Cboe's Full Amount technology consolidates streaming price feeds from the market's premier liquidity providers into a single best price at each desired size level, resulting in an efficient tool to access and manage liquidity. Liquidity consumers transact against the best quote from a single LP that satisfies the full amount of the order to ensure minimal information leakage and reduced slippage. Trade executions are not disseminated to other Cboe FX users. The ECN is a sweepable order book: if there are 3 bids of 5M notional, at prices levels 10, 9, and 8, then there is a total amount of 15M available at an average price of 9.

An aggressive order on the ECN will walk the book executing against all available liquidity up to the price and size specified on the aggressive order. A sell order for 15M @ 9 would be filled at 10 and 9, and 5M would remain unfilled. A sell order for 15M @ 8 would execute against the 10, 9, and 8 price levels, leaving zero balance.

On Cboe FX Full Amount, if there are 3 bids of 5M notional, at prices levels 10, 9, and 8, then only the best bid (10) at a given notional size will be quoted in the price taker's (aggressor's) market data stream. For each notional size quoted, only top of book pricing is shown. A price taker may see the best bid in 5M from Maker A, best offer in 5M from Maker B, best bid in 10M from Maker C and best offer in 10M from Maker C.

All aggressive orders have a default minimum fill size equivalent to the full size of the order, meaning only one trade may be generated on any one aggressive order. Aggressive orders will match against the best price available that satisfies its order size.

For example, an aggressive order to sell 3M will match against the 4M bid in the order book shown below, as that bid is higher than both the 3M and 5M levels. While the 1M level has the best price, it does not satisfy the aggressive order's size:

Market Makers are required to code to the Full Amount FIX Proxy specification, which differs from the Cboe FX ECN protocol. The FIX Proxy spec can be found here.

Market Makers participating in Full Amount are expected to provide two-sided quotes across a range of sizes up to the max size that they are comfortable filling.

A price taker needs both a market data connection to see available liquidity and a FIX order entry connection to aggress on that liquidity. Previously, price takers required special entitlement to use the “Tag 40 = Q” value; this is no longer the case.

Either of Cboe's FIX Bookfeed or ITCH protocols can be used to receive Full Amount market data. The FIX Bookfeed is published in 5ms intervals and sends top of book pricing for each size level. ITCH provides streaming data and sends incremental changes to the top of book for each size level. ITCH is strongly recommended for latency sensitive customers.

Note that while the market data protocols are the same as the ECN, the data needs to be interpreted differently.

While the ECN order book may show offers in sizes of 1M, 3M, 5M, and 10M (implying a total of 19M offered), those same sized quotes would only fulfill a max bid of 10M on the Full Amount platform.

All Full Amount users are required to pass conformance testing.

ITCH provides streaming data and sends incremental changes to the top of book for each size level. An example is below:

(The "X" ITCH messages above indicate cancel order messages - these would be displayed as "M" for those Market Makers using the QuoteModify protocol). This Full Amount book shows a 1M offer @ 0.94907, and a 0.94883 / 0.94908 bid/offer for 2M notional.

Cboe FX maintains a unique book for each session, i.e. "per instrument, per side and per tier". If this is the first time a quote can be seen for "an instrument, on buy or sell side, on a tier", then a "New" event is sent. If the last quote for "an instrument, on buy or sell side, on a tier" is removed, then a Cancel event is sent. If a market event causes a top of book change, a Modify event is sent. If a market change does not cause the top of book to change, no event is sent.

A price taker will mostly see Modify events; however, this is dependent on the ITCH session being configured to see QuoteModify (Login Request Packet, Protocol Mode set to 1). Otherwise, the price taker will receive a "Cancel", followed by a "New" event.

ITCH market data for Full Amount is generally similar to the ECN, with two notable exceptions: (1) Market Snapshot is not needed; the price taker logs on, Market Data Subscribes to a pair, and receives the initial snapshot followed by streaming events, and (2) "Ticker Subscribe" is not supported.

FIX Bookfeed for Full Amount only sends top of book pricing for each size level on a 5ms pulse. An example is below:

20170504-08:54:23.717|I|8=FIX.4.29=144835=W34=29849=HSFX-FIX-BRIDGE52=20170504-08:54:23.68256=DATA_FIX_XYZ 55=EUR/USD 268=34 269=0 270=1.09231 271=1000000.00 346=1 269=0 270=1.09231 271=2000000.00 346=1 269=0 270=1.09230 271=3000000.00 346=1 269=0 270=1.09230271=4000000.00346=1269=0270=1.09230271=5000000.00346=1269=0270=1.09228271=10000000.00346=1269=0270=1.09226271=15000000.00346=1269=0270=1.09225271=20000000.00346=1269=0270=1.09223271=25000000.00346=1269=0270=1.09221271=30000000.00346=2269=0270=1.09220271=40000000.00346=1269=0270=1.09219271=50000000.00346=1269=0270=1.09218271=60000000.00346=1269=0270=1.09217271=70000000.00346=1269=0270=1.09216271=80000000.00346=1269=0270=1.09215271=90000000.00346=1269=0270=1.09214271=100000000.00346=1 269=1 270=1.09233 271=1000000.00 346=1 269=1 270=1.09234 271=2000000.00 346=1 269=1270=1.09234271=3000000.00346=1269=1270=1.09234271=4000000.00346=1269=1270=1.09234271=5000000.00346=1269=1270=1.09234271=10000000.00346=1269=1270=1.09239271=15000000.00346=1269=1270=1.09240271=20000000.00346=1269=1270=1.09241271=25000000.00346=1269=1270=1.09241271=30000000.00346=1269=1270=1.09243271=40000000.00346=1269=1270=1.09244271=50000000.00346=1269=1270=1.09245271=60000000.00346=1269=1270=1.09246271=70000000.00346=1269=1270=1.09247271=80000000.00346=1269=1270=1.09248271

(Note: tag 269 = bid/offer; 270 = price; 271 = notional quantity; 346 = number of orders)

This Full Amount book shows a 1.09231 / 1.09233 bid/offer for 1M notional, and a 1.09231 / 1.09234 bid/offer for 2M notional.

Default Full Amount Tiers
1M	10M	40M
2M	15M	50M
3M	20M	70M
5M	30M	100M

Precious metals are an exception.

• Cboe FX ITCH
• FIX Bookfeed API
• FIX Proxy (ECN, Full Amount, & NDFs)
• FIX Order Entry Conformance