96. Should exchanges impose a minimum time period for which orders must remain on the order book before they can be withdrawn? If so, should this minimum resting time requirement apply to orders of all sizes or be restricted to orders smaller than a specific threshold? If there should be a specific threshold, how should that threshold be determined?
97. The Commission seeks to understand where time-weighted Pro Rata trade allocation is currently being utilized and what the effects have been. Please note examples from exchanges and, to the extent possible, please comment on the impact that such matching algorithms have had on the amount of time resting orders are left in the order book, as well as on other aspects of market quality.
98. If exchanges aggregated multiple, small orders entered by the same entity with the intent of abusing rounding conventions to gain a disproportionate share of allocations, what criteria should exchanges use to distinguish such orders from those that are entered by the same legal entity for legitimate trading purposes? Are there empirical patterns that could be used to reliably identify such manipulative intent?
99. Would batched order processing increase the number of milliseconds that are necessary for correlations among related securities to be established? If so, what specific costs would result from this change and how do those costs compare to the potential benefits described in recent research?
100. What costs and benefits result from providing market participants with real-time access to information about the order book that extends beyond aggregate size available at a limit price? Is there a legitimate economic benefit that results from market participants (both human participants, and ATSs) accessing such information? Is it possible for market participants to use such information to manipulate the order book?
01. The Commission seeks to understand whether any of the recommendations above are inapplicable or irrelevant to markets subject to the CEA. If so, please indicate which recommendation(s) and what makes it inapplicable or irrelevant to those markets.
4. Policies and Procedures To Identify "Related Contracts"
Rule 38.255 of the Commission's regulations require DCMs to establish and maintain risk controls for trading. /118/ Appendix B to the Part 38 regulations provides the following guidance on such risk controls: If a contract is linked to, or is a substitute for, other contracts, either listed on [the DCM's] market or on other trading venues, the designated contract market must, to the extent practicable, coordinate its risk controls with any similar controls placed on those other contracts. /119/ The guidance contained in the appendix further provides that, to the extent practicable, DCMs should coordinate not only with other DCMs, but national security exchanges as well. /120/ These measures could protect against market disruptions cascading from one trading platform to the next.
FOOTNOTE 118 See 17 CFR 38.255. END FOOTNOTE
FOOTNOTE 119 See DCM Final Rules, 77 FR at 36718. END FOOTNOTE
FOOTNOTE 120 See id. END FOOTNOTE
102. If you are a DCM, please address whether you have (i) identified all contracts that are linked to, or are a substitute for, other contracts either listed on your market or on other trading venues; and, if so, (ii) coordinated your risk controls with any similar controls placed on those other contracts. If you have not identified such contracts and coordinated risk controls on such contracts, please address any other means by which you are addressing risk controls applicable to contracts that are linked to, or are a substitute for, other contracts listed on your exchange or on other trading venues.
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