Cboe Europe Equities announces a further enhancement to the Periodic Auctions Book (PAB) functionality. The PAB change will be available in Cboe UK and Cboe NL Periodic Auction Books effective Monday, 23rd January 2023, subject to regulatory approval.
Cboe will introduce Participant Trade Prevention (PTP) into the PAB, including sweep orders that interact with the PAB. Participants who currently use PTP functionality should be aware of its introduction to PAB and conduct self-led testing accordingly.
Available PTP options can be provided by the Participant on each order or defaulted via the corresponding port attribute. Participants can assess which PTP port defaults are configured through the port attribute report within the logical ports tool in the Cboe Customer Web Portal.
The existing PTP field (FIX tag 7928) will be used and comprises three components:
- Modifier – defines desired action when a self-match is detected.
- Level – defines whether PTP operates at the bank code or MPID (Participant) level when considering orders.
- Trading Group ID – offers further granularity for Participants to restrict which orders are considered for PTP.
PTP behaviour in PAB will offer the PTP modifiers of “N” (Cancel Newest) and “O” (Cancel Oldest).
This enhancement will be available for testing in the BXE and DXE Certification environments effective 12th December 2022.
