How should a market center report under the Rule when the Consolidated BBO used to calculate the Rules statistics appears to be erroneous?
Market centers should apply two standard filters to address a potentially erroneous Consolidated BBO (in addition to the procedure for handling crossed quotes addressed in Question 7 above). First, the Commission has exempted any order received during a time when the Consolidated BBO reflects a spread (the difference between the offer and the bid) that exceeds $1 plus 5% of the midpoint of the Consolidated BBO.23 Second, a market center should reject a potentially erroneous Consolidated BBO in calculating any of the Rule’s statistics if both (1) the midpoint of such Consolidated BBO (the “variant BBO”) varies by more than 20% from the midpoint of the immediately preceding Consolidated BBO (the “original BBO”), and (2) the midpoint of the next succeeding Consolidated BBO (“correcting BBO”) reverts back to within 20% of the midpoint of the original BBO. In this case, the market center should use the correcting BBO for orders that otherwise would refer to the variant BBO. If, however, the
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