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.


Tag	Field Name	Req’d	Description
9355	CrossTradeFlag	Y	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
59	TimeInForce	Y	R = Regular Hours only (Required for Periodic Auction Only orders) All TIFs except FOK and IOC supported for Periodic Auction Eligible orders.
9479	DisplayIndicator	Y	I = Invisible
110	MinQty	N	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.
18	ExecInst	N	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.
211	PegDifference	N	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 value for Periodic Auction orders as the second character of TradeLiquidityIndicator (FIX Tag 9730). Firms can opt-in to receive the second character of this field at the firm or port level by contacting the Trade Desk.


Tag	Field Name	Req’d	Description
9730	TradeLiquidityIndicator	Y	1^st Character C = Auction/Uncrossing 2^nd Character P = Periodic Auction

New to Options?

Next Level Learning for More Advanced Investors

Periodic Auctions (BYX Only)