Market Data - Theoretical Price

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1

Imported from previous forum

2

Hi,

Is there any way to report a theoretical opening price (due to a pre-opening auction)?

Thanks,
Danilo

3

Is there any way to report a theoretical opening price (due to a pre-
opening auction)?

I mean for FIX 4.4, not 5.0.

Thanks,
Danilo

4

Hello Danilo,
Using MDEntryType = 4 (Opening Price) in conjunction with tag OpenCloseSettlFlag = 5 (Theoretical Price value) would do the trick.

Regards,
Jochen

Is there any way to report a theoretical opening price (due to a pre-
opening auction)?

I mean for FIX 4.4, not 5.0.

Thanks, Danilo

5

Hello Danilo, Using MDEntryType = 4 (Opening Price) in conjunction with
tag OpenCloseSettlFlag = 5 (Theoretical Price value) would do the trick.

Just figured that out.
Thanks (Obrigado)

Danilo

6

[ original email was from Rikard Hedberg - rikard.hedberg@omxgroup.com ]
Danilo,

I would propose you use the 5.0 construct added as part of the MiFID extension. It’s all about an enum for the MDEntryType - the “Auction Clearing Price” is the term used for the price of an auction (whether theoretical or final):

  • MDEntryType = “Q” - Auction Clearing Price
  • MDQuoteType = “0” - Indicative
  • MDEntryPx = the theoretical price

Another entry could relay the imbalance (if you want to spread such information too):

  • MDEntryType = “A” - Imbalance
  • MDQuoteType = “0” - Indicative
  • MDEntrySize = size of imbalance
  • TradeCondition = “P” - Imbalance More Buyers / “Q” - Imbalance More Sellers

Regards

Rikard

7

Rikard,

Thanks for tip.
Fix 5.0 Market Data is much better than 4.4.
Without the new MDBookType field I don’t know how to differ from a “Top of Book” message from a “Order Depth” (full book) message.
:frowning:

– Danilo

8

I think I found a solution:

MDEntryType = ‘4’ Opening Price
OpenCloseSettlFlag = ‘5’ Theoretical Price value

Is this correct?

– Danilo