Auction Update Message Fields
Auction Update messages disseminate Cboe price and size information during auctions for Cboe listed securities and for CMC. messages are sent every 5 seconds during the auction periods previously defined. Cboe disseminates Cboe Closing Auction information every 5 seconds between 3:00 and 3:59 p.m. and every 1 second between 3:59 and 4:00 p.m. for the Closing Auction.
An Auction Update message will be disseminated after each CMC matching session is complete for any symbol with matched CMC shares. An Auction Update message will show the size of the current matching session for the symbol. The Buy Shares and Sell Shares fields will be equal and indicate matched shares.
The Auction Update message has the following format:
| Field Name | Offset | Length | Data Type | Description |
|---|---|---|---|---|
| Timestamp | 0 | 8 | Numeric | Time stamp |
| Message Type | 8 | 1 | ‘I’ | Auction Update message |
| Stock Symbol | 9 | 8 | Alpha | Stock symbol right padded with spaces. |
| Auction Type | 17 | 1 | Alpha |
|
| Reference Price | 18 | 10 | Numeric | BBO Collared auction price (see Auction Process Spec). |
| Buy Shares | 28 | 10 | Numeric |
|
| Sell Shares | 38 | 10 | Numeric |
|
| Indicative Price | 48 | 10 | Numeric | Price at which the auction book and the continuous book would match. |
| Auction Only Price | 58 | 10 | Numeric |
|
The following extended version of the Auction Update message accommodates larger prices and has the following format:
| Field Name | Offset | Length | Data Type | Description |
|---|---|---|---|---|
| Timestamp | 0 | 8 | Numeric | Timestamp |
| Message Type | 8 | 1 | ‘3’ | Extended Auction Update message |
| Stock Symbol | 9 | 8 | Alpha | Stock symbol right padded with spaces. |
| Auction Type | 17 | 1 | Alpha |
|
| Reference Price | 18 | 14 | Long Price | BBO Collared auction price (see Auction Process Spec). |
| Buy Shares | 32 | 10 | Numeric |
|
| Sell Shares | 42 | 10 | Numeric |
|
| Indicative Price | 52 | 14 | Long Price | Price at which the auction book and the continuous book would match. |
| Auction Only Price | 66 | 14 | Long Price | Price at which the auction book would match using only Eligible Auction Orders (see Auction Process Spec). |