Imported from previous forum
I need to send information about Index value in Market Data - Incremental Refresh (MsgType = ‘X’) message.
As far as I can understand current Index value can be represented in the following way:
MDEntryType(269) = ‘3’ (Index Value)
MDEntryPx(270) = Index value itself.
However, I cannot find any way to represent Open/Close Index value.
Could someone help with this question? Any FIX version is fine.
Thank you in advance.
Suggest to use tag 276=QuoteCondition which has values A=Open and B=Closed. The field is part of the MD entry groups MDIncGrp and MDFullGrp. This should cover your requirement.
Regards,
Hanno.
I need to send information about Index value in Market Data -
Incremental Refresh (MsgType = ‘X’) message.As far as I can understand current Index value can be represented in the
following way: MDEntryType(269) = ‘3’ (Index Value) MDEntryPx(270) =
Index value itself.However, I cannot find any way to represent Open/Close Index value.
Could someone help with this question? Any FIX version is fine.
Thank you in advance.
Suggest to use tag 276=QuoteCondition which has values A=Open and
B=Closed. The field is part of the MD entry groups MDIncGrp and
MDFullGrp. This should cover your requirement.Regards, Hanno.
Thank you for your answer.
I thought that these values of tag QuoteCondition(276) are used to indicate that quote is active/inactive, not to indicate that open/close price.
Won’t it be confusing to use QuoteCondition(276) = ‘A’/‘B’ for open/close prices? Or maybe my understanding of ‘A’/‘B’ values was incorrect?
Thank you.
[ original email was from Marcondes Farias - mfarias@bmf.com.br ]
Hi Oksana
Here at BM&F we make use of OpenCloseSettlFlag inside a MDEntry group, but the enumeration value you would use is either 0 (Daily Open/Close) or 1 (session open/close).
Regards
Marcondes
Suggest to use tag 276=QuoteCondition which has values A=Open and
B=Closed. The field is part of the MD entry groups MDIncGrp and
MDFullGrp. This should cover your requirement.Regards, Hanno.
Thank you for your answer.
I thought that these values of tag QuoteCondition(276) are used to
indicate that quote is active/inactive, not to indicate that open/close
price. Won’t it be confusing to use QuoteCondition(276) = ‘A’/‘B’ for
open/close prices? Or maybe my understanding of ‘A’/‘B’ values was
incorrect?Thank you.
Good point, Marcondes. This equally does not “block” values of MDEntryType, especially 4-6 (and 3=index value in Oksana’s case). OpenCloseSettlFlag seems better suited. I am also guessing that the index value is distributed for informational purposes only, i.e. not linked to a tradable product for which you would use MDEntryType 1 and 2 (bid/offer).
Hi Oksana
Here at BM&F we make use of OpenCloseSettlFlag inside a MDEntry group,
but the enumeration value you would use is either 0 (Daily Open/Close)
or 1 (session open/close).Regards
Marcondes
Suggest to use tag 276=QuoteCondition which has values A=Open and
B=Closed. The field is part of the MD entry groups MDIncGrp and
MDFullGrp. This should cover your requirement.Regards, Hanno.
Thank you for your answer.
I thought that these values of tag QuoteCondition(276) are used to
indicate that quote is active/inactive, not to indicate that
open/close price. Won’t it be confusing to use QuoteCondition(276) =
‘A’/‘B’ for open/close prices? Or maybe my understanding of ‘A’/‘B’
values was incorrect?Thank you.
Hi Oksana
Here at BM&F we make use of OpenCloseSettlFlag inside a MDEntry group,
but the enumeration value you would use is either 0 (Daily Open/Close)
or 1 (session open/close).Regards
Marcondes
Could you please explain this in more details?
As far as I can see OpenCloseSettlFlag = ‘0’ means ‘Daily Open/Close’ and OpenCloseSettlFlag = ‘1’ means ‘Session Open/Close’.
Using these values in combination with MDEntryType = ‘3’ (Index value), I can specify that I have Open/Close Index value, but cannot specify if this is Open or Close value.
Could you please comment/correct me if I understood you incorrectly?
Thank you in advance.
Oksana,
I actually have to correct myself. The field OpenCloseSettlFlag does not distinguish open and close and is only intended for MDEntryType values 4,5, and 6 (Open, Close, Settelement Price), not for Index Value (3). MDEntryType thus defines whether it is open or close (or settlement).
I assume that your index also has a unique security identification. It might be better to use MDEntryType 4 and 5 to indicate an opening or closing value of that index unambiguously. Intraday you can use MDEntryType 3 to send index value updates.
Regards,
Hanno.
Hi Oksana
Here at BM&F we make use of OpenCloseSettlFlag inside a MDEntry group,
but the enumeration value you would use is either 0 (Daily Open/Close)
or 1 (session open/close).Regards
Marcondes
Could you please explain this in more details? As far as I can see
OpenCloseSettlFlag = ‘0’ means ‘Daily Open/Close’ and OpenCloseSettlFlag
= ‘1’ means ‘Session Open/Close’. Using these values in combination with
MDEntryType = ‘3’ (Index value), I can specify that I have Open/Close
Index value, but cannot specify if this is Open or Close value.Could you please comment/correct me if I understood you incorrectly?
Thank you in advance.
Hanno and Oksana,
I must say I agree this could be an alternative. The problem is that we do not use the MDEntryType = “index value” any more. That could potentially cause some problems depending on how your users parse/filter data.
Regards
Rikard
Oksana,
I actually have to correct myself. The field OpenCloseSettlFlag does not
distinguish open and close and is only intended for MDEntryType values
4,5, and 6 (Open, Close, Settelement Price), not for Index Value (3).
MDEntryType thus defines whether it is open or close (or settlement).I assume that your index also has a unique security identification. It
might be better to use MDEntryType 4 and 5 to indicate an opening or
closing value of that index unambiguously. Intraday you can use
MDEntryType 3 to send index value updates.Regards, Hanno.
Hi Oksana
Here at BM&F we make use of OpenCloseSettlFlag inside a MDEntry
group, but the enumeration value you would use is either 0 (Daily
Open/Close) or 1 (session open/close).Regards
Marcondes
Could you please explain this in more details? As far as I can see
OpenCloseSettlFlag = ‘0’ means ‘Daily Open/Close’ and
OpenCloseSettlFlag
= ‘1’ means ‘Session Open/Close’. Using these values in
= combination with
MDEntryType = ‘3’ (Index value), I can specify that I have Open/Close
Index value, but cannot specify if this is Open or Close value.Could you please comment/correct me if I understood you incorrectly?
Thank you in advance.
Oksana,
This is probably an area where there is not much practice. I would recommend using the TradeCondition (277) = “R” - Opening Price / “AJ” - Official Closing Price. Somewhat confusingly there is also an “AN” - Official Closing Price. Otherwise I agree on using MDEntryTpe = “3” and MDEntryPx, that is also what we at the OMX Nordic Exchanges will do.
The main question is, does a TradeCondition apply to index as such? As indexes normally are based on trades in the constituents of the index, I do not think it unreasonable to use the TradeCondition. I do not really see a better alternative.
Regards
Rikard
I need to send information about Index value in Market Data -
Incremental Refresh (MsgType = ‘X’) message.As far as I can understand current Index value can be represented in the
following way: MDEntryType(269) = ‘3’ (Index Value) MDEntryPx(270) =
Index value itself.However, I cannot find any way to represent Open/Close Index value.
Could someone help with this question? Any FIX version is fine.
Thank you in advance.
Thank you for all the answers.
I need to send information about Index value in Market Data -
Incremental Refresh (MsgType = ‘X’) message.As far as I can understand current Index value can be represented in the
following way: MDEntryType(269) = ‘3’ (Index Value) MDEntryPx(270) =
Index value itself.However, I cannot find any way to represent Open/Close Index value.
Could someone help with this question? Any FIX version is fine.
Thank you in advance.