Cboe Options Exchange Api Integration

When to Use

Use this skill when integrating directly with Cboe Options Exchanges (Cboe Options Exchange [C1], C2 Options Exchange, Cboe BZX Options, Cboe EDGX Options) over Cboe Titanium FIX to trade multi-leg option strategies. Specifically:

• Construct and serialize New Order Multileg (MsgType=AB) messages with the NoLegs (555) repeating group.
• Eliminate legging risk by routing spreads, straddles, strangles, condors, butterflies, collars and ratio spreads to the Complex Order Book (COB) as one package that executes within a net price and ratio.
• Control Complex Order Auction (COA) exposure through RoutingInst (9303).
• Execute stock-option combination orders (buy-writes, collars) on C1 and EDGX, including the Cboe Rule 5.33 conforming-ratio test.
• Reconcile a complex fill from the package report plus the per-leg reports Cboe sends alongside it.

When NOT to Use

• Single-Leg Option Orders: use MsgType=D (New Order Single). Cboe requires at least 2 legs on MsgType=AB.
• AIM / paired auctions: AIM is entered through New Order Cross Multileg (C1 and EDGX only), not by tagging a standard complex order. No ExecInst value converts an ordinary order into an AIM order.
• Short-form COB requests: this skill's helper emits the long form only. The short form (pricing against an already-listed COB strategy symbol via Symbol (55) + Side (54)) has a side-dependent net-price sign and needs its own builder.
• BOEv3 wire encoding: the helper implements FIX only; take binary layouts from the Cboe BOE v3 specification.
• Venues Lacking Native Combo Books: use algorithmic synthetic legging with hedge monitoring instead (see calendar-spread-and-multi-leg-order-atomicity).
• OTC / bilateral options not listed or cleared through the OCC.

Prerequisites

• Active Cboe Titanium FIX order-entry session with market access credentials and a valid EFID.
• FIX engine that serializes and parses repeating groups; it supplies BeginString (8), BodyLength (9) and CheckSum (10).
• OCC clearing parameters for LegPositionEffect (564) and, where applicable, CMTA fields.
• Pre-trade risk controls per SEC Rule 15c3-5.
• For stock-option orders: C1 or EDGX access, plus an equity matching destination (EquityExDestination (22016)).

Workflow

1. Choose the request form. Long form (legs in the 555 group) or short form (a listed COB strategy symbol in Symbol (55) with Side (54)). Do not mix them: sending the underlying root in Symbol (55) alongside a leg group is neither form. The rest of this workflow is the long form.
2. Define legs. Each OptionLeg needs LegSymbol (600), LegRatioQty (623), LegSide (624) and, unless OrderCapacity (47) is M/N, LegPositionEffect (564). When 600 is an OSI root, LegCFICode (608), LegMaturityDate (611) and LegStrikePrice (612) are required too. Mark the equity leg with 608=E — there is no LegSecurityType (609) in this message.
3. Normalize ratios (CRITICAL). Reduce all leg ratios by their GCD and multiply OrderQty (38) by the same GCD, so net exposure is unchanged. Cboe rejects unreduced ratios outright.
4. Re-validate after scaling, not before. GCD scaling is a multiplication: OrderQty (38) must still be ≤ 999,999 afterwards. On C2 and EDGX the reduced smallest-to-largest leg ratio must also be no wider than 1:3.
5. Stock-option conformance (Cboe Rule 5.33). Compute the ratio from the smallest option leg against the stock leg and require ≤ 8:1. Using the sum of all option legs over-rejects legitimate collars. A non-conforming order is not invalid — it receives different priority and auction handling, so decide deliberately.
6. Price the package. Long form: positive = net debit, negative = net credit, 0 = even. Whole pennies for option-only spreads; up to 4 decimals only with a stock leg or FLEX. Check the class increment separately — SPX/SPXW non-box/roll spreads trade in $0.05, not $0.01.
7. Set routing. RoutingInst (9303): first character B/P/D, second character S (expose via COA) or L (suppress). Leave unset to accept Cboe's defaults (S for non-IOC, L for IOC). PS is rejected. ExecInst (18) has exactly one documented value here — G (All or None) — and plays no part in auction selection.
8. Serialize. 35=AB with 167=MLEG and 47 (both required), then 555=N followed by leg groups that each start with LegRefID (654), then 38, 40, 44, 9303, 47, 59.
9. Reconcile the fill. Branch on MultilegReportingType (442): 3 is the package fill, 2 is a per-leg fill carrying LegRefID (654), LastPx (31) and LastShares (32) at the top level. Join by LegRefID and assert leg_qty == package_qty × reduced_ratio. A breach is a position-integrity incident, not a retry trigger.

Full procedure: see references/workflows.md. Standards reference: see references/standards.md. Printable pre-flight checklist: see assets/checklist.md.

Common Pitfalls

• Selecting COA through ExecInst (18): COA exposure lives in the second character of RoutingInst (9303) (S/L). ExecInst values borrowed from base FIX are not Cboe values — sending 18=A transmits "No cross", not "COA eligible".
• Emitting LegSecurityType (609): it is not a field of Cboe's New Order Multileg. Leg type is LegCFICode (608) = OC / OP / E.
• Starting the leg group on LegSymbol (600): Cboe documents LegRefID (654) as "the required tag to start each repeated group". A group opened on another tag is not a valid repeating group, and 654 is also the only key that maps leg fills back to legs.
• Expecting LegLastPx (637) / LegLastQty (638): they do not exist in the Cboe message set. A parser that looks for them silently reports every leg as filled at 0.00 for 0 contracts.
• Applying the debit-positive rule to a short-form Sell order: under the short form, a positive Price (44) on a Sell order is a credit. Inverting it crosses the market or is rejected off-market.
• Validating OrderQty before GCD scaling: 200,000 packages of a 10:20 spread normalizes to 2,000,000 contracts and breaches the documented 999,999 ceiling only after normalization.
• Summing option legs for the 8:1 test: Cboe's ratio check uses the smallest option leg. Summing rejects conforming collars and buy-writes.
• Assuming FOK is available: TimeInForce (59) on this message is 0, 1, 2, 3 or 6 — FOK is not documented.
• Assuming pennies everywhere: SPX/SPXW non-box/roll complex orders price in $0.05 increments.
• Serializing prices from binary floats: format from Decimal; 0.1 + 0.2 reaches the wire as 0.30000000000000004.
• Retrying on a request timeout: a lost response does not mean the order was not accepted. Query order state or cancel the original ClOrdId; Cboe enforces ClOrdId uniqueness only among live orders, so it is not a duplicate guard once an order is no longer live.

Verification

• Run the test suite: python -m unittest discover -s skills/cboe-options-exchange-api-integration/scripts.
• Validate structure: python tools/validate_skills.py --skill cboe-options-exchange-api-integration.
• Confirm a generated debit spread contains 35=AB, 167=MLEG, 47, 555=2, and that the text following 555=2 begins with 654=.
• Confirm 609= and 18= never appear in generated output, and that 55= / 54= are absent from long-form output.
• Confirm a 10:20 ratio spread reduces to 1:2 with OrderQty scaled ×10, and that a scaled quantity above 999,999 is rejected.
• Confirm reconcile_leg_fills raises when a 442=2 leg quantity does not equal package_qty × reduced_ratio.

Limitations

• Class-level net price increments (e.g. $0.05 for SPX/SPXW) are not enforced — only the whole-penny / 4-decimal precision rule from the FIX specification is.
• FLEX-specific fields (LegPrice (566), LegDelta (22024), FLEXAuctionDuration (21010)) and floor routing (FloorRoutingInst (22303)) are documented in references/standards.md but not implemented.
• Cboe's field table marks Price (44) as required on New Order Multileg without stating an exception for OrdType=1; the helper omits 44 on market orders. Confirm market complex-order handling with the Cboe Trade Desk before enabling it.

Related Skills

• calendar-spread-and-multi-leg-order-atomicity
• fix-protocol-session-management-across-venues
• multi-leg-strategy-margin-optimization
• order-placement-idempotency