Options Auction Update Message Fields
Options Auction Update messages are used to disseminate price and size information during Opening and Re-Opening (halt) auctions for complex instruments. The Options Auction Update messages are sent every five seconds during an opening period. See 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 | ||||