Cboe Options Updates Auction Response Processing

Reference ID: C2024111903

Applicable Cboe Exchanges: C1 Options, C2 Options, EDGX Options

OVERVIEW

Effective December 4, 2024, Cboe C2 Options Exchange (C2), and effective December 6, 2024, Cboe EDGX Options Exchange (EDGX) will update Matching Engine auction handling to include auction responses arriving at the Matching Engine server Network Interface Card (NIC) prior to the auction end time but being handled in the Matching Engine after the scheduled auction end time, subject to regulatory review.

In addition, effective trade date December 9, 2024, on Cboe Options Exchange (C1), the maximum additional time spent reading auction responses arriving at the Matching Engine server NIC prior to the auction end time will increase from 25ms to 100ms on all C1 Matching Units. Currently, and as outlined in this previous notice, the timer is set at 100ms for SPX/SPXW only.

TECHNICAL DETAILS

Upon the effective date for C2 and EDGX, the Matching Engine will begin tracking two distinct times:

  1. The Matching Engine will take a time stamp immediately prior to handling its next inbound event (T1), known in the respective exchanges' system as the "Transaction Time".
  2. An additional NIC time stamp will be appended to each message when arriving at the Matching Engine server (T2).

At the conclusion of an auction response or exposure period, the Matching Engine will continue processing messages, including auction responses, for up to an additional 100ms to include auction responses that arrived at the Matching Engine NIC prior to the scheduled auction end time. The Matching Engine will immediately conclude the auction either upon processing all events where T2 < scheduled auction end time or upon elapse of the 100ms additional timer.

Example (current behavior)

  1. 09:10:55.000 – New order is handled at the Matching Engine (T1) and starts a 100ms auction.
  2. 09:10:55.098 – Auction response arrives at Matching Engine NIC, is given a time stamp (T2), and is in the queue to be handled in arrival sequence behind earlier arriving events.
  3. 09:10:55.100 – Scheduled auction end time passes, and the Matching Engine concludes the auction.
  4. 09:10:55.102 – Matching Engine begins to process the auction response received from #2 above. The auction has concluded, so the auction response is rejected.

Example (new behavior)

  1. 09:10:55.000 – New order is handled at the Matching Engine (T1) and starts a 100ms auction.
  2. 09:10:55.098 – Auction response arrives at Matching Engine NIC, is given a time stamp (T2), and is in the queue to be handled in arrival sequence behind earlier arriving events.
  3. 09:10:55.100 – Scheduled auction end time passes, but the Matching Engine continues to handle events that arrived at the Matching Engine NIC prior to the scheduled end time.
  4. 09:10:55.102 – Matching Engine begins to process the auction response received from #2 above. The auction response is included in the auction. If this is the last event with a NIC time stamp (T2) that arrived prior to the scheduled auction end time, then the auction will be completed.

TESTING OPPORTUNITIES

This functionality is currently available to test in the C1, C2, and EDGX certification environments.

ADDITIONAL INFORMATION

Resources

For more information, please refer to the following documents:

Contact Information

Please contact the Cboe Trade Desk for support or with any questions.

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