US Options FIX Specification Version 2.7.37 September 9, 2021 This content is owned or licensed by Cboe Global Markets, Inc. or its affiliates (“Cboe”) and protected by copyright under U.S. 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 Options FIX Specification (Version 2.7.37) Contents 1 Introduction.......................................................................................................................... 5 1.1 Overview .............................................................................................................................................. 5 1.2 Document Format ............................................................................................................................... 5 1.3 Hours of Operation .............................................................................................................................. 5 Holiday Sessions (C1 only) (Effective 11/21/21) ............................................................................. 6 1.4 Data Types ........................................................................................................................................... 6 Times ............................................................................................................................................... 6 Prices ............................................................................................................................................... 7 1.5 Protocol Features ................................................................................................................................ 7 Architecture ..................................................................................................................................... 7 Done For Day Restatements ........................................................................................................... 7 Carried Order Restatements ........................................................................................................... 7 Cancellation of Carried Orders Between Trading Sessions ........................................................... 8 Display Indicator Features .............................................................................................................. 8 Default Exchange Risk Protections ................................................................................................. 9 Risk Root ........................................................................................................................................ 11 Cabinet and Sub-Cabinet Orders (C1 Only) .................................................................................. 12 Flex Order Entry (C1 Only) ............................................................................................................. 12 Floor Routing (C1 Only) ............................................................................................................. 14 Market Maker Floor Trade Notifications (C1 Only) ................................................................... 16 Stale NBBO ................................................................................................................................ 17 1.6 Auction Orders ................................................................................................................................... 17 2 Protocol .............................................................................................................................. 18 2.1 Message Format................................................................................................................................. 18 2.2 Sequence Numbers ........................................................................................................................... 18 2.3 Version Compatibility ........................................................................................................................ 18 3 Sessions .............................................................................................................................. 19 3.1 Connectivity ....................................................................................................................................... 19 3.2 Logon ................................................................................................................................................. 19 Logon and Carried Order Restatement ........................................................................................ 20 3.3 Heartbeat ........................................................................................................................................... 20 3.4 Test Request ...................................................................................................................................... 20 3.5 Resend Request ................................................................................................................................. 21 3.6 Reject ................................................................................................................................................. 21 3.7 Sequence Reset ................................................................................................................................. 21 3.8 Logout ................................................................................................................................................ 22 4 FIX Messages ....................................................................................................................... 23 4.1 Standard Message Header ................................................................................................................ 23 4.2 Standard Message Trailer.................................................................................................................. 24 © 2021 Cboe Global Markets, Inc. All Rights Reserved Page 2 Cboe US Options FIX Specification (Version 2.7.37) 4.3 User Defined FIX Fields ...................................................................................................................... 24 4.4 Order Protocol – Member to Cboe .................................................................................................... 27 New Order Single ........................................................................................................................... 27 New Order Cross (C1 and EDGX Only) ........................................................................................... 37 New Order Cross Multileg (C1 and EDGX Only) ............................................................................. 45 New Order Multileg (C1, C2 and EDGX Only)................................................................................. 55 Security Definition Request (C1, C2 and EDGX only) .................................................................... 66 Order Cancel Request ................................................................................................................... 68 Order Cancel/Replace Request ..................................................................................................... 71 Floor Trade Confirmation (C1 Only) ............................................................................................. 73 Add Floor Trade (C1 Only) ............................................................................................................. 75 Delete Floor Trade (C1 Only) ..................................................................................................... 79 4.5 Order Protocol – Cboe to Member .................................................................................................... 80 Execution Report ........................................................................................................................... 80 Cancel Reject ................................................................................................................................. 93 Trade Cancel/Correct .................................................................................................................... 94 Security Definition (C1, C2 and EDGX only) .................................................................................. 99 4.6 Purge Port Protocol – Member to Cboe .......................................................................................... 100 Purge Request ............................................................................................................................. 100 4.7 Purge Port Protocol – Cboe to Member .......................................................................................... 102 Purge Acknowledgement ............................................................................................................ 102 Purge Reject................................................................................................................................. 103 Purge Notification ....................................................................................................................... 103 5 Implementation Issues .....................................................................................................