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Tag Number | Tag Name | Value | Description |
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279 | MDUpdateAction | 0 | 0 = new. Type of Market Data update action. |
269 | MDEntryType | O | O = session low ask. Type of Market Data entry. |
48 | SecurityID | Unique instrument ID as qualified by the exchange. | |
83 | RptSeq | Sequence number per Instrument update. | |
270 | MDEntryPx | Price of the Market Data Entry |
High Bid and Low Ask Examples
Example 1: The First High Bid/Low Ask Statistics after Opening
After a group transitions to an Open state, the orders that remain on the book will determine the initial High Bid and Low Ask.
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The orders remaining on the book after the opening event are displayed below.
As the instrument opens with orders remaining from the pre-open, the following market data is reported: High Bid = 1176.8 (Tag 269 = N and tag 270 = 1176.8) Low Ask = 1177.3 (Tag 269 = O and tag 270 = 1177.3) | ||||||||||||||||||||
Example 2: High Bid / Low Ask Statistics Calculations at the Open
Whenever a group or an instrument transitions from non-trading state to a trading state:
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- If Stop orders are elected as part of Reserve to Open and as a result are resting in the book, then the new book messages will be compared to the previous high bid / low ask. If they are better, they will be updated and disseminated to customers.
Example 3: High Bid / Low Ask Statistics Calculation for Aggressing Orders
If an Aggressing Order automatically trades and does not rest on the book, it will not be factored into the High Bid / Low Ask calculations. If an Aggressing Order partially trades and the balance rests on the book, the order’s price will be used to calculate the High Bid or Low Ask.
All other orders will continue to be included in the calculations regardless of any comparisons to previous day’s Settlements, Last Trades, etc.
Example 4: Illiquid Markets
If there are no orders in a book or a very wide bid/ask spread and, for example a buy order is placed above the previous day’s settlement price and is cancelled before it is traded, it will generate a High Bid message upon entry into the book.