Support for Number of Orders and Market Depth
The EMDI 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.
The Eurex Gateway supports up to 20 levels of aggregate depth per side and provides the number of orders at each level. The levels of aggregate depth vary per product sent by the exchange and are supported by the gateway by default. Eurex does not provide detailed depth on the price feed.
TT Gateway Support
To support the number of orders functionality for traders, the Eurex Gateway obtains the number of bids and offers at each level of aggregate depth and sends it to the client trading applications. During open trading, the Eurex Gateway only provides the number of Limit orders at each price.
Eurex does not provide the number of orders at prices for pro-rata matched products (FEU3 and FE01).
TT Client Impact
X_TRADER® 7.11.1 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 Eurex 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.