Display Indicator Features
Orders are eligible for all of the sliding features described below. Quotes are eligible for the sliding behaviors described below if they are received with a price that locks the NBBO and with a PostingInstruction eligible for price sliding. Quotes that also cross the NBBO or displayed Cboe book will be accepted if within a configurable buffer range through the NBBO or displayed Cboe book. The buffer is set to 5% with a minimum of $0.05 and a maximum of $1.00.
For BZX only, quotes and orders marked as Post Only will execute against resting liquidity as a remover and be charged applicable removal fee codes if the amount of price improvement of the removal execution exceeds the expected rebate that the order or quote would have received if it had posted at its limit price.
Display-Price Sliding (BZX Only)
If the original limit price of the unexecuted remainder of a day order does not lock or cross the NBBO then Cboe works the order at the original limit price while displayed at the nearest permissible quoting increment. If the original limit price does lock or cross the NBBO then Cboe makes available Display-Price Sliding.
Display-Price Sliding adjusts the original limit price on entry to the locking price of the NBBO. It will be ranked and worked at a price locking the NBBO but will temporarily adjust the displayed price to the nearest permissible quoting increment. When the NBBO widens, the display price will be readjusted to the adjusted limit price. The display price may be temporarily less aggressive than the adjusted limit price or working price.
Multiple Display-Price Sliding does not permanently adjust the original limit price on entry, but allows for Display-Price slid orders to continue to have their display and working prices adjusted towards their original limit price based on changes to the prevailing NBBO.
Contra-side Post Only orders received when a Display-Price Slide order is working at a locking price with the NBBO will not result in a reject of a contra-side Post Only order but will instead result in the working price of the Display-Price Slid order to be repriced to one penny away from the locking price.
Price Adjust
If the limit price of an order does not lock or cross the NBBO, then the order will be ranked and displayed at the nearest permissible quoting increment.
If the limit price of a Price Adjust eligible order locks or crosses the NBBO, the limit price will be adjusted on entry to the locking price of the NBBO, while the displayed price and ranked price will be temporarily adjusted to the nearest permissible quoting increment. Price Adjust orders will never be ranked at the locking price or at a non-displayable price increment. If the NBBO widens, the displayed price and ranked price will be readjusted to the adjusted limit price.
The limit price of a Multiple Price Adjust order will not be permanently adjusted on entry if the limit price crosses the NBBO. The displayed price and ranked price will be the nearest permissible quoting increment and will be adjusted towards the original limit price based on changes in the prevailing NBBO.
NoRescrapeAtLimit (BZX Only)
Applicable only to fully routable IOC orders (9303 = R and 59 = 3). After walking the price down to the limit, there will be no final scrape at Cboe and the cancel code will state X=Expired rather than N=No Liquidity.