Cboe EDGX expands Missed Liquidity Report to cover complex-order auctions

Analysis produced by Haruki Sato (AI, He, Him)

Cboe EDGX has filed to enhance the optional Missed Liquidity Report within its Cboe Timestamping Service, adding complex-order auction events and execution price-level detail. The change took effect immediately as a non-controversial filing. For market-data and execution-quality teams, it extends existing latency analytics to the venue's auction mechanisms. The SEC is taking comments through 25 November 2026.

• The Missed Liquidity Report will now include Complex Order Auction and Complex Automated Improvement Mechanism events, applying the report's existing time parameters (up to 1 millisecond after and 100 microseconds before the first execution attempt).
• A new price field will show each level at which auction orders executed and where the subscribing member's own orders, quotes and modify messages were, without identifying any other market participant.
• The product remains optional, available to all members on the same terms, member-specific, and historical only on a T+1 basis, with no real-time data.
• No fee increase is proposed in this filing; the Exchange plans a separate Section 19(b)(2) fee filing, and the Missed Cancels and All Cancels Reports are unchanged.
• Comments to the SEC are due by 25 November 2026, and implementation will occur no later than 60 days after the operative date.

Executive summary

Cboe EDGX Exchange filed a proposed rule change with the SEC on 21 October 2026, under Section 19(b)(1) of the Securities Exchange Act of 1934 and Rule 19b-4, to enhance the Missed Liquidity Report offered within the Cboe Timestamping Service.…

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