Release Notes

Dear Cboe Europe Participants,

Cboe is pleased to announce the introduction of a new interbook order type, Dark to Periodic Auction Book (PAB) Sweep, which offers Participants access to the Dark and Periodic Auction order books with a single order. Dark to PAB orders will first sweep the Dark Book (midpoint matching) as an effective IOC before targeting the PAB as a midpoint pegged order with any residual quantity resting on the PAB for the remainder of the order's time in force. This new sweep order will be available in the Production BXE and DXE environments effective Friday 10th July 2020.

Participants can use the new Dark to PAB Sweep order in the following ways once a written request is made to the Trade Desk to enable the sweep order type on their trading sessions:

* Supplying a value of BH in the RoutingInstruction (FIX tag 9303)

* Submit a request to the Trade Desk to enable, at a port level, that all Dark Book orders with a RoutingInstruction (FIX tag 9303) of BD be automatically converted to Dark to PAB Sweep orders

The Dark to PAB Sweep order has the following characteristics:

* The order will be Midpoint pegged honouring the limit price. Where the optional ExecInst (FIX tag 18) is supplied, only the value Midpoint pegged (M) is supported. Supplying any other value will cause the order to be rejected.

* A TimeInForce (FIX tag 59) of IOC will be treated as a GoodForAuction in the PAB

* Executions resulting from a Dark to PAB order will have a LastMkt (FIX tag 30) value reflecting the market of execution. For BXE (BATD or BATP) and for DXE (CEUD or BEUP).

* If a symbol is capped due to MiFID/ESMA dark volume cap or primary market pricing is unavailable the Dark to PAB order will route directly to the PAB instead of being rejected

* Broker preferencing will be honoured in the PAB but not in the Dark Book

* Order amendments to a Dark to PAB Sweep order which is resting on the PAB will not route through the Dark Book

* MinQty (FIX tag 110) is supported

* MaxFloor (FIX tag 111) is not supported and if entered will be ignored

Production
The new sweep order type will be available in the BXE and DXE Production environments, effective Friday 10th July 2020.

Testing
The new sweep order type will be available for testing in the BXE and DXE Certification (UAT) environments, effective Monday 8th June 2020. A sweep order type certification is required if not already completed.

Pricing
Executions resulting from a Dark to PAB Sweep order will attract the associated fees per the order book they execute on. The Pricing Schedule is available here http://markets.cboe.com/europe/equities/support/price_lists/.

Documentation

* Periodic Auctions Guidance Note

* FIX and BOE Technical Specifications

* Trading Price List

* Participant Manual

Please contact the Trade Desk or your Account Manager if you have any questions.

All current and historical Cboe notices, including symbol universe updates, are available online at http://markets.cboe.com/europe/equities/notices/release_notes/.

Trade Desk,
Cboe Europe Equities
T: +44 20 7012 8901 (UK); +31 20 299 6801 (NL)
E: [email protected] | cboe.com >