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New Order Cross Message Fields (C1 and EDGX Only)

A New Order Cross message contains the details for both the agency (initiating) and contra side(s) of a cross order (such as a AIM, QCC or SAM order). The two-sided order consists of a number of required fields including symbol, price, quantity, and relevant clearing information for both the agency and contra sides, as well as a number of optional fields. A maximum of ten (10) contra-parties will be accepted per order.

Table 1. New Order Cross Message Fields (C1 and EDGX Only)
TagField NameReq’dDescription
35Standard Message HeaderYMsgType = s
97PossResendN
  • N = (Default) indicates a new order.
  • Y = Indicates an application level resend and is NOT SUPPORTED.
  • For reasons of economy, Cboe does not track in primary storage the ClOrdID values of orders that are no longer live.
  • For reasons of performance, Cboe does not access secondary storage to enforce unique ClOrdID values against orders that are no longer live.
  • Without full duplicate ClOrdID value enforcement, it is not possible to safely implement the full behavior specified in the FIX 4.2 Protocol for PossResend = Y.
  • To remain economical, fast and safe, all messages with PossResend = Y will be simply ignored.
548CrossIDYIdentifier for the cross order. 20 characters or less. Characters in ASCII range 33-126 are allowed, except for comma, semicolon, pipe, ‘at’ symbol (@) and double quotes.
549CrossTypeY
  • Type of auction order being submitted. This indicates the type of auction that will be initiated upon order entry.
  • 1 = Automated Improvement Mechanism (AIM)
  • 2 = Qualified Contingent Cross (QCC)
  • 3 = Solicitation Cross (SAM)
  • 4 = Position Compression Cross (PCC) (C1 Only)
550CrossPrioritizationY
  • Indicates which side of the cross order will be prioritized for execution. This identifies the Agency side.
  • 1 = Buy
  • 2 = Sell
  • 552
  • Repeating Group
NoSidesYIndicates the number of sides for the cross order. This value must be set to ‘2’. The first side is the Agency side, the second side is the Contra side.
➔54SideY
  • Required tag to start each repeated group.
  • 1 = Buy
  • 2 = Sell
➔9732AttributedQuoteN
  • Allow for order to be attributed to order’s EFID in Cboe market data feeds. The order may also be included within attributed summary information displays related to quote/trade information on the Cboe web site. Valid for Agency Side only. Ignored on Contra Side.
  • N = (Default) Do not attribute EFID (115) to this order.
  • Y = Attribute EFID (115) to this order.
  • C = Attribute ClientID (109) only.
  • Z = Attribute both EFID (115) and ClientID (109).
➔109ClientIDN
  • User-defined identifier for quote attribution if AttributedQuote (9732) = C or Z
  • Four alpha characters or less.
➔1462
  • TargetPartyID
  • (C1 and EDGX only)
NA valid ParentID of the Directed Market Maker (EDGX only) or Preferred Market Maker (C1 only) is required for Directed Orders. Valid for Agency Side only. Ignored on Contra Side.
➔7928PreventMatchN
  • Cboe Match Trade Prevention: 3 characters (not space separated):
  • 1st character - MTP Modifier:
  • N = Cancel Newest
  • O = Cancel Oldest
  • 2nd character - Unique ID Level:
  • F = Prevent Match at Cboe Exchange Member level
  • M = Prevent Match at MPID Level
  • 3rd character - Trading Group ID (optional):
  • Member specified alphanumeric value 0-9, A-Z, or a-z.
  • The Unique ID Level (character 2) of both orders must match to prevent a trade. If specified on both orders, Trading Group ID (character 3) must match to prevent a trade.
  • MTP instructions on the AIM order will be used to prevent executions against AIM responses only; executions against resting or unrelated orders will still be permitted. Responses may only employ "Cancel Newest", in which case the response will be cancelled and the auction order will continue.
  • Valid for Agency Side only. Ignored on Contra Side.
➔
  • 78
  • Repeating Group
NoAllocsYNumber of Repeating Groups for contra-party responses. Should be set to ‘1’ for Agency side.
➔➔80AllocQtyY
  • Required tag to start each repeated group.
  • Number of contracts for this party.
➔➔11ClOrdIdY
  • Day-unique ID chosen by client. 20 characters or less. Characters in ASCII range 33-126 are allowed, except for comma, semicolon, and pipe.
  • A leading tilde (~) cannot be sent on any ClOrdId and will result in a reject. These are reserved for internal use by Cboe and could be received as a result of a system-generated ClOrdId.
➔➔1AccountN
  • Up to 16 characters in ASCII range 33-126 are allowed.
  • When clearing OCC, value is passed to clearing in the Customer ID field (max 10 characters). If the Send ClearingOptionalData FIX port attribute is not set to 'No', the full 16 character value is also passed to clearing in the Optional Data field.
  • When clearing Cboe Clear U.S., value is passed in the Customer Account Number field.
➔➔9324ClearingOptionalDataN
  • Up to 16 characters in ASCII range 33-126 are allowed, except for comma, semicolon and pipe characters.
  • Value will be reflected back on Execution Reports including FIX Drop.
  • FIX Port attribute Send ClearingOptionalData set to 'Yes' is required to pass value to clearing.
➔➔47 Rule80A (aka OrderCapacity)Y
  • The capacity for the order.
  • C = Customer
  • F = Firm
  • M = Market Maker
  • U = Professional Customer
  • N = Away Market Maker
  • B = Broker-Dealer
  • J = Joint Back Office
  • L = Non-TPH Affiliate (C1 and C2 only)
➔➔77OpenCloseY
  • Indicates status of client position in the option.
  • O = Open
  • C = Close
  • N = None*
  • *Orders with OrderCapacity (47) = M or N will not be required to specify OpenClose on their orders or may optionally specify a value of ‘N’, unless the series is limited to closing only.
  • If the series is limited to closing only transactions, only OrderCapacity (47) = M will be permitted to submit OpenClose = O if the order has TimeInForce (59) = 3 (IOC) and RoutingInst (9303) = B, or the order has a RoutingInst = P.
  • An Open position cannot trade with an Open position for series limited to Closing Only transactions, even if the inbound IOC from the aggressing market maker is sent with that combination of tags.
➔➔439ClearingFirmN
  • CMTA Number of the firm that will clear the trade.
  • Must be supplied for CMTA orders and left unspecified for non-CMTA orders.
➔➔440ClearingAccountN
  • When OrderCapacity (47) is set to a value of "M" or "N" this field should be filled with desired market maker ID.
  • When OrderCapacity (47) is set to a value of "M" any unregistered Market-Maker Accounts in this field will cause the quote or order to be rejected with a reason code of ‘A’ and sub-reason code ‘L’.
  • When using CMTA, this value is the market maker ID for the CMTA member instead of the Cboe member executing the trade.
  • When FIX Port Attribute Reject Non-Market Maker With Clearing Account is set to 'Yes' (C1 and C2 only) orders with OrderCapacity(47) other than 'M' and 'N' with a specified value for ClearingAccount(440) will be rejected.
  • Field value is reflected on Execution Reports including FIX Drop
➔➔9946GiveUpFirmIDYFor the Agency Side, this field must equal the value of OnBehalfOfCompId (EFID). Each Contra allocation will use this field instead of OnBehalfOfCompId for clearing information.
➔➔21097
  • FrequentTraderID
  • (C1 only)
N
  • Identifies the frequent trader program in which the order is participating.
  • Six alphanumeric characters or less (0-9, A-Z, or a-z).
➔➔22027AllocAdditionalClientInfo (C1 only)N
  • Client information populated by the Member during order entry for two sided auction orders. Should not be populated if AdditionalClientInfo (22022) is populated,
  • 16 characters or less (ASCII 32-126).
  • This field value is recorded and returned in execution reports through AdditionalClientInfo (22022). Available via FIX Drop and Odrop.
7933RoutingFirmIDN
  • Used to optionally convey the routing firm of the order.
  • If supplied, value must be a valid EFID.
18ExecInstN
  • Single value only (with no trailing space)
  • f = Intermarket Sweep (Directed or Book Only)
  • s = Sweep1
  • 1 Requires CrossType (549) = 1 (AIM)
167SecurityTypeY
  • Indicates the type of security
  • OPT = Options
200MaturityMonthN
  • Indicates Maturity Month
  • (YYYYMM)
205MaturityDayN
  • Expiration date day of the month
  • Format: DD
201PutOrCallN
  • 0 = Put
  • 1 = Call
202StrikePriceNStrike Price for option, 0 - 99999.999
55SymbolYOSI root symbol (upper case) or Cboe format symbol (case sensitive)
38OrderQtyYNumber of contracts for order, 1 to 999,999
40OrdTypeN 2 = Limit
44PriceYAuction Price
9040AutoMatchN
  • 0 = Disabled
  • 1 = Market
  • 2 = Limit
  • 3 =Market. No starting price adjustments.
  • 4 = Limit. No starting price adjustments.
  • Better-priced responses will be automatically matched by the Contra side. Indicates the type of Auto Match the Contra Order will use. Mutually exclusive with LastPriority (9849).
9044AutoMatchPriceNRequired if AutoMatch (9040) is set to ‘2’ or '4' , ignored otherwise. Sets the limit price at which the Contra Order will Auto Match. Format is the same as Price (44).
9849LastPriorityN
  • 0 = Disabled
  • 1 = Enabled
  • When enabled, allocation will go to other participants’ responses before requiring the Contra Order to satisfy remaining contracts of the Agency Order. Mutually exclusive with AutoMatch (9040).
423
  • PriceType
  • (C1 only)
N
  • 1 = Percentage, when trading FLEX percentage instruments
  • 2 = (Default) Price per unit (contract)
  • D = FLEX DAC
21010
  • FLEXAuctionDuration
  • (C1 only)
N
  • Duration of the FLEX Auction in milliseconds. The minimum valid value is 3,000 milliseconds. The maximum valid value is 300,000 milliseconds.
  • Applicable only to FLEX instruments.
21005
  • FLEXHedgeExecInst
  • (C1 only)
N
  • Hedge execution instruction to carry the hedge information for the order.
  • Applicable only the FLEX instruments.
22003
  • ORS
  • (C1 only)
N
  • Order router subsidy eligible (used for billing purposes).
  • N = No (Default)
  • Y = Yes
22006
  • Compression
  • (C1 only)
N
  • Order is a compression trade.
  • N = No (Default)
  • Y = Yes
  • When CrossType (549) = 4 this field should not be specified.
22011EquityTradePriceN
  • Price at which the equity associated with a QCC trade.
  • Valid when CrossType (549) = 2.
22012EquityTradeSizeN
  • Number of shares executed in the equity associated with a QCC trade.
  • Valid when CrossType (549) = 2.
22013EquityTradeVenueN
  • Exchange venue where equity associated with a QCC traded.
  • Valid when CrossType (549) = 2.
  • A = NYSE American
  • B = Nasdaq Texas
  • C = NYSE National
  • I = Investors Exchange
  • J = Cboe EDGA Exchange
  • K = Cboe EDGX Exchange
  • M = CHX
  • N = NYSE
  • P = NYSE Arca
  • Q = Nasdaq
  • X = Nasdaq PSX
  • Y = Cboe BYX Exchange
  • Z = Cboe BZX Exchange
22014EquityBuyClearingFirmN
  • Clearing firm on buy side of the equity trade associated with a QCC trade.
  • Valid when CrossType (549) = 2.
22015EquitySellClearingFirmN
  • Clearing firm on sell side of the equity trade associated with a QCC trade.
  • Valid when CrossType (549) = 2.
22060EquityTransactTimeN
  • GMT date-time of equity trade associated with a QCC trade.
  • Valid when CrossType (549) = 2.
  • YYYYMMDD-HH:MM:SS.000
22021TerminalOperatorId (C1 only)N
  • The ID associated with the operator logged into the terminal when an order is entered.
  • 20 characters or less (ASCII 32-126).
  • This field is recorded and returned in execution reports. Available via FIX Drop and Odrop.
22022AdditionalClientInfo (C1 only)N
  • Client information populated by the Member during order entry via terminal. Should not be populated if AllocAdditionalClientInfo (22027) is populated.
  • 16 characters or less (ASCII 32-126).
  • This field is recorded and returned in execution reports. Available via FIX Drop and Odrop.
22023Delta (C1 only)N
  • Designated delta of a FLEX DAC order.
  • Valid values for call options are 0.0001 to 1.0000.
  • Valid values for put options are -1.0000 to -0.0001.
22025ReferencePrice (C1 only)N
  • Reference price for underlying security or index of a FLEX DAC order.
  • If a reference price is not specified, the system applies the current value of the underlying at the time of order entry.
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