Up to 16-Leg Is Permitted for Non-FLEX Complex Orders, According to Cboe

Chicago Board Options Exchange (Cboe) announced that Cboe Options (C1), C2 Options (C2), and EDGX Options (EDGX) Exchanges, will support more legs on non-FLEX complex (multi-leg) orders effective from August 9 2021. The allowable legs may go up from 12 to 16.

​One of those legs could be a stock leg on C1 and EDGX. The expansion of legs applies to inbound orders, auction responses, outbound reports, strategy definitions, and market data messaging.

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Order execution functionality, including AIM, SAM, QCC, COA, COB, and PAR, as applicable to each Exchange, will also support up to 16 legs. Cboe Silexx will support up to 16 legs on a single order ticket, starting from the effective date. Current permissible ratios for complex orders executed electronically and in open outcry (C1 only) will remain the same.

Complex orders submitted in FLEX options will not be impacted by this change and will continue to support up to 100 legs.

Members can define the number of legs with the NoLegs field (FIX Tag 555) in FIX or BOE protocols. As a result of these changes, Members should be prepared for an increased Complex Instrument Definition Expanded message length on order, execution, and cancel messages, and on the auction, PITCH, and TOP data feeds to accommodate the increased number of legs.

Eligible complex orders having up to 16 legs may be executed automatically and/or booked in the COB. On C1 and EDGX, stock-option orders may be executed automatically with a maximum of 16 legs including one stock leg. On C1, PAR will be enhanced to support up to 16 legs on a single order ticket. Orders exceeding 16 legs must continue to be split across multiple order tickets using the fewest order tickets necessary.

This functionality will be available to test in the C1, C2, and EDGX certification environments on July 26, 2021.