Cboe adds complex order auction data to Missed Liquidity Report

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

Cboe Options filed an immediately effective rule change expanding its optional Missed Liquidity Report to cover Complex Order Auction and Complex Automated Improvement Mechanism events. Subscribers to the Cboe Timestamping Service should review what new auction data will become available and when, and whether it changes their latency and execution analysis.

• Cboe filed SR-CBOE-2026-083 on October 21, 2026, as immediately effective under Section 19(b)(3)(A)(iii) and Rule 19b-4(f)(6).
• The Missed Liquidity Report will now include Complex Order Auction (COA) and Complex Automated Improvement Mechanism (C-AIM) events.
• A new price field will show each price level at which Auction Orders executed and where the Recipient Member's own orders, modify messages and quotes sat.
• The same existing timing parameters apply: not to exceed 1 millisecond after, and 100 microseconds before, the first attempt to execute.
• Implementation will occur no later than 60 days after the operative date, with the date announced via Exchange Notice; no fee changes are proposed in this filing.

Executive summary

The SEC published notice of a proposed rule change filed by Cboe Exchange, Inc. on October 21, 2026, to enhance the Missed Liquidity Report offered as part of the Cboe Timestamping Service. The filing was submitted as a non-controversial rule…

Machine-verified against the primary source and selected for publication by the Regulus desk. Not individually read by an editor. Lead briefings and anything our checks flag always are — how we review.