MDP 3.0 - Trade Scenarios and Messaging Examples

This topic covers order matching scenarios and examples of market data generated per scenario.  

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.

1. An order with a quantity of 50 at a price of 9550 is entered.

2. 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.

3. A total quantity of 40 is filled.

4. 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-CLU5 

• Delete Implied Sell CLM5