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Comment: Published by Scroll Versions from this space and version 1.4.20

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Warning
titleMDBookType

GTX distinguishes liquidity in it's market data feed according to the following scopes:

  • "Interest" only orders matchable immediately
  • "Firm" LP feeds matchable immediately
  • "LastLook" LP feeds that require validity check.

For PriceDepth books, GTX can aggregate scope. The consequence of this is rungs will be a mixture of Interest, Firm and LastLook.

If you choose not to aggregate scope, Duplicate price level entries will be seen in the PriceDepth book. Fortunately, GTX can supply separate sessions for the different liquidity types, thus providing clean PriceDepth books.

Please refer to PassthruFields above and contact MarketFactory Contact for more details.


GTX OrderDepth books do not populate MDEntryTime. The priority of orders within the same price level is only known by GTX.

Orders

Pegged Orders

For PegPriceType: MidPricePeg, MarketPeg and PrimaryPeg are supported.

If the Limit Price is populated, then the Limit Price will be pegged, otherwise the specified StopPx will be pegged.

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  • PegPriceType
  • PegOffSetValue
  • NoStrategyParameters(entire group)
  • LegSide
  • LegCurrency
  • LegSettlDate

CurrencyPairs Supported by GTX

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