Order Execution Message Fields

An Order Execution message is sent for each fill on an order.

Rather than returning a monetary value indicating the rebate or charge for an execution, the FeeCode is an indication of a fee classification corresponding to an item on the venue's fee schedule.

Permitted return bitfields are described in Order Execution.

Field Offset Length Data Type Description

StartOfMessage 0 2 Binary Must be 0xBA 0xBA.

MessageLength 2 2 Binary Number of bytes for the message, including this field but not including the two bytes for the StartOfMessage field.

MessageType 4 1 Binary 0x2C

MatchingUnit 5 1 Binary The matching unit which created this message. Matching units in BOE correspond to matching units on Multicast PITCH.

SequenceNumber 6 4 Binary The sequence number for this message. Distinct per matching unit.

TransactionTime 10 8 DateTime The time the event occurred in the Cboe Matching Engine (not the time the message was sent).

ClOrdID 18 20 Text Order receiving the execution.

ExecID

Binary

Corresponds to ExecID (17) in Cboe FIX.
Execution ID. Unique across all matching units on a given day. Note: ExecIDs will be represented on ODROP and FIXDROP ports as nine character, base 36 ASCII. Leading zeros should be added if the converted base 36 value is shorter than nine characters.

Table 2. Example Conversion
Decimal	Base 36
28294005440239	A1234B567
76335905726621	R248BC23H
728557228187	09AP05V2Z

LastShares

Binary

Corresponds to LastShares (32) in Cboe FIX.
Executed share quantity.
Reports the amount of shares cancelled for Cboe Market Close restatements, which are sent at approximately 3:49 p.m. ET.
Reports the size of Cboe Market Close fills, which are sent after the official closing price is received from the primary listing exchange .

LastPx

Binary Price

Corresponds to LastPx (31) in Cboe FIX.
Price of this fill. Note the use of Binary Price type to represent positive and negative prices, which can occur with complex instruments.
Reports the price of Cboe Market Close fills, which are sent after the official closing price is received from the primary listing exchange .

LeavesQty

Binary

Corresponds to LeavesQty (151) in Cboe FIX.
Quantity still open for further execution. If zero, the order is complete.

BaseLiquidity Indicator

Alphanumeric

Indicates whether the trade added or removed liquidity.
A=Added Liquidity
C=Auction/Uncrossing
R=Removed Liquidity
W=Waiting for execution at pre-market time as defined by TimeInForce value and 'Hold Early to 7am' port setting. Only applied on the initial order acknowledgment.
X=Routed to Another Market

SubLiquidityIndicator

Alphanumeric

Cboe may add additional values without notice. Members must gracefully ignore unknown values.
ASCII NUL (0x00) = No additional information
E=Trade added RPI liquidity (BYX and EDGX)
H=Trade added hidden liquidity
I=Trade added hidden liquidity that was price improved
J=Execution from first order to join the NBBO
P=Periodic Auction (BYX Only)
S=NBBO-Setter fee eligible
V=Visible liquidity add trade that was price improved
m=Midpoint Peg Order
s=Order set the NBBO but is not fee eligible

ContraBroker

Alphanumeric

Corresponds to ContraBroker (375) in Cboe FIX.
All externally matched (routed) executions will identify the away exchange.
AMEX=Routed to NYSE American
ARCA=Routed to NYSE Arca
BEX=Routed to Nasdaq Texas
CHX=Routed to NYSE Texas
ICRS=Routed to Intelligent Cross (pending approval)
IEX=Routed to Investors Exchange
INET=Routed to Nasdaq
LTSE=Routed to Long Term Stock Exchange
MEMX=Routed to Members Exchange
NYSE=Routed to NYSE
PERL=Routed to MIAX PEARL Exchange
PSX=Routed to Nasdaq PSX
NSX=Routed to NYSE National
DRT=Routed to DRT Pool
TFXE=Routed to 24X National Exchange
TXSE=Routed to Texas Stock Exchange
BATS=Routed to Cboe BZX Exchange*
BYXX=Routed to Cboe BYX Exchange*
EDGA=Routed to Cboe EDGA Exchange*
EDGX=Routed to Cboe EDGX Exchange*
* Internally matched if ContraBroker matches the identifier of the local trading platform’s book.

ReservedInternal 68 1 Binary Reserved for Cboe internal use.

NumberOfReturn Bitfields 69 1 Binary Number of bitfields to follow.

ReturnBitfield¹ 70 1 Binary Bitfield identifying fields to return.

…

ReturnBitfieldᶯ 1 Binary Last bitfield.

Optional fields…

Table 3. Order Execution Message Example
Field Name	Hexadecimal	Notes
StartOfMessage	`BA BA`	Start of message bytes
MessageLength	`53 00`	83 bytes
MessageType	`2C`	Order Execution
MatchingUnit	`03`	Matching Unit 3
SequenceNumber	`64 00 00 00`	Sequence number 100
TransactionTime	`E0 FA 20 F7 36 71 F8 11`	1,294,909,373,757,324,000
ClOrdID	`41 42 43 31 32 33 00 00 00 00 00 00 00 00 00 00 00 00 00 00`	ABC123
ExecID	`01 F0 B7 D9 71 21 00 00`	D19800001 (base 36)
LastShares	`64 00 00 00`	100 shares
LastPx	`08 E2 01 00 00 00 00 00`	12.34
LeavesQty	`14 00 00 00`	20 contracts
BaseLiquidityIndicator	`41`	A=Added
SubLiquidityIndicator	`00`	(unset)
ContraBroker	`42 41 54 53`	BATS
ReservedInternal	`00`	Ignore
NumberOfReturn Bitfields	`03`	3 bitfields to follow
ReturnBitfield₁	`00`	No bitfields from byte 1
ReturnBitfield₂	`00`	No bitfields from byte 2
ReturnBitfield₃	`46`	ClearingFirm, ClearingAccount, OrderQty
ClearingFirm	`54 45 53 54`	TEST
ClearingAccount	`31 32 33 43`	1234
OrderQty	`78 00 00 00`	120 shares

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Order Execution Message Fields