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ECNs, Exchanges
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Publishing a "No Imbalance" via the Market Data Incremental Refresh Message
Tyronne Silva / Millennium IT
12 May 2008 11:35AM ETWe are looking to use the Market Data Incremental Refresh message in order to publish an indicative opening price, along with imbalance and potential tradeable size information. Right now we are using the Market Data Incremental Refresh (X) message as follows (summarized)
NoMDEntries (268) = 2
Followed by 2 MD Incremental Groups
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|---|--MDUpdateAction (279)= New (0)
| |--MDEntryType (269) = Auction Clearing Price (Q)
| |--MDQuoteType (1070) = Indicative (0)
| |--MDEntryPx (270) = Indicative opening price (eg: 10.00
| |--MDEntrySize (271) = Tradeable Size (5000)
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|---|--MDUpdateAction (279)= New (0)
|--MDEntryType (269) = Imbalance (A)
|--TradeCondition (277) = Buy or Sell as appropriate (P or Q)
|--MDEntrySize (271) = Imbalance Size (eg: 1000)
However, in addition to publishing the imbalance/opening price/tradeable size info we are also looking for a method to communicate that a valid opening price, and imbalance/tradeable sizes (which may have been communicated earlier) no longer exist. Two possible methods we have considered are as follows –
(a) Send Market Data Incremental Refresh message with one group with
MDUpdateAction(279) = Delete(2)
MDQuoteType(1070) = Indicative (0)
However, the concept of “deleting” an indicative price seemed to be a bit odd, plus right now we do not associate an MDEntryID (278) with the above message that could be referenced with the MDEntryRefID (280) field
(b) Alternatively, let the value 0 in MDEntrySize (271) in the Indicative Price group represent the absence of an valid indicative opening price. This approach also feels inelegant.
Appreciate any advice or thoughts on this.
Cheers
Tyronne
Publishing a "No Imbalance" via the Market Data Incremental Refresh Message
Tyronne Silva / Millennium IT 12 May 2008 11:35AM ET
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