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US Equities FIX Port Attributes

The table below lists FIX port attributes that are configurable on the port or firm level. Changes to these attributes can be made by sending a written request to tradedesk@cboe.com.

Note that any changes made to any port attribute will not be enforced on carried GTC orders. Members who wish to apply updated port attributes to resting GTC orders must cancel those orders, and then resubmit them following the effective time of the port attribute change.

Table 1. US Equities FIX Port Attributes
AttributeDefaultDescription
All Routable To Halt Auction (BZX and EDGX Only)NoSend all routable orders to the halt auction on the primary listing exchange. This applies to all routing strategies.
Allow Directed ISO*YesAllows or disallows ISO orders directed to other market centers.
Allow ISO*YesAllows or disallows ISO orders.
Allow MTP Decrement Override*NoOverrides the exception that requires both the resting and inbound order to be marked as "Decrement".
Allow Post-market*YesAllows for orders to be entered after the Regular Session close.
Allow Pre-market*YesAllows for orders to be entered prior to Regular Session open.
Allow Short Sales*YesAllows or disallows short sales.
Allow Sponsored Participant MTP Control*NoAllows Sponsored Participant to override port default for MTP by using PreventMemberMatch (7928) on order-level.
Allow Test Symbols OnlyNoAllow or disallow orders in non-test symbols.
Allowed Clearing MPID(s)*All MPIDsClearing MPID(s) allowed for trading on port.If "Sponsored Port" attribute is enabled, only one Clearing MPID is allowed for trading on that port.
Cancel on DisconnectOption #1

Cboe will offer members 3 options for cancelling orders as a result of a session disconnect:

  1. Cancel Continuous Book Orders Only (default)
  2. Cancel All Open Orders (continuous books and On-Open, On-Close and Late orders)*
  3. Do Not Cancel Any Open Orders

*If disconnect occurs during the cut-off period for an auction, On-Open, On-Close and Late orders that are to participate in the auction will not be cancelled.

Cancel on HaltNoCancel open orders for a symbol upon a halt.
Cancel on ME DisconnectYesWhen set to "No", this setting allows orders to remain open on a Matching Unit failover. When set to "Yes", all open orders associated with a session are immediately cancelled in the event of loss of connectivity to a Matching Unit. In any event, if a failover takes longer than five minutes, all orders are cancelled unconditionally.
Cancel on Reject†NoCancels an order upon a modify reject.
Cancel Open Orders on DROP Port Disconnect*NoOnly applicable for sessions where "Reject Orders on DROP Port Disconnect" has been enabled. If all DROP ports associated with an order entry port become disconnected, cancel all open orders on the order entry port.
Capacity OverrideNone
  • When set, the capacity of individual orders received on the port will default to the member-specified order capacity.
  • None = No override (Default)
  • A=Agency
  • P=Principal
  • R=Riskless Principal
Concatenate CompId and SubIdNoRequires all FIX traffic to contain concatenated (combined) Comp and SubIds.
Crossed Market Reject/CancelNoReject new orders upon receipt when the NBBO in the subject security is crossed. Routable orders will have any remaining quantity cancelled back if the NBBO is crossed when the order returns to the Cboe Book. Order modifications which cause a loss of priority (e.g. due to a price change or increase in size) will result in a cancel of the original order if the NBBO is crossed upon receipt of the modify instruction.
Decrement Remainder OnlyNoEnables "d" option for MTP. See PreventMemberMatch (7928) for details.
Default Attributed Quote*†%NeverSpecifies a default value for AttributedQuote (9732). May only override at order to level after executing Attribution Addendum to Exchange User Agreement. Once Addendum has been executed, may default to Yes, No, or RTAL through Cboe Trade Desk.
Default Clearing MPIDNoneDefault MPID to use if none is sent on New Order.
  • Default CrossTradeFlag
  • (BYX Only)
0
  • Sets default CrossTradeFlag (9355) for inbound orders to designate Periodic Auction eligibility.
  • 0=None (Default)
  • 1=Periodic Auction Only
  • 2=Periodic Auction Eligible
  • 3=Midpoint Peg - Periodic Auction Only
  • When set to ‘2’, IOC, FOK, and displayed orders are not converted to a Periodic Auction Eligible order and are sent to the book as-is. When set to '2', DisplayIndicator (9479) will be ignored if ExecInst (18) = m or M.
  • When set to ‘3’, IOC, FOK, IOC/FOK orders with ExecInst (18) = M, and all other orders where ExecInst (18) does not = m will not be converted and will be sent to the book as-is.
  • When set to ‘3’, all non-IOC/FOK orders with ExecInst (18) = M will be converted to RHO Midpoint Peg - Periodic Auction Only order.
  • Orders with the following RPI instructions will set this port attribute to '0': ExtendedExecInst (9416) = R or P, plus is an IOC, or ExtendedExecInst = T.
Default Exec. Instruction†NoneSpecifies a default value for ExecInst (18).
Default MTP Value*†NoneSpecifies Default value for PreventMemberMatch (7928). When set to ‘X’, Affiliate Firm’s or Sponsored Particpant’s match trade prevention will be used by default.
Default Price Sliding†"S"Default price sliding behavior. See DisplayIndicator (9479).
  • Default Pricing Sliding
  • (Hidden Order Override)†
"S"When a different default price sliding behavior is desired for hidden orders, this port attribute may be used. See DisplayIndicator (9479).
  • Default Routing Instruction
  • (Hidden Order Override)†
Use Default Routing InstructionSpecifies a default value for Tag 9303 (RoutingInst) that is applied to hidden orders only.
Default Routing Instruction†
  • 9303=RD
  • 9350=RTI
  • 9400=ROUT
Specifies a default value for Tags 9303 (RoutingInst), 9350 (RoutDeliveryMethod), and 9400 (RoutStrategy) when 9303 = R. Fields can be overridden at the order level.
Default to Retail Order†%^NoneDefault ExtendedExecInst (9416) = R, ‘P’, or ‘X’.
Disallow Market OrdersOption #1

Controls the acceptance or rejection of inbound Market orders during continuous trading.

  1. Do not restrict Market orders.
  2. Reject Market orders during continuous trading, but allow Market orders during openings, re-openings, auctions, and auction routing (e.g. ROOC).
  3. Reject all Market orders except MOO and MOC orders (including CMC orders).
Duplicative Order Protection ActionOption #1

Action taken when Duplicative Order Protection criteria is met.

  1. Not enabled
  2. Reject new offending orders
  3. Disable port for ClearingFirm. Must call Cboe Trade Desk to re-enable.
Duplicative Order Protection Order Count ThresholdNoneNumber of consecutive orders with the same ClearingFirm, Price, OrdQty, and Symbol that must be seen to initiate Duplicative Order Protection Action.
Early Trading Session Opt-Out (Sunset Effective 12/07/26)No
  • Allows orders to be executable during the Early Trading Session. If set to Yes, the following TimeInForce values will be translated:
  • 0 (DAY) → E (PRE)
  • 5 (GTX) → X (PTX)
  • 6 (GTD) → T (PTD)
Echo Tag 40 on AckNoReturn OrdType (40) value on FIX Ack. Note that this value will also be returned on Order by Order FIX DROP.
Echo Tag 47 on AckNoReturn OrderCapacity (47) value on FIX Ack. Note that this value will also be returned on Order by Order FIX DROP.
Enable State Change Tracking^NoAllows for tracking of the state of routable orders. See State Change Tracking for more information.
Enable True MinQtyNo
  • Do not aggregate multiple contra orders to meet the MinQty specified on an order.
  • If 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 (BYX Only).
Enforce Rate Limit via PauseFalse
  • When set to False, the existing Port Order Rate Threshold, Sustained Port Order Rate Threshold, Symbol Order Rate Threshold, and Sustained Symbol Order Rate Threshold port attributes will be enforced by rejects (as described).
  • When set to True, Port Order Rate Threshold, Sustained Port Order Rate Threshold, Symbol Order Rate Threshold, and Sustained Symbol Order Rate Threshold port attributes will be enforced by read pause instead of by rejects.
Fat Finger Protection*None
  • Specifies a percentage or dollar based limit price tolerance where any orders entered with a limit price that is through the NBBO by an amount greater than or equal to the defined percentage or dollar amount will be rejected. Limits may be different for different price ranges. Does not apply to RHO orders entered prior to the open until they move to continuous trading.
  • See the Cboe Titanium U.S. Equities/Options Web Portal Port Controls Specification for more details.
Force MDO with QDP (EDGA and EDGX Only)n
  • When set, midpoint and standard MDO order types will default to MDO with QDP orders.
  • n = Do nothing (default)
  • b = Book only MDO with QDP
  • p = Post only MDO with QDP
Gross Daily Risk Limit Order Notional Cutoff*NoneOptional parameter that if specified will result in rejects for limit orders when gross exposure of limit orders exceeds this value. Whole dollar value not to exceed $1B/port.
Gross Daily Risk Limit Order Notional Warn %NoneOptional parameter that will generate an email notification when the corresponding Cutoff risk limit exceeds a user defined percentage.
Gross Daily Risk Market Order Notional Cutoff*NoneOptional parameter that if specified will result in rejects for market orders when gross exposure of limit orders exceeds this value. Whole dollar value not to exceed $1B/port.
Gross Daily Risk Market Order Notional Warn %NoneOptional parameter that will generate an email notification when the corresponding Cutoff risk limit exceeds a user defined percentage.
Hold Early Orders Until (BZX and EDGX Only) (Effective 12/07/26)FalseIf configured, the system will use the later of the start time specified here or the start time of the TimeInForce value specified on the order. Start times may be set in 1/2 hour increments up to 9:00 a.m. ET.
Hold Early to 7am (BZX and EDGX Only) (Sunset Effective 12/07/26)False
  • Controls the executable time of orders submitted prior to 7:00 a.m. ET with a TimeInForce (59) that allows trading in the Early Trading Session.
  • False=Orders may enter the book and trade as early as 4:00 a.m. ET.
  • True=Orders will be queued until 7:00 a.m. ET.
Lock Auction Orders (BYX Only)False
  • Disallow order cancellation during periodic auction.
  • False=Allow cancellations
  • True=Do not allow cancellations
Maximum Order Dollar Value*UnlimitedMaximum order dollar value per order.
Maximum Order Size*25,000Maximum number of shares allowed per order.
Microsecond Timestamp GranularityNoDisplay microsecond level timestamp granularity for TransactTime (60), OrigTime (42) and SendingTime (52). These tags default to millisecond or second granularity.
MPID Filter for Purge PortsNoneSpecify up to ten MPIDs per purge port for which purges will be permitted. If a purge request specifies an MPID not included in the list of configured MPIDs, the purge request will be rejected. If a purge port is configured with multiple MPIDs and a purge request is sent without any MPIDs specified, the purge will be applied only to the list of configured MPIDs.
Net Daily Risk Limit Order Notional Cutoff*NoneOptional parameter that if specified will result in rejects for limit orders when net exposure of limit orders exceeds this value. Whole dollar value not to exceed $1B/port.
Net Daily Risk Limit Order Notional Warn %NoneOptional parameter that will generate an email notification when the corresponding Cutoff risk limit exceeds a user defined percentage.
Net Daily Risk Market Order Notional Cutoff*NoneOptional parameter that if specified will result in rejects for market orders when net exposure of limit orders exceeds this value. Whole dollar value not to exceed $1B/port.
Net Daily Risk Market Order Notional Warn %NoneOptional parameter that will generate an email notification when the corresponding Cutoff risk limit exceeds a user defined percentage.
Notional Cutoff Aggregation Methods*
  • Gross exposure=CBB + CBO + CEB + CEO.
  • Net exposure=ABSOLUTE VALUE of [(CEO + CBO) - (CEB+CBB)]
  • On a given port Cboe will calculate and track four values as follows:
  • Cumulative Notional Booked Bid Value (CBB) - The sum of limit price * size for all buy limit orders on the book.
  • Cumulative Notional Booked Offer Value (CBO) - The sum of limit price * size for all sell limit orders on the book.
  • Cumulative Notional Executed Bid Value (CEB) - The sum of size * trade price on all executed buy orders.
  • Cumulative Notional Executed Offer Value (CEO) - The sum of size * trade price on all executed sell orders.
Opt-out of PITCH ObfuscationNoOpt-out all orders from PITCH Order Id obfuscation for hidden and reserve orders.
Port Order Rate Threshold
  • Default=5000 msgs/sec
  • Max allowed=5000 msgs/sec
  • Max allowed=10,000 msgs/sec(EDGX Only)
  • The maximum allowed message rate on the session. When the first non-administrative message is received, a one second window begins. During the second no more than 4,999 additional non-administrative messages will be allowed within that window. If the rate is exceeded all new orders in the time window are rejected, modifies are treated as cancels, and cancels are processed.
  • If maximum rate limit of 10,000 is requested, no more than 9,999 additional non-administrative messages will be allowed within that one second window. (EDGX Only)
  • Note: Order handler burst rates towards each matching unit may be limited as described in Architecture and Message in Flight Settings.
Reject Market Orders Without NBBONoReject Market Orders (including unpriced Peg Orders and Stop Orders) when there is no NBBO on the opposite side.
Reject Orders on DROP Port Disconnect*NoAllows Member/Sponsoring Firms to associate a DROP port(s) to an order entry port(s). Once the association has been established, if no DROP ports associated with an order entry port are connected, reject orders on the order entry port until at least one of the DROP port session connections have been established.
Reject Orders on DROP Port Timeout (s)*30Only applicable for sessions where "Reject Orders on DROP Port Disconnect" has been enabled. When the last associated DROP port for the order entry session has disconnected, the reject/cancel actions will be taken on the order entry session if an associated DROP port has not reestablished its connection in the defined time. Minimum value allowed is 20.
Report MTP Fields*^NoEnables LastPx (31), LeavesQty (32) and SecondaryOrderId (198) on Execution Reports caused by MTP.
Report Working PriceNoReports WorkingPrice (9690) and InitialDisplayPrice (9691).
Require RiskGroupIDsNoRequire that every order submitted on the port include one of the allowed RiskGroupID (7699) values that is configured on the port. If configured this will cause orders without one of the listed RiskGroupIDs to be rejected.
Restate on Reload^NoGenerates FIX Restatement on reserve order reload with new PITCH Order Id in Tag 198, and populates the new PITCH Order ID in Tag 198 of a Cancel/Replace acknowledgment that increases the size of a reserve order.
Routing Retail Indicator (EDGX Only)NoMark orders as retail when routing to dark liquidity pools.
Send Nanoseconds NoDisplay nanosecond level timestamp granularity for TransactTime (60), and OrigTime (42), and SendingTime (52). If send nanoseconds and microseconds are both selected, nanoseconds will override.
Send Peg Restatements^Option #1

Send order restatements for Peg order moves.

  1. No Peg restatements (default)
  2. Market Maker Peg orders only
  3. All Peg orders except Market Maker Peg orders
  4. All Peg orders
Send Trade Breaks^NoEnables Trade Break Messages (35=UCC).
Session Close HandlingOption #1
  • Customize message that would normally be sent at the regular market (4PM) and session close (8PM). Also functional during early close situations. Times in ET.
  • Options supported are as follows:
  1. Send Cancels (Default) - A Cancel message will be sent for all expired orders.
  2. Suppress Cancels - No message will be sent and it is the member’s responsibility to close all expired orders in their system.
  • Send DoneForDay - A DoneForDay message will be sent in place of the Cancel message for each order that has expired and is no longer eligible for execution. DoneForDay messages are sent via OrdStatus (39) = 3 and ExecType (150) = 3.
Single Order ADV Check*NoneReject orders when order size exceeds a specified percentage of the 20-day ADV. Members may also specify a 20-day ADV amount below which the check will not be applied.
Sponsored PortNoDesignates that the session will carry Sponsored flow.
Sponsoree Firm IDNoneOnly available when Sponsored Port is set to 'Yes'. Will be populated with the Sponsored Firm's Firm ID.
Sustained Port Order Rate Threshold (EDGX Only)
  • Default=25000 msgs/5 sec
  • Max allowed=25000 msgs/sec
  • The maximum allowed message rate on the session. When the first non-administrative message is received, a five second window begins. During the five seconds no more than 24,999 additional non-administrative messages will be allowed within that window. If the rate is exceeded all new orders in the time window are rejected, modifies are treated as cancels, and cancels are processed.
  • Note: Order handler burst rates towards each matching unit may be limited as described in Architecture and Message in Flight Settings.
Sustained Symbol Order Rate Threshold (EDGX Only)25000 msgs/5 sec
  • Functions the same as the Port Order Rate Threshold but is calculated at the symbol level. It is capped by the Port Order Rate Threshold.
  • Note: Order handler burst rates towards each matching unit may be limited as described in Architecture and Message in Flight Settings.
Symbol Order Rate Threshold
  • 5000 msgs/sec
  • Max allowed=10000 msgs/sec(EDGX Only)
  • Functions the same as the Port Order Rate Threshold but is calculated at the symbol level. It is capped by the Port Order Rate Threshold.
  • Note: Order handler burst rates towards each matching unit may be limited as described in Architecture and Message in Flight Settings.
Unique Wash Execution IdsNoAppends a ‘.B’ or ‘.S’ to ExecID (17) on all trades.

* Sponsored Participants require written approval from Sponsors to update these settings on ports associated to a Sponsor’s MPID.

† Port attribute can be overridden via FIX on an order by order basis.

% Requires agreement for use of feature.

^ Requires certification.

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