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The high bid and low ask statistics are sent in continuous trading state only and are based on the arriving order price if it is better than previously reported high bid or low ask price for the session. 

High Bids and Low Asks should not be compared against each other. They are independent statistics that represent the orders that have been submitted and acknowledged for receipt by the Central Limit Order Book.  The statistics do not have reasonability verifications and represent the customer’s intentions, in order to provide transparency to market data consumers.

FIX Syntax for High Bid - Market Data Incremental Refresh (tag 35-MsgType=X)

Tag Number

Tag Name

Value

Description

279

MDUpdateAction

0

0 = new. Type of Market Data update action.

269

MDEntryType

N

N = session high bid. 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


FIX Syntax for Low Ask - Market Data Incremental Refresh (tag 35-MsgType=X)

Tag Number

Tag Name

Value

Description

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

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After a group transitions to an Open state there may be GT or pre-open orders that have not fully traded during the opening.  A new high bid or low ask will not be generated until a new arriving order or a cancel replace is accepted and entered into the order book while the group is in continuous trading.  Any first arriving order generates the highest bid or lowest ask statistics, even in cases when the arriving order price is worse than the best price on the bid or offer side.

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In December 2015, there will be a software update which will change the behavior of the High Bids and Low Offers when an instrument transitions from Pre-Open to Open Trading.

, the orders that remain on the book will determine the initial High Bid and Low Ask.

Info

The orders remaining on the book after the opening event are displayed below.

BidAsk

Qty

Price

Price

Qty


1177.325
1177.95

10

1176.8

1177.3

25


20

1176.0

1177.9

5

As the instrument opens with orders remaining from the pre-open, the following market data is reported regardless if the orders were placed during the current trading date or previous sessions:

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:

  • Orders left on the book following an opening will be evaluated in order to generate a better high bid / low ask statistics compared to the previous high bid / low ask for the instrument or the side.
    • If there are orders remaining in the book from the first pre-open of the day, the top of book price of each side will be sent as the High Bid / Low Ask respectively.
    • High Bid / Low Ask will not be sent if there are no orders in the book after the opening event, even in situations where there was an IOP generated or trades occurred at the opening.

High Bid / Low Ask verifications will be applied to any group open during the trading day.

  • There may be several group opens in a trading date due to software or hardware problems, or market events. The orders remaining in the book after the re-open will be compared to previously sent statistics for each instrument in the group every time there is a group open message.

The verifications will also be applied to instrument level Open events, e.g. Reserve to Open (Velocity Logic) or manual instrument Pause to Open.

  • 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.

Example 3: Aggressing Orders Above / Below Current Bid/Ask

In the case when an arriving order to buy at 9753 immediately fully trades at 9750 with the sell order resting on the book at 9750, the limit price of 9753 is considered the highest bid of the session.  Even if at the time the order is entered, there are better offers in the book.

Aggressing order  Buy 25 @ 9753

Bid

Ask

Qty

Price

Price

Qty

103

9749

9750

150

475

9748

9751

529

The event would include the following messages:

  • Trade - (tag 269=2, tag 270=9750, tag 271=25)
  • Volume Update - (tag 269=e, tag 271=195864)
  • Book Update - (tag 269=1, tag 279=1, tag 271=125)
  • Statistics - (tag 269=N, tag 270=9753)