Support for Market On Open (MOO) Orders
TT Gateway Behavior
Resting Market on Open (MOO) orders can be submitted during the exchange’s Pre-Open market state. Only the resting Market order quantities are provided by the HSVF price feed. No prices are assigned to these orders and no matching occurs during the Pre-Open state.
During Pre-Open, the LSE Gateway parses resting Market order quantities from the HSVF price feed and sends these quantities to the client trading applications separately from the Limit quantities. When the market state moves from Pre-Open to Open, the resting Market orders are matched at the market price calculated by the exchange.
If the opposite side of a resting MOO order is not available when the market changes from Pre-open to Open, the market state will be blank in the S column in the X_TRADER® Market Grid. This is expected behavior. The contract with the pending MOO order changes to the “Reserved” state until the opposite side of the order is placed in the market, and this contract state causes the market state to appear blank in X_TRADER.
In X_TRADER®, Market on Open bid/ask quantity is listed separately from Limit orders in the X_TRADER Market Grid and MD Trader® windows. The resting market quantities are displayed for aggregated depth in the MD Trader price ladder. Only GTC orders can be submitted.
When viewing aggregated depth in the X_TRADER Market Grid, the resting market order quantity is displayed in the BidMktQty column for bids and the AskMktQty column for offers. Again, these quantities are only available during Pre-Open.
For aggregated depth in MD Trader, the resting market order quantity is displayed above the BidQty column for bids and below the AskQty column for offers. For inverted price ladders, the values are placed in the reversed spots with the total bid market on the bottom of the Bid column and the total offer market on the top of the Ask column.