Auction Update Message Fields (BYX and BZX Equities Only)
Auction Update messages are used to disseminate Cboe price and size information during auctions for Cboe listed securities and for Cboe Market Close (CMC) crosses on BZX, and for Periodic Auctions on BYX. Refer to the Cboe Titanium U.S. Equities Auction Process Specification specification for more information on Cboe Auctions.
Cboe Auction Update messages support the Cboe Opening, Closing, Halt and IPO Auctions on the BZX Exchange. Auction Update messages are sent every 5 seconds during a Halt/IPO Quote-Only period. Opening Auction Update messages are disseminated every 5 seconds between 8:00 and 9:30 a.m. ET. 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.
Auction Update messages will be disseminated after each CMC matching session is complete for any symbol with matched CMC shares.The Buy Shares and Sell Shares fields will be equal and indicate matched shares.
The BZX Auction Update message has the following format:
| Field Name | Offset | Length | Type/(Value) | Description |
|---|---|---|---|---|
| Length | 0 | 1 | Binary | Length of this message including this field. |
| Message Type | 1 | 1 | 0x95 | Auction Update message |
| Time offset | 2 | 4 | Time Offset | Nanosecond offset from last unit timestamp. |
| Stock Symbol | 6 | 8 | Printable ASCII | Stock Symbol right padded with spaces. |
| Auction Type | 14 | 1 | Alphanumeric |
|
| Reference Price | 15 | 8 | Binary | BBO Collared auction price (see Cboe Titanium U.S. Equities Auction Process Specification). |
| Buy Shares | 23 | 4 | Binary |
|
| Sell Shares | 27 | 4 | Binary |
|
| Indicative Price | 31 | 8 | Binary | Price at which the auction book and the continuous book would match. |
| Auction Only Price | 39 | 8 | Binary | Price at which the auction book would match using only Eligible Auction Orders (see Cboe Titanium U.S. Equities Auction Process Specification). |
| Total Length = 47 bytes | ||||
On the BYX Exchange, Auction Update messages will be 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 will not include order imbalance information or information for continuous book orders.
| Field Name | Offset | Length | Type/(Value) | Description |
|---|---|---|---|---|
| Length | 0 | 1 | Binary | Length of this message including this field. |
| Message Type | 1 | 1 | 0x95 | Auction Update message |
| Time offset | 2 | 4 | Time Offset | Nanosecond offset from last unit timestamp. |
| Stock Symbol | 6 | 8 | Printable ASCII | Stock Symbol right padded with spaces. |
| Auction Type | 14 | 1 | Alphanumeric | P=Periodic Auction |
| Reference Price | 15 | 8 | Binary | Collared price at which the periodic auction would trade. Calculated using orders eligible for periodic auction. |
| Buy Shares | 23 | 4 | Binary | Paired size of eligible periodic auction orders at the Reference Price. |
| Sell Shares | 27 | 4 | Binary | Paired size of eligible periodic auction orders at the Reference Price. |
| Indicative Price | 31 | 8 | Binary | N/A. Populated with zero. |
| Auction Only Price | 39 | 8 | Binary | N/A. Populated with zero. |
| Total Length = 47 bytes | ||||