The Theoretical Opening Price (TOP) provides market participants with a probable price at which the market will open or re-open, given the current book and order activity. The TOP 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 would produce a TOP. Theoretical opening details are published using the Market Data Incremental Refresh tag 35-MsgType=X Message, Book Update Data Block and Opening Data Block. These messages are used to inform users of updates to the book and the TOP.
The Market Data Incremental Refresh message, Opening Data Block carries the TOP and is published during the Pre-open State and Reserve State. The Market Data Incremental Refresh message, Opening Data Block is sent when:
- A new order is entered that changes the TOP
- A book update changes the TOP
The Market Data Incremental Refresh message, Book Update Data Block is published to inform users of the limit prices available in the order book. It 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-NumberOf Orders included in the TOP shows only the Displayed (booked) quantity on the Market Data Incremental Refresh message, Book Update Data Block even though the TOP 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 tag 35-MsgType=X Message (only 1 Stop order is shown regardless of how many Stops were elected by the TOP)
TOPs are only calculated for outright futures, futures spreads, options strategies, and options series.