Delta Adjusted at Close (DAC) Trade
The DAC Trade message provides information about executions of Delta Adjusted at Close (DAC) FLEX orders on the Cboe Options trading floor. DAC Trade messages are necessary to calculate Cboe execution-based data.
No Add Order message is sent for FLEX Options orders, and thus, no order modification messages may be sent when FLEX Options are executed. Instead, a DAC Trade message is sent whenever a Delta Adjusted at Close FLEX Options order is executed in whole or in part. A complete view of all Cboe Delta Adjusted at Close FLEX executions can be built by combining all DAC Trade messages.
Each DAC auction results in both an Auction Trade and DAC Trade message. Following the close, a Trade Break message is disseminated followed by a new DAC Trade message with the final pricing for the trade.
| Field Name | Offset | Length | Type/(Value) | Description |
|---|---|---|---|---|
| Length | 0 | 1 | Binary | Length of this message including this field |
| Message Type | 1 | 1 | 0x36 | DAC Trade Message |
| Time Offset | 2 | 4 | Time Offset | Nanosecond offset from last unit timestamp |
| Order ID | 6 | 8 | Binary | Order ID of the executed order. |
| Side Indicator | 14 | 1 | Alphanumeric | Always "B" |
| Quantity | 15 | 4 | Binary | Instrument quantity traded |
| FLEX Instrument ID | 19 | 6 | Printable ASCII | FLEX Instrument ID right padded with spaces. |
| Price | 25 | 8 | Binary Signed Long Price | Trade price. |
| Execution ID | 33 | 8 | Binary | Cboe generated day-unique execution identifier of this trade. Execution ID is also referenced in the Trade Break message. |
| Trade Condition | 41 | 1 | Alphanumeric | See Options Trade Condition Codes for details about new codes. |
| DAC Reference Price | 42 | 8 | Binary Signed Long Price | Reference price of the DAC trade. |
| DAC Closing Price | 50 | 8 | Binary Signed Long Price | Price used as the closing price for DAC trade repricing. $0 unless repricing a DAC trade after the close. |
| DAC Delta Value | 58 | 2 | Signed Binary | The delta value applied to this DAC trade (within the range -1.0000 through 1.0000; 0 if a complex instrument) |
| Total Length=60 bytes | ||||