Options Auction Update Message Fields
Options Auction Update messages are used to disseminate price and size information during the Opening and Re-Opening (halt) process for complex instruments. The Options Auction Update messages are sent every 5 seconds during an opening period. Refer to the Cboe Titanium U.S. Options Complex Book Process for more information.
| Field Name | Offset | Length | Type/(Value) | Description |
|---|---|---|---|---|
| Length | 0 | 1 | Binary | Length of this message including this field. |
| Message Type | 1 | 1 | 0xD1 | Options Auction Update Message |
| Time Offset | 2 | 4 | Time Offset | Nanosecond offset from last unit timestamp. |
| Complex Instrument ID | 6 | 8 | Printable ASCII | Complex Instrument right padded with spaces. |
| Auction Type | 14 | 1 | Alphanumeric |
|
| Reference Price | 15 | 8 | Binary Long Price | Not used for complex series. Will contain zero value. |
| Buy Contracts | 23 | 4 | Binary | Cumulative Buy interest at the Indicative Price. |
| Sell Contracts | 27 | 4 | Binary | Cumulative Sell interest at the Indicative Price. |
| Indicative Price | 31 | 8 | Binary Signed Long Price | SNBBO Collared Volume Maximizing Imbalance Minimizing Price computed on combined Auction-Only and Continuous Book (if any). |
| Auction Only Price | 39 | 8 | Binary Signed Long Price | Not used for complex series. Will contain zero value. |
| Opening Condition | 47 | 1 | Alphanumeric | Not used for Complex series. Will contain zero value. |
| Composite Market Bid Price | 48 | 8 | Binary Signed Long Price | Not used for Complex series. Will contain zero value. |
| Composite Market Offer Price | 56 | 8 | Binary Signed Long Price | Not used for complex series. Will contain zero value. |
| Total Length = 64 bytes | ||||