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Number of Orders at Price

Overview

The HSVF 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.

To support this functionality for traders, the MX Gateway obtains the number of orders at each price level on the HSVF price feed and sends it to the client trading applications. Changes in quantity are also obtained from the HSVF price feed and sent by the gateway to the clients. The number of orders is provided by the exchange for Limit orders, and also applies to Market on Open (MOO) order quantities.

TT Gateway Support

The MX Gateway supports up to five levels of aggregate depth per side and only provides the number of orders (direct or implied) at each level of aggregate depth. Detailed depth is not provided by the exchange, so the number of orders are displayed only at the aggregated price level in X_TRADER®.

Implied prices are provided by the exchange for the BAX product and are supported by the MX Gateway and displayed in X_TRADER®. When implied depth is calculated for a BAX future or spread, the value “1+” is assigned by the gateway and displayed in the X_TRADER® Market Window or MD Trader.

Number of Orders in X_TRADER®

The Price Server parses the HSVF feed per product group channel and obtains aggregate depth and the number of orders. The MX Gateway sends the number of orders at each level of aggregate depth to X_TRADER® 7.11.1 or higher, which displays the value in the Number of Orders columns per side in MD Trader or 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 MX Gateway indicates this by appending a “+” to the value sent to X_TRADER®.