Reference price

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Imported from previous forum

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[ original email was from Jeremy Sutton - jezza.sutton@patsystems.com ]
We need to distribute something called a “reference” price for an Asian exchange. This price is a reflection of approximately where the might is and can be created automatically (where it is generally the price at which the most volume is) or set manually by the exchange officials.

Before I go and create a custom tag, has anyone got any better ideas? I can’t see anything that fits my needs even in 4.4

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[ original email was from Jeremy Sutton - jezza.sutton@patsystems.com ]
An amount of offline discussion has occurred on this subject. My intention at the moment would be to use SecurityStatus and report reference price as 326=5 (listing price in tag 31 LastPx).

I also need to show several price bands (execution limits, warnings and limit up/down) and this I would do with 326=6 maybe, and report the high and low in tags 332 and 333. I would need some new values as I actually have three price bands to indicate and 326=6 only says “its a trading indication”. Does anyone have any custom values already in mind?

We need to distribute something called a “reference” price for an Asian
exchange. This price is a reflection of approximately where the might is
and can be created automatically (where it is generally the price at
which the most volume is) or set manually by the exchange officials.

Before I go and create a custom tag, has anyone got any better ideas? I
can’t see anything that fits my needs even in 4.4

4

[ original email was from Jeremy Sutton - jezza.sutton@patsystems.com ]
I think I have to change my mind for reference price itself as I now find that it changes continuously during continuous market, usually following last traded price. I had previously understood that the reference price changed rarely.

This increased rate suggests for efficiency reasons I should include it with the rest of my market data message. EntryType of “last” and 286=3 “expected”.

An amount of offline discussion has occurred on this subject. My
intention at the moment would be to use SecurityStatus and report
reference price as 326=5 (listing price in tag 31 LastPx).

My bands would still be delivered by the security status although I might just issue the limit up/down information.