NYSE Liffe Gateway Documentation
- NYSE Liffe Gateway And The Exchange
- Installing And Upgrading
- Configuring Global Settings
Configuring Market Data
- Understanding the Price Feed
- Configuring the Price Server Connection
- PFX Support
- Price Server Files
- Tick Tables, Point Values, and Product Tables
- Support for Market Depth
- Calculating Volume at Price
- Configuring Product Subscriptions ( Exchange Data Publisher (XDP) Only)
- Support for Open, Close and Settlement Prices
- Understanding the Price Feed Optiq
- Configuring the Price Server Connection Optiq
- Price Server Files Optiq
Configuring The Order Server
- Understanding Order Management
- Clearing Environment Impact
- Order and Fill Server Files
- Configuring Order and Fill Server Connections
- Configuring Order Sessions
- Supported Order Types
- Example Case Studies: Order Session Configuration
- Example: Configuring Order Sessions
- Configuring Account Code Mapping
- Configuring Give Up Orders
- Support for Stop Orders
- Configuration Parameters
- NYSE Liffe Gateway Codes
- Wholesale Trades
- Disaster Recovery
Support for Market Depth
TT Gateways forward 20 levels of the available aggregate market depth to client applications. Currently, the exchange does not provide Detailed Depth.
Configuring Market Depth
TT 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, TT Gateways install with NumDepthLevels parameter equal to 20.
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.