The Titanium Effect: Reengineering Cboe Canada's Trading Infrastructure

Cboe Canada Inc. (“Cboe Canada”) completed a key technology migration of its NEO trading books (NEO-L, NEO-N, and NEO-D—collectively, “NEO”) to Cboe Titanium^SM (“Cboe Ti^SM”) technology in March 2025. Cboe Ti powers the Cboe Global Markets Inc. (“Cboe”) options, equities and futures markets around the world; transitioning Cboe Canada’s NEO trading books to the platform further aligned Cboe’s markets across the globe and enhanced system resiliency during periods of increased volatility. This technology migration offers customers a unified, consistent and efficient experience regardless of their geographic location, while also enabling Cboe to scale and customize its platform offering to the needs of the market or asset class.

The resiliency of Cboe Ti is proven every day. Notably, on Monday, April 7, Cboe seamlessly processed approximately 200 billion orders and quotes across its 27 global markets. Cboe ultimately processed more than one trillion messages in that single day. Amid heightened volatility and record trading volumes, Cboe maintained 100% uptime across 25 of its 27 global platforms and achieved greater than 99.9% uptime across all platforms. With Cboe Ti, Cboe Canada will continue to seamlessly and effectively support volume changes like those seen in April 2025.

Realized Benefits from NEO Migration to Cboe Ti

Latency Reduction

Both the improvement in performance and reduction in latency are key benefits of the NEO migration to Cboe Ti. Prior to the migration, the latency of the average round-trip from order to acknowledgement ranged from 105 to 115 microseconds¹. Post-migration, FIX latency, as measured in March 2025, improved about 45.5% to 60 microseconds, speaking to the power and value of the Cboe Ti platform.

The migration to Cboe Ti not only improved latency on FIX order entry protocol but also introduced an even more latency-efficient order entry protocol to the NEO markets, Binary Order Entry (“BOE”). BOE is an order entry protocol that increases CPU and memory efficiency and simplifies application and session level messaging. Cboe Canada is the first exchange to introduce the BOE protocol in Canada, offering immense latency reduction to Cboe Canada clients.

After the NEO migration in March of 2025, BOE latency was, on average, 68.3% faster than FIX through the 90^th percentile. Not only did Cboe Ti remain resistant to the stresses of elevated volumes and message traffic, but it also showcased remarkable resiliency in unprecedented times.

^{Figure 1: Order to Acknowledgement Latency on Cboe Canada’s NEO trading books post-migration, March 2025}

Support for Increased Messaging

The latency reduction is especially impressive when measured against the increased message traffic post-migration. Between October 2024 and February 2025, Canadian market volumes increased steadily leading up to the NEO migration. In the pre-migration period, Canadian volumes averaged 1.11 billion shares per day, and NEO messaging rates averaged 106.9 million per day. In January and February of 2025, immediately before the migration, Canadian volumes were even higher with an Average Daily Volume (ADV) of 1.13 billion and NEO messaging rates averaging 120.7 million per day.

Post-migration, Canada’s total consolidated ADV increased to 1.18 billion shares in March and April 2025, coinciding with the increase in volatility. Volatility, as measured by the closing price of the Cboe Volatility Index (VIX®), increased more than 22 points to an average of 26.9 points in March and April 2025, the two months following migration, peaking at 52.33 points on April 8, 2025. This also marks a 59.6% increase in volatility compared to the pre-migration period of January and February 2025. Overall, Canada’s volumes increased 13.2% post-migration compared to January and February of 2025.

Messaging rates on the NEO trading books increased at an even greater rate than the growth of total consolidated volume in the same time frame. NEO average daily messages increased 43.3% to 173 million messages per day during the two months following the migration, compared to the pre-migration period of January and February 2025. The migration to Cboe Ti positioned Cboe Canada's NEO trading books to excel, as messaging rates and volume continue to increase and latency is reduced, even as the number of messages processed increases.

^{Figure 2: Total Canadian Average Daily Volume, NEO Trading Books Messaging and Average Daily VIX Closing Price}

Increased Speed to First Fill

Post-migration, with the reduction in latency, the average time to first fill for passive orders in seconds decreased dramatically on both NEO-L and NEO-N, falling 28.7% on NEO-L and 20.2% on NEO-N. This is especially notable given the increased messaging and trading volumes in recent months. The improvement in latency post-migration and the introduction of BOE to NEO has dramatically enhanced the experience for customers, increasing the speed at which orders are filled.

^{Figure 3: Average Time to First Fill for Passive Orders on NEO-L and NEO-N}

Functionality Improvements

All the existing functionality and benefits of the NEO market model were preserved through the NEO migration. As part of the migration, however, Cboe made additional functionality improvements that were important to clients. Two of these functionality enhancements—Closing Call and support for odd lots on NEO-N—are outlined below.

Closing Call

Effective March 3, 2025, the Closing Call on NEO-L functions as a blind auction that runs alongside the Continuous Trading Session on each trading day, limited to Cboe Canada listed securities. This differs from the previous NEO closing auction that was a fully transparent auction after continuous trading closed. Now, the closing auction on NEO-L functions similarly to those currently in use on other North American exchanges. These closing auctions consist of multiple phases during which disseminated auction messages are updated to reflect imbalance information. The final closing auction concludes at 4 p.m. ET, unless there is a delayed closing, which would push out the closing by 10 minutes.

Support of Odd Lots on NEO-N

Cboe Canada now supports odd lot orders and mixed lot orders on all its trading books, including NEO-N. The functionality of this upgrade on NEO-N mimics the existing execution of odd lots on NEO-D.

Looking Ahead to Post-Migration on NEO

In the wake of the NEO migration to Cboe Ti, we will leverage our new technological capabilities, bring new premium products and services to Cboe Canada, and further unlock the value of the Cboe Ti platform. Below are a few of the functionality enhancements planned post-migration, pending regulatory approval, that leverage Cboe’s leading edge technology.

Primary Peg

Cboe Canada will roll out support for the Primary Peg order modifier, which will provide Members with the flexibility to allow the price of their orders on NEO-L and NEO-N to float in reference to current market prices by pegging the price to the National Best Bid and Offer (“NBBO”) on the same (near) side of the market. Buy orders are pegged to the bid (i.e., the protected National Best Bid or “NBB”), with or without an offset; and sell orders are pegged to the offer (i.e., the protected National Best Offer or “NBO”), with or without an offset. The availability of the Primary Peg order modifier will provide increased consistency in functionality between Cboe Canada and other Cboe markets across the globe. This feature has been filed for regulatory approval.

Dedicated Cores

Cboe plans to introduce Cboe Dedicated Cores to its Canadian exchange, a new optional service that will allow Members and their eligible direct electronic access clients to host their specific order entry ports on their own dedicated CPU core(s). This service will offer benefits of enhanced throughput, and improved customer workflow efficiency through the utilization of the entire processing power of a dedicated CPU core. Cboe has successfully launched its Dedicated Cores in several other markets—namely, the U.S., Europe, Australia, and Japan—and continues to make service enhancements and increase the maximum allowable quantity of Dedicated Cores for its members and other eligible participants in each of those markets. This feature is still in the planning stage for Canada.

Timestamping Reports

The future availability of Dedicated Cores for the NEO trading books will enable the introduction of the Cboe Timestamping Reports, which will provide marketplace participants with timestamp information for orders and cancelations. Timestamping Reports offer numerous timestamp data points relating to the message lifecycle to help marketplace participants better interact on Cboe’s exchanges. Missed Liquidity and Late Cancel subsections are also included in the Timestamping Reports. The Missed Liquidity subsection helps marketplace participants fine-tune their aggressive trading strategies. The Late Cancel subsection helps liquidity adders potentially mitigate adverse market moves. This feature is still in the planning stage.

While Cboe Ti easily and readily supports high-volume days, Cboe continues to enhance the platform to best support the needs of our customers in all the jurisdictions where our markets operate. Our commitment to providing reliable and resilient markets for our valued customers will continue, with enhancements coming for Cboe Canada’s already successful and robust MATCHNow trading book, including its Cboe BIDS Canada conditional trading platform.

Thank you to our trusted and valued customers and vendor partners for your effort and adaptability throughout our migration of the NEO trading books. We value your business and will strive to continue to deliver innovative solutions and add value to our technology offerings. As always, please reach out to a member of our North American Cash Equities team with any questions.

^{[1] Estimates based on legacy NEO latency observed in January and February 2025.}

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