TT CME Gateway System Administration Manual - Trading ...

4 Configuring Market Data
Number of Orders at Price
Overview TT CME Gateways 7.16 and higher display the number of orders that make up the
bid/ask quantity at a given price. 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.
TT Gateway Support To support this functionality for traders, the TT CME Gateway obtains the number
of orders at each level of aggregate depth (direct or implied) provided by the
exchange and sends it to the client trading applications. Changes in quantity are
also obtained from the price feed and sent by the gateway to the clients.
The TT CME Gateway supports up to 20 levels of aggregate depth per side. The
exchange sends up to 10 levels, which varies per product. The number of orders is
only provided by the exchange for Limit orders and not resting Market orders.
Detailed depth is not provided by the exchange, so the number of orders are
displayed only at the aggregated price level in X_TRADER ® .
TT Client Impact The following are the minimum versions of TT Clients required to support the
Number of Orders functionality:
• X_TRADER® 7.11.2
• FIX Adapter 7.7.5
• X_TRADER® API 7.7.4
TT CME Gateway System Administration Manual 79
Trading Technologies International, Inc.
X_TRADER ® 7.11.2 or higher displays the Number of Orders columns per side in
MD Trader, or shows the number of orders 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 TT CME
Gateway indicates this by appending a “+” to the value sent to X_TRADER ® .
Refer to the X_TRADER ® Help system and User Manual for more details.