Trade Message Fields

The Trade message provides information about executions of non-displayed orders on the Cboe book and routed executions to other trading centers. In options a Trade message can also be sent when an auction executes against a non-displayed order, such as a contra response. Trade messages are necessary to calculate Cboe execution-based data. Trade messages do not alter the book and can be ignored if messages are being used solely to build a book.

No Add Order message is sent for hidden orders, and thus, no modify order messages may be sent when hidden orders are executed. Instead, a Trade message is sent whenever a hidden or routed order is executed in whole or in part. A Trade message is also sent when there is an execution against any non-displayed portion of a reserve order. As with visible orders, hidden, routed and reserve orders may be executed in parts. A complete view of all Cboe executions can be built by combining all Order Executed messages and Trade messages.

The Order ID of a hidden order is obfuscated by default in the Trade message, but may be optionally disseminated for a member’s own orders upon request. As such, partial executions against the same hidden order will by default have different Order IDs.

The following expanded version of the Trade message has been made available to accommodate larger symbol sizes possible through the ISRA plan.