Imported from previous forum
[ original email was from Jeremy Sutton - jezza.sutton@patsystems.com ]
I have another interesting one from Japan. The systems there have a concept in an illiquid market of the best bid or offer being a market order (e.g. the only buyt order in the market is a market buy, which they work). They like to show a code on the screen for market data that indicates this (i.e. show something other than a price). There are execution limits to ensure that this good natured soul does not get totally eaten alive.
It’s a bit different from the usual experience. Anyone have any nice ideas about how you would show this “bid” or “offer” in a market data message?
Another value for TradeCondition along with a zero price perhaps?
[ original email was from Jeremy Sutton - jezza.sutton@patsystems.com ]
Noriyoki order volume on buy and sell side, along with Total Order Book buy and sell volume, will be implemented with the following extended values to MDEntryType.
‘W’ Noriyoki (market) order buy
‘X’ Noriyoki (market) order sell
‘Y’ Total buy book
‘Z’ Total sell book