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Delta Adjusted at Close (DAC) Auction Notification

DAC Auction Notification messages are used to disseminate order details of a DAC FLEX Auction.

Table 1. Delta At Close Auction Notification
Field NameOffsetLengthType/(Value)Description
Length01BinaryLength of this message including this field
Message Type110xDD DAC Auction Notification Message
Time Offset24Time OffsetNanosecond offset from last unit timestamp.
FLEX Instrument ID66Printable ASCIIFLEX Instrument ID right padded with spaces.
Auction ID128BinaryDay specific identifier assigned to this auction.
Auction Type201Alphanumeric
  • B=AIM
  • F=FLEX Auction
  • S=Solicitation Auction Mechanism
Side211Alphanumeric
  • B=Buy
  • S=Sell
Price228Binary Signed Long Price
  • Auction price.
  • Price will be zero for Auction Type = B and F.
  • Price will be included for Auction Type = S.
Quantity304BinaryInstrument quantity.
Customer Indicator341Alphanumeric
  • N=Non-Customer
  • C=Customer
  • FLEX Auctions (Auction Type = F) will always have a blank Customer Indicator value.
  • AIM auctions will have a blank Customer Indicator for simple options while AIM auctions for complex options series will include a Customer Indicator.
ParticipantID354AlphanumericExecuting Broker (optional) of firm attributed to this auction.
  • Auction End
  • Offset
394BinaryNanosecond offset from last timestamp.
Client ID434AlphanumericUser defined identifier for quote attribution.
DAC Reference Price478Binary Signed Long PriceValue used as the initial reference price for a delta adjust at close auction.
DAC Delta Count551Binary
  • Number of delta values for this auction.
  • A simple DAC auction will have 1 delta value.
  • A complex DAC auction will have a delta value per leg, in the same leg order as the FLEX Instrument Definition.
The following fields repeat DAC Delta Count times. The Delta Index is from 0 to DAC Delta Count - 1.
Delta Value56 + 2 * Delta Index2Signed BinaryDelta value, from -1.0000 to 1.0000 (four implied decimal places).
Total Length=56 + (2* DAC Delta Count) bytes
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Cboe Titanium U.S. Options FLEX Feed Specification - Delta Adjusted at Close (DAC) Auction Notification | Cboe