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Comment: Published by Scroll Versions from this space and version 1.5.68

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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.

Info
titleMDEntryID Lifetime

For PriceDepth subscriptions, this venue associates the MDEntryID with a given price level - not the price itself.

As such, an individual ID will have a much longer lifetime than the subscriber may otherwise expect.

For example, an ID associated with the Top of Book Bid will only be deleted in the unlikely scenario that Bid liquidity should be completely removed for that instrument.


Orders

Pegged Orders

For PegPriceType: MidPricePeg, MarketPeg and PrimaryPeg are supported.

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