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Comment: Published by Scroll Versions from this space and version 1.5.70

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Please refer to Passthru Fields to view across all venues.

Details

Pricing

Warningnote
titleMDBookType

GTX supplies separate sessions for the different liquidity types.

Liquidity types 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 .If the Limit Price is populated, then the Limit Price will be pegged, otherwise the specified StopPx will be pegged.for PegPriceType. 

Please see table below for custom Peg fields:

Expand


Optional

Determines whichbid/offer and midpoint is pegged
REF2_BBO(default): peg to the GTX Reference Contributor pool bid/offer/mid
VenueMessageParentGroupStrategyParameterNameStrategyParameterTypeVenue CommentMarketFactory Comment
t360_gtxNewOrderMultiLegNoStrategyParametersPegMoveTypeString

Describes whether peg is static/fixed or floats. Valid values:

'Float' (default)

'Fixed'

t360_gtxNewOrderMultiLegNoStrategyParametersPegRoundDirectionString

If the calculated peg price is not valid price for this market, specifies whether to round the price to be more or less aggressive.

'MoreAggressive': on a buy order round the price up to the nearest tick; on a sell order round down to the nearest tick.

'MorePassive': on a buy order round the price down to the nearest tick; on a sell order round the price up to the nearest tick.

Optional

t360_gtxNewOrderMultiLegNoStrategyParametersPegScopeString

The scope of the 'related to' price of the peg:

'Global': default, peg to any tradable price.

'ExcludeLocal': When calculating peg price exclude local interest only orders (LocalScope) which may be small or otherwise not indicative of true market price.

Optional

t360_gtxNewOrderMultiLegNoStrategyParametersRateSourceString

Optional

t360_gtxNewOrderMultiLegNoStrategyParametersPegOffsetNegatedIfSellingBoolean

If Y, causes GTX to automatically negate the PegOffsetValue for SELL(Base Currency)/ Buy(Quote Currency),
orders, so that the client application can provide the same peg parameters for all orders.

Optional

t360_gtxNewOrderMultiLegNoStrategyParameters

PegUpdateInterval

Integer

millis, If present, customizes how frequently the effective limit price will be adjusted. Values will be silently adjusted to a nonzero multiple of the EDF update interval, and capped at 60 seconds.

Optional



Iceberg and Dark Orders

  • It is possible to make Iceberg Orders using HasExtendedFields[1].MaxShow.
  • To make Dark orders, simply make MaxShow = 0.
  • MaxShow is ignored for IOC orders.

Supported TimeInForces

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  • .

ExposureDuration will override ExpireTime.

Order Modification

If DiscretionOffsetValue(389) is omitted, the value from the original order will be removed i.e. this tag needs to be explicitly specified every time an order is replaced.

TransactTime: Unlike Unlike NewOrderMultilegs, GTX will NOT reject MiltilegOrderCancelReplaceRequest messages that appear to have been delayed, i.e. TransactTime is ignored for MiltilegOrderCancelReplaceRequest. 

The following Values may be changed:

  • OrdType
  • TimeInForce
  • EffectiveTime
  • ExpireTime
  • ExposureDuration
    • (will override ExpireTime)StopPx
  • MinQty
  • MaxShow
    • DiscretionOffsetValue
  • LegPrice
  • LegOrderQty: should be the total intended order quantity, including amount already executed for this chain of orders.

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  • AvgPXLimit
  • LastLook
  • MatchIncrement
  • TriggerPriceType
  • AveragingInst
  • IOCTimeToLive


The following must be the same as the reference order

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