Auction Update Message Fields
Auction Update messages are used to disseminate Cboe price and size information during auctions for Cboe listed securities on BZX, and for Periodic Auctions on BYX. Refer to Cboe Titanium U.S. Equities Auction Process Specification for more information on Cboe Auctions.
Cboe Auction Update messages support the Cboe Opening, Closing, Halt and IPO Auctions on the BZX Exchange. The Auction Update messages are sent every 5 seconds during a Halt/IPO Quote-Only period. Effective 10/05/26, Opening Auction Update messages are disseminated every 5 seconds between 8:00 a.m. and when Opening Auction occurs. Cboe disseminates Closing Auction Update messages every 5 seconds between 3:00 and 3:59 p.m. and every 1 second between 3:59 and 4:00 p.m.
The BZX Auction Update message has the following format:
| Field Name | Offset | Length | Data Type | Description |
|---|---|---|---|---|
| Timestamp | 0 | 8 | Timestamp | Timestamp |
| Message Type | 8 | 1 | I | Auction Update message |
| Stock Symbol | 9 | 8 | Printable ASCII | Stock symbol right padded with spaces. |
| Auction Type | 17 | 1 | Alpha |
|
| Reference Price | 18 | 10 | Price | BBO Collared auction price (see Cboe Titanium U.S. Equities Auction Process Specification). |
| Buy Shares | 28 | 10 | Numeric |
|
| Sell Shares | 38 | 10 | Numeric |
|
| Indicative Price | 48 | 10 | Price | Price at which the auction book and the continuous book would match. |
| Auction Only Price | 58 | 10 | Price | Price at which the auction book would match using only Eligible Auction Orders (see Auction Process specification). |
The following extended version of the BZX Auction Update message accommodates larger prices and has the following format:
| Field Name | Offset | Length | Data Type | Description |
|---|---|---|---|---|
| Timestamp | 0 | 8 | Timestamp | Timestamp |
| Message Type | 8 | 1 | 3 | Extended Auction Update message |
| Stock Symbol | 9 | 8 | Printable ASCII | Stock symbol right padded with spaces. |
| Auction Type | 17 | 1 | Alpha |
|
| Reference Price | 18 | 14 | Long Price | BBO Collared auction price (see Auction Process specification). |
| Buy Shares | 32 | 10 | Numeric |
|
| Sell Shares | 42 | 10 | Numeric |
|
| Indicative Price | 52 | 14 | Long Price | Price at which the auction book and the continuous book would match. |
| Auction Only Price | 66 | 14 | Long Price | Price at which the auction book would match using only Eligible Auction Orders (see Auction Process specification). |
For BYX, Auction Update messages are sent out at a randomized time between the start of an auction period and the end of the auction period minus 1 millisecond to inform participants that a Periodic Auction is taking place. Auction Update messages do not include order imbalance information or information for continuous book orders.
| Field Name | Offset | Length | Data Type | Description |
|---|---|---|---|---|
| Timestamp | 0 | 8 | Timestamp | Timestamp |
| Message Type | 8 | 1 | I | Auction Update message |
| Stock Symbol | 9 | 8 | Printable ASCII | Stock symbol right padded with spaces. |
| Auction Type | 17 | 1 | Alpha | P = Periodic Auction (BYX Only) |
| Reference Price | 18 | 10 | Price | Collared price at which the periodic auction would trade. Calculated using orders eligible for periodic auction. |
| Buy Shares | 28 | 10 | Numeric | Paired size of eligible periodic auction orders at the Reference Price. |
| Sell Shares | 38 | 10 | Numeric | Paired size of eligible periodic auction orders at the Reference Price. |
| Indicative Price | 48 | 10 | Price | N/A. Populated with zero. |
| Auction Only Price | 58 | 10 | Price | N/A. Populated with zero. |