The Indicative Opening Price provides market participants with a probable price at which the market will open or re-open, given the current book and order activity. Indicative Opening Price is calculated by the trading engine during the Pre-Open and Reserve states based on the orders in the book.
During these two states orders can be entered or modified, but no matching will occur. This can cause the order book to be locked or crossed, which produces an Indicative Opening Price. Indicative opening details are published using the Market Data Incremental Refresh message.
The Market Data Incremental Refresh message - Opening Data Block carries the Indicative Opening Price and is published during the Pre-open and Reserve states. The Market Data Incremental Refresh message - Opening Data Block is sent when:
- A new order is entered that changes the Indicative Opening Price
- A book update changes the Indicative Opening Price
The Market Data Incremental Refresh message - Book Update Data Block is published to inform users of the limit prices available in the order book and is sent when:
- An inbound order or modification changes the prices or quantities of the bid or ask price levels.
- A cancel removes orders from the bid or ask price levels.
- Tag 346-NumberOfOrders included in the Indicative Opening Price shows only the Displayed (booked) quantity on the Market Data Incremental Refresh message - Book Update Data Block even though the Indicative Opening Price was calculated using the entire order size for the Display Quantity Order.
- The order quantities and the instrument quantities for elected Stop Orders with the highest price (if they are buy Stops) or the lowest price (if they are sell Stops) are shown on the Market Data Incremental Refresh message (only 1 Stop order is shown regardless of how many Stops were elected by the Indicative Opening Price)
Watch this video for a demonstration of IOP calculations:
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