Periodic Auction Market Data Messages
- All Periodic Auction messages will be published only over the BYX PITCH Depth of Book feed.
- An Auction Update message will be sent when a Periodic Auction starts. It will be sent at a randomized time between the start of an auction period and the end of the auction period minus 1 millisecond to inform participants that an auction is taking place.
- The Auction Update message will not include order imbalance information or information for continuous book orders.
- The Auction Update message will include the following information:
- Reference Price - The collared, auction execution price at the point in time the message is sent using only orders eligible for Periodic Auctions.
- Buy Shares/Sell Shares - Both fields will contain the same value and will represent the paired size that would be executed in the Periodic Auction using only orders eligible for Periodic Auctions.
- Auction Type - The auction will be identified as a Periodic Auction ( P).