Message Dissemination
Cboe Auction information to be disseminated during the following time periods for Cboe Auctions.
| Auction Type | Time Range |
|---|---|
| Opening | 8:00 - 9:30 a.m. ET |
| Closing | Every 5 seconds between 3:00 and 3:59 p.m. and every 1 second between 3:59 and 4:00 p.m. |
| IPO/New Issue | During Quote Only Period |
| Halt | During Quote Only Period |
The following fields will be included on all auction update messages:
- Time: Message event time.
- Security: Symbol of the subject security.
- Auction Type: O-Opening Auction; C-Closing Auction; H-Auction for Halt; I-Auction for IPO/New Issue
- Reference Price: The Reference Price is based upon Eligible Auction Orders only. The price is calculated at or within the Reference Price Range for the security. The Reference Price is set to the price that maximizes the shares associated with the lesser of the Reference Buy Shares and the Reference Sell Shares (as determined at each price level within the Reference Price Range), that minimizes the absolute difference between Reference Buy Shares and the Reference Sell Shares, and minimizes the distance from the Volume Based Tie Breaker. Shares of Eligible Auction Orders may be unmatched at the Reference Price.
- Reference Price Range: The prices between and including the NBB and the NBO. In the event that there is no NBBO, this will be the price of the Final Last Sale Eligible Trade. The Reference Price Range is used only for the purpose of calculating the Reference Price and will not be disseminated as part of the Cboe Auction information.
- Reference Buy Shares: The total number of shares associated with buy-side Eligible Auction Orders that are priced equal to or greater than the Reference Price.
- Reference Sell Shares: The total number of shares associated with sell-side Eligible Auction Orders that are priced equal to or less than the Reference Price.
- Indicative Price: The price at which the auction book and the continuous book would match. Shares in the auction book and continuous book may be unmatched at the Indicative Price.
- Auction Only Price: The price at which the auction book would match using only Eligible Auction Orders. In the event there is no price at which the auction book would match, the value will be zero. Shares in the auction book may be unmatched at the Auction Only Price.