Please be advised that MIAX has identified a technical issue related to behavior at the conclusion of the Price Improvement Mechanism (“PRIME™”) auction that has the potential to cause an improper execution following a PRIME™ auction. The PRIME™ Agency Order will trade properly with the PRIME Contra Order and PRIME responses.
MIAX Trading Operations will proactively monitor the system and inform affected participants in the event of a future occurrence. This issue will be addressed in an upcoming release and announced in a Technical Alert upon completion of the rollout.
The issue only occurs during the following circumstances where a PRIME™ auction terminates early due to unrelated incoming interest (and following the PRIME™ execution itself), the MIAX system may trade at an improper price with certain remaining resting interest (orders and/or quotes).
The pre-condition for the specific problem scenario must meet ALL of the following criteria in order to occur:
- A PRIME Auction must terminate early when un-related liquidity locks or crosses the Best Auction Response; and
- The Best Priced Auction Response is outside the published ABBO. (response offered lower than the ABBO bid or bid higher than the ABBO offer)
- At the conclusion of the Auction, the PRIME Agency Order will trade properly with the PRIME Contra Order and PRIME responses
- Remaining Auction Responses may trade with un-related liquidity
- If the ABBO has changed during the Auction, this price may be outside the prevailing NBBO
If the above preconditions exist, the MIAX system will trade outside the posted ABBO.
