Market Orders

By default, market orders are published in the level book. Market orders are inserted at the best bid or offer position in the level book (Bid level 1 or Ask level 1) with a zero price. All existing levels are shifted down by one.

Example:
Level book bid without market orders, 5 levels published, with their respective quantities:

CODE

BID_1: 203.00000000 / 914
BID_2: 199.10000000 / 16914
BID_3: 193.40000000 / 2555
BID_4: 193.30000000 / 4074
BID_5: 193.00000000 / 55000

Same book including market orders:

CODE

BID_1: 0.00000000 / 29327
BID_2: 203.00000000 / 914
BID_3: 199.10000000 / 16914
BID_4: 193.40000000 / 2555
BID_5: 193.30000000 / 4074

Market order levels can be filtered out according to the following parameter:

CODE

[processing]
filter_market_orders_enable = true

When level 3 messages are enabled, the market orders are published for either Bid level or Ask level with a zero price.