Representing trade busts in Market Data messages

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1

Imported from previous forum

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Dear All,

When information about trades are distributed in Market Data messages what approach should be used to send information about trade busts?

For example, when new trade occurs, Market Data - Incremental Refresh (X) message is sent with the following paramaters:

  • MDUpdateAction(279) = ‘0’ (Add)
  • MDEntryType(269) = ‘2’ (Trade)
  • MDEntryPx(270) - represent trade price;
  • MDEntrySize(271) - represent trade qty.

However, how to send update when trade was busted?

I see several possible approaches:

  • Use MDEntryID(278) for trade identifier, and when bust occurs, update with MDUpdateAction(279) = ‘2’ (Remove) and corresponding MDEntryRefID(280) is sent.
  • Maybe a special value of TradeCondition(277) exists to represent busts, so update with such TradeConidition(277) can be sent.

Could you please share your experience in this area?

Thank you in advance.

3

An easy option is to send a regular trade with a negative value for MDEntrySize. Otherwise, I would suggest to go for a TradeCondition value. How about 0(zero)=Cancel?

Dear All,

When information about trades are distributed in Market Data messages
what approach should be used to send information about trade busts?

For example, when new trade occurs, Market Data - Incremental Refresh
(X) message is sent with the following paramaters:

  • MDUpdateAction(279) = ‘0’ (Add)
  • MDEntryType(269) = ‘2’ (Trade)
  • MDEntryPx(270) - represent trade price;
  • MDEntrySize(271) - represent trade qty.

However, how to send update when trade was busted?

I see several possible approaches:

  • Use MDEntryID(278) for trade identifier, and when bust occurs, update
    with MDUpdateAction(279) = ‘2’ (Remove) and corresponding
    MDEntryRefID(280) is sent.
  • Maybe a special value of TradeCondition(277) exists to represent
    busts, so update with such TradeConidition(277) can be sent.

Could you please share your experience in this area?

Thank you in advance.

4

[ original email was from Andrei Goldchleger - agoldchleger@bmf.com.br ]
At BM&FBovespa, we send MDUpdateAction=Delete, along with a UniqueTradeID (6032) tag, which is always sent when MDEntryType=Trade.

5

At CME we do something very similar. MDEntryType is set to “2” (trade) and MDUpdateAction is set to “2” (delete). SecurityID, EntryPx and EntrySize are provided so that ticker can be updated

At BM&FBovespa, we send MDUpdateAction=Delete, along with a
UniqueTradeID (6032) tag, which is always sent when MDEntryType=Trade.