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Support for Market Depth

Overview

The LSE 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. Detailed depth is not provided by the exchange.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.

Market Depth Configured

The levels of market depth is set on the TT Gateway by 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 LSE Gateway installs with NumdepthLevels set equal to -1.