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Number of Orders at Price

Overview

MEFF Gateways display the number of orders that make up the bid/ask quantity at a given price. 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.

TT Gateway Support

To support this functionality for traders, the MEFF Gateway obtains the number of orders at each level of aggregate depth (direct or implied) provided by the exchange and sends it to the client trading applications. Changes in quantity are also obtained from the price feed and sent by the gateway to the clients.

The MEFF Gateway supports up to 20 levels of aggregate depth per side. The exchange sends up to 10 levels, which varies per product. The number of orders is only provided by the exchange for Limit orders and not resting Market orders. Detailed depth is not provided by the exchange, so the number of orders are displayed only at the aggregated price level in X_TRADER®.

TT Client Impact

The following are the minimum versions of TT Clients required to support the Number of Orders functionality:

  • X_TRADER® 7.11.2
  • FIX Adapter 7.7.5
  • X_TRADER® API 7.7.4

X_TRADER® 7.11.2 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.