitting them to more readily find liquidity than before. 843Nasdaq Letter III at 8. Many firms that aggregate proprietary feeds today likely have different aggregation times and are likely already exposed to latency arbitrage. It is unclear why the use of latency arbitrage would increase as a result of the proposal, especially since the existence of multiple NBBOs would not represent a change from current market practices. 844See Nasdaq Letter IV at 11. 845See id. at 3. 846See McKay Letter at 10–11 (‘‘. . . many market participants are colocated at one or more of the major exchange datacenters in New Jersey and receive their market data at such colocated points of presence. If a competing consolidator seeks to provide market participants with the fastest and most efficient consolidated market data possible, the result would be a slightly different NBBO at each exchange datacenter.’’). 847See also infra Section V.B.2(f). 848See, e.g., Nasdaq Letter IV at 3, 12–13; Clearpool Letter at 8 (‘‘[W]hile the proposal states that the existence of multiple NBBOs does not impact a broker’s best execution obligations, we believe that ‘‘fragmenting’’ the NBBO could lead to several problems around such obligations, which would need to be addressed and clarified by the Commission prior to implementation.’’); Healthy Markets Letter I at 4–5 (‘‘Could a market participant seek to deliberately subscribe to an inferior data feed? . . . We urge the Commission to establish objective standards, including policies, procedures, and documentation requirements for brokers regarding their selection and usage of competing data feeds.’’); FINRA Letter at 5 (‘‘[T]he Commission may also want to consider providing guidance on whether a broker-dealer would, or should,
be evaluated—by the Commission, FINRA, or others— on its decision of which competing consolidator(s) to receive consolidated market data from, what factors a broker-dealer should consider in evaluating its choice of a competing consolidator(s) (both initially and on an ongoing basis), and how a broker-dealer’s choice of a competing consolidator(s) might affect the broker-dealer’s best execution obligations.’’). Other commenters noted that a lack of a single NBBO as calculated by the existing SIPs could impact the market in a variety of ways, such as a lack of a single benchmark to determine trade quality; curtailing the Commission’s surveillance efforts; potentially creating a multi-tiered system where some traders can access faster NBBOs; 836 and adding significant complexity, confusion, and uncertainty to best execution analysis.837 One commenter said that it is unlikely the NBBOs produced by competing consolidators and their associated timestamps would ever be synchronized and that the NBBOs calculated by competing consolidators and self-aggregators will never align. The commenter said that the different versions of market data would impact broker-dealer compliance with market conduct rules.838 Another commenter noted that multiple NBBOs would make comparison of broker-dealer performance difficult, as broker-dealers may decide which NBBO to use depending on which NBBO costs the least or makes their execution quality look better.839 The commenter acknowledged that while there is no clear NBBO today, the exclusive SIPs do calculate and disseminate a NBBO.840 Commenters questioned how execution quality would be judged if each competing consolidator provided a different NBBO.841 Another commenter believed that multiple NBBOs will impact liquidity.842 One commenter said that latency arbitrage would be required to ‘‘keep markets in line,’’ estimating an increase of almost $3 billion in latency arbitrage profits as a result of the multiple NBBOs introduced by the proposal.843 This commenter said that multiple NBBOs would also reduce investor confidence that trades will be executed at the best price 844 and believed that multiple NBBOs would negatively impact market quality, complicate best execution compliance by broker-dealers, and overall hurt investor confidence in the markets.845 Another commenter requested clarity that a single competing consolidator could produce multiple NBBOs at different locations at any given point of time, since some competing consolidators may co-locate at more than one exchange data centers.846 In the decentralized consolidation model, competing consolidators will replace the exclusive SIPs in generating the NBBO as defined in Rule 600. Therefore, there will be NBBOs generated by each competing consolidator, as well as self-aggregators, based upon the data content received from the SROs pursuant to Rule 603(b). While commenters expressed concerns about the loss of an NBBO generated by a single plan processor—the
exclusive SIPs—the Commission believes that market participants will adjust to not having an NBBO generated by a single plan processor. ‘‘Multiple NBBOs’’ already exist today.847 Some market participants obtain the NBBO from the exclusive SIPs, and some market participants generate their own NBBO by aggregating multiple proprietary data feeds. Some market participants that generate their own NBBO use third party aggregation software or services to do so. The NBBO seen by market participants depends on the systems used to generate the NBBO and the systems used by the market participants to receive and view it. Market participants are therefore already accustomed to a market environment in which there are ‘‘multiple NBBOs’’ generated by different parties, at different speeds, in different locations. They are accustomed to performing best execution analysis and providing execution quality statistics in the current environment. Therefore, the Commission does not believe that the generation of NBBOs by multiple competing consolidators will add complexity or confusion to the markets. Moreover, neither the amended definition of NBBO, nor the decentralized consolidation model more generally, mandates the consumption of multiple NBBOs from multiple competing consolidators. So, while different competing consolidators may calculate and disseminate unique NBBOs or single competing consolidators may calculate different NBBOs at separate data center locations under the decentralized consolidation model, the Commission does not believe that this should cause confusion for market participants, who already consider market data from multiple sources. Finally, the amended definition of NBBO does not change the methodology by which the NBBO for a particular NMS stock is calculated, which will help to ensure consistency in the NBBO calculation. The Commission is therefore adopting the amendments to the definition of NBBO as proposed. (c) Comments on Impact of Multiple NBBOs on Best Execution Obligations With respect to best execution, commenters stated that the Commission did not sufficiently discuss the best execution implications of multiple NBBOs.848 Commenters stated that eliminating the single NBBO, and requiring broker-dealers to choose among multiple NBBOs, would complicate and increase the cost of compliance with best execution

849See Nasdaq Letter IV at 3, 42, 49; Joint CRO Letter at 2; STANY Letter II at 6; TD Ameritrade Letter at 12–13. 850Clearpool Letter at 8; see also Capital Group Letter at 4 (‘‘We also support the proposed commercial competing consolidators. Different users have different needs with regards to data complexity (e.g., what data elements are included or excluded), latency and price. We do not see this as the creation of ‘multiple truths’ or ‘multiple markets.’ Because the data will also be available for post trade analysis, market participants will be able to analyze outcomes using the difference between the originating venue timestamps and the consolidator timestamps to determine if best execution obligations were fulfilled and if the speed they chose to pay for meets their needs.’’). 851See Better Markets Letter at 2. 852See supra Section I.E. 853See supra Section III.B.8. 854See Joint CRO Letter at 2, 3; Nasdaq Letter IV at 12; NYSE Letter II at 24; see also TechNet Letter II at 2 (stating that multiple NBBOs would undermine effective regulation and investor confidence). 855See Joint CRO Letter at 2, 3, 4; Nasdaq Letter IV at 3, 12, 36, 49. 856See Joint CRO Letter at 2, 4. 857See id. at 3. 858See id. at 4. The commenter stated that reprogramming its systems to comply with and surveil for compliance with the locked and crossed and order protection rules would be an ‘‘extensive undertaking.’’ Id. See also Nasdaq Letter IV at 12, 36, 49. 859See Joint CRO Letter at 3. 860See id. at 2, 3. 861See Nasdaq Letter IV at 12, 37. See also Joint CRO Letter at 4. 862See Nasdaq Letter IV at 12. 863See id. The commenter also stated that the proposal would lead to confusion and inconsistent application if adopted. See id. at 12–13. 864See id. at 37. 865See NYSE Letter II at 24. 866See supra Section III.B.8. 867See infra Section V.C.2(d); notes 1757–1760 and accompanying text. obligations.849 However, another commenter stated that it ‘‘does not believe the existence of multiple NBBOs will create problems for market participants or the market as a whole at a level that would warrant not moving forward with the decentralized, competitive model. . . .’’ 850 Additionally, one commenter stated that expanding core data generally would facilitate best execution.851 As described above, ‘‘multiple NBBOs’’ already exist today. The amended definition of NBBO will not significantly alter this state of affairs; rather, it adjusts the definition of NBBO to accommodate the decentralized consolidation model to reflect that NBBOs will be calculated and disseminated by competing consolidators and calculated by self￾aggregators. As is the case today, broker￾dealers must act reasonably to obtain pricing information in carrying out their duty to seek to obtain the most favorable terms reasonably available under the circumstances for the execution of customer orders.852 (d) Comments on Impact of Multiple NBBOs on Surveillance and Enforcement While some commenters expressed concern
about the proposed decentralized consolidation model’s impact on regulation,853 several commenters more specifically opined that the multiple NBBOs resulting from the proposed model would undermine exchange surveillance and enforcement,854 and raised questions about how market participants should consider multiple NBBOs in trade￾through prevention and locked and crossed markets.855 One commenter said that the proposal did not fully consider the impact of multiple NBBOs on surveillance and compliance with investor protection rules 856 and that multiple NBBOs would affect surveillances that detect broker-dealer market access controls deficiencies and fraud and manipulation.857 The commenter also stated that the proposed model would make it almost impossible to monitor for locked and crossed markets and to conduct trade-through surveillance due to the multiple competing consolidator feeds.858 In addition, the commenter stated that regulators and market participants will have different views of the market depending on the NBBO they use, which would allow bad actors to take advantage of the resulting regulatory loopholes and inefficiencies.859 The commenter stated that multiple NBBOs could create false positives, more investigations and data requests, as well as false negatives.860 Additionally, one commenter stated that the multiple NBBOs that will be produced by competing consolidators and self-aggregators under the proposed decentralized consolidation model will increase costs for exchanges to enforce their rules 861 and increase the risk of market manipulation.862 This commenter also said that regulations could be inconsistently applied due to variations in consolidated market data from different competing consolidators,863 and that the proposal would result in more frequent enforcement investigations, expansive data requests, and delays in concluding investigations.864 Another commenter stated that the proposed decentralized consolidation model would hurt Rule 605 compliance because the baseline NBBO used by each market center for comparisons would vary.865 These issues are not new or unique to the decentralized consolidation model. As discussed earlier,866 SRO surveillance and regulatory programs currently need to consider different sources of market data, including different ‘‘NBBOs’’ calculated by different market participants as well as the NBBO calculated by exclusive SIPs pursuant to Rule 600(b)(50). While there may be an increased number of data sources in a decentralized consolidation model, the issues described by these commenters are currently dealt with by SRO market surveillance and enforcement staff today. Broker-dealers have considered multiple data sources in complying with trade-through and locked and crossed markets in the context of Regulation NMS. The Commission believes that the amended definition of NBBO should not cause increased exchange enforcement costs or an increase in alerts or false positives because the surveillance
and regulatory process will continue as it does today. Currently, SROs already must decide among data sources to use for their surveillance and regulatory systems. SROs must also handle the different data sources used by market participants for regulatory compliance. Market participants may use SIP data, proprietary data, or a combination. Market participants also may calculate their own NBBOs. The data used by market participants today may differ from the data used by the SROs for their surveillance and regulatory systems. Broker-dealers are not required to use a particular source of market data for regulatory compliance. Because broker￾dealers may rely on different sources of data—data sources that may not be used by SRO regulatory staff to generate alerts—SRO investigators typically request data from broker-dealers to evaluate whether an alert has discovered an actual violation of the Federal securities laws and exchange rules. This dynamic will not change in a decentralized consolidation model. SROs may decide to use a consolidated market data product generated by a competing consolidator, or they may decide to self-aggregate data to generate consolidated market data for purposes of their surveillance and regulatory systems. SROs will not be required to purchase every consolidated feed to conduct enforcement or surveillance, just as they are not required to purchase all direct proprietary feeds used by market participants. Therefore, SROs should not incur higher enforcement costs because the regulatory process will continue to operate as it does currently.867 Furthermore, even if SRO surveillance and regulatory programs used the same data source as a broker-dealer, SROs

868See supra Section III.B.1; BlackRock Letter, Fidelity Letter, State Street Letter, Wellington Letter, ICI Letter, Virtu Letter, AHSAT Letter, FIA PTG Letter, IntelligentCross Letter, Committee on Capital Markets Regulation Letter, BestEx Research Letter, Wharton Letter, MEMX Letter, Clearpool Letter; T. Rowe Price Letter; Capital Group Letter; DOJ Letter; ACS Execution Services Letter; IEX Letter; Steinmetz Letter (commenting on the entire proposal); SIFMA Letter; ACTIV Financial Letter; MFA Letter; Better Markets Letter. 869 Data Boiler Letter I at 46. 870See supra Section II.B.2. See also infra Section III.C.8(a)(ii) for a discussion of the revisions to the responsibilities of competing consolidators resulting from this change. 871See Proposing Release, 85 FR at 16782. 872See BestEx Research Letter at 2, 5. The commenter said the result would be consumers that prefer depth over latency would be able to find the right products, as would those that prefer latency over depth. 873See id. at 5. 874See NYSE Letter II at 14–15. 875 Data Boiler Letter I at 52. 876BlackRock Letter at 2–3. 877See BestEx Research Letter at 2, 5; NYSE Letter II at 14–15; BlackRock Letter at 2–3; Data Boiler Letter I at 52. would still have to request information from such broker-dealer due to potential data differences—such as geographic latencies, access options, or processing options—to evaluate whether there is a potential violation. Therefore, the Commission believes that the existence of multiple NBBOs should not present any problems that the SROs have not previously handled.
C. Competing Consolidators
The Commission believes that the introduction of competing consolidators as the entities responsible for the collection, consolidation, and dissemination of consolidated market data products will update and modernize the national market system and provide market participants and investors with benefits. As noted above, the Commission received many comments that supported the goals of the decentralized consolidation model and the potential positive impacts this model would have on the provision of consolidated market data.868 However, some comments raised concerns about the introduction of competing consolidators and their impact on the national market system, which are discussed below.

1. Definition of ‘‘Competing
   Consolidator’’ Under Rule 600(b)(16) (a) Proposal The Commission proposed to amend Regulation NMS to introduce competing consolidators as the entities responsible for the collection, consolidation, and dissemination of consolidated market data. Under proposed Rule 600(b)(16) of Regulation NMS, a competing consolidator would be defined as ‘‘a securities information processor required to be registered pursuant to Rule 614 or a national securities exchange or national securities association that receives information with respect to quotations for and transactions in NMS stocks and generates consolidated market data for dissemination to any person.’’ (b) Final Rule and Response to Comments The Commission received one comment supporting the proposed definition of competing consolidator.869 The Commission, however, is revising the definition to reflect that competing consolidators are not required to generate a complete consolidated market data product.870 Rule 600(b)(16) defines a competing consolidator as ‘‘a securities information processor required to be registered pursuant to Rule 614 or a national securities exchange or national securities association that receives information with respect to quotations for and transactions in NMS stocks and generates a consolidated market data product for dissemination to any person.’’ Regarding the consolidated market data that must be generated by competing consolidators, the Commission asked in the Proposing Release whether competing consolidators should be required to develop a consolidated market data product that contained all of the elements provided under the proposed definition of consolidated market data.871 As proposed, competing consolidators would have had the flexibility to offer different products but were also required to offer a full consolidated market data product. One commenter stated that competing consolidators should not be required to include depth-of-book in the products they sell, as including such data would increase latency and complexity.872 The commenter stated that not mandating the provision of depth-of-book data would encourage competition further and reduce data costs for all consumers.873 Another commenter stated that the requirement that competing consolidators develop a consolidated market data product that contained all of the elements of consolidated market data, regardless of demand, along with other proposed competing consolidator requirements, including registration and Regulation SCI, imposed costs on competing consolidators that would serve as a barrier to entry to potential competing consolidators.874 Another commenter suggested that only a single competing consolidator should be obligated to provide a consolidated market data product, not all competing consolidators.875 One commenter suggested that competing consolidators should have the flexibility to compete with proprietary data offerings and decide what products to offer to their subscribers.876 The Commission
   agrees with the comments that objected to requiring that all competing consolidators sell a product containing all of the specified elements of consolidated market data 877 because forcing higher fixed costs and a mandatory product offering across all competing consolidators potentially would make it more difficult for competing consolidators to enter the market and to tailor their services and product offerings while recouping expenses. The Commission believes that allowing competing consolidators to generate their own set of product offerings, tailored to the needs of their subscriber base or otherwise differentiated, will lower the fixed costs of those competing consolidators that elect to specialize in targeted products that do not contain all of the elements of consolidated market data. Specifically, these competing consolidators can offer such products without acquiring the underlying data and developing the technological capability necessary to calculate and consolidate all elements of consolidated market data. This reduction in fixed costs will enable these competing consolidators to offer products that do not contain all elements of consolidated market data and do so in a more cost￾effective manner, which should enhance their ability to meet the specific data needs of various market participants. In addition, increased participation by more streamlined competing consolidators that operate with fewer constraints and potentially fewer fixed costs, or costs tailored to their own unique product offerings, would promote competition in the market. The Commission recognizes that competing consolidators are the only entities that will generate and disseminate consolidated market data products in the national market system, and acknowledges the possibility that competing consolidators may not offer consolidated market data products that do not contain all of the elements of consolidated market data. However, consistent with the views expressed by a variety of market participants regarding the importance of the

878See supra note 112 and accompanying text (noting that multiple Roundtable panelists and commenters supported the inclusion of odd-lot information, depth of book data, and auction information); supra notes 152–153 and accompanying text (describing comments expressing support for the expansion of consolidated market data and core data); 242–244 (describing comments expressing support for the inclusion of smaller-sized orders in higher-priced stocks); 386–388 (describing comments expressing support for the inclusion of depth of book data); 462–464 (describing comments expressing support for the inclusion of auction information). 879See Proposing Release, 85 FR at 16754 (describing how depth of book data can assist Smart Order Routers and electronic trading systems with the optimal placement of orders across markets); 16759 (explaining how information regarding the size and side of order imbalances can indicate the direction a stock’s price might move, inform decisions on where to price an auction order and what order type to use, and improve execution quality). See also supra Sections II.C.2(b)–II.D.2 (explaining how aggressively priced odd-lots will be included in core data through the definitions of odd-lot information and round lot); II.F.2; II.G.2. 880See supra Section II.C.2(a). 881See SIFMA Letter at 11. 882See supra Section II.B.2 discussing the definition of consolidated market data product. 883The Vendor Display Rule requires a SIP that provides a display of quotation and transaction information with respect to an NMS stock, in the context of which a trading or order-routing decision can be implemented, to also provide a consolidated display for that stock. Rule 603(c) of Regulation NMS, 17 CFR 242.603(c). See also supra note 97; FINRA, Regulatory Notice 15–46, 1, 3 n. 12 (2015) (‘‘The exercise of reasonable diligence to ascertain the best market under prevailing market conditions can be affected by the market data, including specific data feeds, used by a firm. For example, a firm that regularly accesses proprietary data feeds, in addition to the consolidated SIP feed, for its proprietary trading, would be expected to also be using these data feeds to determine the best market under prevailing market conditions when handling customer orders to meet its best execution obligations.’’). 884See Committee on Capital Markets Regulation Letter at 3; BestEx Research Letter at 1; BlackRock Letter at 5; ACS Execution Services Letter at 5; Clearpool Letter at 7–8; Cboe Letter at 25; TechNet Letter II at 2; NYSE Letter II at 24; Data Boiler Letter I at 48; Data Boiler Letter II at 1; NBIM Letter at 6; NovaSparks Letter at 1. The Commission also received one comment that urged the Commission to focus on cybersecurity in upgrading the infrastructure for market data. Temple University Letter at 2. The Commission is amending Rule 1000 of Regulation SCI to make competing consolidators exceeding a threshold ‘‘SCI entities.’’ See infra
Section III.F.
885See Committee on Capital Markets Regulation Letter at 3; BestEx Research Letter at 1; BlackRock Letter at 5; ACS Execution Services Letter at 5; Clearpool Letter at 7–8; MEMX Letter at 3, 8; ACTIV Financial Letter at 1 (stating that competition could ‘‘provide investors with a . . . higher reliability framework for determining accurate pricing of NMS securities’’); NovaSparks Letter at 1 (‘‘The competitive nature of the new model will encourage Competing Consolidators to deliver excellent reliability, functionality and performance.’’). 886Committee on Capital Markets Regulation Letter at 3. 887See BestEx Research Letter at 1. This commenter also said that competing consolidators would reduce reliance on a single SIP vendor. Id. at 5. 888See BlackRock Letter at 5. 889ACS Execution Services Letter at 5; Clearpool Letter at 7–8. However, with respect to business continuity planning and disaster recovery, one commenter said that having a single competitor to the SIP would be sufficient to address concerns about a single point of failure. See Data Boiler Letter I at 48. 890See Cboe Letter at 25; TechNet Letter II at 2. One commenter noted an inverse relationship between data connection speed and reliability. The commenter stated that exchanges and competing consolidators would need to create a protocol for conditional use of slower, reliable consolidated market data feeds to ensure reliability of such feeds. See NBIM Letter at 6. Competing consolidators will be required to comply with operational capability and resiliency obligations to help ensure that the provision of proposed consolidated market data remains reliable. See infra Section III.F. 891See NYSE Letter II at 24; Data Boiler Letter I at 48; Data Boiler Letter II at 1. 892See Cboe Letter at 25. individual elements of consolidated market data, the Commission believes that there will be widespread demand for a product that contains all elements of consolidated market data, and particularly for the additional information included in core data.878 Specifically, because this additional data will provide useful information that will assist in order routing and placement decisions and achieving improved executions for customer orders,879 many broker-dealers that execute customer orders will acquire a product containing all elements of consolidated market data to compete effectively for customer business.880 Consolidated market data includes information that the Commission believes is necessary to disseminate under the rules of the national market system and useful for a broad-cross
section of market participants.
Accordingly, the Commission believes that there should be demand for products containing all elements of consolidated market data even though, as adopted, Rule 614 will not require competing consolidators to offer them. With respect to the receipt of data by competing consolidators, Rule 603(b), as adopted, requires each SRO to provide its NMS information, including all data necessary to generate consolidated market data, to competing consolidators. In accordance with Rule 603(b), competing consolidators will receive each SRO’s market data that is necessary to generate consolidated market data. One commenter stated that competing consolidators, their subscribers, and self-aggregators should be permitted to receive data elements or products based on need.881 As discussed above, competing consolidators will be permitted to develop different types of consolidated market data products based on the demands of their customers.882 Accordingly, competing consolidators will not be required to receive all of the data content underlying consolidated market data. Rather, competing consolidators can receive the data they need to generate the consolidated market data products they decide to offer, but the Commission notes that competing consolidators that are SIPs required to be registered pursuant to Rule 614 must comply with the Vendor Display Rule when offering consolidated market data products and therefore must receive, at a minimum, the data necessary to satisfy the Vendor Display Rule.883 Competing consolidators will also have the ability to select for themselves, from among the options offered by the SROs, how to access the data underlying consolidated market data (e.g., with different latencies, throughput capacities, and data-feed protocols) and consider costs and complexities related to each option. The Commission believes that these provisions will provide competing consolidators with flexibility to develop their consolidated market data products business in a way that best suits their capabilities and their subscribers’ needs.
2. Comments on Resiliency
The Commission received several comments with respect to the impact of competing consolidators on the resiliency of the markets.884 Some commenters stated that competing consolidators could add resiliency to the markets.885 One commenter said that competing consolidators would strengthen resiliency because there would no longer be a single point of failure that could cause ‘‘stock market paralysis.’’ 886 Similarly, another commenter said that competition could reduce the risk of a single point of failure,887 and another commenter said that the decentralized consolidation model would eliminate the SIP as a single point of failure.888 Two commenters said that having a ‘‘sufficient number of competing consolidators will be important to ensure resiliency and backup in the collection, consolidation, and distribution of consolidated market data.’’ 889 Commenters also argued that introducing competing consolidators could weaken the national market system by increasing a risk of failure,890 or that competing consolidators would not address concerns about a single point of failure.891 One commenter stated that introducing competing consolidators would, in fact, introduce multiple opportunities of failure.892 This commenter said that a competing consolidator with ‘‘a significant

893 Id.
894See NYSE Letter II at 24. Another commenter stated, ‘‘. . . if either of the SIPs experiences a systems issue affecting the quality or availability of market data, all market participants are affected equally by the issue. However, under the competing consolidator model, if one competing consolidator is impaired, it could severely disadvantage that competing consolidator’s subscribers and their investor clients.’’ FINRA Letter at 4. 895See NYSE Letter II at 24. 896See id. 897See Nasdaq Letter IV at 8, 35. 898See TechNet Letter II at 2. 899See Cboe Letter at 25; TechNet Letter II at 2. 900See NYSE Letter II at 24; Data Boiler Letter I at 48. 901See 17 CFR 242.614(d)(6) (Rule 614(d)(6)). 902See infra Section III.F. 903See FINRA Letter at 4. 904See supra text accompanying notes 756–757. 905See Committee on Capital Markets Regulation Letter at 3; RBC Letter at 5–6; State Street Letter at 3. 906See Committee on Capital Markets Regulation Letter at 3; RBC Letter at 5–6; Susquehanna Letter at 1. 907See TD Ameritrade Letter at 13; Nasdaq Letter IV at 4, 7, 35; STANY Letter II at 6. 908See Nasdaq Letter IV at 26. customer base’’ could even cause market-wide trading halts if it had system problems and urged caution in making any changes that could ‘‘imperil the resiliency of the U.S. equities market.’’ 893 Another commenter said that competing consolidators would continue the risk of a single point of failure because customers of a single competing consolidator that failed would lose access to its consolidated market data, and unlike when an exclusive SIP fails and impacts all market participants, only customers of the competing consolidator would be disadvantaged.894 To mitigate the risk of failure, the commenter said that subscribers would have to subscribe to at least two competing consolidators and incur the costs of doing so.895 This commenter stated that the Commission did not provide evidence to support its conclusion that the proposed decentralized consolidation model would improve the stability of the market data system for data consumers.896 Another commenter said that there may be high-risk competing consolidators that enter the market (such as cheaper or slower competing consolidators) and their subscribers may not be able to avoid harm quickly enough if technological issues occur.897 Another commenter said that competing consolidators would add technical complexity, which would reduce resilience.898 The Commission does not believe that competing consolidators will expose the national market system to an increased risk of failure 899 or propagate the risk of a single point of failure.900 The Commission believes that the decentralized consolidation model will improve the resiliency of national market system by eliminating single points of failure that exist in the current system. Today, SIP data for Tapes A and B is only provided by the exclusive SIP for the CTA/CQ Plan and SIP data for Tape C is only provided by the exclusive SIP for the
Nasdaq UTP Plan. These are single points of failure. In the decentralized consolidation model, there will be multiple entities— competing consolidators—collecting, consolidating, and disseminating consolidated market data products, which will enhance the resiliency of the national market system. Competing consolidators also will be subject to requirements that are designed to support their resiliency. For example, competing consolidators will be required to disclose publicly, on a monthly basis, their system availability.901 This will encourage competing consolidators to invest in their systems to make sure that they have high rates of system ‘‘up-time.’’ The monthly disclosures will help support systems resiliency by imposing competitive pressures on competing consolidators to ensure that their systems are resilient, as market participants can use the monthly disclosures to assess and compare the performance of a competing consolidator. Competing consolidators that cannot generate and disseminate consolidated market data products reliably likely will not attract or retain subscribers. Furthermore, competing consolidators will be subject to requirements that are designed to support their operational resiliency, including, as appropriate, Regulation SCI. The Commission is also adopting changes to Regulation SCI to help to ensure the integrity and resiliency of competing consolidators.902 The Commission believes that it is important to impose requirements to help ensure that the technology systems of competing consolidators are reliable and resilient, consistent with the policy goals of Regulation SCI. These requirements are designed to address concerns that competing consolidators will become multiple points of failure in the decentralized consolidation model. One commenter urged the Commission to issue standards for when a market participant would have to subscribe to multiple competing consolidators to mitigate the risk that its primary competing consolidator fails.903 As noted above,904 the Commission is not requiring market participants to have back-up competing consolidators, whether such market participants subscribe to SCI competing consolidators or competing consolidators that are not SCI entities, though some may choose to do so in light of their own business needs. The Commission believes that having multiple competing consolidators collect, consolidate, and disseminate consolidated market data products would eliminate a single point of failure that would weaken the entire national market system because if one competing consolidator’s operations experiences a failure, its impact on the markets will be minimized due to the presence of other competing consolidators that can perform the same functions.
3. Comments on Data Quality
Several commenters supported the introduction of competing consolidators because of the potential enhancements to the quality of consolidated market data.905 Three commenters believed that competition would improve the quality of consolidated market data.906 However, three commenters questioned the proposal’s impact on data quality, stating that the effects were uncertain and that competition could harm data quality and accuracy, including through attracting untested vendors who provide cheaper but potentially less reliable service.907 One of these commenters stated that competing consolidators could produce varying NBBOs and cheap data products that would limit market information to non-self-aggregating market participants.908 The commenter stated that the Commission will likely have to create additional regulations to set minimum standards ensuring the quality, availability, and accessibility of consolidated market data produced by competing consolidators. The Commission believes that the definitions in Rule 600, as well as the registration and disclosure requirements of Rule 614, will help to ensure the data quality of consolidated market data. All competing consolidators will register with the Commission and become regulated entities (if not already SROs) and will be required to generate consolidated market data products in a manner that is consistent with the definitions set forth in Rule 600. Further, the Commission believes that competition in the decentralized consolidation model will also support high quality consolidated market data. Competing consolidators will be required to produce public monthly reports on their performance and other metrics, which should incentivize

909Competing consolidators would also be subject to Commission oversight under Rule 614. See infra Section III.C.7. 910See Wharton Letter at 4; MFA Letter at 3, 9; McKay Letter at 11. 911See Wharton Letter at 4; MFA Letter at 3, 9. 912See Wharton Letter at 4. 913See MFA Letter at 3, 9. 914See McKay Letter at 11. 915See Healthy Markets Letter I at 4–5 (urging the Commission to establish objective standards for brokers regarding their selection and usage of competing consolidator feeds); FINRA Letter at 6 (stating that a broker-dealer’s best execution obligations would prevent it from selecting a more advantageous source of market data for its proprietary activities than it uses for its clients); Fidelity Letter at 10 (suggesting that regulators examine why a broker-dealer would choose one competing consolidator over another). 916See supra Section I.E. 917See FINRA Letter at 4–5. 918See id. at 5–6. 919See supra Section I.E. 920See BlackRock Letter at 5; MEMX Letter at 8. See also RBC Letter at 6 (suggesting that the Commission provide guidance on the minimum specifications for methods and processes of delivery for competing consolidators to avoid having multiple methods and processes, which could result in a tiered system of market data and reduced competition); MIAX Letter at 2 (suggesting that the Commission require all competing consolidators to utilize the same transport protocols (i.e., multicast) when transmitting data to market participants). 921The Commission will monitor issues related to the implementation of the decentralized consolidation model, including whether standardization of the competing consolidator consolidation or dissemination processes would benefit market participants. competing consolidators to perform at a high level in order to attract and maintain a subscriber base. A competing consolidator that does not produce accurate, high quality consolidated market data products would risk losing customers to other competing consolidators.909
4. Comments on Competing
Consolidator Products
Commenters offered suggestions on the types of products to be sold by competing consolidators.910 Two commenters suggested products that should be offered by competing consolidators.911 One of the commenters said that competing consolidators should provide consolidated market data at no charge to a registered academic aggregator to act as an intermediary for the academic community.912 The other commenter stated that competing consolidators should be required to sell a regulatory data-only feed at a fair and reasonable price (relative to the cost of that data as
part of consolidated market data), and/
or exchanges should be allowed to sell a regulatory data proprietary market data feed.913 One commenter requested clarification as to the ability of a competing consolidator to offer separate co-location offerings as part of its competitive services.914 The Commission is not requiring competing consolidators to offer reduced cost or free services, but competing consolidators could develop such products if they so desired. In addition to consolidated market data products, competing consolidators will be able to offer other products, such as academic products or regulatory data products. Further, the Operating Committee of the effective national market system plan(s) for NMS stocks could develop reduced fees for the data content underlying consolidated market data for the academic community or for regulatory data, or the exchanges could develop and propose, pursuant to
Section 19(b) of the Exchange Act and
Rule 19b–4 thereunder, similar products.
5. Comments on Selection of a
Competing Consolidator
Several commenters raised questions concerning the selection of competing consolidators by broker-dealers.915 The Commission believes that a broker￾dealer will be responsible for selecting its competing consolidator(s) and will be required to perform its own due diligence to ensure that the competing consolidator(s) it chooses will be able to assist the broker-dealer in meeting its regulatory obligations and its obligations to its customers, including best execution.916 One commenter sought clarification of a broker-dealer’s responsibility for problems caused by its choice of competing consolidator.917 This commenter asked if a broker-dealer could be held liable for its competing consolidator’s systems issues if such issues negatively impact its customers. The commenter also suggested that the Commission provide guidance for broker-dealers that compliance with rules dependent on the availability of accurate market data be assessed based on the data provided by a broker￾dealer’s competing consolidator or received directly by a self-aggregator.918 Broker-dealers have obligations to their customers (e.g., a duty of best execution) as well as regulatory obligations (e.g., Rule 603(c), Rule 611, Regulation SHO). Broker-dealers need high quality data to satisfy their obligations. The choice of a competing consolidator will be relevant to a broker￾dealer’s receipt of market data and therefore, a broker-dealer should assess, both upon its initial selection and on an ongoing basis, the quality of data received from a competing consolidator. The Commission believes that the selection of a competing consolidator can impact a broker-dealer’s services to its customers as well as the broker￾dealer’s ability to comply with its regulatory obligations, such as providing best execution for its customers.919 Broker-dealers will need to conduct their own analysis and perform their own due diligence in choosing and periodically assessing competing consolidators that meet their regulatory needs and the needs of their customers.
6. Comments on a Standardized
Consolidation Process
Two commenters recommended standardizing aspects of the operation of competing consolidators, including the consolidation process and the content and distribution mechanism, arguing that standardization could make it easier for subscribers to switch to other competing consolidators and provide consistency across data sets.920 The Commission is not standardizing the competing consolidator consolidation and dissemination processes. The Commission believes competing consolidators are in the best position to develop technical standards for themselves. Furthermore, the Commission believes that competing consolidators should have the flexibility to design the consolidation and delivery services that their subscribers need.921
7. Registration and Responsibilities of
Competing Consolidators: Rule 614 The Commission proposed Rule 614 to require SIPs that wish to act as competing consolidators to register with the Commission and publicly disclose certain information about their organization, operations, and products. Under proposed Rule 614, competing consolidators would be subject to certain obligations and would be required to regularly publish certain performance statistics on a monthly basis on their respective websites. (a) Competing Consolidator Registration:
Rule 614(a)
(i) Rule 614(a)(1)(i): Proposal Proposed Rule 614(a)(1)(i) would prohibit any person, other than an SRO, from (A) receiving directly from a national securities exchange or national securities association information with respect to quotations for and transactions in NMS stocks; and (B) generating the proposed consolidated market data for dissemination to any person (i.e., acting as a competing consolidator by disseminating data to external parties) unless that person files

922 If a self-aggregator disseminated consolidated market data to any person, it would be acting as a competing consolidator and would be required to register pursuant to proposed Rule 614 and comply with the requirements applicable to competing consolidators. 923See Proposing Release, 85 FR at 16778. 924NYSE Letter at 14; ACTIV Financial Letter at 2–3; Nasdaq Letter II at 37. 925WFE Letter at 1. See also MIAX Letter at 5. 926See infra Section V.C.3. 927The Form CC filing process is a notice-based registration process and is similar to other notice￾based filing processes required by the Commission. See Securities Exchange Act Release No. 40760 (Dec. 8, 1998), 63 FR 70844 (Dec. 22, 1998) (‘‘Regulation ATS Adopting Release’’). 928 15 U.S.C. 78k–1. 929See Proposing Release, 85 FR at 16778. 930 15 U.S.C. 78k–1(b)(1). 931See Section 3(b)(22)(B) of the Exchange Act for the definition of exclusive processor. 932See Section 11A(b)(3). 933See Section 11A(b)(3)(B). with the Commission an initial Form CC and the initial Form CC has become effective pursuant to proposed Rule 614(a)(1)(v).922 (ii) Rule 614(a)(1)(i): Final Rule and Response to Comments The Commission is revising proposed Rule 614(a)(1)(i) to address a comment relating to market data vendors, as discussed below. Rule 614(a)(1)(i)(A), as adopted, will provide: ‘‘No person other than a national securities exchange or a national securities association . . . may receive directly, pursuant to an effective national market system plan, from a national securities exchange or national securities association information with respect to quotations for and transactions in NMS stocks’’ (addition in italics). This new language is intended to clarify the entities that will be required to register as a competing consolidator. The Commission requested comment on the proposed registration process, including whether competing consolidator registration should be subject to Commission approval and/or additional or different regulation.923 The Commission received several comments regarding proposed Rule 614(a)(1)(i). A few commenters described the proposed registration process as ‘‘onerous,’’ ‘‘overly burdensome’’ and a ‘‘barrier to entry.’’ 924 However, other commenters supported the registration process and urged regulating competing consolidators ‘‘with the same rigor and governance applied to the SIP plans today.’’ 925 While the registration of competing consolidators is a new regulatory process that will be required of entities that may not be regulated today, as discussed below, the registration process is necessary and does not unduly burden potential competing consolidators. While there are costs and burdens associated with the registration process,926 the Commission believes that such costs and burdens are justified by the benefits of Commission oversight and the disclosure of competing consolidator operations for market participants. As discussed in the Proposing Release, the regulatory regime and
responsibilities of competing consolidators are designed to collect relevant information about competing consolidators and to require competing consolidator performance data, data quality issues, and system issues to be made publicly available through a relatively streamlined process that imposes appropriate burdens on entities likely to register as competing consolidators. The Commission designed the competing consolidator registration process to provide the Commission with information necessary for it to perform its regulatory oversight of these important market participants without imposing burdensome regulatory requirements on registrants.927 Further, the registration process for competing consolidators was designed to limit the burdens on competing consolidators, commensurate with their role. The competing consolidator regime is less burdensome than the registration process applicable for exclusive processors. As described in the Proposing Release, the registration process for exclusive processors is set forth in Section 11A of the Exchange Act 928 and requires the Commission to grant applications or institute proceeding to determine whether a registration should be denied.929 The Commission, however, proposed a more streamlined and limited process. As part of this process, the Commission will not approve Form CC and amendments to Form CC. Rather, the Commission is adopting a process in which a potential competing consolidator’s registration will become effective unless the Commission issues an order declaring its Form CC ineffective. The Commission believes that this registration process will allow potential competing consolidators to begin operating relatively quickly, while still allowing the Commission to review Form CC for non-compliance with Federal securities laws and the rules and regulations thereunder, and for material deficiencies with respect to accuracy, currency, or completeness.
Section 11A(b)(1) of the Exchange
Act 930 provides that a SIP not acting as the ‘‘exclusive processor’’ 931 of any information with respect to quotations for or transactions in securities is exempt from the requirement to register with the Commission as a SIP unless the Commission, by rule or order, determines that the registration of such SIP ‘‘is necessary or appropriate in the public interest, for the protection of investors, or for the achievement of the purposes of [Section 11A].’’ A SIP that proposes to act as a competing consolidator would not engage on an exclusive basis on behalf of any national securities exchange or registered securities association in collecting, processing, or preparing for distribution or publication any information with respect to quotations for or transactions in securities; therefore, a competing consolidator would not fall under the statutory definition of ‘‘exclusive processor.’’ Section 11A(b)(1) of the Exchange Act provides the Commission with authority to require the registration of a SIP not acting as an exclusive processor by rule or order. Under the adopted rules, competing consolidators will play a vital role in the national market system by collecting, consolidating, and disseminating consolidated market data. Because the availability of prompt, accurate, and reliable consolidated market data is essential to investors and other market participants, the Commission believes that it is necessary and appropriate in the public interest and for the protection of investors to require each SIP that wishes to act as a competing consolidator to register with the Commission as a SIP pursuant to Rule
614. The Commission is thus exercising
this authority by adopting Rule 614 to establish the process by which SIPs that wish to act as competing consolidators will be required to register with the Commission. The registration process for exclusive SIPs under Section 11A requires the Commission to publish notice of an exclusive SIP’s application for registration and, within 90 days of publication of notice of the application, by order grant the application or institute proceedings to determine whether the registration should be denied.932 At the conclusion of the proceedings, the Commission must, by order, grant or deny the registration.933
Section 11A(b)(1) of the Exchange Act
also authorizes the Commission, by rule or by order, upon its own motion or by application, to exempt conditionally or unconditionally any SIP or class of SIPs from any provision of Section 11A or the rules or regulations thereunder if the Commission finds that such exemption

934 15 U.S.C. 78k–1(b)(3).
935Section 11A(b)(5) of the Exchange Act, 15 U.S.C. 78k–1(b)(5), requires a SIP promptly to notify the Commission if the registered SIP prohibits or limits any person in respect of access to services offered, directly or indirectly, by the registered SIP. The notice must be in the form and contain the information required by the Commission. Any prohibition or limitation on access to services with respect to which a registered SIP is required to file notice is subject to review by the Commission on its own motion, or upon application by any person aggrieved by the prohibition or limitation. 936See IDS Letter I at 3, 4; NYSE Letter II at 18. 937See IDS Letter I at 3, 4. 938See id. at 3. 939See NYSE Letter II at 18. 940See Proposing Release, 85 FR at 16770, n. 434. 941This provision is also updated to reflect the new definition of consolidated market data product. See supra Section II.B. is consistent with the public interest, the protection of investors, and the purposes of Section 11A, including the maintenance of fair and orderly markets in securities and the removal of impediments to and perfection of the mechanisms of a national market system. The Commission believes that it is consistent with the public interest, the protection of investors, and the purposes of Section 11A to use its authority under Section 11A(b)(1) to exempt SIPs that wish to act as competing consolidators from the registration process established in
Section 11A(b)(3) of the Exchange
Act 934 and to allow such competing consolidators to register pursuant to a process that is more streamlined and limited than the process described in
Section 11A(b)(3). The process specified
in Section 11A(b)(3) of the Exchange Act was developed for exclusive SIPs and reflects the heightened need to review and analyze exclusive processors. In contrast, SIPs that do not act as exclusive SIPs are exempt from registration unless the Commission ‘‘finds that the registration of such securities information processor is necessary or appropriate in the public interest, for the protection of investors, or for the achievement of the purposes of [Section 11A].’’ The Commission does not believe that this process for exclusive processors in necessary for competing consolidators. The Commission believes that the registration process in Rule 614 will provide the Commission with the information necessary to oversee competing consolidators and help ensure that relevant information regarding such competing consolidators is available to the Commission and to the public. The streamlined registration process is also designed to reduce regulatory burdens and encourage entities to register as competing consolidators. In addition, the Commission believes that it is consistent with the public interest, the protection of investors, and the purposes of Section 11A to use its exemptive authority under Section 11A(b)(1) of the Exchange Act to exempt those SIPs that act as competing consolidators from Section 11A(b)(5) of the Exchange Act,935 which requires a registered SIP to notify the Commission if the SIP prohibits or limits any person with respect to access to its services.
Section 11A(b)(5) allows any person
aggrieved by a prohibition or limitation of such access to the SIP’s services to petition the Commission to review the prohibition or limitation of access. Exclusive SIPs, by definition, engage on an exclusive basis in collecting, processing, or preparing data. In contrast, the competing consolidators will not engage in collecting, processing, or preparing data on an exclusive basis. Therefore, the Commission believes that the protections of Section 11A(b)(5) of the Exchange Act, including the ability of an aggrieved person to petition the Commission for review of a SIP’s prohibition or limitation of access to the SIP’s services, are not necessary for competing consolidators. The Commission believes that the decentralized consolidation model with multiple competing consolidators will reduce the likelihood that a subscriber will not be able to access consolidated market data. Subscribers will be able to obtain such data from another competing consolidator. Accordingly, the Commission believes that it will be consistent with the protection of investors and the public interest to exempt competing consolidators from
Section 11A(b)(5) of the Exchange Act.
(iii) Comments on Data Vendors Two commenters expressed concern that current market data vendors would have to register as competing consolidators to continue receiving consolidated market data directly from SROs.936 One of the commenters stated that proposed Rule 614(a)(1)(i) appeared to require market data vendors that generate and disseminate consolidated market data in NMS stocks based on information received directly from SROs to register as competing consolidators.937 The commenter further stated that the discussion of market data vendors in the Proposing Release created uncertainty regarding whether the Commission intended to require market data vendors to register as competing consolidators to continue engaging in their current businesses.938 The other commenter said the proposal stated that data vendors that want to continue to receive proprietary data that included data content underlying consolidated market data from an SRO would have to register as competing consolidators, or they would have to subscribe to a competing consolidator to purchase this data. The commenter said the price of this data could increase, causing a data vendor’s customer base to decrease.939 In the Proposing Release, the Commission stated that vendors would still be able to operate in the decentralized consolidation model. Vendors would be able to receive proprietary market data directly from the SROs as they do today or they would be able to receive consolidated market data from a competing consolidator in a manner that is similar to how they receive SIP data today without being required to register as a competing consolidator. However, if a vendor wished to receive directly from the SROs information with respect to quotations for and transactions in NMS stocks at the prices established by the effective national market system plan(s) and generate consolidated market data for dissemination, such vendor would be required to register as a competing consolidator. Thus, only competing consolidators and self-aggregators would be able to directly receive the NMS information that is necessary to generate consolidated market data from the SROs at the prices established by the effective national market system plan(s).940 The Commission agrees that Rule 614(a)(1)(i), as proposed, could create uncertainty with respect to whether market data vendors would be able to continue their current businesses without being required to register as competing consolidators. Accordingly, the Commission is revising proposed Rule 614(a)(1)(i) to provide that no person, other than a national securities exchange or a national securities association, ‘‘[m]ay receive directly, pursuant to an effective national market system plan, from a national securities exchange or national securities association information with respect to quotations for and transactions in NMS stocks’’ and ‘‘[g]enerate consolidated market data products for dissemination to any person unless the person files with the
Commission an initial Form CC and the initial Form CC has become effective pursuant to paragraph (a)(1)(v)’’ (italicized to show changes to the proposed language).941

942See IDS Letter I at 5–6.
943 Id. at 5.
944See Effective-Upon-Filing Adopting Release, supra note 17. NMS Plan amendments are subject to Rule 608 of Regulation NMS, 17 CFR 242.608. 945Sections 6(b)(4) and 15A(b)(5) of the Exchange Act require that the rules of a national securities exchange or national securities association provide for the equitable allocation of reasonable dues, fees, and other charges among its members and issuers and other persons using its facilities. 946See Proposing Release, 85 FR at 16779, n. 537. 947See Proposing Release, 85 FR at 16779, n. 537. 948See IEX Letter at 8–9. 949See NYSE Letter II at 17–18; IDS Letter I at 15– 21. 950See NYSE Letter II at 17–18; IDS Letter I at 19– 21; MIAX Letter at 5. 951See NYSE Letter II at 17–18. 952See IDS Letter I at 21. Another commenter stated that disparate treatment of exchanges as competing consolidators violates the APA, explaining that exchanges acting as competing consolidators would be subject to Sections 6(b) and 19(d) of the Exchange Act, while non-facility competing consolidators would not be subject to these requirements. The commenter stated that non￾facility competing consolidators would enjoy a ‘‘significant competitive advantage over exchange competing consolidators by having greater pricing flexibility and not being subject to the denial of access process.’’ See Nasdaq Letter IV at 44. 953See MIAX Letter at 5. The commenter also expressed concern that an exchange-operated competing consolidator with an unregulated affiliate that provides access and connectivity services could use the networks of the non￾regulated affiliate to offer pricing discounts or other incentives to encourage market participants to purchase the competing consolidator’s consolidated market data. The commenter asserted that an affiliate of an exchange that provides access and connectivity to exchange systems is a facility of the exchange because it is a ‘‘system of communication to or from the exchange, by ticker or otherwise, maintained by or with the consent of the exchange.’’ Id. at 4. 954See NYSE Letter II at 17; IDS Letter I at 17. 955See IDS Letter I at 21. 956See id. at 18. The Commission believes that adopted Rule 614(a)(1) makes clear that only entities that receive information with respect to quotations for and transactions in NMS stocks directly pursuant to an effective national market system plan from a national securities exchange or national securities association, and generate consolidated market data products for dissemination, will be required to register as competing consolidators. A market data vendor that purchases proprietary data feeds from an SRO or SROs, or that purchases data from a competing consolidator, and aggregates and disseminates such data to its customers, will not be required to register as a competing consolidator. However, vendors that do not register as competing consolidators would not be permitted to purchase the NMS information necessary to generate consolidated market data from the SROs at
prices established by an effective national market system plan. The commenter also argued that the proposal fails to assess the cost of the proposed changes on market data vendors.942 The commenter’s primary concern with respect to the proposal’s potential costs to market data vendors arose from the assumption that market data vendors would be required to register as competing consolidators. As stated above, a market data vendor is not required to register as competing consolidator unless it wishes to purchase information with respect to quotations for and transactions in NMS stocks directly from a national securities exchange or national securities association pursuant to an effective national market system plan, and generate consolidated market data products for dissemination, i.e., act as competing consolidator. Accordingly, the adopted rules do not necessarily increase costs for market data vendors. The commenter further stated that the primary impact of the proposal on a market data vendor that does not register as a competing consolidator (and therefore does not purchase data directly from the SROs at prices established by the effective national market system plan(s)) would come from changes in the prices that the SROs charge for their proprietary data feeds, which the commenter describes as ‘‘unregulated.’’ 943 The Commission acknowledges this assessment but clarifies that proprietary data fees are regulated, although such fees are not subject to this rulemaking nor are they subject to the same regulatory process that is used for effective national market system plan(s) fees.944 The exchanges are required to file all proposed fees for their proprietary data products with the Commission pursuant to Section 19(b) of the Exchange Act and Rule 19b–4 thereunder and the proposed fees must satisfy the standards under the Exchange Act, including Section 6(b)(4) and Section 15A(b)(5).945 (iv) Comments on Competing Consolidators Affiliated With Exchanges In the Proposing Release, the Commission stated that because Section 3(a)(22)(A) of the Exchange Act excludes SROs from the definition of SIP they would not have to register as a competing consolidator pursuant to proposed Rules 614(a) through (c) and proposed Form CC.946 The Commission stated that an SRO could either operate a competing consolidator under its SRO as a facility or could operate a competing consolidator in a separate affiliated entity, not as a facility of the SRO.947 Several commenters addressed this topic. One commenter, arguing that SRO obligations are not a substitute for the competing consolidator requirements, stated that an SRO or its affiliate that acts as a competing consolidator should be registered as such and should be subject to the same disclosure and other requirements as other competing consolidators.948 Two commenters questioned the proposal’s assumption that SROs or their affiliates would be willing to become competing consolidators.949 Three commenters stated that
a competing consolidator that was a facility of a national securities exchange would be at a competitive disadvantage to competing consolidators that were not exchange facilities.950 One commenter noted that a competing consolidator that was not an exchange facility could change its products and their associated fees in response to competitive forces, while a competing consolidator that was a facility of an exchange would be required to file a proposed rule change with the Commission pursuant to Section 19(b) of the Exchange Act to make the same changes.951 Another commenter stated that the proposal established a two tiered system, with competing consolidators that are not affiliated with an exchange subject to the relatively streamlined Form CC regime and exchange facility competing consolidators subject to the more stringent framework, including the 19b– 4 rule filing process.952 A third commenter suggested that to alleviate this disparity the Commission should subject both SROs and non-SROs that seek to become competing consolidators to the same regulatory standards by subjecting the Form CC, and any amendment thereto, to Commission review and approval.953 Two commenters also stated that the Proposal did not explain how a competing consolidator affiliated with an exchange could avoid being a facility of the exchange.954 One commenter stated that the absence of guidance with respect to when an affiliated competing consolidator would be a facility of an exchange substantially reduces the likelihood that entities affiliated with SROs would create competing consolidators.955 The commenter further asserted that the failure to address this important issue for potential competing consolidators made it impossible to comment adequately and comprehensively on the proposal.956 Another commenter stated that the Commission should consider issuing interpretive guidance to provide

957See McKay Brothers Letter at 2.
958Section 3(a)(1) of the Exchange Act defines ‘‘exchange’’ as any organization, association, or group of persons, whether incorporated or unincorporated, which constitutes, maintains, or provides a market place or facilities for bringing together purchasers and sellers of securities or for otherwise performing with respect to securities the functions commonly performed by a stock exchange as that term is generally understood, and includes the market place and the market facilities maintained by such exchange. 15 U.S.C. 78c(a)(1). See also 17 CFR 240.3b–16. 959Section 3(a)(2) of the Exchange Act defines the term ‘‘facility’’ when used with respect to an exchange includes its premises, tangible or intangible property whether on the premises or not, any right to the use of such premises or property or any service thereof for the purpose of effecting or reporting a transaction on an exchange (including, among other things, any system of communication to or from the exchange, by ticker or otherwise, maintained by or with the consent of the exchange), and any right of the exchange to the use of any property or service. 15 U.S.C. 78c(a)(2). 960See id. See also Securities Exchange Act Release No. 90209 (October 15, 2020), 85 FR 67044, 67048 (October 21, 2020) (SR–NYSE–2020–05; SR– NYSE–2020–11 et al.) (‘‘NYSE Wireless Order’’). 961See Securities Exchange Act Release No. 76127 (October 9, 2015), 80 FR 62584, 62586 n. 9 (October 16, 2015) (SR–NYSE–2015–36) (Order Approving Proposed Rule Change amending
Section 907.00 of the Listed Company Manual).
962Proposing Release, 85 FR at n. 537. 963See NYSE Wireless Order, supra note 960, at
67047. Cf. Securities Exchange Act Release No.
40760 (Dec. 8, 1998), 63 FR 70844, 70852 (Dec. 22,
1998) (‘‘Regulation ATS Adopting Release’’)
(stating, in the context of entities providing trading systems that function as ATSs, that ‘‘[t]he Commission will attribute the activities of a trading facility to a system if that facility is offered by the system directly or indirectly (such as where a system arranges for a third party or parties to offer the trading facility). . . . In addition, if an organization arranges for separate entities to provide different pieces of a trading system . . . , the organization responsible for arranging the collective efforts will be deemed to have established a trading facility.’’). 964A particular function provided by an organization, association, or group of persons, whether incorporated or unincorporated, may fall within the statutory definition of ‘‘exchange’’ when business activities performed across the group constitute part of that market place for bringing together purchasers and sellers. See NYSE Wireless Order, supra note 960, at 67047. An entity’s mere affiliation with an exchange, without more, is not solely determinative of whether a function is a facility of an exchange. See Securities Exchange Act Release No. 44983 (Oct. 25, 2001), 66 FR 55225 (Nov. 1, 2001) (SR–PCX–00–25). 965 15 U.S.C. 78mm(a)(1). 966Rule 603(b) requires a national securities exchange to provide its NMS information, including all data necessary to generate consolidated market data, to all competing consolidators and self￾aggregators in the same manner and using the same methods, including all methods of access and the same format, as the national securities exchange makes available any information to its affiliated competing consolidator. 967This condition is based on the particular risk, given the special position of exchanges in the market and the regulatory requirements applicable to exchanges, posed by allowing exchanges to link services and pricing with those of the competing consolidator. additional clarity around the definition of a facility of an exchange.957 The questions raised by commenters relate to the Commission’s application of the terms ‘‘exchange’’ and ‘‘facility’’ of an exchange, defined in Sections 3(a)(1) and (2) of the Exchange Act, to the activities of competing consolidators affiliated with exchanges. Section 3(a)(1) defines an ‘‘exchange’’ to include ‘‘an organization, association, or group of persons, whether incorporated or unincorporated,’’ that maintains a ‘‘market place’’ for ‘‘bringing together purchasers and sellers of securities.’’ 958
Section 3(a)(2) defines a ‘‘facility’’ of an
exchange to include the exchange’s premises, tangible or intangible property whether on the premises or not, or any right to the use of such premises or property or any service thereof for the purpose of effecting or reporting a transaction on an exchange.959 Section 3(a)(2) specifically includes services such as systems of communication to or from the exchange.960 The Commission has observed that the determination of whether a service is a facility of an exchange requires an analysis of the particular facts and circumstances.961 In the Proposing Release, the Commission stated that an exchange could choose whether to operate a competing consolidator (1) as a facility of the exchange, or (2) as a separate affiliate, not as a facility, registered as a competing consolidator.962 The application of the definition of ‘‘facility’’ of an exchange does not turn on which particular entity directly holds a particular asset, including the national securities exchange license.963 Accordingly, whether a competing consolidator affiliated with a national securities exchange is a facility of that exchange does not depend solely on corporate structure, but rather on a facts-and-circumstances analysis of the functions provided by the affiliated competing consolidator and its relationship with the exchange.964 The Commission would expect that the activities of a competing consolidator affiliated with a national securities exchange would be likely to fall within the statutory definitions. The Commission also understands that the facts and circumstances with respect to each exchange and competing consolidator relationship may be different, including that there are different corporate structures under which an exchange could operate a competing consolidator. Therefore, to address the concerns raised by commenters and to foster a level competitive playing field for competing consolidators that are facilities of an exchange, the Commission believes that an exemption from certain regulatory requirements, subject to the conditions set forth below, would be appropriate in the public interest and consistent with the protection of investors.
Section 36(a)(1) of the Exchange Act
authorizes the Commission, subject to certain limitations, to conditionally or unconditionally exempt any person, security, or transaction, or any class thereof, from any provision of the Exchange Act or rule thereunder, if necessary or appropriate in the public interest and consistent with the protection of investors.965 The limited exemption would exempt a national securities exchange with respect to its competing consolidator activities from (i) the rule filing requirements in
Section 19(b)(1) of the Exchange Act
and Rule 19b–4 thereunder, (ii) the denial of access provisions in Section 19(d) of the Exchange Act, (iii) the requirements in Section 6(b) of the Exchange Act; and (iv) the requirements in Regulation SCI applicable to SCI SROs (unless the competing consolidator is otherwise subject to Regulation SCI as Regulation SCI would be applied to a competing consolidator). As a condition of the exemptive relief, the competing consolidator must be registered under Rule 614 and be in compliance with all regulatory requirements applicable to competing consolidators under Rule 614, including the requirement to file Form CC. To promote a level playing field, and as required by Rule 603(b), the national securities exchange must not provide any latency, content, connectivity, cost or other competitive advantages with respect to the provision of the content underlying the consolidated market data to the affiliated competing consolidator.966 As a further condition of the exemption, and to ensure that the national securities exchange does not leverage exchange products and services to establish an unfair competitive advantage, a national securities exchange would not be permitted to link the pricing for or condition availability for services of the affiliated competing consolidator to any products or services of the exchange, including transactions, connectivity and data.967 Such limited exemptive relief is appropriate and in the public interest to foster the successful implementation of the decentralized consolidation model. The limited exemptive relief is designed to help foster a competitive environment premised on a level regulatory playing field. In particular, it will facilitate the entry of competing consolidators that are affiliated with national securities exchanges into the market for the consolidation and

968 17 CFR 240.19b–4. Section 19(b)(1) of the Exchange Act defines a ‘‘proposed rule change’’ as ‘‘any proposed rule, or any proposed change in, addition to, or deletion from the rules of’’ a self￾regulatory organization. 15 U.S.C. 78s(b)(1). 969See IDS Letter I at 21 and Nasdaq Letter IV at 44 (comments discussed supra note 952). 970See MIAX Letter at 2; Healthy Markets Letter II at 2. 971See id. 972See MIAX Letter at 2. The commenter recommended that the Commission do the following: ‘‘set forth reasonable minimum bandwidth requirements for Competing Consolidators to ensure that conflation does not occur due to capacity constraints, including during times of increased market volatility; set forth minimum performance requirements for Competing Consolidators that allow for a reasonable amount of conflation; require all Competing Consolidators to utilize the same transport protocols (i.e., Multicast) when transmitting data to market participants; likewise require that each national securities exchange utilize these same transfer protocols when transmitting core data to a Competing Consolidator; and require each national securities exchange to sequence the message fields in the same manner when transmitting their core data to a Competing Consolidator or via their proprietary data products, with any supplemental information (i.e., data regarding exchange specific programs) sequenced behind core data.’’ See MIAX Letter at 2. 973See infra Section III.F. 974See supra notes 104–105 and accompanying text. 975See supra note 90 and accompanying text. dissemination of consolidated market data products thereby increasing competition for those services as contemplated by the decentralized consolidation model. This exemptive relief will not place any burdens on, or otherwise disadvantage, non-affiliated competing consolidators. The limited exemptive relief is also consistent with the protection of investors. Rule 19b–4 requires an SRO to file a proposed rule change with respect to any ‘‘material aspect’’ of the operation of its facilities that is then subject to Commission review and approval.968 Section 6(b), among other things, requires the rules of an exchange to provide for equitable allocation of reasonable fees, not permit unfair discrimination between customers, and not impose any unnecessary or inappropriate burden on commerce.
Section 19(d) of the Exchange Act,
among other things, limits the denial of access to SRO services. The registration, disclosure and other regulatory requirements for competing consolidators in Rule 614 and Form CC, including the potential that such forms could be declared ineffective and the requirement to make consolidated market data products available to subscribers on terms that are not unreasonably discriminatory, help ensure appropriate transparency and oversight for the protection of investors. In addition, competing consolidators that are affiliated with national securities exchanges that elect the exemption will be subject to the same Regulation SCI requirements applicable to other competing consolidators, which will help ensure systems integrity, reliability, and resiliency to protect the interests of investors. This exemptive relief will promote a level playing field among the various types of competing consolidators. The exemptive relief and the conditions for that relief serve to subject competing consolidators that are affiliated with a national securities exchange to the same regulatory framework that applies to other competing consolidators to eliminate competitive advantages and foster a competitive environment for all competing consolidators. This exemptive relief thus addresses the concerns raised by commenters that competing consolidators that are affiliated with a national securities exchange will be at a disadvantage to other competing consolidators.969 The Commission intends to monitor the activities of all registered competing consolidators, including those that are affiliated with a national securities exchange, through the notification and filing requirements in Rule 614 and Form CC, and other requirements applicable to competing consolidators. In addition, the Commission will monitor the activities of competing consolidators that are facilities of an exchange through its examinations of both the national securities exchange and the competing consolidator. This exemptive relief is limited to the regulatory requirements described above. The Commission will consider requests for additional exemptive relief from specific regulatory provisions to address any remaining concerns about creating and maintaining an equal playing field. The Commission will consider such requests based on the particular facts and circumstances at hand, and grant such a request if necessary or appropriate in the public interest and consistent with the protection of investors. This limited exemptive relief does not affect any regulatory obligations that apply to any other functions, products or services provided by exchanges or facilities thereof, including the provision, distribution and transport of proprietary market data feeds and other market data, communication systems that convey order information to and from the exchange, or connectivity to those communication systems. (v) Minimum Standards for Competing Consolidators Two commenters recommended that the Commission establish
uniform baseline standards that all competing consolidators would be required to meet continuously to avoid possible ‘‘conflation,’’ which, according to the commenters, may occur when an exchange or other market participant provides only its most-recent quote or trade to the SIPs and skips or removes prior quotes due to system capacity constraints or by purposefully shaping bandwidth to remain below certain capacity thresholds.970 The commenters stated that the absence of uniform standards could allow a competing consolidator to offer a lower-cost product that would often be conflated and incomplete and that could conceal potential abuses.971 One commenter identified minimum standards that it believed the Commission should require a competing consolidator to satisfy.972 Rule 614(d) requires each competing consolidator to calculate and generate consolidated market data products and make consolidated market data products available to its subscribers. This means that competing consolidators must be able to accept all of the data content that encompasses the consolidated market data products they offer. In addition, competing consolidators will be subject to operational capability, systems integrity, and resiliency obligations,973 and Rule 614(d)(5) requires each competing consolidator to publish certain system performance metrics on its website each month. As stated above,974 these disclosures should help to facilitate a broker-dealer’s ability to achieve and analyze best execution because they provide information regarding the timeliness, completeness, and accuracy of the market data offered by competing consolidators.975 These disclosures also provide statistics on capacity, network delay and latency, offering additional insight into the technical capabilities and expected performance of a competing consolidator. This information will assist a broker-dealer in selecting an appropriate competing consolidator, which in turn impacts the broker￾dealer’s ability to obtain ‘‘the most favorable terms reasonably available under the circumstances’’ for its customer orders. The Commission believes that these requirements will help to ensure that competing consolidators have adequate system capacity to meet the needs of different types of subscribers and will ensure an accurate record of quotes and trades for

976The Commission will monitor the performance of competing consolidators, including whether there is a need to establish minimum standards for competing consolidators. 977MIAX Letter at 2–3. 978 Id. at 3. 979 If the Participants determine that the effective national market system plan(s) needs to be amended for this purpose, such amendment would have to be filed with the Commission pursuant to Rule 608 of Regulation NMS. 980See Securities Exchange Act Release No. 50486 (Oct. 4, 2004), 69 FR 60287 (Oct. 8, 2004) (adopting EFFS for use in filing Form 19b–4). 981See Data Boiler Letter I at 50. 982See 17 CFR 242.1006 (Rule 1006) of Regulation SCI (relating to electronic filing and submission). 983See infra Section V.C.3(a). 984See also proposed Rule 17 CFR 242.614(a)(1)(iv)(B) (Rule 614(a)(1)(iv)(B)). 985See Proposing Release, 85 FR at 16779. subscribers. Accordingly, the Commission does not believe that it is necessary, at this time, to mandate minimum capacity or other minimum standards for competing consolidators.976 (vi) Potential Advantage of Incumbent Exclusive SIPs One commenter asserted that the incumbent exclusive SIPs would have a significant advantage over other entities seeking to become competing consolidators because they could use their existing infrastructure to operate a competing consolidator that could charge lower fees than new entrants because they would not incur the upfront capital expenditures required to build a competing consolidator.977 The commenter suggested that the Commission consider ways to require the incumbent exclusive SIPs to reimburse each Plan’s Participants their proportionate share of their costs paid and used to build and support each exclusive SIP’s systems as a means to allowing each exclusive SIP to purchase its existing infrastructure to use to act as a competing consolidator.978 Any determinations regarding payments to Participants or the disposition of the assets of the exclusive SIPs would be made by the Participants of the Equity Data Plans.979 If the operators of the exclusive SIPs (i.e., SIAC and Nasdaq) decide to become competing consolidators and to operate their competing consolidator business using existing infrastructure of the exclusive SIPs, the Commission does not believe that they will have a significant advantage over other potential competing consolidators. The current operators of the exclusive SIPs would need to reach an agreement with the Participants of the Equity Data Plans regarding the disposition of the assets of the exclusive SIPs and would need to modify existing systems to produce consolidated market data products, which as described above, may contain more information than what the exclusive SIPs currently provide as SIP data. In addition, the exclusive SIPs will have to make changes to their systems to accommodate the changes to regulatory data. The exclusive SIPs also might find it necessary to upgrade the performance of the existing systems to compete effectively against
market data vendors that currently utilize superior technology and may register to become competing consolidators. (b) Rule 614(a)(1)(ii): Electronic Filing and Submission (i) Proposal Proposed Rule 614(a)(1)(ii) would require any reports required under new Rule 614 to be filed electronically on Form CC, include all of the information as prescribed in Form CC and the instructions to Form CC, and contain an electronic signature. The proposal contemplated the use of an online filing system through which competing consolidators would file a completed Form CC. The system, known as the electronic form filing system (‘‘EFFS’’), is used by SROs to file proposed rules and rule changes and by SCI entities to file Forms SCI.980 Other potential methods of electronic filing of Form CC were also described, including the use of secure file transfer through specialized electronic mailbox or through the Electronic, Data Gathering, Analysis and Retrieval (‘‘EDGAR’’) system, or directly through SEC.gov via a simple HTML form. (ii) Final Rule and Response to Comments The Commission requested comment on the electronic filing requirement and asked whether EFFS or another system would be efficient for purposes of filing Form CC. One commenter supported the use of EFFS.981 The Commission believes that an electronic filing process is efficient and cost effective. The Commission has used EFFS for many years for proposed SRO rules and rule changes filed pursuant to Section 19(b) of the Exchange Act and Rule 19b–4 thereunder, as well as Regulation SCI and the Commission believes that this system will be appropriate for registering competing consolidators. Further, the Commission believes that it will be easier and cost effective for competing consolidators and the Commission to use one system for competing consolidator filings. Competing consolidators that are SCI entities will have to submit filings pursuant to Regulation SCI via EFFS.982 Therefore, for those competing consolidators it would be easier and cost effective to use one filing system to submit filings with the Commission.983 The use of EFFS for all competing consolidators’ filings will also be cost effective for the Commission. (c) Rule 614(a)(1)(iii): Commission Review Period (i) Proposal Proposed Rule 614(a)(1)(iii) would provide that the Commission may, by order, declare an initial Form CC filed by a competing consolidator ineffective no later than 90 calendar days from filing with the Commission.984 The Commission believed that 90 calendar days would provide the Commission with adequate time to carry out its oversight functions with respect to its review of an initial Form CC, including its responsibilities to protect investors and maintain fair, orderly, and efficient markets.985 (ii) Final Rule and Response to Comments The Commission did not receive any comments on this proposed rule. The Commission believes that the review period provides adequate time for the Commission to evaluate an initial Form
CC. Therefore, the Commission is
adopting the rule as proposed.
(d) Rule 614(a)(1)(iv): Withdrawal of Initial Form CC (i) Proposal Proposed Rule 614(a)(1)(iv) would require a competing consolidator to withdraw an initial Form CC that has not become effective if any information disclosed in the initial Form CC is or becomes inaccurate or incomplete. The competing consolidator would be able to refile an initial Form CC pursuant to proposed Rule 614(a)(1). (ii) Final Rule and Response to Comments The Commission did not receive any comments on this proposed rule. The Commission believes that competing consolidators should withdraw an initial Form CC that becomes inaccurate or incomplete to ensure that the Commission’s review is based upon complete and accurate information. Therefore, the Commission is adopting the rule as proposed. (e) Rule 614(a)(1)(v): Effectiveness; Ineffectiveness Determination (i) Proposal Proposed Rule 614(a)(1)(v)(A) would provide that an initial Form CC would

986See Proposing Release, 85 FR at 16780. 987See Data Boiler Letter I at 50. 988See proposed Rules 614(a)(1)(i) and (a)(2)(i) and (ii). 989See IDS Letter I at 10. 990See id. 991See NovaSparks Letter at 2. 992See id. 993See id. 994See Data Boiler Letter I at 51. become effective, unless declared ineffective, no later than the expiration of the review period provided in paragraph (a)(1)(iii) and upon publication of the initial Form CC pursuant to proposed Rule 614(b)(2)(i). Proposed Rule 614(a)(1)(v)(B) would provide that the Commission would declare ineffective an initial Form CC if it finds, after notice and opportunity for hearing, that such action is necessary or appropriate in the public interest and is consistent with the protection of investors. (ii) Final Rule and Response to Comments The Commission requested comment on whether the proposal to allow an initial Form CC to become effective by operation of the rule without a Commission issuing an order would provide sufficient notice that an initial Form CC has become effective.986 One commenter stated, without more, that ‘‘an official order would be nice to have.’’ 987 The Commission is adopting Rule 614(a)(1)(v) as proposed. The Commission believes that if it finds, after notice and opportunity for hearing, that one or more disclosures reveal noncompliance with Federal securities laws or the rules or regulations thereunder, an initial Form CC should be declared ineffective. The Commission will make such a declaration if it finds, for example, that one or more disclosures on the initial Form CC were materially deficient with respect to their accuracy, currency, or completeness. If the Commission declares an initial Form CC ineffective, the applicant will be prohibited from operating as a competing consolidator, but will be able to file a new Form CC to address any disclosure deficiencies or other issues that caused the initial Form CC to be declared ineffective. While one commenter suggested without articulating a reason that the Commission issue an order declaring a Form CC effective, the Commission does not believe that such an order is necessary in this context because all effective Form CCs will be published by the Commission on the Commission’s website, which will provide notice to market participants that a competing consolidator has an effective Form CC and is permitted to operate. (f) Rule 614(a)(2): Form CC Amendments (i) Proposal Proposed Rule 614(a)(2) would provide the requirements for amending an effective Form CC. Proposed Rule 614(a)(2)(i) would require a competing consolidator to amend an effective Form CC in accordance with the instructions therein: (i) Prior to the date of implementation of a material change to the pricing, connectivity, or products offered (a ‘‘Material Amendment’’); and (ii) no later than 30 calendar days after the end of each calendar year to correct information, whether material or immaterial, that has become inaccurate or incomplete for any reason
(‘‘Annual Report’’) (each a ‘‘Form CC Amendment’’).988 (ii) Final Rule 614(a)(2) and Response to Comments The Commission received several comments regarding proposed Rule 614(a)(2). One commenter questioned how far ahead of implementing a new service or fee a competing consolidator would be required to file a Form CC amendment.989 The commenter also questioned whether the Commission or its staff could object to a new service or fee.990 One commenter stated that the requirement to file a Material Amendment, along with information relating to operational capability, market data products fees, co-location, and related services, would reduce the variety of products offered.991 The commenter asserted that this information would change frequently as a competing consolidator improved and modified its services to meet the needs of different customers.992 The commenter further stated that market participants would find other ways to select competing consolidators, making it unnecessary to report this information publicly.993 One commenter raised no objection to the proposed requirement to prepare an Annual Report because interested persons may be interested in learning about changes in ownership.994 The Commission is adopting Rule 614(a)(2) as proposed. The Commission acknowledges the commenter’s concern that the requirement to file a Material Amendment, along with information relating to operational capability, market data products fees, co-location, and related services, could reduce the variety of products offered. However, the Commission believes that the required Form CC amendments, including Material Amendments and Annual Reports, and the process by which they are filed, properly balances this concern with the need to provide market participants with necessary information regarding a competing consolidator’s organization, operational capability, consolidated market data products, fees, and co-location and related services to determine whether to subscribe, or continue subscribing, to a competing consolidator. As required by Rule 614(a)(2)(i), a competing consolidator must file a Material Amendment, which is defined as a material change to the pricing, connectivity, or products offered, prior to such change’s implementation. The Commission will review all Form CC amendments for completeness, clarity, and conformance with the requirements of Rule 614 and Form CC. The instructions to Form CC state that an incomplete or deficient filing may be returned to the competing consolidator and any filing so returned will be deemed not to have been filed with the Commission. However, the Commission will not affirmatively approve amendments to Form CC, including Material Amendments, which should streamline the process. Although some competing consolidators may frequently file amendments to Form CC to respond to subscriber demand, these amendments would not be subject to Commission approval before effectiveness. The information in Form CC amendments will assist
market participants in evaluating which products and services of the competing consolidator will be most useful to them. This information is also designed to ensure that the Commission has specified information regarding entities acting as competing consolidators, to facilitate the Commission’s oversight of competing consolidators, and help to ensure the resiliency of a competing consolidator’s systems. Given these intended uses, the Commission believes that it is important for a competing consolidator to be required to maintain an accurate, current, and complete Form CC. The Commission disagrees with the commenter’s assertion that it is unnecessary to make the information required in the initial Form CC and in Material Amendments publicly available. The information reported in the initial Form CC and in Material Amendments will help to ensure that all