Try TT Now

BVMF Auctions and Pre-Open in the Market Grid

When a BVMF contract is in an auction state (e.g., Pre-open, Intra-day) the TT Gateway sends auction related information to X_TRADER which is displayed in the Market Grid.

Tip: Create a workspace so that you can quickly view the information you need when a contract goes into an auction state.

 

FieldDescription

1.

Depth

Click to switch between an aggregate and detailed view in the Market Grid.

  • Left-click to view aggregate depth. This view displays the number of buy and sell orders at each price level.
  • Right-click to view detailed depth. This view displays the detailed depth (Market By Order) and counterparty at each price level for the selected contract.

Refer to Viewing Market Depth.

2.

BidCnt

Displays the quantity of buy orders at each price level.

3.

AskCnt

Displays the quantity of sell orders at each price level.

4.

Bid Mbr

Displays the counterparty information of the bid member.

Note: The counterparty member only displays when viewing detailed depth.

5.

Ask Mbr

Displays the counterparty information of the ask member.

Note: The counterparty member only displays when viewing detailed depth.

6.

BidMktQty

Displays the total quantity of resting market buy orders.

7.

AskMktQty

Displays the total quantity of resting market sell orders.

8.

IndPrc

Displays the Theoretical Open Price (TOP) of the contract.

Note: Net Change and P/L calculations are also updated based upon the indicative price when an indicative opening price is present.

9.

IndQty

Displays the Theoretical Open Qty (TOQ) of the contract.

10.

ImbQty

Displays the auction imbalance quantity. A positive value displays green and indicates more buyers than sellers. A negative value displays red and indicates more sellers than buyers.

Tip: Use the ImbQty field to determine if there are more buyers than sellers or vice versa at each price for a given contract.

11.

Status (S)

Displays the status of a contract.

  • When an intra-day auction occurs the column displays AUCT and the cell color changes to yellow.
  • When a contract is in the pre-open phase the column displays PRE-OPEN.

BVMF Auctions and Pre-Open in MD Trader

When a BVMF contract is in an auction state (e.g., Pre-open, Intra-day) the TT Gateway sends auction related information to X_TRADER which is displays in MD Trader.

 

FieldDescription

1.

Resting Buy Orders

The total quantity of resting buy market orders displays at the top of the Buy column.

Note: For inverted price ladders, the total quantity of resting buy orders displays at the bottom of the column.

2.

Number Of Bid Orders Column

Displays the number of orders associated with the reported market depth. The exact number will display up to 100, after that the number rounds up with an estimate (e.g., 100+, 200+, 300+).

The value may also display as inexact by placing a plus (+) sign after the number when:

  • Implied orders are included in depth.
  • Inexact values are included when merging implied and direct values.
  • As a result of a merge, the number of orders exceeds the maximum value allowed by TT.

Note: You can add the Number of orders columns from the Display tab within Properties.

3.

Price Column

In auction trading, when X_TRADER receives an indicative price, X_TRADER highlights the price column using the Last Traded Price color scheme (as configured for this X_TRADER instance):

  • X_TRADER highlights the initial indicative price using the Last Trade Price Unchanged color.
  • If the indicative price is higher than that previous indicative price, X_TRADER highlights the price using the Last Traded Price Up color.
  • If the indicative price is lower than the previous indicative price, X_TRADER highlights the price using the Last Traded Price Down color.

Note: For information about changing the Last Traded Price colors, refer to the MD Color tab.

4.

Number Of Sell Orders Column

Displays the number of sell orders associated with the reported market depth. The exact number will display up to 100, after that the number rounds up with an estimate (e.g., 100+, 200+, 300+).

The value may also display as inexact by placing a plus (+) sign after the number when:

  • Implied orders are included in depth.
  • Inexact values are included when merging implied and direct values.
  • As a result of a merge, the number of orders exceeds the maximum value allowed by TT.

Note: You can add the Number of orders columns from the Display tab within Properties.

5.

Resting Sell Orders

The total quantity of resting sell market orders displays at the bottom of the Sell column.

Note: For inverted price ladders, the total quantity of resting buy orders displays at the bottom of the column.

6.

Time and Sales

Displays the time, price, quantity, and counterparty member of each trade.

Refer to Adding Time and Sales