Crossing Order Handling
Cboe offers automated crossing functionality for facilitation and solicitation orders with the Automated Improvement Mechanism (AIM).
AIM – Automated Improvement Mechanism
Cboe's Automated Improvement Mechanism (AIM) is an automated process for crossing of any capacity type, which provides potential for price improvement and a participation right through an auction process. By utilizing the AIM crossing mechanism, an order flow provider is afforded the opportunity to participate against their customers' orders (facilitation) or solicit another firm's liquidity (solicitation).
(NOTE: AIM is available in all classes. SPX/SPXW is AIM eligible up to 10 contracts during Regular Trading Hours (RTH). During Global Trading Hours (GTH) AIM is available for all classes that trade in that session. Solicitation Auction Mechanism (SAM) is available in all Cboe non-proprietary classes.)
See the sections below for AIM rules for:
AIM for Simple and Complex Orders
- Agency Order and Initiating Order must be entered as a pair.
- Up to 10 contra-parties per Initiating Order are supported. Initiating Order(s) must be for full size of Agency Order; can be facilitating or solicited.
- Minimum price increment is $0.01 for all classes except SPX/SPXW. SPX/SPXW in simple AIM is $0.05 below $3.00 and $0.10 above $3.00 and SPX/SPXW in complex AIM is $0.05.
- When the NBBO is one tick wide, orders of 49 contracts or fewer must be priced one tick better than NBBO.
- For complex orders, the price must be at least $0.01 inside the local displayed/implied SBBO, except in SPX/SPXW where the minimum improvement increment is $0.05.
- Auction period is 100ms, except SPX/SPXW, which is 1000ms.
- Initiating Order is guaranteed 40% if at best price (matched by multiple participants) or 50% (matched by one participant).
- Entering Initiating Order as a market order guarantees participation at best price (auto-matches best price of other auction participants). (details below)
- Auction responses are permitted from all market participants.
- For single-leg transactions, auction responses from participants on the top of the market at the start of the auction will have priority up to their displayed size ahead of other participants except Priority Customers and the Initiating Order.
AIM Cust-to-Cust (Simple and Complex)
All AIM rules, as per above, apply, except that:
- If both Initiating and Agency Orders are Customer capacity, then execution is immediate - no exposure to auction.
- Cannot trade at same price as resting Customer order(s).
Starting Price on Initiating Order
With AIM Auto-Match the auction starting price may be designated by including a limit in the price field and market in the contingency price field of the initiating order. The initiating order will join the price and quantity of other auction responses. For AIM Auto-Match with a designated limit price, the auction starting price may be established by sending a limit in the price field and a limit price in the contingency price of the initiating order. The initiating order will join the price and quantity of other responses up to the limit contained in the contingency price field.
Solicitation Auction Mechanism (SAM) - Simple and Complex
- Available in all Cboe non-proprietary classes.
- 500 contracts minimum. For complex orders this applies to the smallest leg.
- Solicitation only (no facilitation). If initiating Order is Firm capacity, executing firm/EFID must be different than executing firm/EFID on Agency Order.
- Price must be at or within NBBO for simple orders. Complex orders must be within local displayed/implied SBBO by at least $0.01.
- Solicited Order can only be shut out if contra-side interest ((which includes orders and quotes resting in the Book and auction responses) improve Solicited Order price for full size of the Agency Order.
- Solicited Order and Agency Order are cancelled if there is a Priority Customer order resting at the same price and contra-side interest cannot fill full size of Agency Order or if Solicitation Order and Agency Order would execute at price outside of 1) local BBO that exists at auction conclusion or 2) NBBO that existed at beginning of auction.
Cboe Crossing Guide
To view guaranteed participation percentages in both open outcry and the electronic environment click on the link below.