Open Price Process (End Of Day)
- Jason Law (Unlicensed)
The end-of-day process assesses the market activity for each active asset, and stores the open price for the next day, which is then displayed to the market in the ‘Open’ Column.
Variable parameters
EOD Window
This is the last part of the day, when trade activity may not be representative of normal market conditions, so special logic will apply.
The EOD Window is initially set as the last 15 minutes before the market closes but is subject to change if required.
Logic
For each active asset, the system will:
Get all trades for the day
Get all orders that are open at the end of the day
Get the latest open price
If there is no previous open price AND no orders AND no trades
Then skip open for this asset. (the system handles missing opens without issue)
If there are no trades AND no orders AND a previous open price:
Then the price is the previous open price
If there are no orders AND there are trades:
Then the price is the last trade price
If there are orders AND there are no trades AND there is no previous open::
Then the price is determined by the orders as follows:
if there is both a bid & offer
then price is the midpoint between them
if there is only a bid
then the price is the bid
if there is only an offer
then the price is the offer
If there are orders AND there are no trades AND there is a previous open::
Then the price is determined by the last open price as follows:
If the last open price is between the global best bid/offer spread
Then the price is that of the open.
If the last open price is outside of the global best bid/offer spread
Then the price is the closer of the bid or offer
If there is no best bid
Then the price is the lesser of best offer & last open price
If there is no best offer
Then the price is the higher of best bid & last open price
If there are BOTH orders and trades, regardless of previous open:
If there are any trades within the EOD Window
Then the price is the volume-weighted average price (VWAP) of all trades within the EOD Window
If no trades within the EOD Window,
Then get the last trade of the day and assess it as follows:
If the trade price is between the global best bid/offer spread
Then the price is that of the trade.
If the trade price is outside of the global best bid/offer spread
Then the price is the closer of the bid or offer
If there is no best bid
Then the price is the lesser of best offer & trade
If there is no best offer
Then the price is the higher of best bid & trade
Related content
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