CBOE Symbology Documentation

CBOE Symbology Documentation

Overview

Historically, the options industry has used its own naming convention or Symbology to identify listed options contracts. Due to the limitations of the Symbology, the options industry's ability to identify and process exchange listed option contracts is constrained. The Symbology has led to a proliferation of thousands of options contract names and also contributed to the time and effort required to introduce new products. The OCC Board of Directors asked OCC staff to work with industry representatives in defining a reasonable timeframe to eliminate the restrictive codes within the Symbology. A group of options industry professionals created a plan to overhaul the Symbology used in representing listed option contracts in data transmissions between market constituents. The group recommended an approach to eliminate the practice of representing listed options contracts with OPRA Strike Price codes and fractional strike prices. It was also determined that the Symbology will include a full expiration date to accommodate Weekly, Quarterly, LEAPS, FLEX, and other non-standard expirations. The Symbology is to be implemented by the end of February 2010. Consolidation of the options symbols will begin in March 2010. CBOE is a member on the Options Symbology Initiative Committee and endorses the OCC Plan.

 

CBOE Technical Reference

CMI

The current CMI specification supports the proposed Options Symbology Initiative. To access CMi documentation, Click here.

FIX

CBOE supports the industry standards and implementation of FIX that relate to the proposed Options Symbology Initiative.

The OSI initiative's purpose is to explicitly identify a tradable product.  All CBOEdirect products are identified internally by a numeric productKey (which can be used in [tag 48 - SecurityID]).

Inbound, standard FIX tags are used to provide the information necessary to look up the CBOEdirect productKey "by Name". For the OSI initiative, that will generally be specifying a Symbol, a Product Type, a Maturity Date, a Price, and a Side.  However, if the CBOEdirect productKey is provided inbound, the "by Name" look up is bypassed, and only those tags required by the FIX Protocol will be required.

Outbound, CBOEdirect FIX Messages contain all of the information needed to identify a product, for either a "by Name" lookup, or a "by Number" lookup.

The following simple guidelines should help all current CBOEdirect FIX 4.2 participants.  They apply to all FIX messages inbound to CBOEdirect.

  1. All messages using tag 200 will also need tag 205, after OSI is enabled.

  2. All messages using tag 313 will also need tag 314, after OSI is enabled.

  3. All messages using tag 610 will also need tag 611, after OSI is enabled.

  4. All messages using tag 6717 will also need tag 6708, after OSI is enabled.

For a summary of the changes to CBOE's FIX messages,   Click here.

To access Full FIX documentation, Click here.

COMPASS (CMS)

CBOE no longer supports the CMS format - Compass.

NCC

The NON-CBOE COMPUTER INTERFACE (NCC) will be discontinued in December 2009.

CBOE Trade Match

CTM / CTMI

º  The updated CTM Input/Output File Specification supporting the proposed Options Symbology Initiative.  To access CTM documentation Click here.

º  The updated FIX Support for CMTA Allocations supporting the proposed Options Symbology Initiative.  To access CTM documentation Click here

RTC

º  The current RTC specification supports the proposed Options Symbology Initiative - See Appendix A.  To access RTC documentation Click here.

CBOE Test Specifications/Schedule

Member and Member Firm Testing

CBOE will provide a test environment for members and member firms to test their software interfaces with the exchange beginning in mid-June 2009 for Order Providers and Quote Providers.  CBOE in not mandating that members and firms re-certify their software but CBOE highly recommends that firms do this prior to February 2010.

º Order Providers - CMI and FIX message testing - available mid-June 2009.
º Quote Providers - CMI and FIX message testing - available mid-June 2009.
º CTM Recipients - CTM, CTMi, and RTC testing will be available June 2009.

The test system will be available Monday thru Friday from 8:30 AM until 4:30 PM CST for unassisted testing.  Firms needing to complete assisted testing of the OSI changes will need to schedule test time with the API Client Services group.  Weekend testing is currently not anticipated.  Firms are urged to contact the Exchange directly to work through these situations.

To schedule a test please contact the API Client Services Group: 312-786-7300 or api@cboe.com.

Scripted Industry Testing

CBOE will be participating in the planned industry wide testing for OSI. Scripts for the industry test can be found on the OCC website.

CBOE in not mandating that members and firms participate in the industry wide test but highly recommends participation.

CBOE requires the following for participation in scripted industry testing.

º Advanced registration for each industry test date
º Completion of certification testing


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