CCS Service Description

The figure below presents the high-level CCS workflow from the TPH perspective, followed by a description of the numbered steps. Service availability scheduling and intraday timing of each workflow step is presented later in this document.

1. TPHs upload position specification files to the CCS through the CCS portal, which is accessed through the secure firm login used to access all other exchange services and administration functions. TPH submissions contain a specification of each position being submitted for multilateral compression and/or match data dissemination. Checkboxes are presented for multilateral compression and/or match data for TPHs to choose which or both services. For TPHs that opt-in to multilateral compression, cost and risk constraints are optionally specified by TPHs to constrain the cost of compression relative to TPH-specified theoretical values and the acceptable risk profile of compression portfolios. The input file format to specify position and constraint specifications is presented later in this document.
2. At the end of the input submission window, TPHs are notified via email that the submission window has closed, and the system has started computing a candidate multilateral compression portfolio for those TPHs that opt-in to multilateral compression. The CCS portal interface changes from input submission to an informational message indicating that multilateral compression computation is in-progress and to standby for results. TPHs that opt-in to match data service only (i.e., no multilateral compression) wait for the multilateral compression to complete, after which they participate in the bilateral match data service.
3. When the system has completed calculating a candidate multilateral compression portfolio, TPHs that opt-in for multilateral compression will see the CCS portal change from 'stand by' to 'candidate portfolio ready for download, analysis and approval'. Additionally, email notifications are sent to participating TPHs announcing that results are available for download. This event starts the 'approval window', which is a time period during which TPHs are expected to download and analyze portfolio files.
4. TPHs use links presented in the CCS portal to download detail and trade level output files specifying their subset of the candidate multilateral compression portfolios. The detail file presents a decorated version of the originally submitted input file that adds traded quantities of each position, system prescribed compression prices used for each option trade, and details of all cost and risk constraint calculations. TPHs use the detail file to efficiently confirm that all specified constraints are satisfied. The trade file is a simple trade blotter presenting details of the trades that will be cleared upon unanimous approval by all participating TPHs.
5. Having analyzed the candidate compression portfolio trades, risk profile, and cost constraints, TPHs use the CCS portal to approve or reject the candidate multilateral compression portfolio. Approving or rejecting a portfolio requires the entry of an approval token, which is embedded in the detail output file. This step confirms that the TPH has opened and reviewed the detail output file corresponding to the compression portfolio being approved. If a TPH fails to approve or reject the portfolio by the end of the approval window, the system will consider the TPH to have rejected the candidate portfolio. Any TPH that receives zero compression trades in their compression portfolio will be automatically deemed to have accepted the portfolio. In the event that one or more TPHs reject or fail to approve or reject during the approval window (i.e., times out), TPHs are notified via email that the compression portfolio has not been unanimously approved and no trades will be consummated as a result.
6. When all participating TPHs have approved the candidate compression portfolio, the system begins to process the trades comprising portfolio through the Cboe Exchange trading system. While the trading system is processing compression portfolio trades, the CCS portal interface will indicate that the system is computing post-compression match data for those TPHs that opt-in to the match data service (see step 10 below).
7. TPHs are notified of CCS compression trades with Execution Report messages over FIX Drop ports in real-time. CCS trades are identified using the TradeLiquidityIndicator(9730) and Compression(22006) fields. The value C in the 2^nd character of the TradeLiquidityIndicator(9730) field uniquely identifies compression trades resulting from the CCS system. Note that the FIX Drop port attribute Send 2^nd Liquidity Character must be configured to Yes (default value is No) in order to receive the 2^nd character. This confirmation is necessary to differentiate CCS trades from compression trades executed as a result New Order Cross messages with CrossType set to 4 (PCC) submitted over an order entry port.
8. CCS compression trades are disseminated on exchange Multicast PITCH and TOP feeds as Trade Messages with Trade Condition set to u.
9. CCS compression trades are available in standard daily Trade Data files and monthly Trade Detail files accessible through the firm portal.
10. CCS compression trades are reported to OPRA using a type code of u which represents 'Multilateral Compression Trade of Proprietary Products'.
11. CCS compression trades are submitted to the OCC for clearing same day (day of trade) using information provided by TPHs when registering to use multilateral compression functionality of the CCS.
12. CCS generates Consolidated Audit Trail (CAT) data files for participating Industry Members ( IM = TPH) using profile information provided by TPH as specified in Service Registration and Consolidated Audit Trail (CAT) Reporting. TPHs can opt-in to self-reporting the IM data, in which case, they download the generated IM data files via the Cboe Web Portal and submit directly to the CAT.
13. Consummated compression trades will be reported via the standard trade reporting files with all other trades by the Clearing TPHs housing the positions on the business day following the associated compression cycle.