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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) | ||||||||||||||||||||
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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
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