Effective August 9, 2021, Cboe Options (“C1”), C2 Options (“C2”), and EDGX Options (“EDGX”) Exchanges will support an increased number of legs on non-FLEX complex (multi-leg) orders. The number of allowable legs will be increased from 12 to 16.
On C1 and EDGX, one of those complex legs may be a stock leg. This expansion of the number of legs permitted on a single message will apply to inbound orders, auction responses, outbound reports, strategy definitions, and market data messaging.
Order execution functionality, including AIM, SAM, QCC, COA, COB, and PAR, as applicable to each Exchange, will also support up to 16 legs. On the effective date, Cboe Silexx will support up to 16 legs on a single order ticket. Current permissible ratios for complex orders executed electronically and in open outcry (C1 only) will remain the same.
Functionality for complex orders submitted in FLEX options will not be impacted by this change and will continue to support up to 100 legs.
Members can define the number of legs with the NoLegs field (FIX Tag 555) in FIX or BOE protocols. As a result of these changes, Members should be prepared for an increased Complex Instrument Definition Expanded message length on order, execution, and cancel messages, and on the auction, PITCH, and TOP data feeds to accommodate the increased number of legs.
- Eligible complex orders having up to 16 legs may be executed automatically and/or booked in the COB.
- On C1 and EDGX, stock-option orders may be executed automatically with a maximum of 16 legs including one stock leg.
- On C1, PAR will be enhanced to support up to 16 legs on a single order ticket. Orders exceeding 16 legs must continue to be split across multiple order tickets using the fewest order tickets necessary.
This functionality will be available to test in the C1, C2, and EDGX certification environments on July 26, 2021.