Market Orders

Market Orders in book

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.

Market Orders off book

Market orders can also be published independently of book updates, on their own NSWF message
the Market Orders Update Message (Msg Type = 99) The off book publication mode can be enabled using the following parameter :

CODE

[processing]
market_orders_in_book = false