Cboe Members may use the Cboe Titanium BZX Equities Auction Feed to obtain Opening, Closing, Halt, IPO Auction, and Cboe Market Close (CMC) information. The Auction Feed is a direct data feed product. The Auction Feed disseminates Cboe Auction price and size information as follows:

• Every 5 seconds between 8:00 and 9:30 a.m. ET for the Opening Auction.
• Every 5 seconds between 3:00 and, every 5 seconds between 3:59 p.m. and every 1 second between 3:59 and 4:00 p.m. for the Closing Auction.
• Every 5 seconds during a defined Quote-Only period for Halt and IPO Auctions.

The default Quote-Only period will be 5 minutes before Halt Re-Open Auctions and 15 minutes before IPO Auctions plus a short random period to prevent gaming. Situations that can result in the Quote-Only period being extended include, but are not limited to:

• Unmatched Market Order Shares (automatic)
• Legitimate Underwriter Request (manual, IPO only)
• Volatility (automatic 5-minute extension for a price movement that is the greater of 10% or 50 cents in the 15 second window prior to the auction match)

During the Quote-Only period, Cboe will begin accepting orders and disseminating indicative prices and Auction Feed information in the subject security. Entered orders can be cancelled and no executions in the subject security will occur until the auction has completed.

Given the defined intervals and the limited amount of messaging required at this time, there is no minimum bandwidth requirement for the Auction Feed.

The Cboe BZX Equities Auction Feed disseminates Auction information. The Auction Feed cannot be used to enter orders. For order entry, refer to the Cboe Titanium U.S. Equities FIX Specification.

All information presented on the Auction Feed is anonymous and does not contain any member identifying information.

The Cboe BZX Equities Auction Feed is comprised of a series of fixed-length sequenced messages. The length of each message is dependent upon the message type. Each message is made up of non-control ASCII bytes. Members familiar with the TCP PITCH protocol should find it very easy to reuse that code to process the Auction Feed.

The messages that make up the Cboe BZX Equities Auction Feed protocol are delivered using SOUP 2.0, which handles sequencing and delivery integrity. Cboe implementation of SOUP 2.0 is the same as other Market Centers.

Cboe implementation of SOUP 2.0 is the same as other Market Centers. This includes the implementation of session events such as login requests, client/server heartbeats, and logout requests.

The fields within each message type have a corresponding data type. The various data types are defined in the following table.

Unlike other Market Centers, Cboe does not send System Event messages.

Auction Update messages disseminate Cboe price and size information during auctions for Cboe listed securities and for CMC. messages are sent every 5 seconds during the auction periods previously defined. Cboe disseminates Cboe Closing Auction information every 5 seconds between 3:00 and 3:59 p.m. and every 1 second between 3:59 and 4:00 p.m. for the Closing Auction.

An Auction Update message will be disseminated after each CMC matching session is complete for any symbol with matched CMC shares. An Auction Update message will show the size of the current matching session for the symbol. The Buy Shares and Sell Shares fields will be equal and indicate matched shares.

The Auction Update message has the following format:

The following extended version of the Auction Update message accommodates larger prices and has the following format:

Auction Summary messages disseminate the results of a Cboe listed security auction and for Cboe Market Close (CMC).

An Auction Summary message for each Cboe listed security is sent at the conclusion of its opening auction and represents the Cboe official opening price. A Closing Auction Summary message for each Cboe listed security is sent at the conclusion of its closing auction and represents the Cboe official closing price. An IPO Auction Summary message for each Cboe listed security is sent at the conclusion of the IPO Auction and represents the official Cboe IPO opening price.

An Auction Summary message will be sent for CMC once the official closing price for each security is available. The Price and Shares fields will indicate the price of the CMC match and the number of shares that were executed. If the official closing price is updated after its initial publication, then another Auction Summary message will be disseminated to reflect the updated price of the CMC match.

The Auction Summary message has the following format:

The following extended version of the Auction Summary message accommodates larger prices and has the following format:

Please direct questions or comments regarding this specification to [email protected].