New Order Cross Message Fields (C1 and EDGX Only)
A New Order Cross message contains the details for both the agency (initiating) and contra side(s) of a cross order (such as an AIM order). The message consists of a number of required fields including Symbol, Price, OrderQty, and relevant clearing information for all parties, as well as a number of optional fields.
The first order in the list is the agency order, while the rest are contra side responses. There is a maximum of ten (10) contra-parties that can be supplied with the order, for a total of eleven (11) repeating groups, as described below.
In each repeating group, the Side, AllocQty, ClOrdID, Capacity, OpenClose, and ClearingFirm are always required. Beyond that, the bits in the NewOrderCrossBitfields control which fields are expected. Any fields that are specified in NewOrderCrossBitfields that appear in the repeating groups should not be supplied in the optional fields that come after the repeating groups.
Permitted input optional fields are described in New Order Cross (C1 and EDGX Only).
| 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 | 0x41 |
| MatchingUnit | 5 | 1 | Binary | Always 0 for inbound (Member to Cboe) messages. |
| SequenceNumber | 6 | 4 | Binary | The sequence number for this message. |
| CrossID | 10 | 20 | Text |
|
| CrossType | 30 | 1 | Alphanumeric |
|
| CrossPrioritization | 31 | 1 | Alphanumeric |
|
| Price | 32 | 8 | Binary Price |
|
| OrderQty | 40 | 4 | Binary |
|
| NumberOfNewOrderCrossBitfields | 44 | 1 | Binary | Bitfield identifying which bitfields are set |
| NewOrderCrossBitfield¹ | 45 | 1 | Binary | Bitfield identifying fields to follow. |
| …. | ||||
| NewOrderCrossBitfieldᶯ | 1 | Binary | Last bitfield. | |
| GroupCnt | 2 | Binary |
| |
| Repeating Groups of… | ||||
| Side | 1 | Alphanumeric |
| |
| AllocQty | 4 | Binary |
| |
| ClOrdID | 20 | Text |
| |
| Capacity | 1 | Alpha |
| |
| OpenClose | 1 | Alphanumeric |
| |
| GiveUpFirmID | 4 | Alpha | Corresponds to GiveUpFirmID (9946) in Cboe FIX. EFID that will clear the trade. | |
| Account (Optional) | 16 | Text | See List of Optional Fields. | |
| CMTANumber (Optional) | 4 | Binary | See List of Optional Fields. | |
| ClearingAccount (Optional) | 4 | Text | See List of Optional Fields. | |
| ClearingOptionalData (Optional) | 16 | Text | See List of Optional Fields. | |
| FrequentTraderID (Optional) | 6 | Text | See List of Optional Fields. | |
| 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. |
Required Order Attributes:
- Some form of symbology (see Cboe Titanium U.S. Symbology Reference)
- Agency order’s Side must match the cross order’s CrossPrioritization
- Each contra-party allocation must have the opposite Side
- Each side’s cumulative AllocQty must equal the cross order’s OrderQty
| Field Name | Hexadecimal | Notes |
|---|---|---|
| StartOfMessage | BA BA | Start of message bytes. |
| MessageLength | B0 00 | 176 bytes |
| MessageType | 41 | New Order Cross |
| MatchingUnit | 00 | Always 0 for inbound messages |
| SequenceNumber | 64 00 00 00 | Sequence number 100 |
| CrossID | 4E 5A 31 56 37 42 4A 5F 41 63 63 65 70 74 42 75 79 00 00 00 | NZ1V7BJ_AcceptBuy |
| CrossType | 31 | 1 = AIM Order |
| CrossPrioritization | 31 | 1 = Agency Buy |
| Price | 20 4E 00 00 00 00 00 00 | $2.00 |
| OrderQty | 64 00 00 00 | 100 contracts |
| NumberOfNewOrderCrossBitfields | 02 | Two bitfields to follow |
| NewOrderCrossBitfield1 | 41 | Symbol, TargetPartyID |
| NewOrderCrossBitfield2 | 30 | CMTANumber, ClearingAccount |
| GroupCnt | 03 00 | Three repeating groups to follow |
| Side | 31 | 1 = Buy |
| AllocQty | 64 00 00 00 | 100 contracts |
| ClOrdID | 51 4C 37 53 5A 37 43 5F 61 67 65 6E 63 79 00 00 00 00 00 00 | QL7SZ7C_agency |
| Capacity | 43 | C = Customer |
| OpenClose | 43 | C = Close |
| GiveUpFirmID | 44 45 46 47 | DEFG |
| CMTANumber | 00 00 00 00 | No CMTANumber for this order |
| ClearingAccount | 00 00 00 00 | No ClearingAccount for this order |
| Side | 32 | 2 = Sell |
| AllocQty | 28 00 00 00 | 40 contracts |
| ClOrdID | 51 4C 39 4B 38 55 56 5F 63 6F 6E 74 72 61 31 00 00 00 00 00 | QL9K8UV_contra1 |
| Capacity | 46 | F = Firm |
| OpenClose | 4F | O = Open |
| GiveUpFirmID | 41 42 43 44 | ABCD |
| CMTANumber | 27 02 00 00 | 551 |
| ClearingAccount | 57 58 59 5A | WXYZ |
| Side | 32 | 2 = Sell |
| AllocQty | 3C 00 00 00 | 60 contracts |
| ClOrdID | 51 4C 39 54 35 59 44 5F 63 6F 6E 74 72 61 32 00 00 00 00 00 | QL9T5YD_contra2 |
| Capacity | 46 | F = Firm |
| OpenClose | 4F | O = Open |
| GiveUpFirmID | 41 42 43 44 | ABCD |
| CMTANumber | 7B 00 00 00 | 123 |
| ClearingAccount | 57 58 59 5A | WXYZ |
| Symbol | 30 30 51 30 6B 41 00 00 | 00Q0kA |
| Target Party ID | 43 44 45 46 | CDEF |