Cutoff Time and Settlement Liquidity on Open (SLOO) Orders

The RTH Opening for Constituent Series defines a cutoff time at 09:26 a.m. ET after which several constraints and order type behaviors are enforced, including the introduction of a Volatility Opening specific order type Settlement Liquidity Order on Open (SLOO). The following summarizes Volatility Opening behavior before and after the cutoff time:

• Appointed Market Maker Quotes have no restrictions before and after the cutoff time (i.e., they can be added, cancelled, and modified before and after the cutoff time).
• Prior to the cutoff, add, cancels, and modifications of all order and quote types except SLOO Orders are accepted. SLOO Orders are rejected prior to the cutoff time.
• After the cutoff, new orders, cancels, and modifications of orders and non-Appointed Market Maker Quotes submitted prior to the cutoff are rejected. Mass cancelations and purge requests, including those with risk lockout enabled, will not cancel Constituent Series in the RTH pre-open.
• After the cutoff, only SLOO Orders and Appointed Market Maker Quotes are accepted and can be cancelled and modified.
• The following describes specification of SLOO Orders using the FIX and BOE order entry protocols:
  • For FIX order entry protocol, TimeInForce (59) is set to 2 (At the Open), and ExecInst (18) is set to r (Settlement Liquidity).
  • For BOE order entry protocol, TimeInForce is set to 2 (At the Open), and ExecInst is set to r (Settlement Liquidity).

SLOO Orders are orders that are designed to enable imbalance satisfying orders to be submitted while ensuring orderly markets leading up to the series opening. The Composite Market midpoint defines the Opening Collar reference, which is defined by the Appointed Market Maker Best Bid and Offer prices. Since Appointed Market Maker Quotes can be modified after the cutoff, Opening Collars are able to adapt to changing market conditions after the cutoff time. A SLOO Order is submitted like a regular Limit Order. If the specified Limit Price on a SLOO Order is more aggressive than the instantaneous Opening Collar midpoint, the SLOO Order will be adjusted to the Opening Collar midpoint. As the Opening Collar moves with a changing Composite Market midpoint, SLOO Orders will be adjusted to the Opening Collar midpoint up to their originally specified Limit Price and never at a more aggressive price than the originally specified Limit Price.

An exception to the SLOO adjustment behavior exists for low priced series. When the Opening Collar midpoint is less than or equal to $0.175, Sell SLOO Orders will work at their originally specified limit price, which will enable aggressive Sell SLOO Orders to trade with low limit price Buy orders on the book. Buy SLOO Orders will never adjust more aggressively than the Opening Collar midpoint regardless of the Opening Collar midpoint level.

As SLOO Orders are adjusted with a changing Opening Collar midpoint, order restatements are sent to the originator over the same FIX or BOE session from which the order received, as follows:

BOE - Order Restated message with RestatementReason set to P (Price Sliding Reprice) is returned to the originator.

FIX - Execution Report message with ExecType (150) set to D (Restated) and ExecRestatementReason (378) set to 3 (Repricing of order) is returned to the originator.

In the event the Composite Market midpoint does not fall on a valid increment, Buy SLOO Orders adjust to the Opening Collar midpoint rounded up to the nearest valid increment and Sell SLOO Orders adjust to the midpoint rounded down to the nearest valid increment.

SLOO Orders not filled in the series opening are cancelled back to the submitter.