Reserve Orders

To better protect reserve orders, Cboe handles executions against reserve orders as follows:

1. The displayed and non-displayed portions of an execution against a reserve order are separated into two (2) executions on the PITCH feed.
2. One execution represents the displayed size and carries the displayed OrderID. This is reported as an Order Executed message € of the displayed portion of the order.
3. The second execution represents the hidden size executed and has an obfuscated OrderID so that the displayed and hidden executions cannot be linked. This is reported by a Trade message (P or r) with the obfuscated OrderID.
4. The execution against the hidden portion of the order is reported after displayed, non-displayed, and peg executions at the same price matching the Cboe Exchange Priority Rule 11.12.
5. When the displayed portion of the reserve order is refreshed, the order is assigned a new OrderID on the PITCH feed. This is reported by an Add Order message (A or d) when the remainder is nonzero.