This topic provides additional information on the order level data contained within the Trade Summary.

Contents

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.
  
  
  

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

An aggressor is defined as any customer order that triggers a trade immediately upon entering the book.

Tag 5797-AggressorSide indicates if the trade had an aggressor and, if so, which side of the book it was on. When an Aggressor Side is defined (1 = Buy, 2 = Sell), the first Order Detail level related to the Summary Level represents that aggressor order.

• The aggressor quantity (tag 32) in the first Order Detail entry is equal to the Summary Level fill quantity (tag 271)

  • If the aggressor quantity (tag 32) in the first Order Detail entry is equal to the sum of the remaining Order Detail entries quantity associated with that Summary Level, only customer orders were filled in the trade

  • If the aggressor quantity (tag 32) is not equal to the sum of the remaining Order Detail entries quantity associated with that Summary Level, customer and implied orders were filled in the trade. The unreported quantity are the participating implied orders.

    • There may be only one Order Detail entry present, which means an aggressing customer order traded against implied orders only.

• The aggressor quantity (tag 32) in the first Order Detail entry is not equal to the Summary Level fill quantity (tag 271)

  • In this case, the aggressor joined a pool of resting orders and thereby created sufficient quantity to trigger a trade.

    • This scenario can occur in any ratio spread where a different minimum quantity is required for each leg in order for the spread to trade. Examples include IVR and butterfly spreads. 

Trade without a Defined Aggressor

There are two scenarios where a trade may not have a defined aggressor (tag 5797-AggressorSide=0).

• When an aggressing customer order trades against implied orders, at least one Summary Level will not have a defined aggressor. 

  • The Summary Level with an undefined aggressor type represents the customer orders that created the executed implied orders. 

    • Order Details are only sent for the customer orders. Any unreported quantity represents the participating implied orders. 

  • Side (buy and/or sell) are not defined.

• Market Open or Re-Open after a Velocity Logic Event

  • For a scheduled Market Open, opening resolution trades are in the first Trade Summary message following a MDP 3.0 - Market Data Security Status message where tag 326-SecurityTradingStatus=15 (New Price Indication).

  • For a Re-Open after a Velocity Logic Event, opening resolution trades are in the first Trade Summary message following a Market Data Security Status message (tag35-MsgType=f) where tag 326-SecurityTradingStatus=21 (Pre-Open).

  • The following are the characteristics for both scheduled Market Opens and Re-Opens following a Velocity Logic Event:

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    • Order Detail entries are non-deterministic

    • Both buys and sells are reported

    • The sum of the Order Detail quantities (all tag 32-LastQty values), divided by 2, will equal tag 271-MDEntrySize. Both sides of the entire trade event are represented.

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

Example 2 - Trade with Customer and Implied Orders

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.

Example 4 - Ratio Spread Trade with Distributed Fills

Example 5 - Market Open / New Price Indication