New Order Cross Multileg Message Fields (C1 and EDGX Only)

A New Order Cross Multileg message contains the details for both the agency (initiating) and contra side(s) of a cross order (such as an AIM order). The two-sided order consists of a number of required fields including Symbol, Price, OrderQty, and relevant clearing information for both the agency and contra sides, as well as a number of optional fields. A maximum of ten (10) contra-parties will be accepted per order.

Cross Order Acknowledgement, Cross Order Rejected, and Cross Order Cancelled message types will be used by the Exchange to respond to New Order Cross Multileg messages.

Permitted input optional fields are described in New Order Cross Multileg (C1 and EDGX Only).

Table 1. New Order Cross Multileg Message Fields (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	`0x5A`
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	Corresponds to CrossID (548) in Cboe FIX. Day-unique identifier for the cross order chosen by the client. Characters in the ASCII range 33-126 are allowed, except for comma, semicolon, pipe, the ‘at’ symbol and double quotes will not be allowed.
CrossType	30	1	Alphanumeric	Corresponds to CrossType (549) in Cboe FIX. Type of auction order being submitted. This indicates the type of auction that will be initiated upon order entry. 1=Automated Improvement Mechanism (AIM) 2=Qualified Contingent Cross (QCC) 3=Solicitation Cross (SAM) 4=Position Compression Cross (PCC)(C1 Only) 5=Related Futures Cross (RFC)(C1 Only) Entry of SPX versus SPXW as a complex spread is not supported for PCC.
CrossPrioritization	31	1	Alphanumeric	Corresponds to CrossPrioritization (550) in Cboe FIX. Indicates which side of the cross multileg order will be prioritized for execution. This identifies the Agency side. 1=Buy 2=Sell
Price	32	8	Binary Price	Corresponds to Price (44) in Cboe FIX. Auction Price.
OrderQty	40	4	Binary	Corresponds to OrderQty (38) in Cboe FIX. Order quantity. System limit is 999,999 contracts.
NumberOfNewOrderCrossMultilegBitfields	44	1	Bit Field	Bitfield identifying which bitfields are set.
NewOrderCrossMultilegBitfield¹	45	1	Bit Field	Bitfield identifying fields to follow.
….
NewOrderCrossMultilegBitfieldᶯ		1	Bit Field	Last bitfield.
GroupCnt		2	Binary	Number of order allocations represented by repeating groups included in this cross order. Must be at least 2 (One agency and one contra), and no more than 11.
Repeating Groupsof…
Side		1	Alphanumeric	Corresponds to Side (54) in Cboe FIX. 1=Buy 2=Sell
AllocQty		4	Binary	Corresponds to AllocQty (80) in Cboe FIX. Number of contracts for this party.
ClOrdID		20	Text	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.
Capacity		1	Alpha	Corresponds to OrderCapacity (47) in Cboe FIX. C=Customer M=Market Maker F=Firm U=Professional Customer N=Away Market Maker B=Broker-Dealer J=Joint Back Office L=Non-Trading Permit Holder Affiliate
GiveUpFirmID		4	Alpha	Corresponds to GiveUpFirmID (9946) in Cboe FIX. EFID that will clear the trade.
LegPositionEffects		12	Alpha	Indicates status of the client position in the option for each complex option leg. This value String of characters ‘O’, ‘C’, and ‘N’, equal in length to the number of option legs of the instrument. If an equity leg is present it will always be the last leg, and the position effect must be set to ‘N’. This field can be used for complex instruments with up to 12 legs. For more than 12 legs, fill this field with spaces (0x20) and use the optional LegPositionEffectsExt field. O=Open C=Close N=None* *Orders with Capacity = M or ‘N’ will not be required to specify a position effect on their orders or may specify a value of ‘N’, in which case<blank> will be sent to clearing. If the leg is limited to closing only transactions, only Capacity = M will be permitted to submit OpenClose = O if the order has TimeInForce= ‘3’ (IOC) and RoutingInst = B.
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.
EquityPartyId (Optional)		4	Alpha	See List of Optional Fields.
EquityLegShortSell (Optional)		1	Alpha	See List of Optional Fields.
FrequentTraderID (Optional)		6	Text	See List of Optional Fields.
LegPositionEffectsExt (Optional)		16	Alpha	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 Symbology below)
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

Table 2. New Order Cross Multileg Message Example
Field Name	Hexadecimal	Notes
StartOfMessage	`BA BA`	Start of message bytes.
MessageLength	`15 01`	277 bytes
MessageType	`5A`	New Order Cross Multileg
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	`A8 61 00 00 00 00 00 00`	$2.50
OrderQty	`64 00 00 00`	100 contracts
NumberOfNewOrderCrossMultileg Bitfields	`05`	Five bitfields to follow
NewOrderCrossMultilegBitfield1	`61`	Symbol, TargetPartyID,AttributedQuote
NewOrderCrossMultilegBitfield2	`30`	CMTANumber, ClearingAccount
NewOrderCrossMultilegBitfield3	`01`	ClientID
NewOrderCrossMultilegBitfield4	`00`	No bitfields from byte 4
NewOrderCrossMultilegBitfield5	`04`	LegPositionEffectsExt
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
GiveUpFirmID	`44 45 46 47`	DEFG
LegPositionEffects	`20 20 20 20 20 20 20 20 20 20 20 20`	Not used when there are more than 12 legs
CMTANumber	`00 00 00 00`	No CMTANumber for this order
ClearingAccount	`00 00 00 00`	No ClearingAccount for this order
LegPositionEffectsExt	`43 4F 43 4F 43 4F 43 4F 43 4F 43 4F 43 4F 43 4F`	COCOCOCOCOCOCOCO - Instrument has 16 legs, alternating Close and Open legs
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
GiveUpFirmID	`41 42 43 44`	ABCD
LegPositionEffects	`20 20 20 20 20 20 20 20 20 20 20 20`	Not used when there are more than 12 legs
CMTANumber	`27 02 00 00`	551
ClearingAccount	`57 58 59 5A`	WXYZ
LegPositionEffectsExt	`4F 4F 4F 4F 4F 4F 4F 4F 4F 4F 4F 4F 4F 4F 4F 4F`	OOOOOOOOOOOOOOOO - Instrument has 16 legs, Open on all legs
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
GiveUpFirmID	`41 42 43 44`	ABCD
LegPositionEffects	`20 20 20 20 20 20 20 20 20 20 20 20`	Not used when there are more than 12 legs
CMTANumber	`7B 00 00 00`	123
ClearingAccount	`57 58 59 5A`	WXYZ
LegPositionEffectsExt	`43 43 43 43 43 43 43 43 43 43 43 43 43 43 43 43`	CCCCCCCCCCCCCCCC - Instrument has 16 legs, Clsoe on all legs
Symbol	`30 30 51 30 6B 41 00 00`	00Q0kA
Target Party ID	`43 44 45 46`	CDEF
AttributedQuote	`5A`	Z=Attribute EFID and Client ID
ClientID	`52 32 44 32`	R2D2

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New Order Cross Multileg Message Fields (C1 and EDGX Only)