Complex Orders

Complex Order Handling

Cboe Hybrid's Complex Order Book (COB) and Complex Order Auction (COA), available in all classes, provide enhanced automatic execution possibilities for complex orders, while continuing to provide potential for price improvement.

Complex Order Book (COB)

Currently, eligible complex orders having up to four legs and having a ratio of one-to three or higher or three-to-one or lower may be executed automatically and/or booked in the COB. Once introduced in the COB, the resting order will automatically execute if:

  • The quotes or orders for the individual legs line up to make the resting order marketable (In SPX the resting order will COA first if it becomes marketable); or
  • An opposing order enters the COB that touches the resting order.

Complex Order Auction (COA)

COA further automates the order handling and execution process for eligible marketable complex orders having up to four legs and having a ratio of one-to three or higher or three-to-one or lower, while continuing to provide the potential for price improvement through an automated auction process. Note that only customer orders are eligible for COA. When COA is enabled:

  • Eligible marketable (tradable at the current derived spread price) and near-marketable (tradable inside the current derived spread price) will initiate a 100 millisecond electronic auction for price improvement.
  • At the expiration of the auction period, the order will either trade at an improved price, the current price or book to the COB.
  • If booked, the order will electronically execute if COB conditions are met (see above).
  • Order flow providers may choose to identify their executing firm number, correspondent and/or CMTA on their COA messages.

NSM (National Spread Market)

NBBO (National Best Bid and Offer) markets are used to calculate a National Spread Market (NSM). The NSM and an accompanying Exchange-set “buffer” parameter are used for calculation of an execution price collar, called the NSM+. The NSM or NSM+ value, as applicable, is used as the reference price for spread order protections. Incoming market orders and limit orders with a price outside NSM+ will be eligible to trade only up to NSM+, and any unexecuted remainder that cannot be executed within this price collar will be automatically canceled.

Stock: Option Orders Automation

Complex orders combining stock and options legs may be executed automatically in Cboe Hybrid. Eligible marketable and near-marketable stock-option orders will initiate a COA for the possibility of price improvement. Non-marketable stock-option orders may be booked in the COB. The option leg(s) will print on Cboe and the stock leg(s) will be printed and cleared by a third-party broker.

Functionality Highlights:

  • Currently, this feature supports buy-writes and other orders with a maximum of 4 legs including one stock leg. The maximum ratio is 8 option contracts to 100 shares. Upon receipt, eligible incoming orders will initiate a 100 millisecond electronic COA auction.
  • The order will be auctioned as a packaged order with one net price; traders will be able to respond to the auction in pennies.
  • All else is the same as complex orders for COB and COA as described above.

Paired Order Mechanism for Complex Orders (AIM for Complex Orders)

Cboe's Automated Improvement Mechanism (AIM) is an automated process for paired orders of any origin type, which provides potential for price improvement and a participation right through an auction process. By utilizing the AIM paired order mechanism, an order flow provider is afforded the opportunity to participate against its customers' orders (facilitation) or solicit another firm's liquidity (solicitation).

(NOTE: Available in all classes except SPX, OEX and XEO)

AIM for Complex Orders

Complex orders having up to four legs and having a ratio of one-to-three or higher or three-to-one or lower are eligible for the AIM mechanism.
Initiating Order and Contra Order must be entered as a pair.
Contra Order must be for full size of Initiating Order / can be facilitating or solicited.
Contra Order price must be at least .01 better than Cboe displayed market.
Auction period is 100ms; minimum improvement increment is .01. Contra Order guaranteed 40% if at best price (matched by multiple Market-Maker) or 50% (matched by one Market-Maker).
Entering Contra Order as a Market Order guarantees participation at best price (auto-matches best price of other auction participants).
Complex orders combining stock and option legs are eligible for the AIM mechanism.


When both the primary and match AIM complex orders have an origin of Customer, the orders will cross immediately, without exposure to the AIM 100-millisecond auction interval. The price on the match order must be a limit that is at least one tick inside the Cboe Exchange implied Spread Market or Complex Order Book (COB) on the opposite side of the AIM primary order. Additionally, if the match order contains a price of "MKT", or if the agency order or the primary order has a non-customer origin code then the transaction will be subject to the standard AIM process, including the 100-millisecond auction interval.

AIM All Or None (AON) Solicitation - Simple and Complex

500 contract minimum.
Both orders must be AON.
Solicitation only (no Facilitated). If Contra Order is Firm, cannot give-up the same executing firm as Initiating Order.
Price must improve resting Customer orders.
Contra Order can only be shut out if responses improve Contra Order price FOR FULL VOLUME.
Automatch is not allowed for (AON) Solicitation.
All else same as AIM for Complex Orders described above.

See Cboe Rules 6.53C, 6.74A and 6.74B and C2 Rules 6.13, 6.51 and 6.52 for additional information regarding the complex order handling functionality described above.