Sign In
View Entire Document

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. Members can populate the following instructions to send a Periodic Auction order.

Table 1. Periodic Auctions Fields
Field NameReq’dDescription
CrossTradeFlagY
  • Can be entered on individual orders or as a port setting.
  • 0 = None (to override port settings if necessary)
  • 1 = Periodic Auction Only
  • 2 = Periodic Auction Eligible
TimeInForceY
  • R = Regular Hours only (Required for Periodic Auction Only orders)
  • All TIFs except FOK and IOC supported for Periodic Auction Eligible orders.
DisplayIndicatorY I = Invisible
MinQtyN
  • Minimum total fill quantity, which may be made up of several consecutive smaller fills.
  • If Enable True MinQty port attribute is set to Yes, orders will be converted into standard MinQty during a Periodic Auction. Periodic Auction Eligible orders will remain as True MinQty in the continuous book.
ExecInstN
  • If OrdType (40) = P, only the following are accepted for Periodic Auction Only orders:
  • R = Primary Peg
  • M = Midpoint Peg
  • If OrdType (40) = P, all instructions allowed for Periodic Auction Eligible orders. If ExecInst = m, the No Trade in a Locked Market instruction will only be applied when the PAE order is live in continuous book trading and will not apply to either initiating a Periodic Auction or to executing at the conclusion of the Periodic Auction.
PegDifferenceN
  • For Periodic Auction Only Orders, aggressive offsets only for primary peg orders. Orders with passive offsets will be rejected.
  • No restrictions for Periodic Auction Eligible Orders.

The Execution Report will contain a new SubLiquidityIndicator value for Periodic Auction orders.

Table 2. Periodic Auctions Execution Report Field
Field NameReq’dDescription
SubLiquidityIndicatorY P = Periodic Auction
PreviousNext
Cboe Titanium U.S. Equities BOEv3 Specification - Periodic Auctions (BYX Only) | Cboe