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Quote Update (Short) Message Fields

A shorter version of Quote Update messages which restricts the information which can be presented. Uses less bandwidth than the Quote Update message but messages presented to the Matching Engine are identical between both Quote Update and Quote Update (Short) messages. The system will only accept Quote Update requests entered via a BOE Bulk Quoting port that are marked with the Capacity = M (Market Maker).

Quote Update (Short) message does not allow sending Account but a default for this field may be set at the port level. CMTANumber may never be included on a Quote Update (Short) message.

This message uses a smaller format Price and OrderQty on each quote update.

All other comments concerning Quote Update messages in the previous section apply to Quote Update (Short) equally.

Table 1. Quote Update (Short) Message Fields
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 0x59
MatchingUnit51BinaryAlways 0 for inbound (Member to Cboe) messages.
SequenceNumber64BinaryThe sequence number for this message.
QuoteUpdateID1016Text
  • 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.
  • Responses, both to the Quote Update and any Quote Executions, Quote Cancellations, and Quote Modification messages will include this identifier.
  • Note: Cboe strongly recommends that QuoteUpdateID be kept unique for a trading day, and CAT reporting requirements mandate that QuoteUpdateID is unique for each quote submitted to the exchange.
ClearingFirm264AlphaEFID that will clear the trade. If left blank, the port attribute value of ‘Default EFID’ is used.
ClearingAccount304Alpha
  • Corresponds to OnBehalfOfSubID (116) and ClearingAccount (440) in Cboe FIX.
  • See List of Optional Fields for additional information.
CustomGroupID342BinaryOptional. Used to group orders for use in Purge Orders messages. Set to 0 if functionality not needed.
Capacity361Alpha
  • Corresponds to OrderCapacity (47) in Cboe FIX.
  • Value must be set to M.
Reserved373BinaryReserved for future expansion. To maintain forward compatibility, fill with 0.
SendTime408DateTime
  • All Market Maker (Capacity=M) quote updates must populate with a timestamp representing the UTC time when the quote was sent by the Market Maker to the exchange. This timestamp is required to be at least in millisecond granularity but the CAT NMS Plan requires that Industry Members report the SendTime with the finest increment that is supported by the Industry Member. The SendTime is required in order to report Market Maker quotes to the CAT in accordance with the CAT NMS Plan.
  • Market Makers are required to provide a valid, non-zero value for this field for any Quote Update messages entered via a BOE Bulk Quoting port. A zero value for SendTime will result in a rejection of the entire Quote Update message.
PostingInstruction481Text
  • P = Post Only (do not remove liquidity)
  • B = Book Only (allow removal of liquidity, available for Market Makers only)
  • N = Book Only, No Slide
  • R = Post Only, No Slide (do not remove liquidity)
  • I = Book Only IOC
  • SessionEligibility
  • (C1 only)
491Text
  • R = Regular Trading Hours (RTH) only
  • A = Participates in both Global and Regular Trading Hours. Also allows for participation in Curb Trading Session.
  • B = Participates in both RTH and Curb Session
QuoteCnt501BinaryNumber of repeating groups included in this quote update. Allowed values are 1-20.
Repeating Groups of …
Symbol6AlphanumericCboe native identifier
Side1Text
  • 1 = Buy
  • 2 = Sell
OpenClose1Text
Price4
  • Short
  • Binary Price
  • Limit price.
  • To cancel an existing quote, specify a size of 0.
OrderQty2Binary
  • Order quantity. System limit is 999,999 contracts.
  • To cancel an existing quote, specify a size of 0.
Reserved2BinaryReserved for future expansion. To maintain forward compatibility, fill with 0.
Table 2. Quote Update (Short) Message Example
Field NameHexadecimalNotes
StartOfMessage BA BAStart of message bytes.
MessageLength 91 00145 bytes
MessageType 59 Quote Update (Short)
MatchingUnit 00Always 0 for inbound messages
SequenceNumber 64 00 00 00Sequence number 100
QuoteUpdateID 41 42 43 31 32 33 00 00 00 00 00 00 00 00 00 00ABC123
ClearingFirm 41 42 43 44ABCD
ClearingAccount 57 58 59 00WXY
CustomGroupID C8 00200
Capacity 4D M = Market Maker
Reserved 00 00 00 Reserved
SendTime E0 FA 20 F7 36 71 F8 111,294,909,373,757,324,000
PostingInstruction 50P (Post Only)
SessionEligibility 52R (RTH Only)
QuoteCnt 02Two Quotes
Symbol 30 30 36 69 70 41006ipA
Side 31 1 = Buy
OpenClose 4F O = Open
Price C8 32 00 00 1.30
OrderQty 64 00 100 contracts
Reserved 00 00 Reserved
Symbol 30 30 34 63 53 73004cSs
Side 32 2 = Sell
OpenClose 4F O = Open
Price AC 07 01 00 6.75
OrderQty F4 01 500 contracts
Reserved 00 00 Reserved
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