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Date/Time: Fri, 29 Nov 2024 03:42:51 +0000

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Post From: imbalance messages at open / closing auctions in TotalView

[2022-06-22 00:18:01]
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uM8137 - Posts: 183
Prima facia, one would imagine defining a new DTC message for auction messages, similar to MARKET_DATA_UPDATE_SESSION_NUM_TRADES, MARKET_DATA_UPDATE_OPEN_INTEREST, or MARKET_DATA_UPDATE_SESSION_VOLUME.

It could be named MARKET_DATA_UPDATE_AUCTION_IMBALANCE, for example, and contain all the fields from the Nasdaq NOII imbalance messages in TotalView.
Date Time Of Last Edit: 2022-06-22 00:18:23