Publishing a "No Imbalance" via the Market Data Incremental Refresh Message

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Imported from previous forum

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We are looking to use the Market Data Incremental Refresh message in order to publish an indicative opening price, along with imbalance and potential tradeable size information. Right now we are using the Market Data Incremental Refresh (X) message as follows (summarized)

NoMDEntries (268) = 2

Followed by 2 MD Incremental Groups
|
|—|–MDUpdateAction (279)= New (0)
| |–MDEntryType (269) = Auction Clearing Price (Q)
| |–MDQuoteType (1070) = Indicative (0)
| |–MDEntryPx (270) = Indicative opening price (eg: 10.00
| |–MDEntrySize (271) = Tradeable Size (5000)
|
|—|–MDUpdateAction (279)= New (0)
|–MDEntryType (269) = Imbalance (A)
|–TradeCondition (277) = Buy or Sell as appropriate (P or Q)
|–MDEntrySize (271) = Imbalance Size (eg: 1000)

However, in addition to publishing the imbalance/opening price/tradeable size info we are also looking for a method to communicate that a valid opening price, and imbalance/tradeable sizes (which may have been communicated earlier) no longer exist. Two possible methods we have considered are as follows –

(a) Send Market Data Incremental Refresh message with one group with
MDUpdateAction(279) = Delete(2)
MDQuoteType(1070) = Indicative (0)
However, the concept of “deleting” an indicative price seemed to be a bit odd, plus right now we do not associate an MDEntryID (278) with the above message that could be referenced with the MDEntryRefID (280) field

(b) Alternatively, let the value 0 in MDEntrySize (271) in the Indicative Price group represent the absence of an valid indicative opening price. This approach also feels inelegant.

Appreciate any advice or thoughts on this.

Cheers

Tyronne

3

Tyronne,

I’d say there are two options, the first being the delete you mention below - it certainly can be supported (but you need the MDEntryID). The other opption is to provide state changes, normally the Security Status message, and associate actions the user should take relating to them. In the case of an opening followed by a state change to continuous trading e.g., users would drop certain information related to the opening (including imbalance data).

There is no described standard process to this today, but I do not believe marketplaces would generally issue explicit “deletes” in cases as this.

Regards

Rikard

We are looking to use the Market Data Incremental Refresh message in
order to publish an indicative opening price, along with imbalance and
potential tradeable size information. Right now we are using the Market
Data Incremental Refresh (X) message as follows (summarized)

NoMDEntries (268) = 2

Followed by 2 MD Incremental Groups
|
|—|–MDUpdateAction (279)= New (0)
| |–MDEntryType (269) = Auction Clearing Price (Q) --MDQuoteType
| |(1070) = Indicative (0) --MDEntryPx (270) = Indicative opening
| |price (eg: 10.00 --MDEntrySize (271) = Tradeable Size (5000)
|
|—|–MDUpdateAction (279)= New (0) --MDEntryType (269) = Imbalance (A)
|–TradeCondition (277) = Buy or Sell as appropriate (P or Q) –
|MDEntrySize (271) = Imbalance Size (eg: 1000)

However, in addition to publishing the imbalance/opening price/tradeable
size info we are also looking for a method to communicate that a valid
opening price, and imbalance/tradeable sizes (which may have been
communicated earlier) no longer exist. Two possible methods we have
considered are as follows –

(a) Send Market Data Incremental Refresh message with one group with
MDUpdateAction(279) = Delete(2) MDQuoteType(1070) = Indicative
(0) However, the concept of “deleting” an indicative price
seemed to be a bit odd, plus right now we do not associate an
MDEntryID (278) with the above message that could be referenced
with the MDEntryRefID (280) field

(b) Alternatively, let the value 0 in MDEntrySize (271) in the
Indicative Price group represent the absence of an valid
indicative opening price. This approach also feels inelegant.

Appreciate any advice or thoughts on this.

Cheers

Tyronne

4

Thanks Rikard, option 1 makes a lot of sense. In our case option 2 is out because the availability/non-availability of the imbalance can change within the same session.

Tyronne,

I’d say there are two options, the first being the delete you mention
below - it certainly can be supported (but you need the MDEntryID). The
other opption is to provide state changes, normally the Security Status
message, and associate actions the user should take relating to them. In
the case of an opening followed by a state change to continuous trading
e.g., users would drop certain information related to the opening
(including imbalance data).

There is no described standard process to this today, but I do not
believe marketplaces would generally issue explicit “deletes” in
cases as this.

Regards

Rikard

We are looking to use the Market Data Incremental Refresh message in
order to publish an indicative opening price, along with imbalance and
potential tradeable size information. Right now we are using the
Market Data Incremental Refresh (X) message as follows (summarized)

NoMDEntries (268) = 2

Followed by 2 MD Incremental Groups
|
|—|–MDUpdateAction (279)= New (0)
| |–MDEntryType (269) = Auction Clearing Price (Q) --MDQuoteType
| |(1070) = Indicative (0) --MDEntryPx (270) = Indicative opening
| |price (eg: 10.00 --MDEntrySize (271) = Tradeable Size (5000)
|
|—|–MDUpdateAction (279)= New (0) --MDEntryType (269) = Imbalance
|(A) --TradeCondition (277) = Buy or Sell as appropriate (P or Q) –
|MDEntrySize (271) = Imbalance Size (eg: 1000)

However, in addition to publishing the imbalance/opening
price/tradeable size info we are also looking for a method to
communicate that a valid opening price, and imbalance/tradeable sizes
(which may have been communicated earlier) no longer exist. Two
possible methods we have considered are as follows –

(a) Send Market Data Incremental Refresh message with one group
with MDUpdateAction(279) = Delete(2) MDQuoteType(1070) =
Indicative () However, the concept of “deleting” an indicative
price seemed to be a bit odd, plus right now we do not
associate an MDEntryID (278) with the above message that could
be referenced with the MDEntryRefID (280) field

(b) Alternatively, let the value 0 in MDEntrySize (271) in the
Indicative Price group represent the absence of an valid
indicative opening price. This approach also feels inelegant.

Appreciate any advice or thoughts on this.

Cheers

Tyronne