U.S. Options

As previously announced in the November 11th Alert, MIAX Options Exchange has published updated Interface Specifications to support the following upcoming changes:

Complex Orders - Auction on Arrival Only (AOAO):

• FIX Interface Specification (FOI) - Version 2.5
  • Updated New Order –Multileg (MsgType = "AB") to support AOAO
    • Added new FIX Value “O” = Auction on Arrival Only to FIX Tag MIAXExecInst (#9018)
  • Updated Execution Report (MsgType = "8") to support AOAO
    • Added new FIX Value “O” = Auction on Arrival Only to FIX Tag MIAXExecInst (#9018)
• FIX Drop Specification (FXD) – Version 2.5
  • Updated Execution Report (MsgType = "8") to support AOAO
    • Added new FIX Value “O” = Auction on Arrival Only to FIX Tag MIAXExecInst (#9018)

Complex Orders - cPRIME Last to Fill:

• FIX Interface Specification (FOI) - Version 2.5
  • Updated New Order Cross – Multileg (MsgType = "As") to support Last to Fill
    • Added new FIX Tag “ExecInst” (#18) with FIX Value “X” = Last to Fill

Complex Orders - Attributable support:

• MIAX Order Feed Interface Specification (MOR) – Version 2.5
  • Updated Complex Order Message (Message Type = “R”) to support Attributable
    • Added Attributed ID Field
• FIX Interface Specification (FOI) - Version 2.5
  • Updated New Order –Multileg (MsgType = "AB") to support Attributable
    • Added new FIX Tag “AttributableOrderIndicator” (#9732) to support Attributable

Complex Orders – Related Futures Cross (RFC):

• FIX Interface Specification (FOI) - Version 2.5
  • Updated New Order Cross – Multileg (MsgType = "As") to support Related Future Cross (RFC).
    • Added new FIX Value “8” = RFC to FIX Tag CrossType (#549)
    • Repeating Group FIX Tags “NoOrders” (#73), “NoAllocs” (#78), and “CustomerOrFirm” (#204) will apply to RFC
  • Updated Execution Report (MsgType = "8") to support Related Future Cross (RFC)
    • Added new Position 28 Value "R" = RFC to FIX Tag AdditionalBillingParameters (#9730)
• CTD Interface Specification (CTD) – Version 2.5
  • Updated Trade Message (Message Type = “T”) to support Related Future Cross (RFC)
    • Added field value "R" = RFC to Strategy State Field
• FIX Drop Specification (FXD) – Version 2.5
  • Updated Execution Report (MsgType = "8") to support Related Future Cross (RFC)
    • Added new Position 28 Value "R" = RFC to FIX Tag AdditionalBillingParameters (#9730)

Simple Orders - ISO PRIME:

• Top of Market Feed (ToM) – Version 2.4
  • Updated Last Sale Message (Message Type = “T”) and Trade Cancel Message (Message Type  = “X”) to support ISO Prime
    • Added new Trade Condition “b” Trade from a ISO Paired PRIME transaction
• FIX Interface Specification (FOI) - Version 2.5
  • Updated New Order Cross – (MsgType = "s") to support ISO Prime
    • Added new FIX Value "f" = Inter-market Sweep Order (ISO) to FIX Tag ExecInst (#18)
• CTD Interface Specification (CTD) – Version 2.5
  • Updated Trade Message (Message Type = "T") to support ISO Prime
    • Added new Trade Condition “b” Trade from a ISO Paired PRIME transaction

New MEI Bulk Quote Message – MIAX Express Interface (MEI):

• MEI Interface Specification (MEI) - Version 2.9
  • New Simple Bulk Quote Message Type  “qq” with increased size
    • Increased *Reserved* size to 32 Bytes for future use
    • Existing “qm” Simple Bulk Quote Message Type will be deprecated

The changes to MEI are mandatory. All other changes are optional.

Key Dates:

• These features are currently available in Firm Test Bed (FTB2)
• Market Data Feed Updates - the version number in the System state message on these feeds will reflect the new versions below
  • ToM will be updated to V 2.4 on January 7, 2021
  • MOR will be updated to V 2.5 on January 7, 2021
• All the above features except MEI will be activated in production on January 11, 2021
• MEI change is mandatory and all Firms must upgrade to MEI v2.9 prior to February 15, 2021

Please review the updated interface specifications for further details:

• MIAX Options Exchange Specifications

Please contact MIAX Trading Operations at TradingOperations@miaxglobal.com or (609) 897-7302 to discuss any specific issues and to arrange interface testing.