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Support for Market Depth

Overview

NASDAQ_OMX_EU Gateways forward 20 levels of the available aggregate market depth to client applications. Currently, the exchange does not provide Detailed Depth.

Configuring Market Depth

NASDAQ_OMX_EU Gateways use the NumDepthLevels parameter in the Aconfig Utility to determine the amount of depth forwarded to client applications. You can access this parameter in the AConfigCoreServerExchange-Specific<EXCHANGE_FLAVOR>Market-Depth location.

By default, NASDAQ_OMX_EU Gateways install with NumDepthLevels parameter equal to 20.

Note

The NumDepthLevels parameter only sets the amount of depth the gateway forwards to client applications. You may need to make configuration changes to the client application to set the amount of depth the client application displays.

In general, you should not set NumDepthLevels on the gateway to a value greater than the amount of depth restricted by the client application.