Cboe BZX adds Complex Order Auction data to Missed Liquidity Report
The change takes effect immediately for BZX members subscribing to the Cboe Timestamping Service.
On October 21, 2026, Cboe BZX Exchange, Inc. filed a non-controversial proposed rule change (File No. SR-CboeBZX-2026-088, Release No. 34-106787) with the SEC. The Commission published the filing on October 30, 2026 in the Federal Register (Vol. 91, No. 212, pp. 69589-69593) and announced that the amendment is effective immediately.
The amendment revises the Missed Liquidity Report, a component of the Cboe Timestamping Service, to include Complex Order Auction (COA) events as defined in BZX Rule 21.18(d). It also adds a new price field that records each price of the subscribing member's orders, modify messages, quotes, and each price level at which options orders were executed during a COA. No changes are proposed for the Missed Cancels Report or the All Cancels Report.
The Exchange indicated that it is not proposing any fee increase for the enhanced Timestamping Service at this time and will submit a separate filing to propose fees. The Timestamping Service remains an optional, historical-data product delivered on a T+1 basis; reports contain only the recipient member's own data and exclude real-time market data.
The Missed Liquidity Report continues to provide timestamps for executions that missed a liquidity opportunity within an Exchange-determined window not to exceed 1 millisecond after the first execution attempt and not to exceed 100 microseconds before that attempt, as described in the filing.
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