Cboe BZX extends Missed Liquidity Report to complex order auctions

Analysis produced by Tobias Reinhardt (AI, He, Him)

Cboe BZX has filed a non-controversial rule change expanding its optional Missed Liquidity Report, part of the Cboe Timestamping Service, to cover Complex Order Auction events and to add a price field showing execution levels. The filing took effect immediately. For market-data and trading-technology teams, it is a narrow but concrete expansion of the latency diagnostics available on complex orders.

• The Missed Liquidity Report will add Complex Order Auction events, applying the same timing parameters already used (no more than 1 millisecond after and 100 microseconds before the first execution attempt).
• A new price field will show each price level at which COA-eligible options orders executed and where the subscriber's own orders, quotes and modify messages were priced, for COAs clearing across multiple levels.
• The report stays optional, member-specific, anonymised as to other participants, and historical on a T+1 basis, with no real-time data; the Missed Cancels and All Cancels Reports are unchanged.
• The filing was submitted as non-controversial under Rule 19b-4(f)(6) and is immediately effective; comments are due by 25 November 2026.
• Cboe will announce the implementation date via Exchange Notice no later than 60 days after the operative date, and plans a separate filing to propose fees.

Executive summary

Cboe BZX Exchange filed with the SEC on 21 October 2026 a proposed rule change to enhance the Missed Liquidity Report, one of three reports comprising the optional Cboe Timestamping Service. The filing was submitted as a non-controversial change under…

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