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Support for Market Depth

Overview

The CFE Gateway receives aggregate market depth directly from the exchange and forwards it to the client applications. Currently, the exchange provides a maximum of five levels of aggregated depth.The maximum number of depth levels can be restricted by a client application. However, X_TRADER currently supports a up to 20 levels of market depth and can display the maximum levels of depth from the exchange.

Configuring Market Depth

If you want to configure the levels of market depth that the TT Gateway broadcasts, you can do so using the NumdepthLevels parameter in the aconfig.xml file. The path to this parameter is: Aconfig/Core/Server/Exchange-Specific/Exchange-Flavor/Market-Depth By default, the CFE Gateway installs with NumdepthLevels set equal to 20.