Cboe Europe Equities announces enhancements to Periodic Auctions
Cboe Europe Equities announces further enhancements to the Periodic Auctions Book (PAB) functionality. A set of PAB changes will be available in Cboe UK and Cboe NL Periodic Auction Books effective Monday, 10th October 2022, subject to regulatory approval.
Cboe will introduce an All-Or-Nothing (AON) setting, only applied in the PAB and resulting in the MAQ of the order being set to the full order size.
- Available on PAB orders and Dark/PAB sweep orders
- AON can be set using ExtendedExecInst (FIX Tag 9416) = “G” or as a port level default.
Cboe will introduce a new Dark-On-Expiry (DOE) attribute, allowing the order to sweep the dark book on expiry of a PAB Auction where residual volume exists.
- DOE can be set using RoutingInst (FIX Tag 9303) with a fourth character = “D” or as a port level default.
- Applicable to marketable AOC (Accept or Cancel) and GFA (Good for Auction) order types only.
- Opted-in residuals are swept against the local Dark Book (in time priority) after the end of a PAB auction.
- The new attribute can be combined with AOC and existing order types, including Dark/PAB orders.
Cboe will release a new pegging option on PAB orders. This will be an alternative option to Midpoint Peg and Guarded Midpoint Peg.
- Near-touch Peg can be set using ExecInst (FIX Tag 18) = “R”, which will apply the specified offset in PegDifference (FIX Tag 211) to the near side of the EBBO (European Best Bid Best Offer), whilst capping to the midpoint of the EBBO.
- The PegDifference can be set at an order level on Near-touch Peg orders.
- Near-touch peg cannot be used with Dark/PAB order types.
This enhancement is now available for testing in the BXE and DXE Certification environments.