EMA MarketPrice indication of Bid/Offer unavailability

Axe

In a response to a streaming MarketPrice request (i.e Intractions set to InterestAfterRefresh
true) what is the expected behavour in the following scenario,

An instrument has only 1 bid (100.5) and offer (100.7). These prices are sent via EMA to consumer. Then the offer 100.7 is removed, and no further offers
exist. How is this change to the offer communicated? as a Null value?

Assume this behavior is uniform during Market Open if no Bid/Offer is available for the said instrument.

Lars-at-Addicticks

It all depends.

Using a blank/null value in this situation in the correct behaviour. However it all depends on the publisher. Especially for contributed quotes (OTC quotes that come directly from banks and are contributed to the IDN network - or whatever it is called these days) it is not uncommon to see an ignorant bank (sorry for harsh word) to publish 0 (zero) into a field when what they really mean is "unavailable" .. and thus should have published blank/null. The situation is made worse by how blank value were represented in the Marketfeed protocol. This was the protocol used before RWF/OMM came about and is still widely used. In this protocol - which was all string based - there was a subtle difference between publishing "-0" or just "0" into a field, the latter effectively meaning "blank". When Marketfeed is translated into RWF/OMM the TREP will from this convention try to figure out if the publisher really meant 0 (zero) or if he meant blank. That's tricky. Bottom line here is that quotes that originate from a Marketfeed world are at risk at getting this wrong.

Any publisher should realize that one should never use 0 to indicate the unavailability of a price of a financial instrument. Why? Because 0 is a perfectly valid price for some instruments. (hint: think FX Swaps).

In conclusion: You SHOULD be seeing blank value in your scenario. If not contact the publisher and let him know.

Regards

Lars

Addicticks