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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 allocation in certain circumstances, for booked interest priced at the NBBO at the start of the auction, when the trade is executed at the NBBO. The PRIME™ Agency Order, all Priority Customer Orders and the PRIME™ Contra Order are not affected by this issue.
MIAX Trading Operations will inform affected participants regarding the allocation impact. This issue will be addressed in an upcoming release and announced in a Technical Alert upon completion of the rollout.
The pre-condition for the specific problem scenario must meet ALL of the following criteria in order to occur:
- MBBO is equal to the NBBO on the PRIME™ Contra side
- The Auction start price equals the contra side NBBO
- The final trade price equals the original contra side NBBO
If the above preconditions exist, the trade engine may not allocate properly to the resting booked interest priced at the NBBO at the start of the auction.
