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Number of Orders at Price

Overview

The UMDF price feed provides the number of orders (bids and offers) at each price in the market. Traders and brokers find this useful in determining if there is a market at certain price levels for a particular product, or in identifying when large-sized orders have been entered in the market.

To support this functionality for traders, the BVMF Gateway obtains the number of orders at each price level and sends it to the client trading applications. Changes in quantity are also obtained from the UMDF price feed and sent by the gateway to the clients.

The BVMF Gateway supports up to 50 levels of detailed depth and 20 levels of aggregate depth per side, but only provides the number of orders at each level of aggregate depth. The number of orders is only provided by the exchange for Limit orders and not resting Market orders.

Market by Order View (Detailed Depth)

The BVMF Gateway provides up to 50 levels of detailed depth to X_TRADER®. If a trader right-clicks the depth column in the X_TRADER® 7.11.1 Market Grid, the trader can view the bid and ask quantities at up to 50 price levels.

By closing the Depth column, the trader can view the total quantity in the BidQty and AskQty fields. However, the price feed does not provide the number of orders for detailed depth, so the BidCnt and AskCnt fields are blank when viewing detailed depth in the Market Grid.

The following figure shows the number of orders and Market by Price (detailed depth) view in the Market Window.

To display the Market by Order view in the X_TRADER® Market Window

  1. In the Show/Hide Columns window, click Depth, BidCnt,AskCnt, Bid Mbr and Ask Mbr.
  2. Right-click the Depth icon in the Market Window to show the Market by Order view.
    Note

    For the Market by Order view, the number of orders columns (i.e., BidCnt and AskCnt) are blank, but the Bid/Ask quantities and counterparty information (Bid Mbr and Ask Mbr) at each price level are displayed.

Market by Price View (Aggregate Depth)

The Price Server parses the Market By Order feed per multicast group channel and obtains detailed depth and the number of orders. Aggregate depth is calculated by the BVMF Gateway using detailed depth from the price feed for up to 20 price levels from the inside market.

The BVMF Gateway sends the number of orders at each level of aggregate depth to X_TRADER® 7.11.1, which displays the value in the Number of Orders columns per side in MD Trader, or in the BidCnt and AskCnt columns in the Market Window. During open trading, the BVMF Gateway only provides the number of Limit orders at each price.

To display the Market by Price view in the X_TRADER® Market Window

  1. In the Show/Hide Columns window, expose the Depth, BidCnt,AskCnt, Bid Mbr and Ask Mbr columns.
  2. Left-click the Depth icon to show the number of orders at each level of aggregate depth.
    Note

    For the Market by Price view, the number of orders is displayed in the BidCnt and AskCnt columns, but the counterparty columns (i.e., Bid Mbr and Ask Mbr) are blank.

In MD Trader, users can view the number of orders that comprise the total bid or ask quantity for up to 20 price levels from the inside market. If the number of orders at a price level is truncated due to exchange size limitations, the BVMF Gateway indicates this by appending a “+” to the value sent to X_TRADER®.

To display number of orders in MD Trader (Market by Price only)

  1. Right-click in MD Trader to show the MD Properties menu.
  2. Select the MD Display tab and click the Number of orders columns check box..
  3. Click OK. The Number Of Bid Orders and Number of Sell Orders columns are now displayed in MD Trader.

Implied and Merged Depth

Implied prices are not applicable to products being traded at BVMF via the PUMA platform, so implied depth is not supported by the BVMF Gateway or displayed in X_TRADER®.

TT Client Impact

The following are the minimum versions of TT Clients required to support the Number of Orders functionality:

  • X_TRADER® 7.11.2
  • FIX Adapter 7.7.5
  • X_TRADER® API 7.7.4

X_TRADER® 7.11.2 or higher displays the Number of Orders columns per side in MD Trader, or shows the number of orders in the BidCnt and AskCnt columns in the Market Window.

In MD Trader, users can view the number of orders that comprise the total bid or ask quantity for up to 20 price levels from the inside market. If the number of orders at a price level is truncated due to exchange size limitations, the BVMF Gateway indicates this by appending a “+” to the value sent to X_TRADER®.

Refer to the X_TRADER® Help system and User Manual for more details.