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SAL - Simple Auction Liaison (available in SPX)

The Simple Auction Liaison (SAL) is a mechanism that provides price improvement for simple orders. SAL is available for marketable orders in SPX.

The SAL Process:

  • Eligible marketable orders are stopped at the LMM quote and exposed to a brief electronic auction for price improvement. Customer orders of up to 250 contracts are eligible (or up to the size of the displayed quote, whichever is less.)
  • The starting price for the auction will be the LMM quote. Auction increments are $.05 below $3.00 and $.10 above $3.00.
  • The auction message will be available to market makers with appointments in the class and firms with orders resting at the CBOE BBO.
  • At the end of the auction period, the order will be executed at the best price(s), including any customer book orders, auction responses and the LMM auto-quote.
  • An auction will not begin if the order size exceeds the LMM quote size or if a manual quote is present on the BBO on the opposite side of the order.
  • Order flow providers may choose to identify their executing firm number, correspondent and/or CMTA on SAL messages.
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