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ICE Gateway

Support for Market Depth

Overview

You can configure the ICE Gateway to forward aggregate market depth to client applications. Currently, TT Gateways do not support detailed depth.

Configuring Market Depth

The NumDepthLevels parameter in the Aconfig Utility sets the level of depth.

Since detailed depth is not supported, ICE Gateways ignore the Aconfig Utility’s Market-Depth parameter. This parameter sets whether the ICE Gateway forwards aggregate or detailed depth. The ICE Gateway always sends aggregated depth and behaves as if Market-Depth=1 regardless of the value set in the Aconfig Utility file.