Imported from previous forum
My question is 2-fold:
When we send out updates during an Auction of the indicative Uncrossing Price is it necessary to include a MDEntryID? There is only a single Uncrossing Price.
Secondly, lets suppose a security is suspended during the day and then re-opens via an Auction mechanism. I would assume Markets do not typically re-issue the ‘Open Price’ but just update with a MDEntryType of ‘Auction Clearing Price’.
MDEntryID plays a role when you want to subsequently reference an entry, for example in an order by order feed. You do not need to not use this field for auction prices. There are multiple ways to convey auction information regarding your second question. The MDEntryType “Auction Clearing Price” can be used to convey an indicative price whereas MDEntryType “Trade” would be the one to convey the final auction price used for the actual trades resulting from it. You can add TradingSessionSubID(625) to clarify which kind of auction it was, e.g. 6=Intraday Auction. An MDEntryType “Open Price” may be used for markets opening without a(n) (auction) trade or an uncrossing actually taking place. Similar to a closing price which may differ from the price of a closing auction due to some exceptional circumstances. FIX does give you the full flexibility and your design depends on the functional breadth of events you need to cover. Make sure your Rules of Engagement clearly define your semantics.
Regards,
Hanno.
My question is 2-fold:
When we send out updates during an Auction of the indicative Uncrossing Price is it necessary to include a MDEntryID? There is only a single Uncrossing Price.
Secondly, lets suppose a security is suspended during the day and then re-opens via an Auction mechanism. I would assume Markets do not typically re-issue the ‘Open Price’ but just update with a MDEntryType of ‘Auction Clearing Price’.