How is the 7:30PM ET reference price determined?
The 7:30PM ET reference price comes from the last qualifying SIP trade, excluding certain Sale Condition codes, and is carried forward when no new trade is available.
The 7:30PM ET reference price is used for Blue Ocean ATS’ risk controls and is calculated as follows:
-
Data Source: The last trade in each symbol at or before 7:30PM ET from SIP feeds (CTS, UTDF).
-
Excluded Sale Conditions: Certain trades are excluded from the calculation based on Sale Condition codes.
Excluded Sale Conditions
| Code | Description | Feed |
| 4 | Derivatively Priced | CTS, UTDF |
| 9 | Corrected Consolidated Close | CTS, UTDF |
| A | Acquisition | CTS, UTDF |
| B | Average Price Trade | CTS |
| C | Cash Trade | CTS, UTDF |
| G | Bunched Sold Trade | UTDF |
| H | Price Variation Trade | CTS, UTDF |
| K | Rule 155 | CTS, UTDF |
| L | Sold Last | CTS, UTDF |
| N | Next Day | CTS, UTDF |
| P | Prior Reference Price | CTS, UTDF |
| R | Seller | CTS, UTDF |
| U | Extended Sold Out of Sequence | CTS, UTDF |
| V | Stock Option Trade | CTS, UTDF |
| W | Average Price Trade | UTDF |
| Z | Sold Out of Sequence | CTS, UTDF |
Carry Forward Rule: If no qualifying trade exists at 7:30PM, the reference price is carried forward from the previous session. This can extend across multiple days if necessary.
Low-Volume Instruments: Some symbols may have no executed volume on a given day, or even across multiple days. In these cases, the 7:30PM reference price is carried forward repeatedly until a valid trade occurs.
Special Cases:
- Sunday Sessions: The 7:30PM ET reference price is based on the prior Friday’s market.
- Holidays: The reference price comes from the last trading day before the holiday.
Example: On Thanksgiving 2025 (Nov 27), the BOATS session opens at 8:00PM ET. The reference price is taken from Nov 26, since no daytime session occurred on Nov 27.