On 22nd October 2021, the BOX Options Exchange (BOX) announced that they will introduce a new, dedicated SAIL Quote Purge Gateway on 8th November 2021. Each BOX trading slice will host one dedicated SAIL Quote Purge Gateway, allowing Market Makers to send quote cancellations on a given group or instrument. The new SAIL Quote Purge Gateway is optional for all BOX Market Makers.
Message Overview
BOX Market Makers connecting to the SAIL Quote Purge Gateway are expected to send and receive the following messages:
Input messages to BOX Trading Host:
- SAIL GC – Global Cancellation of quotes on a given group
- SAIL GZ – User Global Cancellation of quotes on a given group or instrument. This message can also be used to lock-out a trader
Output messages from BOX Trading Host:
- SAIL KG – Global Cancellation Confirmation
- SAIL NP – Cancellation of All Quote Notice
- SAIL NE – Excluded Instrument Notice
- SAIL MU – Trader Status
- SAIL KO – Standard Acknowledgement
Message Sequence
The message sequence for quote cancellation using GC or GZ originating from the SAIL Quote Purge Gateway is detailed in the section “Cancellation of Quotes through a dedicated Purge session” in the SAIL Business Design Guide.
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