Complex Quote Update Message Fields (C1 Only)
Request to enter or update one or more quotes for quotable complex options. Quotable complex instruments are defined by the exchange and are disseminated on Cboe U.S. Options Multicast PITCH and TOP data feeds as Exchange Designated Complex Instrument Definition messages.
Complex Quote Update message requests will be forwarded in their entirety to the matching engine instance as a single message and will be applied in a single transaction. Optional bitfields are not supported for any response messages for quotes. The system will only accept Complex Quote Update message requests entered via a BOE Bulk Quoting port that are marked with the Capacity value of M = Market Maker. A valid registered Market-Maker account value must be provided in the ClearingAccount field or the system will respond with the Quote Update Rejected message containing the QuoteRejectReason value of C = InvalidClearing.
All options in a single Complex Quote Update message must trade under a single risk root. Requests which include options trading under multiple risk roots will be rejected in their entirety.
A quote is unique per port, EFID, and side. You may quote multiple price levels of depth using either multiple EFIDs on a single port or with the same EFID on multiple ports.
Complex quote requests are one-sided. To delete a quote, send an update with a zero size.
Complex Quote Update messages may be submitted for exchange designated complex options only; simple options quotes and quotes for complex options that are not exchange designated complex options may not be submitted. One or more unsupported options presented in the message repeating group will cause the Complex Quote Update to be rejected in its entirety with a Quote Update Rejected being returned to the user.
By default, complex quotes are valid for a given trading date, which may span multiple calendar dates in the event of a holiday. Complex quotes may be cancelled at the end of a given trading segment rather than carried forward to the next segment by updating the Multi-Segment Holiday Day Order Handling Port attribute.
Complex quotes are post-only. Individual quotes in a Complex Quote Update message that lock or cross the displayed Cboe complex book or SBBO will be rejected. Each individual quote that is rejected for this reason is indicated to the user with the QuoteResult value P = Rejected, can't post in the associated Quote Update Acknowledgment message.
If a complex quote modification is rejected, the resting complex quote being modified is also cancelled. Executions, unsolicited cancels, and unsolicited modification response messages from the exchange are different from those for orders. They are optimized for efficiency and contain some different data elements (e.g., QuoteUpdateID) than the respective messages for orders.
The PreventMatch field may not be specified on the Complex Quote Update message, and Match Trade Prevention is only available if defaulted at the port level.
Executions involving complex quotes submitted using the Complex Quote Update message are reported to the user via the Complex Quote Execution message.
The Complex Quote Execution message will be the only complex quote related message available over ODROP and FIXDROP.
Complex Quote Update requests sent without any changes to the currently resting quote (no change quotes) will result in a loss of priority and will be reported back with a QuoteResult value of L (Modified; loss of priority) in the Quote Update Acknowledgement message. In addition:
- Time priority will be maintained on a complex quote modification if there is a decrease in OrderQty with no other changes.
- A complex quote modification decreasing size and changes to any other attribute will lose priority.
- A complex quote modification with no change to any attribute will lose priority.
| Field | Offset | Length | Data Type | Description |
|---|---|---|---|---|
| StartOfMessage | 0 | 2 | Binary | Must be 0xBA 0xBA. |
| MessageLength | 2 | 2 | Binary | Number of bytes for the message, including this field but not including the two bytes for the StartOfMessage field. |
| MessageType | 4 | 1 | Binary | 0x84 |
| MatchingUnit | 5 | 1 | Binary | Always 0 for inbound (Member to Cboe) messages. |
| SequenceNumber | 6 | 4 | Binary | The sequence number for this message. |
| QuoteUpdateID | 10 | 16 | Text |
|
| ClearingFirm | 26 | 4 | Alpha | EFID that will clear the trade. If left blank, the port attribute value of ‘Default EFID’ is used. |
| ClearingAccount | 30 | 4 | Alpha |
|
| CMTANumber | 34 | 4 | Binary |
|
| Account | 38 | 16 | Text |
|
| CustomGroupID | 54 | 2 | Binary | Used to group orders for use in Purge Orders. Set to 0 if functionality not needed. |
| Capacity | 56 | 1 | Alpha |
|
| Reserved | 57 | 15 | Binary | Reserved for future expansion. To maintain forward compatibility, fill with 0. |
| SendTime | 72 | 8 | DateTime |
|
| PostingInstruction | 80 | 1 | Text |
|
| 81 | 1 | Text |
|
| QuoteCnt | 82 | 1 | Binary | Number of repeating groups included in this quote update. Allowed values are 1-20. |
| Repeating Groups of … | ||||
| Symbol | 6 | Alphanumeric | Cboe native identifier | |
| Side | 1 | Text |
| |
| OpenClose | 1 | Text |
| |
| Price | 8 | Binary Price |
| |
| OrderQty | 4 | Binary |
| |
| Reserved | 12 | Binary | Reserved for future expansion. To maintain forward compatibility, fill with 0. |
| Field Name | Hexadecimal | Notes |
|---|---|---|
| StartOfMessage | BA BA | Start of message bytes. |
| MessageLength | 91 00 | 145 bytes |
| MessageType | 84 | Complex Quote Update |
| MatchingUnit | 00 | Always 0 for inbound messages |
| SequenceNumber | 64 00 00 00 | Sequence number 100 |
| QuoteUpdateID | 41 42 43 31 32 33 00 00 00 00 00 00 00 00 00 00 | ABC123 |
| ClearingFirm | 41 42 43 44 | ABCD |
| ClearingAccount | 57 58 59 5A | WXYZ |
| CMTANumber | 31 32 33 34 | 1234 |
| Account | 44 45 46 47 41 42 43 44 00 00 00 00 00 00 00 00 | DEFGABCD |
| CustomGroupID | C8 00 | 200 |
| Capacity | 4D | M = Market Maker |
| Reserved | 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 | Reserved |
| SendTime | E0 FA 20 F7 36 71 F8 11 | 1,294,909,373,757,324,000 |
| PostingInstruction | 52 | R (Post Only) |
| SessionEligibility | 52 | R (RTH Only) |
| QuoteCnt | 02 | Two Quotes |
| Symbol | 54 31 47 51 35 33 | T1GQ53 |
| Side | 31 | 1 = Buy |
| OpenClose | 4E | N = None |
| Price | C8 32 00 00 00 00 00 00 | 1.30 |
| OrderQty | 64 00 00 00 | 100 |
| Reserved | 00 00 00 00 00 00 00 00 00 00 00 00 | Reserved |
| Symbol | 54 31 47 51 35 34 | T1GQ54 |
| Side | 32 | 2 = Sell |
| OpenClose | 4E | N = None |
| Price | AC 07 01 00 00 00 00 00 | 6.75 |
| OrderQty | F4 01 00 00 | 500 |
| Reserved | 00 00 00 00 00 00 00 00 00 00 00 00 | Reserved |