Periodic Auctions Book

Lit Book Dedicated to Intra-Day Auctions

The Periodic Auctions book was built to provide a reliable place to execute orders within the Cboe EBBO. This lit order book is characterised by a true price formation mechanism and execution allocation that rewards larger orders.

Cboe’s Periodic Auctions book is a MiFID II compliant lit order book providing pre-trade transparency, as stipulated by MiFID II in accordance with RTS 1, by publishing price and indicative execution quantity prior to executing orders.

The Cboe Periodic Auctions book is comprised of and based on long-standing market constructs and guiding principles. It is accessible simply via order entry using FIX tag 9303=BP.

How It Works

The Cboe Periodic Auctions book follows a true price formation process and operates randomised intra-day auctions that take into account all orders in the order book.

  • Orders are accepted from 08:00-16:30
  • Auction call phases and auction match instances occur randomly throughout the day
  • Auction call phases are triggered by order entry
  • Market data messages are published upon price or size changing orders are entered and at auction match instances
  • True price formation process follows industry standard four step tie-breaker method
  • All orders from the call phase are included in the price formation process.
  • Brokers can optionally choose the broker preferencing attribute, which provides priority in the execution allocation phase. All orders, including broker preferenced orders, contribute equally to price formation.
  • Orders are only executed at or within a Cboe EBBO collar to ensure orderly markets

True Price Formation

To determine a single match price, the following criteria will be assessed in sequence. For more details on each step, please read our Guidance Note.

  1. Maximum executable volume
  2. Minimum surplus
  3. Market pressure
  4. Reference price

Metrics Behind Matches

We are now providing more transparency into the data behind our Periodic Auctions book by posting statistics for broker preferenced matches.

  • Approximately 30% of activity represents broker priority allocations*
  • The most traded shares in the book by notional value in Q1 2018: ROGz, BATSl, NESNz, RBl

*Year-to-date data as of 13th April

It's as Easy as a FIX Tag to Participate

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.

Market Data Messages Provide Transparency

Market data messages including price and size are published in the Call Period and post-auction match. .

During the call period upon a potential match, a market data message is published containing the indicative executable price and only the executable volume.

The trades are published immediately post-auction match.


Find more information on order types, market data events, trading hours and details on functionality.

Guidance Note:

Fact Sheet:

Market Safety Constructs FAQ:

Questions? Contact us at