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Christina
Posts:23
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| 08/22/2008 3:31 PM |
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In response to a question regarding zero high and zero low prices on Equity Consolidated EOD Summary Messages:
Zero high and zero low prices appear on the Consolidated End of Day Summary messages when there is an excessive amount of trade cancellations in succession right at the close. CTS keeps a stack of 5 high prices and 5 low prices as reference points, but when there are more than 5 trade cancellations, the CTS processor cannot track the price further back. If it tried to track further back it would halt processing for all consolidated end of day high and low prices.
Other reasons for zero high and low prices are stipulated on the CTS spec found on the NYXData website, those include situations such as trades being ineligible to update high/low/last sale prices. |
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Christina
Posts:23
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