Non-aggregated market Depth option

Created at 31 Jul 2014, 20:38
AN

Anonymous

Joined 31.07.2014

Non-aggregated market Depth option
31 Jul 2014, 20:38


Hopefully a cTrader engineer will pick this up and provide me with a fix (bespoke or otherwise) for the issue I am experiencing with their platform.

Currently, the cTrader Depth of Market view is displaying completely aggregated price feeds. This is a problem.

Suppose there are three liquidity providers RBS, Reuters and BNP, all reporting the same price, but at different volumes. So for instance, this would be a test case scenario:

RBS:1.61288@3m; Reuters: 1.61288@1m and BNP: 1.61288@5m

By the time that this price reaches the end user, this is what they will see: 1.61288@9m; a price where the volume at that price represents the sum total of all the volume of each liquidity provider.

Although this may be convenient for some, it is definitely inconvenient for those of us who are attempting to combine feeds from several c Trader brokers in order to compile a semi-total market depth of the overall market. It is extremely problematic due to the fact that different brokers may be using one or more of the same liquidity provider, and by the end user combining the feeds, they will end up with an overlapping and severely skewed market depth picture.

So here is what I propose; That there be an option provided where non-aggregated prices be displayed in the market depth window. That is, in the above case, the end user is presented with this view:

1.61288@3m

1.61288@1m

1.61288@5m

Seeing three prices in this way will immediately let the end user know that there are three currently unidentified liquidity providers providing different trade sizes for this price.

In this way, if the end user then compared this feed to those provided by the two other brokers and they consistently see the same price at the same volume across several brokers,, that it could be concluded that participating brokers must be sharing the same liquidity provider.

They could then exclude all but one of these prices when combining the feed across all broker feeds for a final aggregation.

say that that this hinges on the ability for the participating broker to be able to see the non-aggregated prices as shown above, my argument to this is that they already have this ability. They are simply not utilizing it. .

In order for the broker to receive these feeds in the first place, they would have had to initially send the following:

Market Data Request,Snapshot plus updates, full orderbook, full or incremental refresh, and AggregatedBook or Multiple entries per side per price.

In FIX message terminology, the message request sent to the liquidity provider by the brokerage side would take the form of: 262=V|263=1|264=0|265=0 or 1|266='Y' or 'N'
.

The root of this issue is Field 266 (AggregateBook or Multiple entries). I am suspecting that either the platform and hence the participating retail side broker has their code hardwired to send this the command 266='Y'.

In which case, the liquidity provider will naturally have no choice but to respond by sending them back an aggregated price which they then deliver to the end user. in this case, the response read back from the liquidity provider will be: 1.61288@9m

On the otherhand, all that is required is for the trade platform to send the request 266=@N' (Multiple entries per side per price) and the responded fed back by the liquidity provider would be:

1.61288@3m

1.61288@1m

1.61288@5m

This is a very simple fix that will make a world of difference. All that would be required is a one byte change to the fix protocol Market Data message, and possibly an option on the GUI to switch between 266='Y' and 266='N'

Even if you do not want to wholesale make this change, could I at least have this done for me, as I really need non-aggregated data.

Either this, or provide me with a set of FIX gateway credentials to your liquidity providers, this way I can bypass cTrader and stream in my own Depth of Market data using my own proprietary FIX engine that works quite well!

Here's hoping that someone picks this up and offers a solution.

Cheers!


declined Closed cTrader
@anonymous_54508655
Replies

OldDirty Pipster
06 Aug 2014, 09:13

Please also refer to the following conversations: /forum/ctrader-support/3269


@olddirtypipster

... Deleted by UFO ...

1004488
26 Nov 2015, 02:45

is this incorporated?


@1004488