Tick Data Fields at a Price Limit

Summary

The note explains how tick quote fields may appear when a futures contract reaches its upper price limit. In the example, the best bid price is set to the limit price and its volume reflects the quantity actually queued to buy. The best ask price and ask volume are both reported as zero, representing the absence of an available offer at that level.

This is a short answer to a data interpretation question, not a general specification for all exchanges or data vendors. It gives no lower-limit example and does not discuss whether other feeds encode unavailable quotes as null, blank, or another value. Traders and researchers should therefore treat the stated field values as an example to check against the relevant market and feed documentation.

Key ideas

• At the upper price limit, the best bid price can equal the limit price.
• The best bid volume represents the queued quantity in the example.
• The example reports zero for both best ask price and best ask volume.
• Quote field conventions may vary by market or data feed.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.