Cboe BZX Exchange filed a change to extend its optional Missed Liquidity Report to Complex Order Auction events and to add price-level details for those events. The SEC published notice of the filing on 30 October under release 34-106787; Cboe submitted the rule change on 21 October as a filing designated for immediate effectiveness. Its stated implementation date remains subject to a further exchange notice. This is an enhancement to an existing subscriber analytics product, not a new real-time quote feed.[1]
Today, Cboe’s timestamping service provides optional reports about order, quote and cancellation events. The proposed addition would let a subscribing member see relevant timing for its own complex-auction-eligible orders, quotes and modifications and for executions with which they narrowly missed interacting. A new price field would show the price levels of executed complex orders against the subscriber’s messages, allowing a firm to ask whether the failed interaction was principally one of price, timing or both.[1][2]
The microsecond window does not determine fault
The filing describes existing missed-liquidity time windows bounded by up to one millisecond after a first attempt to trade and up to 100 microseconds before that attempt. Those parameters are exchange-determined and notified separately; they are not a service guarantee that every message can reach the matching engine within a fixed threshold. For execution teams, the report supplies evidence that can be compared with internal order-routing logs. It does not prove that a broker violated best-execution duties whenever an order misses a fill.[1]
What the proposed report would show
| Characteristic | Proposed or existing status |
|---|---|
| Delivery | Historical participant-specific data; generally T+1 |
| Complex-order auction messages | Included under the proposed enhancement |
| Auction price levels | New price field would compare executed and submitted levels |
| Other firms’ private data | Not exposed through subscribing member report |
| Price for report | No immediate fee increase proposed; separate fee filing contemplated |
The report is restricted to information concerning the member that subscribes. The filing states that no real-time market data is included and that participants cannot obtain another member’s private data via the service. Those boundaries are substantial. A report available after the prior session cannot improve a trade already missed, but it can support later routing analysis, latency investment decisions and examination of price placement in multi-leg options strategies.[1]
Implementation remains a dated future step
Cboe says it will announce the implementation date by exchange notice, with the filing specifying an implementation window no later than 60 days after the operative date. The source identifies neither a completed subscriber rollout nor a measured execution improvement. The practical development for institutional options brokers is additional after-the-fact diagnostic evidence whose value must be tested against their own logs and subscription costs.[1]
Sources & further reading
- File SR-CboeBZX-2026-088: proposed enhancements to Missed Liquidity Report U.S. Securities and Exchange Commission / Cboe BZX · 30 Oct 2026 · Accessed 31 Oct 2026
- Cboe US options complex-order trading information Cboe Global Markets · Accessed 31 Oct 2026