Order Execution Message Fields

An Order Execution message is sent for each fill on an order.

Rather than returning a monetary value indicating the rebate or charge for an execution, the FeeCode is an indication of a fee classification corresponding to an item on the venue's fee schedule.

For executions involving complex orders, an Order Execution message will be generated for the complex order, with MultilegReportingType = 3, followed by Order Execution messages for each leg, with MultilegReportingType = 2. If both sides of a complex/spread trade are on the same order entry session, Cboe does not guarantee that the leg executions will not be interleaved between sides.

The symbology used on executions for complex orders, including the legs, will always be Cboe symbology.