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Beginning April 30, 2018, BOX Options Exchange, LLC (“BOX”) will introduce an Auction Only designation for Directed Orders.1
A Directed Order with an Auction Only designation will be executed entirely via the Price Improvement Period (“PIP”). If it is not entered into the PIP by the Market Maker, the order will be cancelled. The Auction Only designation is an optional designation that the submitting OFP may decide to utilize.
Technical Information
The following services will be directly impacted: SAIL and FIX.
|
Service |
Message Type |
Field |
Change |
|
SAIL |
OE – Order Entry OM – Order Modification |
Duration Type |
New value ‘A’ added (AuctionOrKill) |
|
NZ – Order Cancellation Notice (by system) |
Status |
Existing value ‘E’ (Eliminated) will be used to indicate that the Directed Order was not accepted by the Market Maker and therefore eliminated by the system. |
|
|
FIX |
D – New Single/Complex Order G – Cancel/Replace Single/Complex Order Request 8 – Execution Report |
59-TimeInForce |
New value ‘8’ added (AuctionOrKill) |
|
8 – Execution Report |
39-OrdStatus |
Existing value ‘4’ (cancelled) will be used to indicate that the Directed Order was not accepted by the Market Maker and therefore eliminated by the system. |
For more information, please see SR-BOX-2018-06.
1 The term “Directed Order” means any Customer Order to buy or sell contracts on a single option series which has been directed to a particular Market Maker by an Order Flow Provider (“OFP”). See Rule 100(a)(19).
