Starting January 27, 2025, all U.S. Options Exchanges affiliated with Cboe will implement a new Timestamping Service aimed at enhancing the information available to market participants concerning quotes, orders, and cancellation actions, pending regulatory approval.
This innovative service is designed to allow Members and Trading Permit Holders (TPHs) to self-subscribe and access timestamp data on a T+1 basis for select transactional messages.
Key advantages of the Cboe Timestamping Service include:
– Providing valuable insights into the quotes, orders, modifications, and cancellation messages of Members and TPHs across the infrastructure of Cboe’s exchanges.
– Improving access and transparency regarding displayed liquidity and SUM Auctions by specifically quantifying latency reduction goals.
This service will be made available through two comprehensive reports: the Missed Liquidity Report and the Cancels Report. Both reports are scheduled to be provided on what is termed a best-efforts T+1 basis, concluding by 5:00 p.m. ET.
The Missed Liquidity Report will cover:
– Records of quote updates, orders, or modifications pertinent to the subscriber, specifically instances where at least one message dispatched by the subscriber falls within a 500 microseconds window post and a 50 microseconds window pre to the Network Discovery Time of the aggressor order during competitive trading events.
– Timestamps related to the aggressor’s network discovery, which can later be aligned with the subscriber’s orders.
– Competitive trade events recognized within this context include SUM auctions as well as events that result in book removal for both Complex and Simple trades.
Users interested in this specific report can easily subscribe through the dedicated Report Subscriptions application found in the Customer Portal.
On the other hand, the Cancels Report will provide:
– Data on cancellation rejections (including failed quote updates where no existing quote was detected) or records concerning purges/mass cancels for the subscriber. At least one cancel-related message sent by the subscriber must be identified within the same time frames as noted earlier relative to the Network Discovery Time of an aggressor that acted against an existing visible order from the subscriber.
– Information about cancellation events which were unsuccessful due to the timeliness of the cancellation message, leading to a trade instead of a successful cancellation.
– Similar to the Missed Liquidity Report, this report will also encompass aggressor network discovery timestamps for comparison with the subscriber’s cancellation messages.
As with the Missed Liquidity Report, users can subscribe to this report daily via the Customer Portal’s Report Subscriptions app.
Additionally, a new Options Timestamping Service Specification has been released immediately, available in the Document Library section of the Customer Portal. This specification will offer further details on both the Missed Liquidity and Cancels Reports.
In summary, the Cboe Timestamping Service aims to enhance transparency and operational efficiency for market participants by providing crucial insights and data on trading activities, thereby facilitating better decision-making processes in the trading environment.