Options Auction Update
Options Auction Update messages are used to disseminate price and size information and Composite Market bid and offer prices during Opening and Re-Opening (halt) auctions on the Cboe Options Exchange. Options Auction Update messages are sent every five seconds during an opening period provided that one of the field values has changed. When no values have changed, a message is sent once every 60 seconds. Refer to the Cboe Titanium U.S. Options Opening Process for more information.
The Options Auction Update message has the following format:
| 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. |
| Symbol | 6 | 8 | Printable ASCII | Symbol right padded with spaces. |
| Auction Type | 14 | 1 | Alphanumeric |
|
| Reference Price | 15 | 8 | Binary Long Price | Collared VMIM price computed on the queuing book only. |
| Buy Contracts | 23 | 4 | Binary | Cumulative Buy contracts at the Reference Price and above. |
| Sell Contracts | 27 | 4 | Binary | Cumulative Sell contracts at the Reference Price and below. |
| Indicative Price | 31 | 8 | Binary Long Price | Collared VMIM price computed on the combined queueing book and the continuous book. Equal to Reference Price for options that do not have a GTH trading session. |
| Auction Only Price | 39 | 8 | Binary Long Price | Uncollared VMIM price computed on the queuing book only. |
| Opening Condition | 47 | 1 | Alphanumeric |
|
| Composite Market Bid Price | 48 | 8 | Binary Long Price | Bid Price of the prevailing Composite Market |
| Composite Market Offer Price | 56 | 8 | Binary Long Price | Offer Price of the prevailing Composite Market. |
| Total Length=64 bytes | ||||