Periodic Auctions (BYX Only)

The Periodic Auction process is a price forming auction that runs for a fixed time period of 100 milliseconds and is only available during the regular trading session. A Periodic Auction starts when two opposite side Periodic Auction orders of either type can match. Continuous book displayed and non-displayed orders are not eligible to initiate a Periodic Auction but may be swept into the auction at the end of the auction process. CrossTradeFlag (FIX Tag 9355) can be used to enter Periodic Auction orders.

Periodic Auction Only

• Will only execute in a Periodic Auction. Will not be eligible for trading in the continuous book.
• Eligible to initiate a Periodic Auction when matched with a contra-side Periodic Auction order.
• Must include a limit price.
• Periodic Auction Only Orders must have a TimeInForce (FIX Tag 59) of RHO.

Periodic Auction Eligible

• Eligible to trade in both Periodic Auction and continuous book orders.
• Eligible to initiate a Periodic Auction when matched with a contra-side Periodic Auction order.
• Upon entry will (1) trade immediately on the continuous book when the Periodic Auction Eligible order matches with a non-Periodic Auction Eligible order; (2) Initiate a Periodic Auction if the Periodic Auction Eligible order matches with a Periodic Auction Only or Periodic Auction Eligible Order; or (3) post to the book and be ranked as Non-Displayed Limit Orders consistent with Rule 11.12(a). Whether an incoming Periodic Auction Eligible Order trades immediately with the continuous book, initiates a Periodic Auction, or posts to the book is determined by the ranking of resting continuous book orders, Periodic Auction Eligible orders, and Periodic Auction Only Orders that reside in the System at the time of Periodic Auction Eligible Order entry.
• Will be locked from trading in the continuous book upon initiation of a Periodic Auction.
• Periodic Auction Eligible Orders with a TimeInForce of IOC or FOK will not be accepted.