Gateway and Exchange Overview

Exchange Background

CBOE Futures Exchange (CFE) is owned by CBOE and is an all-electronic, open access market that is home to volatility futures, specifically futures on the CBOE Volatility Index® (VIX®). CBOE completed its acquisition of Bats Global Markets, Inc. in February of 2017 and completed its migration to the Bats trading platform in February of 2018. Orders are routed via Bats Binary Order Entry (BOE) and Bats FIX protocols

Time and Time Zone

Set the machine that hosts the CFE Gateway in (UTC - 6:00) Central Standard Time (Chicago).

Exchange Restrictions

The exchange imposes a transaction per second limitation for each Order Session. Currently, the exchange allows a total message volume of 150 messages for every five (5) seconds. This includes messages related to adding new orders and order modifications (e.g., cancel/replace, etc).

When this limit occurs, the CFE Gateway logs a message similar to the following to the Order Server logfile:

acceptOrder rejected. Call limit exceeded for CFE_MAIN UA:[Order_Sesion#]. Rate:150, Within:5000 millis

Where [Order_Session#] equals the section header of the Order Session the message attempted to route through.

To avoid meeting this limit, users may configure additional Order Sessions on the CFE Gateway.


CFE provides matching via their CBOEdirect FIX 2.0 electronic trading platform and matching engine.

CFE matches orders by price/time priority (FIFO) algorithms.

Supported Products

Traders connecting to CFE via the CFE Gateway have access to the full suite of products available through the existing CBOE Gateway, including:

  • CBOE mini-VIX futures
  • CBOE Volatility Index (VIX) futures
  • Volatility Index (VIX) security futures
  • CBOE S&P 500 3-month variance futures
  • CBOE S&P 500 variance futures
  • Weekly options on mini CBOE Volatility Index (Mini-VIX) futures
  • Radar Logic 28-Day Real Estate (RPX) futures

Unsupported Products

The CFE Gateway does not currently support options listed by the CBOE Exchange. Only products listed by the CFE will be supported.

Unsupported Exchange Functionality

The CFE Gateway does not support the following exchange functionality:

  • Options
  • Market Maker Functionality
  • All or None (AON) order type
  • Wash Trade Prevention (WTP) order type

    CFE’s Wash Trade Prevention (WTP) orders are Immediate or Cancel (IOC) orders that are protected from trading with an opposing quote or order from the same Market-Maker. While TT does not support the exchange’s WTP order, similar results can be achieved via TT’s “Avoid orders that cross” functionality. This functionality can be set up in either TT User Setup or X_TRADER®. For more information, please refer to the TT User Setup System Administration Manual and the X_TRADER® User Manual.

Trading Hours

Trading hours vary per product at CFE, so you will have to contact the exchange for the exact trading hours and market states for specific products. The following table shows the trading hours for the product categories supported by the CFE Gateway (all times are CST (UTC-6:00)).

CFE Trading Hours
Product Hours (CST)

CBOE Mini-VIX Futures

8:30 AM - 3:15 PM

CBOE Volatility Index Futures

7:00 AM - 3:15 PM. Regular trading hours for this product are 8:30 AM - 3:15 PM. Extended trading hours are from 7:00 AM - 8:30 AM.


Market orders will not be accepted by the exchange for the VIX futures contract during extended trading hours. Additionally, Stop orders will not be accepted at any time for this contract. Stop Limit orders will be accepted during both regular and extended trading hours.

CBOE Nasdaq-100 Volatility Index Futures

8:30 AM - 3:15 PM

Volatility Index Security Futures

8:30 AM - 3:00 PM (GV, OV, and VXEW contracts)

8:30 AM - 3:30 PM (VXEM contract)

CBOE S&P 500 3-month Variance Futures

8:30 AM - 3:15 PM

CBOE S&P 500 Variance Futures

8:30 AM - 3:15 PM

Weekly Options on Mini CBOE Volatility Index (Mini VIX) Futures

8:30 AM - 3:15 PM

Radar Logic 28-Day Real Estate Index (RPX) Futures

8:30 AM - 3:00 PM

Trading Hours - CFE Bats (CFE Gateway 7.18)

After the migration, there will be changes to the trading hours for VX and VXTY.
  • Post-settlement session will be from 3:30–4:00 PM for the same business day
  • Trading in VX and VXT for the next business day will open at 5:00PM

Trading State Sunday Mon-Thursday Friday
Pre-Open 4:00PM 4:45PM
Open 5:00PM 5:00PM
Halt 3:15PM 3:15PM
Post Settlement Open 3:30PM 3:30PM
Close 4:00PM 4:00PM
Close Time for Expiring Instruments 8:00AM on expiration Wednesday 8:30AM–3:15PM
Market Order Acceptance Time 8:30AM–3:15PM
Trading State Sunday Mon-Thursday Friday
Pre-Open 4.00PM 4.45PM
Open 5:00PM 5:00PM
Close 3.13PM 3.13PM
Close Time for Expiring Instruments 3:13 PM on Tuesday prior to expiration Wednesday

Trading Session

CFE has its own trading session, CFE_MAIN, on the CBOEdirect FIX 2.0 platform that supports the listing of futures.

ATS Operator ID Support

CFE Gateway 7.17.60 or higher supports an ATS (automated trading system) Operator ID to identify users submitting automated trades. ATS Operator IDs are configured per user in TT User Setup 7.17.20 or higher. The ATS Operator ID is configured in the Exchange 2 field on the Gateway Login Attributes screen in TT User Setup on a per user basis.

When Order actions are submitted to the CFE Gateway via an automated trading system, the Order Server populates Tag 50 with the ATS Operator ID and sends it to the exchange.

If no automated trading source is detected, then the Order Server populates Tag 50 with one of the following values:

  • SubUserId (FIX Adapter Tag 50)
  • Operator ID for the Monitoring Username
  • Monitoring Username
  • Operator ID for the Username
  • Username
  • Exchange Trader ID