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

**URL:** <https://forum.fixtrading.org/t/publishing-a-no-imbalance-via-the-market-data-incremental-refresh-message/558>\
**Category:** General Q&A\
**Tags:** xid\_161213, imported, ecns-exchanges\
**Created:** [May 12, 2008, 4:35pm UTC](https://forum.fixtrading.org/t/publishing-a-no-imbalance-via-the-market-data-incremental-refresh-message/558 "2008-05-12T16:35:46Z")\
**Posts on this page:** 4\
**Page:** 1

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**Author:** ![tyronnesilva\_x](https://avatars.discourse-cdn.com/v4/letter/t/e495f1/32.png) [@tyronnesilva\_x](https://forum.fixtrading.org/u/tyronnesilva_x)\
**Post date:** [May 12, 2008, 4:35pm UTC](https://forum.fixtrading.org/t/publishing-a-no-imbalance-via-the-market-data-incremental-refresh-message/558/1 "2008-05-12T16:35:46Z")

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Imported from previous forum

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<div class="post-metadata">

**Author:** ![tyronnesilva\_x](https://avatars.discourse-cdn.com/v4/letter/t/e495f1/32.png) [@tyronnesilva\_x](https://forum.fixtrading.org/u/tyronnesilva_x)\
**Post date:** [May 12, 2008, 4:35pm UTC](https://forum.fixtrading.org/t/publishing-a-no-imbalance-via-the-market-data-incremental-refresh-message/558/2 "2008-05-12T16:35:46Z")

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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

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**Author:** ![rikardhedberg\_x](https://avatars.discourse-cdn.com/v4/letter/r/87869e/32.png) [@rikardhedberg\_x](https://forum.fixtrading.org/u/rikardhedberg_x)\
**Post date:** [May 19, 2008, 8:29am UTC](https://forum.fixtrading.org/t/publishing-a-no-imbalance-via-the-market-data-incremental-refresh-message/558/3 "2008-05-19T08:29:25Z")

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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

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<div class="post-metadata">

**Author:** ![tyronnesilva\_x](https://avatars.discourse-cdn.com/v4/letter/t/e495f1/32.png) [@tyronnesilva\_x](https://forum.fixtrading.org/u/tyronnesilva_x)\
**Post date:** [May 21, 2008, 4:18am UTC](https://forum.fixtrading.org/t/publishing-a-no-imbalance-via-the-market-data-incremental-refresh-message/558/4 "2008-05-21T04:18:27Z")

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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