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The MarketFactory Aggregate Feed (Agg-Feed) is a an MFAPI connection to the MFAPI combining marketdata from a range of connections Feeds specified by a customer. The participating Feeds directing markerdata to direct marketdata to the Agg-Feed are as defined within the static configuration for Whisperer. Orders sent to the Feed using the trade session are considered "Parent orders".Whisperer configuration, resulting in a consolidated book.

Agg-Feed Topology Diagram

The parent orders may then be further fragmented into "child orders" that can be distributed between different Feeds (that give access to separate liquidity pools). The Feeds can then be

Order Types Permitted

The Agg-Feed permits three the following order types;

• LIMIT IOC ORDERS
• LIMIT GTC ORDERS
• GTC LIMIT STOP ORDERS
• LIMIT GTC STOP ORDERS
• GTC STOP LIMIT ORDERS

Agg-Feed Topology Diagram

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LIMIT Orders need a valid limit price, while STOP Orders require a valid stop price provided at the time of submission with submitOrder(). The submitted orders go to the Agg-Feed where they are held until either the order expires or the specified LIMIT or STOP price is available for execution.

IOC Orders

Submitted IOC orders will sweep the aggregated book. If all available liquidity is hit there is a resting period (set by default at 50 milliseconds) where additional liquidity that is quoted will be taken.

Order Handling

The Agg-Feed will not allow any two orders to hit the same liquidity. With the order that is executed first depending on how close an order is to the current market. The order that is closest to the current market is the order that is executed first.

• Where multiple orders are placed on the same limit price – the older oldest will be executed first.
• Where no liquidity is available, GTC and STOP orders will remain in the system. 
• Cancel and modify actions are support for GTC and STOP orders.

Agg Feed Limits in the Portal

Orders that are submitted using the Agg-Feed can be tracked using the order tracking feature on the MarketFactory portal

 limit monitoring

To be continued...