Cboe US Equities FIX Specification

1 This content is owned or licensed by cboe Global Markets, Inc. or its affiliates ( cboe ) and protected by copyright under and international copyright laws. Other than for internal business purposes, you may not copy, reproduce, distribute, publish, display, perform, modify, create derivative works, transmit, or in any way exploit the content, sell or offer it for sale, use the content to construct any kind of database, or alter or remove any copyright or other notice from copies of the content. cboe US Equities FIX Specification Version 2. 9. 29 February 2, 2024 cboe US Equities FIX Specification (Version ) 2024 cboe Exchange, Inc.

2 All Rights Reserved Page 2 Contents 1 Introduction .. 5 Overview .. 5 Document Format .. 5 Data Types .. 5 Timestamps .. 5 Prices .. 5 Hours of Operation .. 6 Trading Sessions .. 6 Protocol Features .. 6 Architecture and Message in Flight Settings .. 6 Maximum Open Order Limits .. 7 Stale NBBO .. 7 2 Protocol .. 8 Message Format .. 8 Sequence Numbers .. 8 Version Compatibility .. 8 3 Sessions .. 9 Connectivity and Certification .. 9 Logon .. 10 Heartbeat .. 10 Test Request .. 11 Resend Request .. 11 Reject .. 11 Sequence Reset .. 12 Logout .. 12 4 FIX Messages.

3 13 Standard Message Header .. 13 Standard Message Trailer .. 14 cboe Specific Fields .. 15 Order Protocol Member to cboe .. 16 New Order Single .. 16 Order Cancel Request .. 29 Order Cancel/Replace Request .. 30 Order Protocol cboe to Member .. 32 Execution Report .. 32 Cancel Reject .. 40 Trade Cancel/Correct .. 41 Purge Port Protocol Member to cboe .. 42 cboe US Equities FIX Specification (Version ) 2024 cboe Exchange, Inc. All Rights Reserved Page 3 Purge Request .. 42 Purge Port Protocol cboe to Member .. 45 Purge Acknowledgement .. 45 Purge Reject .. 45 5 Order Types and Features.

4 46 Regular Order .. 46 Reserve Order .. 46 Random Replenishment .. 46 Discretionary Order .. 47 Peg Order .. 48 Midpoint Peg Order .. 48 Primary Peg Order .. 49 Market Peg Order .. 49 Market Maker Peg Order .. 49 Supplemental Peg Order .. 49 Pegged Discretionary Order .. 50 Midpoint Discretionary Order (EDGA and EDGX Only) .. 50 Stop Order .. 52 Intermarket Sweep Order (ISO) .. 52 Re-Priced Orders .. 53 Re-Route Orders .. 54 Auction Only Orders (BZX Only) .. 54 Retail Orders .. 55 Retail Price Improvement Program (BYX Only) .. 55 Retail Orders (ROs) .. 55 Retail Price Improving (RPI) Orders.

5 56 DIRC to IEX-Midpoint (BYX/EDGA Only) .. 56 Non-Displayed Swap (NDS) .. 56 cboe Market Close (CMC) (BZX Only) .. 57 Periodic Auctions (BYX Only) .. 58 6 Implementation Notes .. 60 Automatic Cancel on Disconnect or Malfunction .. 60 Service Bureau Configuration .. 60 Common Session Level Issues .. 60 FINANCIAL INFORMATION EXCHANGE PROTOCOL / FIX MESSAGE FORMAT AND DELIVERY / Ordered Message Processing .. 60 FINANCIAL INFORMATION EXCHANGE PROTOCOL / SESSION PROTOCOL / Logon .. 61 FINANCIAL INFORMATION EXCHANGE PROTOCOL / SESSION PROTOCOL / Message Recovery .. 61 cboe US Equities FIX Specification (Version ) 2024 cboe Exchange, Inc.

6 All Rights Reserved Page 4 FINANCIAL INFORMATION EXCHANGE PROTOCOL / ADMINISTRATIVE MESSAGES / Resend Request .. 62 FINANCIAL INFORMATION EXCHANGE PROTOCOL / ADMINISTRATIVE MESSAGES / Sequence Reset (Gap Fill) .. 62 OATS Connection ID .. 63 OATS Exchange Participant ID (EPID) .. 63 7 FIX 64 Standard FIX Drop .. 64 Risk Theshold Warnings .. 64 Order by Order FIX Drop .. 64 FIX Drop Port Attributes .. 65 8 FIX Port Attributes .. 66 9 References .. 78 10 Contact Information .. 79 cboe US Equities FIX Specification (Version ) 2024 cboe Exchange, Inc. All Rights Reserved Page 5 1 Introduction Overview Note that this Specification is the standard FIX Specification to be used for cboe BYX Exchange, BZX Exchange, EDGA Exchange and EDGX Exchange platforms within the NY5 data center.

7 cboe members use a subset of the FIX protocol for order entry and drop copies. It is assumed that the reader is familiar with the FIX protocol as described at This document describes the differences between the cboe implementation and the FIX standard. Document Format Blue highlighted sections highlight key differences between the cboe US Equities Exchanges (BYX Exchange, BZX Exchange, EDGA Exchange, and EDGX Exchange). Data Types Timestamps All FIX timestamps are GMT as per the FIX standard. Members are expected to synchronize their clocks with an external time source.

8 Prices Members should program their systems to allow execution prices to be returned with up to four decimals. Order prices below $ may be priced up to four decimal places. Order prices of $ or more may be priced up to two decimal places. Order prices for securities in any of the Tick Size Pilot Program Test Groups must be entered in $ increments. Example: to Accepted , , Rejected sub-penny not allowed above one dollar (except for Retail Price Improving orders on BYX Exchange). , , , , etc. Accepted round penny (extra trailing zeroes are fine). cboe US Equities FIX Specification (Version ) 2024 cboe Exchange, Inc.

9 All Rights Reserved Page 6 Hours of Operation All times noted are Eastern Time zone (ET) based. Refer to the web site for the cboe Holiday schedule. BZX Exchange supports an opening and closing auction for BZX Exchange listed securities (refer to the cboe US Equities Auction Process Specification for more information). Orders entered prior to the start of the Pre-Market or Regular Trading Session which are accepted will be queued for trading in the session designated by the order. Once trading begins, queued orders will be released to the respective book and crossing orders will be matched by time priority.

10 Refer to the cboe Equities Opening/Re-Opening Process for more information. Orders are rejected if they are received outside the hours cboe is available for trading or queuing. All orders remaining after the Post Market Session will be cancelled automatically (Execution Reports will be delivered). Trading Sessions Session Start Time (ET) End Time (ET) Early Order Acceptance 6:00 2:30 (EDGX Only) 7:00 4:00 (EDGX Only) Early Trading Session 7:00 4:00 (EDGX Only) 8:00 Pre-Market Trading Session 8:00 9:30 Regular Trading Session 9:30 4:00 Post-Market Session 4:00 8:00 Protocol Features The exchange does not guarantee messages sent by Members/TPHs to the exchange, including through protocols such as TCP.