Complex Order Description

BOX has integrated the Complex Order Book and BOX Book in such a manner to create a dynamic, real-time trading mechanism which maximizes the opportunity for trade executions.

  • Complex Orders derived from the orders on the BOX Book for each component leg of a strategy, provided each component leg is at a price equal to the NBBO (“Implied Orders”), may interact with orders on the strategy.
  • A continuous Implied Order is only applicable to Complex Orders having a maximum of two legs and when all legs ratio equal one.
  • All new Complex Orders at order entry will be compared to the best implied price provided by the component instruments on the BOX Book and will be executed where possible.
  • Implied Orders will have priority over all outright orders on the same strategy instrument at the same price.
  • Implied Orders at the same price eligible for execution in either of the previous cases (i.e., the “tie break amongst implied orders”) will be assigned priority by time stamp amongst them- selves.

NBBO Filter

The NBBO filtering mechanism ensures Complex Orders are not executed beyond the prevailing cNBBO.

  • BOX has ensured that the prices of individual leg instruments when two Complex Orders match do not result in prices outside the prevailing NBBO for each instrumen
  • A Complex Order must trade at a price equal or better than the NBBO for each leg.
  • The cNBBO is the best net bid and offer price for a Complex Order based on the NBBO for the individual options components of that strategy.
  • Priority will be given to Implied Orders on the Complex Order Book, to ensure that the prices are, on a net basis, better than the prevailing BOX BBO.

Exposure Functionality

Complex Orders may be exposed to the BOX Market to solicit liquidity before being booked or canceled.

  • Participants specify whether they want the order exposed or not. If no specific instruction is provided on the order, the default behavior will be to expose the Complex Order.
  • If the Participant elects not to have the Complex Order exposed, the order will follow standard processing; the order being traded, booked or cancelled without the current exposure process.
  • The exposure period is established by BOX, not to exceed one second. Currently, the exposure period is set at 100 milliseconds.
  • A Limit Complex Order will be exposed at the Complex Order’s limit price or, if the limit price is equal to or better than opposite side cNBBO, at the opposite side cNBBO.
  • A Market Complex Order will be exposed at the opposite side cNBBO.


Participants may submit Complex Orders to the COPIP, which provides potential price improvement through an auction process.

  • Customer orders designated for Price Improvement (“COPIP Orders”) are submitted to the COPIP with a matching contra order, the Primary Improvement Order, equal to the full size of the COPIP Order. Under no circumstances may a Participant worsen the price of the Primary Improvement Order.
  • A Price Improvement Order is broadcast (“COPIP Broadcast”) via the HSVF as a special order type which sets off a Complex Order Price Improvement Period (“COPIP”). Participants may introduce Improvement Orders to compete with the Primary Improvement Order. An Improvement Order is not obliged to be for the entire quantity of the COPIP Order.
  • Participants competing using the Improvement Order format may increase their quantity or improve their price (intervals of one cent ($0.01) at any point during the COPIP; they may cancel their Improvement Order at any time, up to the end of the COPIP auction.
  • The standard COPIP duration is one hundred milliseconds, and commences upon dissemination of the COPIP Broadcast.
  • At the conclusion of the COPIP, orders are allocated according to BOX Rule 7245.