This topic provides additional information on the order level data contained within the Trade Summary.
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This functionality is only supported on futures and options and BrokerTec markets. |
Contents
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Trade Summary Message Structure
Leveraging the Order Detail information provides a more granular view into trade events, access to fill information, and supports Time and Sales and charting applications. Each Order Detail repeating group can be rationalized to the corresponding summary level entry; details on how to process the information are included below.
The Trade Summary message uses two key structures to report match events:
- Summary Level repeating groups - contain consolidated trade information by instrument and price.
- All trades with a single aggressing order are reported together in a single event.
Tag 346-NumberOfOrders in each Summary Level entry indicates the number of repeating groups in the associated Order Detail.
- Order Detail repeating groups - each group is associated with a single Summary Level, and contains detailed order participation information.
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Client systems may process Trade Summary Messages at the Summary Level if only top-level information – price, quantity, number of participating orders and instrument - are required.
Trade Summary Message Processing
The following guidelines will assist client system developers in determining how to process the Order Detail repeating groups.
Trades with a Defined Aggressor
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Additionally, trades that only involve implied orders are not published in a Trade Summary message, but volume and price statistics are updated real-time.
Examples
Example 1 - Trade with Customer Orders
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Example 2 - Trade with Customer and Implied Orders
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Example 3 - One Aggressor Trading at Multiple Prices Against Customer and Implied Orders
The following diagram shows how the Trade Summary groups A - R correlate to the Order Level details A-R with tag 346-NumberOfOrders indicating the number of groups for each corresponding Order Level entry.
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Example 4 - Ratio Spread Trade with Distributed Fills
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Example 5 - Market Open / New Price Indication
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