Trading at BOX

1. Bi-Directional order and quote related gateways
2. Outbound feed of market data from the BOX trading engine to the user

Order and Quote Gateways		Outbound Market Data Gateways
SAIL	Native, Full Function	HSVF	Native, Full Function
FIX	Available for connection to OFPs (Order Flow Providers)	OPRA	Best Bid/Offer, Last Trade
CMS	Simple Order Only

These gateways allow the BOX Participant to send messages to the BOX trading engine essentially in order to submit, modify or cancel an order on BOX (orders, quotes, improvement periods, etc.) and receive confirmation of such messages, execution notices, and other outcomes specifically addressed to the originating Participant. Three such gateways are available, namely, SAIL, FIX and CMS, as explained below.

SAIL

SOLA® Access Information Language is the native protocol for SOLA®, offering functionalities required by both order flow providers and market makers.

FIX

FIX is an order management protocol widely used by professional trading systems, as well as by many private client order management systems. BOX provides a FIX interface which allows BOX Participants, who are already using the FIX protocol for order routing and management to other options markets, to connect to the BOX trading engine with a minimum of effort. The FIX interface provides a subset of the BOX trading engine functions and is therefore better suited to the "non-market maker" category of Participants.

Users of the FIX protocol for order routing to BOX must obtain BOX market data from another source such as BOX's HSVF interface or data vendors providing options market data. BOX market data is not broadcast via the FIX protocol.

CMS

CMS is an order management protocol widely used in the US, particularly by the private client segment of the industry. BOX technical services provides a CMS conversion service which allows Participants, who are already using the CMS protocol for order routing to other options markets, to connect to the BOX trading engine with a minimum of effort. The CMS connection does not provide any market data directly from BOX. Users of the CMS protocol for order routing to BOX must obtain BOX market data from another source such as the data vendors providing the OPRA feed.

Market data concerning the BOX market is available by subscribing to either:

1. A full-featured, BOX-generated feed called HSVF
2. Market Data vendors providing BOX market coverage

HSVF

HSVF is the protocol for receiving BOX market data directly from BOX rather than via one of the commercial data vendor suppliers (who receive data from the Options Price Reporting Authority (OPRA)). It is available only to BOX Participants and is the preferred market data source for BOX Market Makers. A number of functionalities are exclusive to HSVF such as the five best limits for each option instrument (OPRA broadcast only receives the BOX best limits) and the initiating and improvement order related to a Price Improvement Period (PIP) auction.

Market Data Vendors (OPRA)

Various commercial data vendors distribute BOX market data, offering basic information provided by the Options Price Reporting Authority (OPRA). Detailed information, such as market depth on instruments, will not be available since OPRA does not accept these messages from BOX at this time and HSVF is not available directly to vendors.

This data source is likely sufficient for OFPs who need no more than simple order execution and BOX-managed PIPs. Market Making Participants on BOX, however, require the full broadcast provided by HSVF.