Cboe Global Markets

Cboe Retail Price Improvement

Through the Cboe Retail Price Improvement Program, any BYX Exchange Member may input Retail Price Improving (RPI) orders on the BYX Exchange order book that will offer price improvement in $.001 to increments to Retail Member Organizations (RMOs) that enter a Retail Order (RO). In addition to the price improvement opportunities, Retail Orders that interact with price improving orders receive an enhanced rebate on BYX.

How it Works

  • Retail Price Improving (“RPI”) Orders are submitted by liquidity adders that offer price improvement over the NBBO in minimum $0.001 increments. RPIs only interact with Retail Orders.
  • A Retail Liquidity Indicator (“RLI”) message will be disseminated on PITCH and SIP feeds when there is a Retail Price Improving (RPI) order present for a symbol on the BYX Exchange order book OR to indicate a RPI order is no longer available.
  • Marketable retail-attested orders can be submitted and choose from three types of interactions:
    • Interact with Price Improving Orders Only (book only)
    • Interact with Price Improving Orders and the far touch (book only)
    • Interact with Price Improving Orders, the far touch and route out (routable)

Technical Information

Retail Price Improving (RPI) Orders

Any BYX Exchange Member that has been certified by the Cboe Trade Desk may enter RPI orders in $.001 increments. RPIs are only accessible to Retail Orders. No other order type will interact with an RPI order.

RPIs may be entered in $0.001 increments by any BYX Exchange Member as follows:

  • Retail Price Improving order:
    • Must set RoutingInst (9303) = ‘B’ or ’ P’
    • Must set ExtendedExecInst (9416) = ‘T’ (Retail Price Improving order)
    • DisplayIndicator (9479) = ‘I’ is implied but, like peg orders, not required; any other values for DisplayIndicator will be rejected.
  • Retail Price Improving Peg order:
    • Must set RoutingInst (9303) = ‘B’ or ’ P’
    • Must set ExtendedExecInst (9416) = ‘T’ (Retail Price Improving order)
    • Must set ExecInst (18) = ‘R’ (Primary Peg)
    • Must set PegDifference (211). Price may be in 0.001 increments.
    • DisplayIndicator (9479) = ‘I’ is implied but, like peg orders, not required; any other values for DisplayIndicator will be rejected. ust set PegDifference (211). Price may be in 0.001 increments

Retail Orders (ROs)

ROs may only be entered by RMOs who have certified for the order type. ROs will access price-improving liquidity in strict price/time priority as follows:

  1. ROs may interact with both RPI orders as well as other price improving hidden liquidity (i.e. midpoint pegs). ROs may receive price improvement at multiple price levels.
  2. ROs will then access displayed interest as well as hidden interest at the NBBO.
  3. ROs may then route.

Retail Orders may be entered by Retail Member Organizations in $0.01 increments as follows:

  • Retail Order – Type 1 – Price Improvement Only (Only access price improving orders.)
    • Must set ExtendedExecInst (9416) = ‘P’ (Retail Order – Price Improvement only)
    • Must set TimeInForce (59) = ‘3’ (IOC)
    • Must set RoutingInst (9303) = ‘B’ (Book Only)
  • Retail Order – Type 2 – Book Only (Access price improving orders up to the limit price and access any liquidity available on Cboe at the limit price.)
    • Must set RoutingInst (9303) = ‘B’
    • Must set ExtendedExecInst (9416) = ‘R’ (Retail Order)
    • Must set TimeInForce (59) = ‘3’ (IOC)
  • Retail Order – Type 2 – Routable (Access price improving orders up to the limit price and access any liquidity available on Cboe at the limit price. Then route out at the limit price.)
    • RoutingInst (9303) and ExecInst (18) may be any combination of currently accepted values for routing purposes
    • Must set ExtendedExecInst (9416) = ‘R’ (Retail Order)
    • Must set TimeInForce (59) = ‘3’ (IOC)

Market Data - Retail Liquidity Indicator on PITCH Feed

The Retail Price Improvement message is only available on the BYX Exchange. This message is a Retail Liquidity Indicator (RLI) that includes symbol and side, but not price and size. An RLI will be disseminated when there is a Retail Price Improving (RPI) order present for a symbol on the BYX Exchange order book OR to indicate a RPI order is no longer available. RPI orders offer price improvement in increments of $.001 to Retail Member Organizations.

Retail Price Improvement
Field Name Offset Length Data Type Description
Timestamp 0 8 Timestamp TimeStamp
Message Type 8 1 "R" "Retail Price Improvement" message
Stock Symbol 9 8 Printable ASCII Symbol
Retail Price Improvement 17 1 Alpha
  • "B" = Buy Side RPI
  • "S" = Sell Side RPI
  • "A" = Buy & Sell RPI
  • "N" = No RPI

Performance

Retail-attested orders recieve an average of $0.86 for 100 shares price improvement when executing against Price Improving orders.

Price Improvement: BYX RPI Program (01/01/2023 - 06/30/2023)
Security Type Average Price Improvement / 100 shares Median Price Improvement / 100 shares Weighted Average Price Improvement / 100 shares
Tape A $1.05 $0.10 $0.34
Tape B $0.30 $0.10 $0.17
Tape C $1.03 $0.10 $0.36
Overall $0.86 $0.10 $0.28

Contact

Please contact the Cboe U.S. Equities Trade Desk ([email protected], 913.815.7001) or your Director of Sales with any questions. We appreciate your continued support of Cboe and look forward to earning more of your business.

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