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LSE Gateway Documentation

Number of Orders at Price


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 LSE 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 LSE 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®.

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 LSE Gateway sends the number of orders at each level of aggregate depth to X_TRADER® 7.17 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.

To display the aggregate depth view in the X_TRADER® Market Window

  1. In the Show/Hide Columns window, expose the Depth, BidCnt,WrkBuys, and Bid Qtycolumns.
  2. Left-click the Depth icon to show the number of orders (BidCnt) at each level of aggregated depth.

    For the aggregated depth view, the number of orders is displayed in the BidCnt and AskCnt columns.

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 LSE Gateway indicates this by appending a “+” to the value sent to X_TRADER®.

To display number of orders in MD Trader (Market by Price only)

  1. Right-click in MD Trader to show the MD Properties menu.
  2. Select the MD Display tab and click the Number of orders columns check box.
  3. Click OK. The Number Of Bid Orders and Number of Sell Orders columns are now displayed in the MD Trader price ladder.