Stop Complex Order Auction (Effective TBD)
Stop Complex Order Auctions (SCOA) can be used to expose electronic complex orders for potential price improvement and maximize execution quantity. Stop-limit complex orders will be accepted during all trading sessions, but will only be eligible for triggering and execution during Regular Trading Hours.
Net price of the complex strategy: an order will trigger when either the same side Market-Maker SBBO equals or betters the designated threshold price, or a trade in the same complex instrument occurs via COB, COA, AIM, SAM, or PAR at or better than the designated threshold price.
- Underlying price: an order will trigger when a designated price threshold of the underlying security is either (i) at or above the underlying price or index level or (ii) at or below the underlying price or index level. For (i) the underlying price designated must be higher, and for (ii) the underlying price designated must be lower, than the current value of the equity same side NBBO or index level. If not, the order will be rejected.
Equity: triggers when the underlying security bid (ask) is equal to or higher (lower) than the designated stop price, or a trade occurs at a price equal to or higher (lower) than the stop price.
Index: triggers when the underlying index level is equal to or higher (lower) than the designated threshold price. This trigger does not include any bid/ask component.
Note stop-limit complex orders having both SPX and SPXW or both SPXO* and SPXW leg components and designating the net price trigger condition will only trigger if a trade occurs at or better than the designated threshold price.
Once triggered, the order(s) will initiate a new SCOA. If a single limit order is triggered, the SCOA starting auction price will be the less aggressive of the order's limit price or the opposite side SBBO. If multiple limit orders are triggered, the SCOA starting auction price will start the auction at the less aggressive of either the most aggressive limit price of the orders in the bundle or the opposite side SBBO.
At the start of the auction, an Auction Notification message will be sent and auction responses will be accepted. Orders will be allocated using a new proprietary volume-maximizing auction allocation methodology.
The SCOA auction message format is identical to a COA message. The Auction Notification message will be sent with Auction Type = C. If there is at least one priority customer (OrderCapacity = C) in the bundle of auctioned orders, the Auction Notification message will be sent with Customer Indicator = C, regardless of whether there are any professional orders in the bundle. Note the stop price can be modified before the order is activated, but not the stop price type (i.e., the trigger condition). Once a stop order has been activated, the stop price is no longer modifiable. If an order is already in an auction, an attempt to modify its stop price will be rejected.
The previous auction price, plus the exchange default drill-through amount
The most aggressive limit price on the remaining order(s)
The opposite side SBBO
Any unfilled order(s) after the most aggressive price has already been used in a SCOA will be sent to the Complex Order Book (COB).
Firms can send stop-limit complex orders using StopPx (FIX Tag 99) and StopPxType (FIX Tag 25026). SessionEligibility (FIX Tag 22017), if required, must be set to 'R' (Default) to indicate participation in Regular Trading Hours only for a complex stop-limit order to be accepted.
*Effective 11/09/26