how to get the max/min order price according to the level1 & level2 market data for HongKong market?

pengleifang

According to the HongKong market trade rules as follows:

The OTP-C only accepts limit, enhanced limit and special limit orders (with an option for an "All-or-Nothing Qualifier" that confines the order to be either executed immediately in full or rejected without being written into the central order book) during Continuous Trading Session as long as the order price input into the OTP-C (i) does not deviate 9 times or more from the nominal price, if available, and (ii) follows the quotation rules unless the restriction is waived. At the end of the continuous trading session, all outstanding orders of securities applicable for trading in the closing auction session will be automatically carried forward to the closing auction session provided that the price of buy limit orders is not higher than the allowable upper price limit or the price of sell limit orders is not lower than the allowable lower price limit prescribed for closing auction session. All outstanding orders carried forward from the continuous trading session to the closing auction session will be treated as at-auction limit orders.

so how i get the max/min order price according to the level1 & level2 market data for HongKong market? Thanks.

Tim Smith

Hi

The full equity level 1 list for HKSE is available on the developerportal here:
https://refinitiv.fixspec.com/specserver/specs/elektron/apac/hong-kong-hkse/5-5-1/1021-the-stock-exchange-of-hong-kong-limited-sehk-equities-and-etfs-ertequities

I believe what you are looking for here is the CAS (Closing Auction Session) markers, which are available in UPLIMIT_2 (3816) and LOLIMIT_2 (3815). Have a look at these and see if they are showing you the values you were expecting.

Bruce Hu

As Tim mentioned, we provide Volatility Control Mechanism (VCM) and Closing Auction Session (CAS) limits using the fields UPLIMIT(#75)/LOLIMIT(#76) and LOLIMIT_2(#3815)/UPLIMIT_2(#3816), and it seems HKEx does not provide the bid/ask order price or volume limits via their Orion market data platform. (For more info, please refer to DN086323.)

The order price/volume limits could be an interesting piece of information to include especially for the start of the day file. I would suggest raising a data enhancement request with the Refinitiv Content Helpdesk/Account team.