Indicative Price/Quantity [I]
This order is sent to indicate the current indicative (theoretical) price and quantity during an auction. It is also sent on the Basic feed to provide all changes to the top-of-book
Name | Offset | Length | Value | Description |
|---|---|---|---|---|
Type | 0 | 1 | Alpha | Indicative Price/Quantity Message identifier: I |
Timestamp | 1 | 4 | Unsigned Integer | Nanoseconds since last ITCH Timestamp T message. |
TheoreticalOpeningQuantity | 5 | 8 | Unsigned Integer | The total quantity eligible to be matched at the current Theoretical Opening Price. |
Orderbook | 13 | 4 | Unsigned Integer | Unique orderbook identifier. |
BestBid | 17 | 8 | Signed Integer | The current best buy price. |
BestOffer | 25 | 8 | Signed Integer | The current best sell price. |
TheoreticalOpeningPrice | 33 | 8 | Signed Integer | The theoretical price at which this orderbook is currently eligible to match upon the auction uncross. |
CrossType | 41 | 1 | Alpha | Identifies the type of auction in progress (blank if not applicable): |
BestBidSize | 42 | 8 | Unsigned Integer | The aggregated quantity at the best bid price. |
BestOfferSize | 50 | 8 | Unsigned Integer | The aggregated quantity available at the best offer price. |