Order by Order FIX Drop

Order by Order FIX Drop ports are designed to send more than execution information. Order by order drop ports function by watching the traffic that is returned over the associated FIX/BOE order entry ports. As a result, if a specific field is not enabled to be sent on a message from the Exchange to the FIX/BOE client, then that field will also not be present on the Order by Order FIX Drop. The system does not support delivery of execution reports from Routing Brokers that send orders on behalf of a firm. To receive Routing Broker execution reports a FIX Drop port is required.

All order message types are supported including, but not limited to, Acknowledgements (150=0), Partially Filled (150=1), Filled (150=2), Cancelled (150=4), Replaced (150=5), Restated (150=D), Rejected (150=8), Order Cancel Rejects (35=9), and optionally (if configured at the port level) Trade Breaks (35=UCC) and Floor Representation (378=7). Quotes sent over BOE Bulk Quoting ports as well as all BOE rejects are not available on Order by Order FIX DROP. Quote execution messages are available over ODROP, but will be returned more efficiently and with less latency over FIXDROP. If the Rejects/Cancels are due to incomplete clearing information, they may be unavailable on Order by Order FIX Drop ports.

Reject messages will be sent which originate from a FIX or BOEv3 order entry session. However, rejects originating from a BOEv2 order entry session will be suppressed.

Users of Order by Order FIX Drop must always be prepared to receive new/unknown FIX tag and FIX tag values for BOE/FIX ports being monitored. Cboe reserves the right to add new FIX tags and to update values distributed on Order by Order FIX Drop with no notice.