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New Complex Instrument Message Fields (C1, C2, and EDGX Only)

A New Complex Instrument message is used to request that the system create a complex strategy. The resulting symbol (if accepted by the system) will be returned in a Complex Instrument Accepted message; a Complex Instrument Rejected message will be sent if it is not accepted. All legs must have the same underlying product which can be different OSI Roots (i.e. XYZ and XYZ1).

A ClearingFirm must be sent on each New Complex Instrument message unless a Default Executing Firm ID is set at the port-level.

Permitted input optional fields are described in New Complex Instrument (C1, C2, and EDGX Only).

Table 1. New Complex Instrument Message Fields (C1, C2, and EDGX Only)
FieldOffsetLengthData TypeDescription
StartOfMessage02BinaryMust be 0xBA 0xBA.
MessageLength22BinaryNumber of bytes for the message, including this field but not including the two bytes for the StartOfMessage field.
MessageType41Binary 0x4C
MatchingUnit51BinaryAlways 0 for inbound (Member to Cboe) messages.
SequenceNumber64BinaryThe sequence number for this message.
ClOrdID1020Text
  • Corresponds to ClOrdID (11) in Cboe FIX.
  • Day-unique ID chosen by the client. Characters in the ASCII range 33-126 are allowed, except for comma, semicolon, pipe, the ‘at’ symbol and double quotes.
  • If the ClOrdID matches a live order, the order will be rejected as duplicate.
  • Note: Cboe only enforces uniqueness of
  • ClOrdID values among currently live orders.
  • However, we strongly recommend that you keep your ClOrdID values day-unique.
NumberOfNewComplexInstrumentBitfields301BinaryBitfield identifying which bitfields are set. Field values must be appended to the end of the message.
NewComplexInstrumentBitfield¹311BinaryBitfield identifying fields to follow.
….
NewComplexInstrumentBitfieldᶯ1BinaryLast bitfield.
NoLegs1Binary
  • Corresponds to NoLegs (555) in Cboe FIX.
  • Indicates the number of repeating groups to fol-
  • low.
  • Must be a minimum of 2 and a maximum of 16.
Repeating Group ComplexLeg must occur the number of times specified in NoLegs. Each field occurs in each group, in order as shown below. Optional fields occur only if corresponding bits in bitfields are set.
Table 2. New Complex Instrument Message Fields (C1, C2, and EDGX Only)
LegSymbol8Alphanumeric
  • Corresponds to LegSymbol (600) in Cboe FIX.
  • Entire Cboe format symbol or OSI Root.
  • Must send LegCFICode, LegMaturityDate, and LegStrikePrice if using OSI format.
  • LegCFICode
  • (Optional)
6Alphanumeric
  • Corresponds to LegCFICode (608) in Cboe FIX.
  • CFI Code for leg. Required if LegSymbol is in OSI format.
  • OP = Options Put
  • OC = Options Call
  • E = Equity
  • LegMaturityDate
  • (Optional)
4Date
  • Corresponds to LegMaturityDate (611) in Cboe FIX.
  • Required if LegSymbol is in OSI format.
  • LegStrikePrice
  • (Optional)
8Binary Price
  • Corresponds to LegStrikePrice (612) in Cboe FIX.
  • Option strike price. System maximum is
  • 99,999,999. Must be non-negative.
  • Required if LegSymbol is in OSI format.
LegRatioQty4Binary
  • Corresponds to LegRatioQty (623) in Cboe FIX.
  • Ratio of number of contracts in this leg per order quantity.
  • Accepted values are 1-999,999.
LegSide1Alphanumeric
  • Corresponds to LegSide (624) in Cboe FIX.
  • 1 = Buy
  • 2 = Sell
Optional fields…Optional fields as set in the bitmap. Note, optional fields that occur in the repeating groups appear above, repeating per group, not within this block.
Table 3. New Complex Instrument Message Example
Field NameHexadecimalNotes
StartOfMessage BA BAStart of message bytes.
MessageLength 61 0097 bytes
MessageType 4C New Complex Instrument
MatchingUnit 00Always 0 for inbound messages
SequenceNumber 64 00 00 00Sequence number 100
ClOrdID 41 42 43 31 32 33 00 00 00 00 00 00 00 00 00 00 00 00 00 00ABC123
NumberOfNewComplex InstrumentBitfields 01One bitfield to follow
NewComplexInstrumentBitfield1 0FLegCFICode, LegMaturityDate, LegStrikePrice, ClearingFirm
NoLegs 02Two legs
LegSymbol 4D 53 46 54 00 00 00 00MSFT
LegCFICode 4F 43 00 00 00 00 OC = Option Call
LegMaturityDate EF DB 32 012011-03-19
LegStrikePrice 98 AB 02 00 00 00 00 0017.50
LegRatioQty 02 00 00 00Ratio of 2
LegSide 31Buy
LegSymbol 4D 53 46 54 00 00 00 00MSFT
LegCFICode 4F 50 00 00 00 00 OP = Option Put
LegMaturityDate F6 DB 32 012011-03-26
LegStrikePrice 30 E6 02 00 00 00 00 0019.00
LegRatioQty 01 00 00 00Ratio of 1
LegSide 32Sell
ClearingFirm 54 45 53 54TEST
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