Anomalous Order Threshold (AOT)

Anomalous Order Threshold (AOT) prevents the entry of orders outside a prescribed range from entering into the order book. To determine the permissible range, a reference price is published along with a maximum percentage value that orders can be above (for buy orders) or below (for sell orders) the reference price.

These values are published using Orderbook Attribute [X] messages.

• A for the reference price

• P for the upper limit percentage

• p for the lower limit percentage

These need to be decoded using the PriceDecimals for the relevant orderbook from the Orderbook Directory [R] message.

These messages are published on initial reference spin and intraday as prices change. The reference price changes when the last price changes. The percentage values differ depending on the size of the reference price. Therefore, the percentage values may change if the limit price moves from one band to another.

Example

For an orderbook the following Orderbook Attribute [X] messages are received:

AttributeType=A AttributeValue=370
AttributeType=P AttributeValue=38000
AttributeType=p AttributeValue=38000

The Orderbook Directory [R] for the orderbook gives PriceDecimals as 3.

This gives:

• A reference price of $0.370 (370 / 10^3)

• Upper percentage of 38%, lower percentage of 38%

• Upper bid of $0.51, lower offer of $0.25
  ($0.37 * 38% gives $0.14.
  $0.37 + $0.14 = $0.51.
  $0.37 - $0.14 = $0.23)