Cboe Silexx platform now supports new C1 FLEX DAC order type
Cboe Silexx, a multi-asset order execution management system (OEMS) that caters to the professional marketplace, announces the immediate availability of support for the new Cboe Options Exchange (C1) FLEX Delta Adjusted at Close (DAC) order type. The new orders are supported with effect from December 2, 2020.
The new order type will be accepted during the Regular Trading Hours (RTH) session. DAC orders 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.
Both simple and complex FLEX DAC orders will be supported. The maximum number of legs on a FLEX DAC order is 99. This differs from the number of legs supported on FLEX and non-FLEX orders without the DAC instruction, which is 100.
The DAC order type will allow an underlying reference price and per-leg delta on FLEX options orders to be designated.
DAC orders entered electronically via FIX protocol can optionally include a reference price for the underlying security or index. The reference price should be sent in the new ReferencePrice (FIX Tag 22025) field. The System will conduct reasonability checks on the user entered reference price value. If a user chooses not to specify a reference price, the System will apply the current value of the underlying available at the time of order entry as the reference price.
Auction response orders related to DAC auctions should specify neither the ReferencePrice nor the Delta or LegDelta values. If included, the response will be rejected.
FLEX DAC orders will only be executed via AIM, SAM, and single-sided auctions. FLEX DAC orders will not support FLEX percentage trades, Asian settlement, or Cliquet settlement options.