Self-Regulatory Organizations; Cboe C2 Exchange, Inc.; Notice of Filing and Immediate Effectiveness of a Proposed Rule Change To Adopt Fees for the All Cancels Report

<NOTICE> SECURITIES AND EXCHANGE COMMISSION <DEPDOC>[Release No. 34-103842; File No. SR-C2-2025-024]</DEPDOC> <SUBJECT>Self-Regulatory Organizations; Cboe C2 Exchange, Inc.; Notice of Filing and Immediate Effectiveness of a Proposed Rule Change To Adopt Fees for the All Cancels Report</SUBJECT> <DATE>September 3, 2025.</DATE> Pursuant to Section 19(b)(1) of the Securities Exchange Act of 1934 (the “Act”)  <SU>1</SU> <FTREF/> and Rule 19b-4 thereunder, <SU>2</SU> <FTREF/> notice is hereby given that on August 25, 2025, Cboe C2 Exchange, Inc. (the “Exchange” or “C2”) filed with the Securities and Exchange Commission (the “Commission”) the proposed rule change as described in Items I, II, and III below, which Items have been prepared by the Exchange. The Commission is publishing this notice to solicit comments on the proposed rule change from interested persons. <FTNT> <SU>1</SU>  15 U.S.C. 78s(b)(1). </FTNT> <FTNT> <SU>2</SU>  17 CFR 240.19b-4. </FTNT> <HD SOURCE="HD1">I. Self-Regulatory Organization's Statement of the Terms of Substance of the Proposed Rule Change</HD> Cboe C2 Exchange, Inc. (the “Exchange” or “C2”) proposes to adopt fees for its new offering of a market data report. The text of the proposed rule change is provided in Exhibit 5. The text of the proposed rule change is also available on the Exchange's website ( <E T="03">http://markets.cboe.com/us/options/regulation/rule_filings/ctwo/</E> ) and at the Exchange's Office of the Secretary. <HD SOURCE="HD1">II. Self-Regulatory Organization's Statement of the Purpose of, and Statutory Basis for, the Proposed Rule Change</HD> In its filing with the Commission, the Exchange included statements concerning the purpose of and basis for the proposed rule change and discussed any comments it received on the proposed rule change. The text of these statements may be examined at the places specified in Item IV below. The Exchange has prepared summaries, set forth in sections A, B, and C below, of the most significant aspects of such statements. <HD SOURCE="HD2">A. Self-Regulatory Organization's Statement of the Purpose of, and Statutory Basis for, the Proposed Rule Change</HD> <HD SOURCE="HD3">1. Purpose</HD> The Exchange proposes to amend its fee schedule to adopt fees for the All Cancels Report, effective August 25, 2025. The Exchange recently adopted a new data product known as the All Cancels Report as part of the Cboe Timestamping Service. <SU>3</SU> <FTREF/> The Cboe Timestamping Service reports provide timestamp information for quotes, orders and cancels for Trading Permit Holders (“TPHs”). More specifically, the Cboe Timestamping Service reports provide various timestamps relating to the message lifecycle throughout the exchange system. The first report that is currently offered—the Missed Liquidity Report—covers order and quote messages and the second report—Cancels Report  <SU>4</SU> <FTREF/> —covers cancel messages. Lastly, the recent addition of the All Cancels Report supplements the existing Missed Cancels Report  <SU>5</SU> <FTREF/> by offering a comprehensive view of cancel behavior and messaging activity. In comparison to the existing Missed Cancels Report, the All Cancels Report includes all cancel-related messages sent by the subscriber, irrespective of whether the cancel attempt was successful or associated with a trade event. <FTNT> <SU>3</SU>   <E T="03">See</E> Securities Exchange Act Release No. 103706 (August 14, 2025), 90 FR 40402 (August 19, 2025) (SR-C2-2025-021). </FTNT> <FTNT> <SU>4</SU>  In connection with the offering of this new report, the Exchange proposes to modify the title of the current Cancels Report to Missed Cancels Report in order to provide clarity between the existing Cancels Report, and the new proposed All Cancels Report. </FTNT> <FTNT> <SU>5</SU>   <E T="03">Id.</E> </FTNT> The current Missed Cancels Report provides liquidity response time details for orders or quotes that rest on the book where the TPH receiving the report attempted to cancel that resting order or quote or any other resting order or quote within an Exchange-determined amount of time (not to exceed 1 millisecond) after receipt of the order or quote that executed against the resting order or quote and within an Exchange-determined amount of time (not to exceed 100 microseconds) before receipt of the order or quote that executed against the resting order or quote. For example, if a Recipient Firm sends in a cancel message, but an order resting on the Exchange order book was executed prior to the system processing the cancel message, the Missed Cancels Report can assist the Recipient Firm in determining by how much time that order missed being canceled instead of executing. <SU>6</SU> <FTREF/> <FTNT> <SU>6</SU>  For example, Participant A submits an order that is posted to the Exchange's Book and Participant B at some point thereafter submits a marketable order to execute against Participant A's resting order. Within 500 microseconds of submission of Participant B's order, Participant A sends a cancel message to cancel its resting order. Because Participant B's order is processed at the Matching Engine by the Exchange before Participant A's cancel message, Participant B's order executes against Participant A's resting order. The Missed Cancels Report provides Participant A the data points necessary for that firm to calculate by how much time they missed canceling its resting order. </FTNT> In contrast, the All Cancels Report provides a comprehensive view of cancel behavior and messaging activity when the subscriber is the originator of the cancel-related message. <SU>7</SU> <FTREF/> It is particularly useful for analyzing cancel patterns across all market scenarios, including those where no trade occurred. Cancel, cancel rejected, or purge/mass cancel records for the subscriber are included, regardless of their timing or relation to a trade. <FTNT> <SU>7</SU>  The report shall not include any trade records or aggressor information. </FTNT> The All Cancels Report will include the following data elements for cancels: (1) Message Type;  <SU>8</SU> <FTREF/> (2) Date; (3) Recipient Firm ID; (4) Session Sub ID; (5) Client Identifier;  <SU>9</SU> <FTREF/> (6) Cboe Order ID;  <SU>10</SU> <FTREF/> (7) Symbol; (8) Exchange System Timestamps;  <SU>11</SU> <FTREF/> (9) Matching Unit number;  and (11) Port Type. <SU>14</SU> <FTREF/> <FTNT> <SU>8</SU>  Represents if it was a cancel, mass cancel or purge, a cancel rejected, or a quote update cancel. </FTNT> <FTNT> <SU>9</SU>  The unique CIOrdID or MassCancelID assigned by the client. </FTNT> <FTNT> <SU>10</SU>  The Cboe Order ID is a unique reference number assigned by the Exchange. </FTNT> <FTNT> <SU>11</SU>  Includes Network Discovery Time (which is a network hardware switch timestamp taken at the network capture point); Order Handler NIC Timestamp (which is a hardware timestamp that represents when a BOE order handler server NIC observed the message and may not be available for certain reject cases); Order Handler Received Timestamp (which is software timestamp that represents when the FIX or BOE order handler has begun processing the order after the socket read and may not be available for certain reject cases); Order Handler Send Timestamp (which represents when the FIX or BOE order handler has finished processing the order and begun sending to the matching engine and may not be available for certain reject cases); Matching Engine NIC Timestamp (which is a hardware timestamp that represents when the target matching engine server NIC observed the message); and Matching Engine Transaction Timestamp (which is a software timestamp that represents when the matching engine has started processing an event). </FTNT> <FTNT> <SU>12</SU>  Represents the matching unit number. </FTNT> <FTNT> <SU>13</SU>  Flag to indicate whether a message was delayed due to message in flight limits ( <E T="03">i.e.,</E> a limit on the total number of messages in flight between an order handler and a matching engine). </FTNT> <FTNT> <SU>14</SU>  Refers to the port type used by the session to send the applicable message. </FTNT> The Exchange now proposes to assess the following monthly fees for TPHs that wish to purchase the All Cancels Report. The Exchange proposes a monthly flat fee of $1,500 for the All Cancels Report for a TPH. For a mid-month subscription, the monthly fee shall be prorated based on the initial date of the subscription. <HD SOURCE="HD3">2. Statutory Basis</HD> The Exchange believes the proposed rule change is consistent with the Securities Exchange Act of 1934 (the “Act”) and the rules and regulations thereunder applicable to the Exchange and, in particular, the requirements of Section 6(b) of the Act. <SU>15</SU> <FTREF/> Specifically, the Exchange believes the proposed rule change is consistent with the Section 6(b)(5)  <SU>16</SU> <FTREF/> requirements that the rules of an exchange be designed to prevent fraudulent and manipulative acts and practices, to promote just and equitable principles of trade, to foster cooperation and coordination with persons engaged in regulating, clearing, settling, processing information with respect to, and facilitating transactions in securities, to remove impediments to and perfect the mechanism of a free and open market and a national market system, and, in general, to protect investors and the public interest. Additionally, the Exchange believes the proposed rule change is consistent with the Section 6(b)(5)  <SU>17</SU> <FTREF/> requirement that the rules of an exchange not be designed to permit unfair discrimination between customers, issuers, brokers, or dealers. The Exchange also believes the proposed rule change is consistent with Section 6(b)(4) of the Act, <SU> ━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━ Preview showing 10k of 22k characters. Full document text is stored and available for version comparison. ━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━