Cboe members use a subset of the FIX 4.2 protocol for order entry and drop copies.

It is assumed that the reader is familiar with the FIX 4.2 protocol as described at http://www.fixprotocol.org. This document describes the differences between the Cboe implementation and the FIX 4.2 standard.

Please refer to https://www.cboe.com for updates and further information on policies and procedures.

All customers must complete a formal certification in the appropriate Cboe Certification test environment before production orders or quotes will be accepted by Cboe. Formal certification scripts can be found in the Cboe Customer Web Portal. Customers may complete the formal certification using the Certification Tool app and selecting the applicable certification script. Customers are advised to test all functionality they plan to use in production in the Cboe Certification test environment.

Blue highlights highlight key differences between the Cboe US Options Exchanges (BZX Options Exchange BZX only, Cboe Options Exchange C1 only, C2 Options Exchange C2 only, and EDGX Options Exchange EDGX only).

Refer to Holidays & Hours for Cboe trading hours and holiday schedules. All times are listed in the Eastern Time zone (ET).

All orders are live upon acceptance by the Cboe Options Exchanges. Orders are rejected if they are received outside the sessions as defined in the Hours Of Operation table.

The Cboe Options Exchanges support a Pre-Market Queuing Session that allows orders to be entered and queued prior to the start of the Global Trading Hours (GTH) session and the Regular Trading Hours (RTH) session. The GTH Queuing session will allow GTH-eligible Product orders marked as both GTH and RTH only order to be entered and queued. C1 also supports a Curb session in addition to GTH and RTH sessions.

For more information on the Cboe Opening Process, please refer to the Cboe Titanium U.S. Options Opening Process specification.

The Cboe Options Exchanges do not support a closing auction, but do support Extended Trading for select products. All orders remaining after the Regular Trading Session that are not eligible for Extended Trading will be cancelled automatically. All orders remaining after the Extended session will be cancelled automatically and execution reports will be delivered.

On certain U.S.-centric holidays, where European and/or Asian markets are open, trading is suspended for RTH and Curb but continues for GTH products eligible to trade on holidays, resulting in two sets of non-contiguous GTH sessions before RTH.

On days where the market closes early, RTH will conclude at 1:15 p.m. ET and there will not be a subsequent Curb session. The market will remain closed until the next GTH session.

On certain International Holidays (i.e., New Year's Day) there is no GTH or RTH trading and the C1 Options market is closed. Notice is sent prior to holidays communicating the specific hours and sessions that will be available.

All FIX timestamps are listed in Greenwich Mean Time (GMT) per FIX standard. Users are expected to synchronize their clocks with an external time source.

Users should program their systems to allow execution prices to be returned with up to four decimals.

The exchange does not guarantee messages sent by Members/TPHs to the exchange, including through protocols such as TCP. Members/TPHs are responsible to monitor the status of the messages they send to the exchange.

Each FIX order handler process will allow a single TCP connection from a member. Connection attempts from unknown source IP ranges will be blocked to prevent unauthorized access to FIX ports. The Cboe NOC should be contacted in the event that a Member desires to connect from a new source IP range.

Each FIX order handler will connect, using a proprietary UDP protocol, to all matching units. Connections from order handlers to matching engines are latency equalized. The connections between order handlers and matching units are governed by an internal flow control mechanism to control burst rates.

The number of messages in flight between an order handler and a matching engine is 128. In addition, when the total number of unacknowledged messages exceeds 1,024, the FIX order handler will stop reading from the member-facing TCP socket. This will cause the order handler to stop removing bytes from the TCP receive buffer and will prevent the member from sending more TCP data once the member’s send buffer is full.

When the total number of unacknowledged messages falls below 960, then the reading of the member facing TCP socket will be resumed.

For message in flight counting purposes the following logic will be used:

• A new order message will count as one message;
• A new complex order with up to 100 legs will count as one message;
• A new order cross or new complex order cross auction message with one agency side and up to 10 contra parties will count as one message;
• A quote update with up to 20 individual quote sides will count as one message.
• In contrast, a single TCP segment sent by a member containing two quote update messages, each with five quote sides, will count as two messages

Cboe may either update the message in flight or the total number of unacknowledged messages settings with notice. Changes to reduce either limit will be made only with two weeks’ notice. Cboe reserves the ability to increase either limit immediately with notice.

Good ‘Til Cancel (GTC) and Good ‘Til Day (GTD) orders can result in orders persisting between sessions. The Cboe FIX protocol provides a mechanism for clients to request an end-of-day restatement of GTC/GTD orders to be persisted to the next trading session (see FIX Port Attributes for information on available port attributes, including Done For Day Restatements).

When enabled, Done For Day Restatement messages are sent to connected clients after the trading session ends, for each order that will persist to the next trading session. Customers may send Order Cancel Request messages for any open GTC and GTD orders any time prior to the cutoff.

Execution Report messages representing done for day orders will have ExecTransType = 3 (status), ExecType = 3 (DoneForDay), ExecRestatementReason = 1 (Good ‘Til Restatement), and OrdStatus = 3 (DoneForDay).

To enable Done For Day Restatements via port attribute setting, customers should contact the Cboe Trade Desk.

GTC, GTD, and DAY orders entered during partial holiday sessions can also result in orders persisting between multiple trading sessions. The Cboe FIX protocol provides a mechanism for clients to request restatement of orders that have been carried forward from the previous business day trading session (see FIX Port Attributes for information on available port attributes, including Carried Order Restatements).

When enabled, Carried Order Restatements are sent to connected clients for each product on the Options Exchange for which orders have been carried forward from the previous session. Persisted orders are added back into the order book starting at approximately 15 minutes prior to the scheduled queuing time for each underlying symbol, after connection establishment and before regular trading activity messages on a per-symbol basis.

Execution Report messages representing carried orders will have ExecTransType = 3 (status), ExecType = D (Restated) and ExecRestatementReason = 1 (Good ‘Til Restatement).

To enable Carried Order Restatements via port attribute setting, customers should contact the Cboe Trade Desk.

GTC and GTD orders persist within the Cboe Options Exchanges between business days. On BZX, EDGX, and C2 the latest time when GTC/GTD orders may be cancelled is 4:45 p.m. ET.

On C1 Options the latest time when GTC/GTD orders may be cancelled will be updated to 5:15 p.m. ET (15 minutes following the close of the Curb Session).

GTC, GTD, and Day orders also persist between multiple GTH trading sessions on the same business day in connection with a holiday. On US holidays, Order Cancel Request messages for GTC orders may be issued until 11:45 a.m. ET, which is 15 minutes after the first GTH session ends at 11:30 a.m. ET. After the cancellation period, cancellation requests will be rejected with reason O: Order known, but cannot be canceled at this time until after the system restart completes. The Multi-Segment Holiday Day Order Handling port attribute will enable Members to designate if Day orders are cancelled or preserved across holiday trading segments comprising a single business date (see FIX Port Attributes for information on available port attributes).

Display-Price Sliding (BZX Only)

If the original limit price of the unexecuted remainder of a day order does not lock or cross the NBBO, Cboe works the order at the original limit price while displaying it at the nearest permissible quoting increment. If the original limit price does lock or cross the NBBO, Cboe makes available Display-Price Sliding.

Display-Price Sliding adjusts the original limit price on entry to the locking price of the NBBO. It will be ranked and worked at a price locking the NBBO but will temporarily adjust the displayed price to the nearest permissible quoting increment. When the NBBO widens, the display price will be readjusted to the adjusted limit price. The display price may be temporarily less aggressive than the adjusted limit price or working price.

Multiple Display-Price Sliding does not permanently adjust the original limit price on entry, but allows for Display-Price slid orders to continue to have their display and working prices adjusted towards their original limit price based on changes to the prevailing NBBO.

Contra-side Post Only orders received when a Display-Price Slid order is working at a locking price with the NBBO will not result in a reject of a contra-side Post Only order but will instead result in the working price of the Display-Price Slid order to be repriced to one penny away from the locking price.

Price Adjust

If the limit price of an order does not lock or cross the NBBO, the order will be ranked and displayed at the nearest permissible quoting increment.

If the limit price of a Price Adjust eligible order locks or crosses the NBBO, the limit price will be adjusted on entry to the locking price of the NBBO, while the displayed price and ranked price will be temporarily adjusted to the nearest permissible quoting increment. Price Adjust orders will never be ranked at the locking price or at a non-displayable price increment. If the NBBO widens, the displayed price and ranked price will be readjusted to the adjusted limit price.

The limit price of a Multiple Price Adjust order will not be permanently adjusted on entry if the limit price crosses the NBBO. The displayed price and ranked price will be the nearest permissible quoting increment and will be adjusted towards the original limit price based on changes in the prevailing NBBO.

NoRescrapeAtLimit (BZX Only)

Applicable only to fully routable IOC orders (9303 = R and 59 = 3). After walking the price down to the limit, there will be no final scrape at Cboe, and the cancel code will state X: Expired rather than N: No Liquidity.

Market Orders are rejected if the NBBO width is greater than 100% of the midpoint (with a minimum value of $5.00 and maximum value of $10.00).

Example

1. NBBO = $1.00 x $4.00
2. Midpoint = $2.50 x 100% = $2.50 (min of 5.00 is used instead)
3. NBBO Width = $4.00 - $1.00 = $3.00

Even though the width is greater than 100% of the midpoint, Market Orders entered are accepted since the $5.00 minimum applies in this example.

Each simple limit order will be assigned a drill-through price that allows simple orders to be executed up to an initial capped price through the contra side NBBO at time of order entry. For information on how this drill-through behavior is leveraged within a separate protection feature, see Wide Market Protection.

The drill-through mechanism will then repeatedly post the order at a more aggressive price. If the order reaches its limit price at any time during the iterative drill-through process, the order will remain at its limit price and the drill-through protection mechanism will not continue. The preset duration is 200 ms for C1 Proprietary Index Products and 1 second for all other products on BZX, C1, C2, and EDGX. Effective 08/24/26, the preset duration will be 100 ms for all products on all Exchanges.

Adjustments that would lock or invert an away displayed market will initiate a SUM auction.

Market orders submitted with a TimeInForce (FIX Tag 59) of Day along with elected stop orders are eligible for iterative drill-through price protection.

• Sell market orders will drill-through down to the minimum tick for the class where they will rest until cancelled or executed in full.
• Buy market orders will drill-through to the maximum allowable price for the class where they will rest until cancelled or executed in full.
• Market orders submitted with a TimeInForce of IOC will trade on arrival, capped at the first drill-through price level.

Separate stop and stop limit orders elected as a result of the same election trigger (NBBO update or last sale) will all use the same drill-through reference price. This may include orders with multiple stop prices if the election trigger covers multiple price levels. When multiple stop orders are elected as a result of the same election trigger, they are sequenced in time priority based on their order entry time.

• If an iterative drill-through protection is in progress, newly-elected stop and stop limit orders will join the current drill-through price. The newly-elected stop and stop limit orders will be prioritized behind orders already in drill-through.
• If no iterative drill-through is in progress, the initial drill-through reference price for stop and stop limit orders elected by the same market data event will be set to the contra side NBBO.

Triggered Market-On-Close and Limit-On-Close orders are handled the same as elected stop and stop limit orders with respect to drill-through reference price and priority.

• Existing market-width checks prevent market orders from executing if the bid/ask width is wider than a specified amount. This protection will be bypassed for triggered Market-On-Close orders and triggered stop orders.
• Existing Fat Finger limit price reasonability checks reject limit orders priced at an overly-aggressive level. Such protections will be bypassed for triggered Limit-On-Close orders and triggered stop limit orders.

The Drill-Through Price is calculated by taking the NBB or NBO and subtracting or adding, respectively, the Drill-Through Amount from the Drill-Through Price table. Calculated drill-through prices at an invalid pick increment for the class will be widened to the next valid tick.

Wide market protection (WMP) initiates a pause on inbound orders and elected stop/stop limit orders when the NBBO is deemed "wide" based on pre-established parameters. Specifically, the NBBO is considered wide if there is no NBO or if the bid/ask spread is wider than the WMP Determinant based on the NBB (Bid Price) in the table below. Inbound limit orders and triggered stop limit orders are subject to WMP if the NBBO is deemed to be wide and their price is marketable.

Orders subject to WMP will begin a drill-through process per Drill-Through Protection (above) using an initial drill-through display price as determined by WMP benchmark pricing. If a drill-through is in progress, the orders will join that process. WMP will not be initiated within 30 seconds prior to the close of the RTH or Curb trading sessions; however, any current drill-through processing will continue. Effective 08/24/26, WMP will be initiated up until the close of the RTH or Curb trading sessions and any current drill-through processing will continue.

WMP is applied to all proprietary index products.

Default Drill-Through Protections will be applied to all complex limit and market orders that will cap the price of the order relative to the SNBBO at the time of order entry. Exchange defaults are 5% through the contra-side of the SNBBO. For orders other than SPX/SPXW, the price cap level will be no larger than $0.25 through the contra-side SNBBO. For SPX/SPXW, the price cap level will be no larger than $2.00 through the contra-side SNBBO. The price cap level will be no smaller than $0.02 through the contra-side SNBBO for all orders.

For complex orders not specifying a drill-through override with DrillThruProtection (FIX 6253), the drill-through mechanism will repeatedly post the order at a more aggressive price. If an order reaches its limit price at any time during the iterative drill-through process, the order will remain at its limit price and the drill-through protection mechanism will not continue. The preset duration is 200 ms for C1 Proprietary Index Products and 1 second for all other products on BZX, C1, C2, and EDGX. Effective 08/24/26, the preset duration will be 100 ms for all products on all Exchanges.

Sell market orders will drill through to the minimum tick for the class, where they will rest until cancelled or executed in full. Buy market orders will drill through to the maximum allowable price for the class, where they will rest until cancelled or executed in full. Market orders submitted with a TimeInForce of IOC will trade on arrival, capped at the first drill-through price level.

Customers can optionally set more or less restrictive Drill-Through Protections on individual orders using DrillThruProtection on the New Order Multileg message. Eligible complex orders may also initiate a COA throughout the iterative process.

Fat Finger Checks are mandatory for both Pre-Market and Regular Sessions and applied to both simple and complex orders. The following Exchange defaults are applied if not specified by the user. Fat Finger checks will not be applicable for any Multi-Class Spread instruments that trade on the floor only. Fat Finger checks will remain applicable for Multi-Class complex instruments containing only SPX or SPXW legs as they are eligible for trading on the electronic book.

SPX and SPXW are considered Exception Classes and have unique Fat Finger default values for the Pre-Open and Regular sessions.

See the Cboe Titanium U.S. Equities/Options Web Portal Port Controls Specification for additional details on how fat finger settings can be managed intraday by Members.

The exchange limits the Maximum number of open orders allowed on a FIX port to 200,000 per port. New orders will be rejected once this limit is breached until the number of open orders drops back below 200,000.

This document uses the term "Risk Root" to denote the underlying symbol in the context of Cboe Options Risk Management functionality. This informs what value must be sent in the defined RiskRoot fields when performing a mass cancel or resetting a risk trip.

See the Cboe Titanium U.S. Options Risk Management Specification for more details.

Cabinet orders are identified via PriceType (423) = 0 and must have a valid TimeInForce (59) of Day or GTC. Cabinet orders can support a position status of Open or Close, identified via OpenClose (77). Cabinet orders will only trade with other cabinet orders on the floor and therefore require direct or default floor routing instructions as described in Floor Routing (C1 Only).

Orders in non-penny classes must have a limit price less than or equal to $0.01, and orders in penny classes must have a limit price less than $0.01. Limit prices may be up to 4 decimal places.

Orders in penny or non-penny classes priced greater than $0.01 and orders in penny classes priced equal to $0.01 will be rejected.

Cabinet orders or executions are not disseminated on OPRA but will be available on the Cboe Titanium U.S. Equities/Options Multicast Depth of Book (PITCH) Specification and Cboe Titanium U.S. Options Multicast TOP Specification.

Orders for FLEX options may be entered using the New Order Single, New Order Multileg, New Order Cross, or New Order Cross Multileg message types. The OSI symbol specified in Symbol (55) will determine the type of FLEX product being traded.

Existing FLEX symbols can be traded during GTH sessions but currently new symbol creation is not permitted during GTH sessions. Effective July 13, 2026 FLEX symbol creation will be allowed for GTH-Eligible proprietary index and GTH-Eligible multilist options starting at 7:30 a.m. ET. FLEX symbol creation in GTH prior to 7:30 a.m. ET will continue to not be permitted. Additionally, during GTH or Curb sessions, trading of percentage FLEX or FLEX DAC orders will not be permitted. FLEX symbol creation is enabled during the Curb trading session.

For example, an OSI of 3SPX would be used to enter a FLEX order or cross for an SPX option that is PM settled and that has an American exercise style.

Asian settlement types further encode in the fifth character an observation day of month for index value observations.

For example, OSI 5RUTC reads as "Asian RUT option having capped observation day of month 13."

Cliquet settlement types encode the underlying index in the second character, a cap return percentage in the third and fourth characters, an observation in the fifth character, and a creation day of month in the sixth.

For example, OSI 6DCH8T reads as "Cliquet DJX option having capped return percentage of 2.35%, observation day of month 8 and creation day of month of 30."

If tag Symbol (55) is as FLEX OSI symbol, then expiration date, strike price, and call/put indicator are also required.

Alternatively, the Cboe Identifier for an existing FLEX symbol can be specified in Symbol (55).

FLEX can be traded as a percentage of the closing price of the underlying for the day by indicating PriceType (423) = 1. Price (44) and LegPrice (566) must be in percentage terms if and only if the strike price of the FLEX option is also in percentage terms. When a percentage Cboe symbol is specified for Symbol (55), but no PriceType (423) value is provided, the order will be rejected. FIX users may opt-in to receive restatement messages at the end of the day once the percentage price has been converted into dollars. Complex FLEX orders containing at least one option leg which is not a FLEX option may not be submitted using percentage terms.

FLEX orders initiating an auction are required to specify FLEXAuctionDuration (21010). The minimum valid value for FLEXAuctionDuration is 3,000 milliseconds. The maximum valid value is 300,000 milliseconds.

FLEX orders require Price (44) be provided. All complex FLEX orders must specify LegPrice (566) per leg, unless routed directly to the floor. When specifying FloorRoutingInst (22303) = D to route complex FLEX orders directly to the floor, leg prices are optional and can be provided for all legs, a subset of legs, or left blank. LegPrice (566) must be left blank for any Option Leg of a Complex FLEX Order that is not a FLEX Option. Complex FLEX orders responding to an auction should not specify any LegPrice (566).

FLEX Delta Adjusted At Close (DAC) are limit orders for FLEX options that execute intraday and receive a delta-adjusted price based on that day’s official closing price of the underlying security or index value. FLEX DAC orders can be traded by indicating PriceType (423) = D. FLEX DAC orders are only supported for ETF/ETN/ETP and index products and are only executed via AIM, SAM, and single-sided auctions. The maximum number of legs on a FLEX DAC order is 99. Equity legs are allowed on FLEX orders. FLEX DAC orders allow up to 98 options legs and one equity leg. Complex FLEX DAC Orders may not contain option legs which are not for FLEX options.

FLEX DAC supports trading in all equity, ETF, and index options. Equity single leg options are only permitted to trade within the last 45 minutes of RTH. Equity option, single-leg DAC orders will be prevented from being submitted/executed/closed out on the day of their expiration date. These restrictions do not apply to complex DAC orders in equity options products, or to single-leg or complex DAC orders in ETF or index products.

For FLEX DAC orders, the execution price will be re-calculated at the close based on the following formula:

Initial execution price + (designated delta) x (actual change in underlying reference price versus official closing price)

A = I + (D * (C - R)), where:

• A = Adjusted price
• I = Initial execution price
• D = Delta (positive number for calls; negative number for puts)
• R = Underlying reference price
• C = Closing price for the underlying security or index

After the close, a Trade Cancel/Correct message (UCC message) is sent for each FLEX DAC execution. The message is marked as Correct (ExecTransType = 2) with the CorrectedPrice (9620). The Trade Cancel/Correct message (UCC message) will also include the Delta (22023), ReferencePrice (22025), ClosingPrice (22004), ClearingOptionalData (9324), and FeeCode (9882) fields.

All orders routed to the floor must include explicit routing instructions that includes two features:

1. floor routing instruction indicating Direct or Default routing behavior and
2. floor destination information

Floor routing behavior is specified in FloorRoutingInst (22303). Direct routing sends the order to the indicated PAR workstation, while default routing indicates that electronic execution is preferred, but the order may be routed to the indicated PAR if it cannot be processed electronically.

Examples of conditions which cause default routing to the Floor include:

• A complex order having an AON contingency
• A complex order with multiple underlying components
• Any FLEX order not participating in an auction
• Not held orders

Floor destination instructions are specified in FloorDestination (22100), indicating a PAR workstation (ex. W001) to route to on the floor (or PARO to route to the Floor PAR Official of the underlying symbol) if not specified on the inbound message (see FIX Port Attributes for information on available port attributes, including Default FloorRoutingInst and Default FloorDestination).

E = Electronic only, D = Direct, and X = Route to floor if unable to process electronically

Orders routed to the trading floor will be represented to the open outcry crowd before being traded in the crowd. The Cboe FIX protocol provides a mechanism for clients to request restatement of orders at the time of representation. See FIX Port Attributes and FIX Drop Port Attributes for information on available port attributes, including Floor Representation Restatements.

When enabled, Floor Representation Restatements are sent to connected clients for each order when the floor broker reports representation of the order to the crowd. Floor Representation Restatements sent to the FIX and BOE ports will also be sent to connected Order by Order Drop clients having the Floor Representation Restatements port attribute enabled.

Execution Report messages for floor representation will have ExecTransType (20) = 3 (Status), ExecType (150) = D (Restated) and ExecRestatementReason (378) = 7 (Represented in Crowd). The TransactTime (60) will be the recorded time of the representation.

To enable Floor Representation Restatements via port attribute setting, customers should complete a modification request using the Logical Port Request form within the Cboe Customer Web Portal.

Orders executed on the Cboe Options trading floor may be edited after the trade has occurred using the Clearing Editor tool to correct trade entry errors. If a clearing edit is made to either side of a floor trade to adjust non-clearing related trade fields such as Price, Size, Symbol, etc, then this will result in a cancellation of the original trade (UCC message) and new orders/trades being created in the system for both sides of the trade. The new orders will have a system-generated ClOrdID (11) that begins with a tilde (~). The InitialClientOrderId (22020) field will contain the original ClOrdID (11) from the order that was routed to the Exchange and can be used to associate the trade cancel or new trade message with the original order.

Firms can use a FIX DROP port with the Allow Executions and Send Trade Breaks attributes enabled in order to receive a real-time notification when these cancellation and new trade events occur that result from a post trade clearing edit. Cancellation and new trade events resulting from floor clearing edits will not be sent to the originating FIX or BOE port where the order originated and are only available over FIX Drop. Firms are also encouraged to use the Clearing Editor tool to monitor for unmatched trades.

Market Maker Trade Notifications (MMTN) will be sent to Market Makers if they are identified as the contra party on a floor trade. MMTN messages will be sent to the Market Makers as Execution Reports messages with ExecType (150) = T over a designated FIX Drop port or a FIX or BOE order entry port. See FIX Port Attributes and FIX Drop Port Attributes for information on available port attributes related to the receipt of MMTN messages.

Market Makers that receive a notification of a trade are required to use Floor Trade Confirmation messages or Add Floor Trade messages to respond to MMTN messages if they agree with the terms of the trade in the Execution Report.

For more information on the following Auction Only Orders, please refer to the Cboe Titanium U.S. Options Opening Process.

FIX messages are ASCII formatted. The user will be provided with a SenderCompId and SenderSubId that must be sent on every message. The TargetCompId for all messages the user sends will be BATS, CBOE, CTWO, or EDGX. All messages the user receives will have the Sender and Target fields swapped.

Sequence numbers, both inbound and outbound, will be reset to 1 each night during system down time.

Messages are processed in sequence order. Behind sequence messages (other than Sequence Reset - Reset) will cause an immediate logout. Ahead of sequence messages (other than a Resend Request) will trigger a message recovery via a Resend Request.

Cboe uses the FIX 4.2 session protocol.

The following session messages are supported in both directions:

For information on connectivity options to Cboe, refer to the Cboe Titanium U.S. Equities/Options Connectivity Manual.

The Logon message must be the first message sent by the user after the TCP connection is established. EncryptMethod is ignored (FIX level encryption is not supported).

Cboe will wait one second after a Logon message is received to ensure that no Resend Request messages are in flight from the Member. A Heartbeat message will be sent to indicate that the one second wait period has ended. Members should not send any orders prior to receiving this first Heartbeat from Cboe.

The IP Address of the user, the SenderCompId, SenderSubId and TargetCompId (defined in the Logon Message Fields table) and TargetSubId (TEST/ PROD) will be validated. If validation fails the connection will be dropped without a reject (to avoid corrupting the users sequence in the case that the user merely mistakenly connected to the wrong port).

If connection is unexpectedly broken, upon reconnection the user may receive a login reply with a sequence number greater than expected. This means that in-flight messages were missed (likely important execution reports). The user should issue a Resend Request message to retrieve the missed messages.

Similarly Cboe will issue a Resend Request message to the user for messages that it missed. The user may wish to send gap fill messages in place of new orders to avoid re-submission of potentially stale orders.

HeartbeatInterval must be specified by the user in the Logon message. This value will be clamped between 5 and 300 seconds and returned in the logon reply message. We recommend using as low a value as the reliability and latency of your telecommunications channel will allow.

If the Carried Order Restatements port attribute is set, unsolicited Execution Report messages representing carried orders loaded by the system at startup will be sent after the Logon response. Carried orders are orders that persist across trading days. Good ‘Til Cancel (GTC) and Good ‘Til Day (GTD) orders and Day orders persisting across holiday trading segments comprising a single business date are the only order types that will appear in Carried Order Restatements (see Carried Order Restatements).

A Heartbeat message should be sent if the agreed upon HeartbeatInterval has elapsed since the last message sent. If any message has been sent during the preceding HeartbeatInterval a Heartbeat message need not be sent.

If a HearbeatInterval + 1 seconds have elapsed since the last message received, a Test Request should be issued. If another HearbeatInterval + 1 seconds go by without receiving a message, the TCP connection should be dropped. This ensures a broken TCP connection will be detected even if the TCP stack doesn’t notice (this has been observed to happen in WAN environments, particularly when a VPN is involved).

A Resend Request message should be processed even if it is received ahead of sequence. Only after resending the requested range (all marked PossDupFlag = Y, including any gap fills) should Resend Request message be issued in the opposite direction.

Cboe will reject all orders received during FIX replay containing PossDupFlag = Y.

As discussed in the FIX 4.2 specification, it is possible to send an open or closed sequence range in a Resend Request message (an open range uses sequence zero as the EndSeqNo). Cboe will honor either type of request, but will always issue Resend Request messages with a closed sequence range.

Session level rejects are used to indicate violations of the session protocol or missing/bogus fields. These are to be expected during development and certification while the user adapts for Cboe, but should be extremely rare in production. Application layer rejects (like Order Reject and Cancel Reject) are normal.

Either side may issue a Logout message to gracefully close the session. The side that issues the logout should process messages normally until it sees the logout reply, and then break the TCP connection. Cboe will typically only request logout after the scheduled end of FIX session.

The following FIX fields are used by Cboe:

FIX messages Members can send to Cboe.

A New Order Single message is used to submit a single-leg order for both standard listed options and FLEX options. Complex orders must use the New Order Multileg Message Fields.

A New Order Cross message contains the details for both the agency (initiating) and contra side(s) of a cross order (such as a AIM, QCC or SAM order). The two-sided order consists of a number of required fields including symbol, price, quantity, and relevant clearing information for both the agency and contra sides, as well as a number of optional fields. A maximum of ten (10) contra-parties will be accepted per order.

A New Order Cross Multileg message contains the details for both the agency (initiating) and contra side(s) of a cross order (such as an AIM order). The two-sided order consists of a number of required fields including symbol, price, quantity, and relevant clearing information for both the agency and contra sides, as well as a number of optional fields. A maximum of ten (10) contra-parties will be accepted per order.

Short Form

If the complex symbol is known at the time of entry, a short form of the New Order Cross Multileg message can be utilized. Note that Complex Symbol ID’s may be different between all Cboe Exchanges.

• Symbol (55) and Side (54) are required.
• NoLegs (555) and LegRefID (654) is required if specifying LegPrice (566) for FLEX. The order of the legs must match the Security Definition response, as legs can be re-ordered during security definition.
• The order of position effects in LegPositionEffects (22019) must match the Security Definition response, as legs can be re-ordered during security definition.
• Sending any additional fields in the legs repeating group (LegSymbol, LegCFICode, LegMaturityDate, LegStrikePrice, LegRatioQty, or LegSide) will result in the order being rejected to avoid confusion with an invalid long form request.

Long Form

If the complex symbol is not known, a long form of the request exists to enter the symbol legs at the same time as the order. The legs will be used to find an appropriate complex symbol in the Cboe Complex Order Book; the resulting symbol (if accepted by the system) will be returned on the Execution Report message in Symbol (55). A minimum of two (2) legs must be specified and a maximum of 16 legs will be allowed on complex orders. For non-FLEX Floor-Routed orders, a minimum of two (2), maximum of 100 total legs, including one (1) equity leg (C1 only) will be supported.

• If Symbol (55) or Side (54) are present and non-blank, the order will be rejected to avoid confusion with an invalid short form request.
• The order of position effects in LegPositionEffects (22019) must match the order of the symbol legs in the message.
• Each leg must be fully entered as described below.

  Table 1. New Order Cross Multileg Message Fields (C1 and EDGX Only)

  Tag			Field Name	Req’d	Description
  35			Standard Message Header	Y	MsgType = As
  97			PossResend	N	N = (Default) indicates a new order. Y = Indicates an application level resend and is NOT SUPPORTED. For reasons of economy, Cboe does not track in primary storage the ClOrdID values of orders that are no longer live. For reasons of performance, Cboe does not access secondary storage to enforce unique ClOrdID values against orders that are no longer live. Without full duplicate ClOrdID value enforcement, it is not possible to safely implement the full behavior specified in the FIX 4.2 Protocol for PossResend = Y. To remain economical, fast and safe, all messages with PossResend = Y will be simply ignored.
  548			CrossID	Y	Identifier for the cross order. 20 characters or less. Characters in ASCII range 33-126 are allowed, except for comma, semicolon, and pipe.
  549			CrossType	Y	Type of auction order being submitted, corresponding to the type of auction that will be initiated upon order entry. 1 = Automated Improvement Mechanism (AIM) 2 = Qualified Contingent Cross (QCC) 3 = Solicitation Cross (SAM) 4 = Position Compression Cross (PCC)1 (C1 Only) 5 = Related Futures Cross (RFC) (C1 Only) 1Entry of SPX versus SPXW as a complex spread is not supported for PCC.
  54			Side	Y	Required for Short format only Represents Side of Agency Order. 1 = Buy 2 = Sell
  55			Symbol	Y	Required for Short Format Only Cboe Complex Instrument ID
  38			OrderQty	Y	Number of contracts for order, 1 to 999,999
  40			OrdType	N	2 = Limit
  44			Price	Y	Price is from the perspective of the Agency Side. Accepted values will be -$999,999,999.90 to $999,999,999.90. Short form request Net Auction Price of the Strategy. Buy Orders: Positive Value, Debit Negative Value, Credit Even Order - 0 (Zero) Sell Orders: Positive Value, Credit Negative Value, Debit Even Order - 0 (Zero) Long form request Net Auction Price of the Strategy. Positive Value, Debit Negative Value, Credit Even Order - 0 (Zero) Price must be in whole pennies for option-only spreads. Can be up to 4 decimal places for spreads with stock legs and FLEX instruments.
  552 Repeating Group			NoSides	Y	Indicates the number of sides for the cross order. This value must be set to ‘2’. The first side is the Agency side, the second side is the Contra side.
  ➔	78 Repeating Group		NoAllocs	Y	Number of Repeating Groups for contra-party responses. Max of 10 contra parties. Should be set to ‘1’ for Agency side.
  ➔	➔	80	AllocQty	Y	Required tag to 'start each repeated group. Number of contracts for this party.
  ➔	➔	11	ClOrdId	Y	Day-unique ID chosen by client. 20 characters or less. Characters in ASCII range 33-126 are allowed, except for comma, semicolon, and pipe. A leading tilde (~) cannot be sent on any ClOrdId and will result in a reject. These are reserved for internal use by Cboe and could be received as a result of a system-generated ClOrdId.
  ➔	➔	1	Account	N	Characters in ASCII range 33-126 are allowed. When clearing OCC, value is passed to clearing in the Customer ID field (max 10 characters). If the Send ClearingOptionalData FIX Port attribute is not set, the value is also passed to clearing in the Txt field. When clearing Cboe Clear U.S., value is passed in the Customer Account Number field.
  ➔	➔	9324	ClearingOptionalData	N	Up to 16 characters in ASCII range 33-126 are allowed, except for comma, semicolon and pipe characters. Value will be reflected back on Execution Reports including FIX Drop. FIX Port attribute Send ClearingOptionalData set to 'Yes' is required to pass value to clearing.
  ➔	➔	47	Rule80A (aka OrderCapacity)	Y	The capacity for the order C = Customer F = Firm M = Market Maker U = Professional Customer N = Away Market Maker B = Broker-Dealer J = Joint Back Office L = Non-TPH Affiliate (C1 only)
  ➔	➔	439	ClearingFirm	N	CMTA Number of the firm that will clear the trade. Must be supplied for CMTA orders and left unspecified for non-CMTA orders.
  ➔	➔	440	ClearingAccount	N	When OrderCapacity (47) is set to a value of ‘M’ or ‘N’ this field should be filled with desired market maker ID. When OrderCapacity (47) is set to a value of ‘M’ any unregistered Market-Maker Accounts in this field will cause the quote or order to be rejected with a reason code of ‘A’ and sub-reason code ‘L’. When using CMTA, this value is the market maker ID for the CMTA member instead of the Cboe member executing the trade. When FIX Port Attribute Reject Non-Market Maker With Clearing Account is set to 'Yes' (C1 and C2 only) orders with OrderCapacity (47) other than 'M' and 'N' with a specified value for ClearingAccount (440) will be rejected. Field value is reflected on Execution Reports including FIX Drop.
  ➔	➔	9946	GiveUpFirmID	Y	For the Agency Side, this field must equal the value of OnBehalfOfCompId (EFID). Each Contra allocation will use this field instead of OnBehalfOfCompId for clearing information.
  ➔	➔	22008	EquityPartyID	N	MPID used to clear the equity leg being cleared via the Exchange. Required if the complex order includes a stock leg.
  ➔	➔	22624	EquityLegShortSell	N	5 = Sell Short (stock leg only) 6 = Sell Short Exempt (stock leg only)
  ➔	➔	21097	FrequentTraderID (C1 only)	N	Identifies the frequent trader program in which the order is participating. Six alphanumeric characters or less (0-9, A-Z, or a-z).
  ➔	➔	22019	LegPositionEffects	Y	A string of position effects with one value per leg. For example, if five legs, then this field must have five position effects specified. Ordering of position effects matches the order specified in LegRefID (654) repeating group (below), or the instrument definition if using a short form request. O = Open C = Close N = None* *Orders with an OrderCapacity (47) = M or N will not be required to specify OpenClose on their orders or may optionally specify a value of ‘N’, unless the series is limited to closing only. If the series is limited to closing only transactions, only OrderCapacity (47) = M will be permitted to submit OpenClose = O if the order has a TimeInForce (59) = 3 (IOC) and RoutingInst (9303) = B.
  ➔	➔	22027	AllocAdditionalClientInfo (C1 only)	N	Client information populated by the Member during order entry for two sided auction orders. Should not be populated if AdditionalClientInfo (22022) is populated, 16 characters or less (ASCII 32-126). This field value is recorded and returned in execution reports through AdditionalClientInfo (22022). Available via FIX Drop and Odrop.
  555 Repeating Group			NoLegs	Y	Indicates the number of legs in this complex order. Minimum of 2, maximum of 16 total legs, including 1 equity leg. A minimum of 2, maximum of 100 total legs, including 1 equity leg are allowed on non-FLEX Floor-Routed orders (C1 only).
  ➔	654		LegRefID	Y	Required tag to start each repeated group. Leg ID chosen by client. Five alphanumeric or space characters or less.
  ➔	600		LegSymbol	Y	OSI root symbol (upper case), underlying symbol, or Cboe format symbol (case sensitive). Not required for short form requests
  ➔	608		LegCFICode	N	CFI Code for leg. Required if tag 600 is an OSI root. OP = Option Put OC = Option Call E = Equity. Required for equity legs of complex orders Not required for short form requests
  ➔	611		LegMaturityDate	N	Indicates maturity date (YYYYMMDD) for the option contract in leg. Required if tag 600 is an OSI root. Not required for short form requests
  ➔	612		LegStrikePrice	N	Indicates strike price for option contract in leg. Required if tag 600 is an OSI root. 0 - 999999.999 Not required for short form requests
  ➔	623		LegRatioQty	Y	Ratio of number of contracts in this leg per order quantity. All legs must be reduced (i.e., 2:2 must be sent as 1:1) in order to be accepted by the system when using this message type. Accepted values will be 1 - 999,999. Not required for short form requests
  ➔	624		LegSide	Y	Side is from the Agency side’s perspective: 1 = Buy 2 = Sell Not required for short form requests
  ➔	566		LegPrice	N	Only applies for FLEX orders. If PriceType (423) = 1 Traded as percentage (FLEX Only) -999,999.99% to 999,999.99% If PriceType (423) = 2 or D Limit price for this order. Order rejected if priced finer than the minimum trading increment for the option. Numeric $0.01 - $999,999.99.
  ➔	22024		LegDelta (C1 only)	N	Only applies for FLEX DAC orders. Indicates the specific delta value applied to each leg. For calls, the delta value for a call leg must be ≤ delta of the call leg with the next largest strike price. As the strike price increases, the delta should decrease. Valid values are 0.0001 to 1.0000. For Puts, the delta value for a put leg must be ≥ delta of the put leg with the next smallest strike price. As the strike price increases, the delta should increase. Valid values are -1.0000 to -0.0001. The maximum number of legs on a FLEX DAC order is 99. Equity legs are allowed on FLEX orders. FLEX DAC orders allow up to 98 options legs and one equity leg.
  7933			RoutingFirmID	N	Used to optionally convey the routing firm of the order. If supplied, value must be a valid EFID.
  6253			DrillThruProtection	N	Amount sender is willing to trade through SNBBO at time of order entry. A zero value provides full SNBBO protection. The amount should be entered as a non-negative dollar value. Exchange default values are 5% of the opposite of the SNBBO, with a minimum value of $0.02, a maximum value of $2.00 for SPX/SPXW, and a maximum value of $0.25 for non-SPX/SPXW. Values provided on the New Order Cross Multileg message do not have a minimum or maximum.
  423			PriceType	N	1 = Percentage, when trading FLEX percentage instruments 2 = (Default) Price per unit (contract) D = FLEX DAC
  9040			AutoMatch	N	0 = Disabled 1 = Market 2 = Limit 3 = Market. No starting price adjustments. 4 = Limit. No starting price adjustments. Better-priced responses will be automatically matched by the Contra side. Indicates the type of Auto Match the Contra Order will use. Mutually exclusive with LastPriority (9849).
  9044			AutoMatchPrice	N	Required if AutoMatch is set to ‘2’ or '4', ignored otherwise. Sets the limit price at which the Contra Order will Auto Match. Format is the same as Price (44). AutoMatchPrice is from the perspective of the Contra Side. Short form request Net Auction Price of the Strategy. Buy Orders: Positive Value, Debit Negative Value, Credit Even Order - 0 (Zero) Sell Orders: Positive Value, Credit Negative Value, Debit Even Order - 0 (Zero) Long form request Net Auction Price of the Strategy. Positive Value, Debit Negative Value, Credit Even Order - 0 (Zero)
  9732			AttributedQuote	N	Allow for order to be attributed to order’s EFID in Cboe market data feeds. The order may also be included within attributed summary information displays related to quote/trade information on the Cboe web site. Applies to Agency Side only. N = (Default) Do not attribute EFID to this order. Y = Attribute EFID to this order. C = Atrribute ClientID (109) Only Z = Attribute both EFID (115) and ClientID (109)
  109			ClientID	N	User defined identifier for quote attribution if AttributedQuote (9732) = C or Z. Applies to Agency Side only.
  1462			TargetPartyID	N	Preferred Market Maker is required for Directed Orders. Applies to Agency Side only.
  7928			PreventMatch	N	Cboe Match Trade Prevention: 3 characters (not space separated): 1st character - MTP Modifier: N = Cancel Newest O = Cancel Oldest 2nd character - Unique ID Level: F = Prevent Match at Cboe Exchange Member level M = Prevent Match at MPID Level 3rd character - Trading Group ID (optional): Member specified alphanumeric value 0-9, A-Z, or a-z. The Unique ID Level (character 2) of both orders must match to prevent a trade. If specified on both orders, Trading Group ID (character 3) must match to prevent a trade. MTP instructions on the cross order will be used to prevent executions against responses only; executions against resting or unrelated orders will be permitted. Responses may only employ "Cancel Newest", in which case the response will be cancelled and the auction order will continue. Applies to Agency Side only.
  9849			LastPriority	N	0 = Disabled 1 = Enabled When enabled, allocation will go to other participants’ responses before requiring the Contra Order to satisfy remaining contracts of the Agency Order. Mutually exclusive with AutoMatch (9040).
  21010			FLEXAuctionDuration	N	Duration of the FLEX Auction in milliseconds. The minimum valid value is 3,000 milliseconds. The maximum valid value is 300,000 milliseconds. Applicable only to FLEX instruments.
  21005			FLEXHedgeExecInst (C1 only)	N	Hedge execution instruction to carry the hedge information for the order. Applicable only the FLEX instruments.
  22003			ORS (C1 only)	N	Order router subsidy eligible (used for billing purposes). N = No (Default) Y = Yes
  22006			Compression (C1 only)	N	Order is a compression trade. N = No (Default) Y = Yes When CrossType (549) = 4 this field should not be specified.
  22011			EquityTradePrice	N	Price at which the equity associated with a QCC traded. Valid when CrossType (549) = 2.
  22012			EquityTradeSize	N	Number of shares executed in the equity associated with a QCC trade. Valid when CrossType (549) = 2.
  22013			EquityTradeVenue	N	Exchange venue where equity associated with a QCC traded. Valid when CrossType (549) = 2. A = NYSE American B = Nasdaq Texas C = NYSE National I = Investors Exchange J = Cboe EDGA Exchange K = Cboe EDGX Exchange M = CHX N = NYSE P = NYSE Arca Q = Nasdaq X = Nasdaq PSX Y = Cboe BYX Exchange Z = Cboe BZX Exchange
  22014			EquityBuyClearingFirm	N	Clearing firm on buy side of the equity associated trade associated with a QCC. Valid when CrossType (549) = 2.
  22015			EquitySellClearingFirm	N	Clearing firm on sell side of the equity associated trade associated with a QCC. Valid when CrossType (549) = 2.
  22016			EquityExDestination (C1 and EDGX only)	N	Valid when LegSymbol (600) = Equity symbol. Exchange venue to which equity leg matching will be submitted. Supported values are: C = TD Securities (USA) LLC (default) P = Penserra via NYSE Chicago F = FOG Equities via NYSE Chicago L = Libucki & Co. via NYSE Chicago S = SRT Securities via NYSE Chicago If buyer and seller do not provide matching venues, then the equity match will be reported to TD Securities (USA) LLC (C).
  22026			CrossInitiator (C1 and EDGX only)	Y	MPID field required on orders routed to destinations via NYSE Chicago using EquityExDestination (22016). Should be populated with the originator or routing broker MPID. May or may not be the same as the agency/contra MPID. Note that Broker Choice is allowed on any stock/option order including FLEX or Non-FLEX orders of any ratio.
  22028			CrossOnBehalfOfID (C1 and EDGX only)	N	Optional identifier of the initiating customer on orders routed to destinations via NYSE Chicago using EquityExDestination (22016). Populate with the order initiator’s MPID or any other identifier of choice. Should be populated if not the same broker specified in CrossInitiator (22026). Note that Broker Choice is allowed on any stock/option order including FLEX or Non-FLEX orders of any ratio.
  22060			EquityTransactTime	N	GMT date-time of equity trade associated with a QCC trade. Valid when CrossType (549) = 2. YYYYMMDD-HH:MM:SS.000
  22021			TerminalOperatorId (C1 only)	N	The ID associated with the operator logged into the terminal when an order is entered. 20 characters or less (ASCII 32-126). This field is recorded and returned in execution reports. Available via FIX Drop and Odrop.
  22022			AdditionalClientInfo (C1 only)	N	Client information populated by the Member during order entry via terminal. Should not be populated if AllocAdditionalClientInfo (22027) is populated. 16 characters or less (ASCII 32-126). This field is recorded and returned in execution reports. Available via FIX Drop and Odrop.
  22025			ReferencePrice (C1 only)	N	Reference price for underlying security or index of a FLEX DAC order. If a reference price is not specified, the system applies the current value of the underlying at the time of order entry.

A New Order Multileg message is used to submit a complex order. The message consists of all order details including a number of required fields such as Price (44), OrdQty (38), and relevant clearing information, as well as a number of optional fields. Complex orders in cross product spreads (i.e., SPX/SPXW, IWM/RUT, DIA/DJX, VIX/VXX) where the products do not operate on the same matching unit cannot leg into the simple book.

The New Order Multileg message supports two distinct styles of request:

Short Form

If the complex symbol is known at the time of entry, a short form of the New Order Multileg message can be utilized. Note that Complex Symbol ID’s may be different between all Cboe Options Exchanges.

• Symbol (55) and Side (54) are required.
• LegRefID (654) and LegPositionEffect (564) are required for each of the legs. The order of the legs (and LegPositionEffect) must match the Security Definition response, as legs can be re-ordered during security definition.
• Sending any additional fields in the legs repeating group (LegSymbol, LegCFICode, LegMaturityDate, LegStrikePrice, LegRatioQty, or LegSide) will result in the order being rejected to avoid confusion with an invalid long form request.

Long Form

If the complex symbol is not known, a long form of the request exists to enter the symbol legs at the same time as the order. The legs will be used to find an appropriate complex symbol in the Cboe Complex Order Book; the resulting symbol (if accepted by the system) will be returned on the Execution Report message in Symbol (55). A minimum of two (2) legs must be specified and a maximum of 16 legs will be accepted. For non-FLEX Floor-Routed orders, a minimum of two (2), maximum of 100 total legs, including one (1) equity leg (C1 only) will be supported.

• If Symbol (55) or Side (54) are present and non-blank, the order will be rejected to avoid confusion with an invalid short form request.
• Each leg must be fully entered as described below.

Please see the Cboe Titanium U.S. Options Complex Book Process for more information on complex orders.

A Security Definition Request message is used to request that the system create a complex strategy. The resulting symbol (if accepted by the system) will be returned in a Security Definition Message Fields with the Cboe symbol in Symbol (55). A minimum of two legs must be specified and a maximum of sixteen option legs (16), one of which may be an equity leg (C1 and EDGX only), will be accepted. For non-FLEX Floor-Routed orders, a minimum of two (2), maximum of 100 total legs, including one (1) equity leg (C1 only) will be supported.

For non-FLEX instruments, a minimum of two legs must be specified and a maximum of sixteen option legs (16), one of which may be an equity leg (C1 and EDGX only), will be accepted. For FLEX instruments, a minimum of one leg must be specified and a maximum of 100 legs will be accepted. Equity legs are allowed on FLEX orders. FLEX instruments allow up to 99 options legs and one equity leg.

Simple and complex FLEX instruments may be created using the Security Definition Request.

Request the cancellation of a single order or multiple orders on the FIX session. Note that Order Cancel Request messages do not apply to open orders across multiple sessions unless submitted on a Purge Port Protocol - Member to Cboe.

A single order cancellation uses the ClOrdID from a previous order using the OrigClOrdID (41) field.

Order Cancel Request messages for GTC and GTD orders may continue to be issued anytime after the trading session ends. All other order message types received after the market closes will be rejected. See Cancellation of Carried Orders Between Trading Sessions for more details on when orders are allowed to be cancelled following the close of trading.

Mass cancellation of a group of orders can be implemented using the MassCancelInst optional field.

• Specify the MassCancelInst (7700) field
• Specify the OnBehalfOfCompId (115) field, optionally specify Risk Root in Symbol (55) field, and optionally MassCancelID (7695) if the Acknowledgement Style is set to S or B.

When specifying the RiskRoot field, using the underlying symbol is strongly recommended. Mass cancellations are always performed at the risk root (underlying) level.

The system limits the rate at which identical Mass Cancel and Purge Orders requests can be submitted to the system. Requests are restricted to ten (10) messages per second per port.

An identical Mass Cancel message is defined as a message having all of the same CustomGroupID, Symbol, Clearing Firm, Instrument Type Filter, and GTC Order Filter field values as a previously received message.