MDP 3.0 - Trade Scenarios and Messaging Examples
This topic covers order matching scenarios and examples of market data generated per scenario. Â
Contents
Example: Single Instrument Event
The following scenario illustrates a single instrument (September 2023 SOFR future) event where an aggressor order trade affects three order book levels.
An order with a quantity of 50 at a price of 9550 is entered.
The aggressor order fulfills all resting orders at the first three order book levels because they are at or below the 9550 price.
At the top price level of 9500, the aggressor order matches with three separate resting orders, resulting in a single Trade Summary message for price level 9500.
A total quantity of 40 is filled.
A quantity of 10 is left over from the aggressor order at a price of 9550.
Starting Market by Price (MBP) Book
Aggressing Buy order hits the book, taking out top three Sell price levels.
Event Messages
Messaging generated as a result of the aggressing order match activity is depicted below.
After market data processing, the client Market by Price (MBP) book should appear as follows.
Example: Multiple Instrument Event with Implied Trades
This section provides an example of market data generated by an implied match event. The diagram below shows the Market by Price (MBP) order books involved in the match in which an aggressing buy order in CLH5 creates an implied sell order from the quantity available in CLU5.
The match from the implied order above generates the following market data:
Trade CLH5-CLM5 @ 0
Trade CLH5 @ 9903
Trade CLM5-CLU5 @ 0
Trade CLU5 @ 9903
Electronic Volume CLH5-CLM5
Electronic Volume CLH5
Electronic Volume CLM5-CLU5
Electronic Volume CLM5
Electronic Volume CLU5
Delete Sell level 1 CLM5-CLU5
Delete Sell level 1 CLU5
Delete Sell level 1 CLM5-CLU5Â
Delete Implied Sell CLM5
The CLM5 instrument had implied only orders on both sides of the match and therefore does not generate a trade, but does receive a volume update.
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