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CUBE (CUstomer Best Execution)

Electronic price improvement auction mechanism for Single-Leg and Complex paired orders of any size.

How it Works

  • Paired orders are made up of an Initiating CUBE Order, which may be submitted for any clearing capacity, and an accompanying Contra Order, which may be submitted for any clearing capacity except for Customer.
  • Upon receipt of a CUBE order, an RFR message will be broadcast over the Pillar Options market data feeds indicating the series, side, size, price, and Auction ID of the CUBE (Msg 307).
  • The auction period will last 100 milliseconds unless it is ended early by market events.
  • At each price, RFR Responses of displayed Customer interest will have first priority; followed by RFR Responses of displayed non-Customer interest, which responses will be capped at the CUBE order size and executed on a pro-rata basis. Final priority are RFR Responses of non-displayed Customers, followed by RFR Responses of non-displayed, non-Customer interest
  • The accompanying Contra order will receive a 40% guaranteed allocation unless more than 60% of the CUBE order is price improved by RFR Responses (the accompanying Contra will yield priority at a given price once the 40% entitlement is satisfied). If only one RFR Response received is eligible to trade, the Contra order will receive a 50% guaranteed allocation.
  • The AON CUBE provides optional All-or-None CUBE functionality with a minimum size of 500 contracts (minimum requirement applied to each leg in a Complex CUBE order).
  • Additional details on CUBE functionality can be found here.

Key Benefits & Features

Price AccessibilityCUBE auctions can trade in penny increments despite the spread otherwise required for any given series.
Price ImprovementCUBE Orders can seek price improvement prior to execution, with no minimum size requirement.
FlexibilityUsing the Surrender Quantity function, a submitting firm can request that the Contra order receive less than the 40% guaranteed allocation (conditional on receiving enough responses to trade with the order).
DeterminismRobust functionality offers auction ability to run its full duration, bolstered by concurrent auction functionality and continuous trading support.
Response DiscretionUsing a special Time-In-Force designation, firms may submit GTX responses which will only trade with a CUBE order, if at all, then cancel. GTX orders can be further defined with an Auction ID to target a specific CUBE auction.
Execution GuaranteeEven if there is no price improvement on the CUBE order, the execution is guaranteed upon submission (does not apply to AON CUBE)