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 (in most cases calculated using Cboe’s BXE and CXE order books, the primary market and Turquoise). 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 of the order book prior to executing orders.
The Cboe Periodic Auctions book is comprised of and based on long-standing market constructs and guiding principles.
How It Works | In Brief
- 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 and continue as other orders are entered into the book
- Size and price messages are published in real time
- 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
- Orders are only executed at or within a Cboe EBBO collar to ensure orderly markets
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.
Metrics Behind Matches
We provide transparency into the data behind our Periodic Auctions book by posting statistics for broker priority allocations. The following table shows the Cboe Europe Equities percentage of broker priority allocations.
How It Works | In Detail
What orders are accepted?
Can different order types match?
When does the call phase start and end?
What steps are taken to ensure orderly markets?
What is shown on the market data feed?
How often is a message published to the market data feed?
True Price Formation
When does the price formation process occur?
Which orders does it apply to?
How does the price formation process work?
What are the criteria and the sequence?
For more details on each step, please read our Guidance Note.
How are orders allocated?