Periodic Auctions Book
Lit Book Dedicated to Intra-Day Auctions
The Periodic Auctions book has been proven to provide larger executions with low market impact for large orders traditionally placed in dark books as well as lit liquidity-seeking orders.
As dark book trade sizes are decreasing across the European market, this unique intra-day auction lit book is a reliable and safe place to execute orders within the Cboe EBBO.
The Periodic Auctions book operates randomised intra-day auctions independently of the other Cboe order books and is accessible simply via order entry using FIX tag 9303=BP.
- Optional port level configuration to enable broker preferencing at allocation phase
- Orders only executed at or within a Cboe EBBO collar
- Minimum Acceptable Quantity provides control over minimum total execution of orders (see the video below)
- Price / size / time priority encourages larger order sizes
- Minimal market data events published to maintain orderly markets
- EBBO midpoint peg orders
- Small order prevention with minimum order entry size restriction of €3,000
Auction Phase Overview
It's as Easy as a FIX Tag
Existing Participants connected to BXE can enter orders into the book by simply using FIX tag 9303=BP. Participants can leverage the same clearing arrangements, connectivity and FIX or BOE ports for order entry for the Periodic Auctions book.
Cboe EBBO Midpoint Peg Order Types
Two EBBO midpoint peg order types (standard midpoint and guarded midpoint) are available to ensure orderly markets and provide certainty around the execution price range. See the fact sheet for all available order types.
Orders can be amended or cancelled at any time during the auction call period.
Minimum Acceptable Quantity (MAQ) gives Participants control over the minimum total execution size of their orders.
Orders with a MAQ designated do not execute unless the minimum quantity or greater can be fulfilled.
Minimal Market Data Events
Auction summary messages including price and total size of executed orders are published post-auction phase. Nothing is disseminated until a potential match occurs and then only indicative executable size and price, no imbalance or direction.
Upon a potential match, an indicative auction update message is published containing the indicative executable price and only the executable volume.
Find more information on order types, market data events, trading hours and details on functionality.
Market Safety Constructs FAQ: http://cdn.batstrading.com/resources/participant_resources/BATSEuro_PeriodicAuctionsFAQ.pdf
Questions? Contact us at SalesEurope@bats.com.