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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.

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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.

Info

In October 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 following is an example of the new method of disseminating High Bids and Low Offers.

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

Bid

Ask

Qty

Price

Price

Qty

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)

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