MDEntryType (FIX 4.3)

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Imported from previous forum

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Hi All,

Which MDEntryType value should correspond to an “Auction” phase? I studied the available values in 4.3 and 5.0 SP2 and two possible values are “A” (Imbalance) and “Q” (Auction Clearing Price). Has anyone else had to deal with a similar situation? If yes, which values did you choose and why?

Kind Regards,

Prateek Jain

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Prateek,

Those are the values we use to publish the indicative auction price and imbalance during an auction call. We use an MDEntryType of ‘Q’ when publishing the indicative auction price and ‘A’ when publishing the imbalance at the indicative auction price.

Hi All,

Which MDEntryType value should correspond to an “Auction” phase? I studied the available values in 4.3 and 5.0 SP2 and two possible values are “A” (Imbalance) and “Q” (Auction Clearing Price). Has anyone else had to deal with a similar situation? If yes, which values did you choose and why?

Kind Regards,

Prateek Jain

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Prateek,

I am not sure what exactly you are trying to convey. If it is about indicative prices of an auction then MDEntryType=Q is correct to convey the indicative price (MDEntryPx) together with the executable volume (MDEntrySize). If it is about an imbalance (aka surplus), then MDEntryType=A only works if you have an absolute imbalance without knowing which side it is on. However, Xetra conveys the imbalance per side so that you would rather use MDEntryType=0 or 1 (Bid or Offer) and put the surplus into MDEntrySize and flag the entry with QuoteCondition (276)=Z=Order Imbalance.
If you want to explicitly convey the fact that this entry occurred during an auction then you need to additionally use TradingSessionSubID, e.g. 2=Opening Auction.
Lots of “ifs”, hopefully you find what you need,
Hanno.

Hi All,

Which MDEntryType value should correspond to an “Auction” phase? I studied the available values in 4.3 and 5.0 SP2 and two possible values are “A” (Imbalance) and “Q” (Auction Clearing Price). Has anyone else had to deal with a similar situation? If yes, which values did you choose and why?

Kind Regards,

Prateek Jain