Order Book
Overview
Order Book is an aggregation of market data from one or across several exchanges. Besides that, you can use order book for placing orders. Click price/quantity/exchange in any order book record to populate the corresponding values in the Order Form. You can also enable Show confirmation by clicking on the order book in Preferences. Refer to Trading to learn more about placing trade orders.
Exchange Codes
Activate Show exchange code in the Preferences to enable/disable showing exchanges in the order book.
Order Book Adjustment
It is possible to display the order book with the taker commissions of external venues added to market prices. You can enable this option in Preferences by activating Enable Book Adjustment. In case this feature is enabled, the order book prices get adjusted to include commissions of the external venues and the book itself gets an (ADJUSTED) tag - you may see this tag on the attached screenshot.
Price Aggregation
Price Aggregation allows aggregating several order book entries under one aggregated entry based on the price aggregation index specified in the order book. Source exchanges are hidden in the aggregated order book, because each aggregated entry now includes many orders placed on different exchanges.
As an example, consider an order book with numerous BID and ASK records with different prices and volumes. In case we perform a price aggregation with aggregation index 10, all order book entries will get substituted by the aggregated entries with prices multiple of ten, each referencing the total volume of all underlying original entries belonging to this specific price range.
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ASK orders get distributed by the rule:
(10;20],(20;30],(30;40]etc. -
BID orders get distributed by the rule:
[10;20),[20;30),[30;40)etc.
In case we applied price aggregation index 1000, the order book would look something like this:
In this example, each order book entry has been substituted by the aggregated entry multiple of 1000 with the volume that encapsulates the total volume of all order book entries that fall under this price range.
Quantity Aggregation
Quantity Aggregation allows grouping (aggregate) order book entries by the specified aggregation value. As the result, order book displays aggregated order book entries with a cumulative price for each level. The Last Price displays the worst price for each aggregated level (aggregated level closing price). This feature can be used in case a trader wishes to buy/sell the entire level volume.
Within this example, only calculation for the ASK side is shown, but aggregation applies to the whole book. Calculation for the BID side is the same. Aggregation always starts from the best price on each side.
Lets consider the following order book:
| Side | Level | Price | Quantity |
|---|---|---|---|
| Ask | 5 | 15 | 12 |
| Ask | 4 | 14 | 2 |
| Ask | 3 | 13 | 14 |
| Ask | 2 | 12 | 4 |
| Ask | 1 | 11 | 2 |
| Ask | 0 | 10 | 1 |
In case we make a quantity aggregation by 10, we get the following order book adjustment:
| Side | Quantity | Price |
|---|---|---|
| Ask | 35 | 470 |
| Ask | 30 | 395 |
| Ask | 20 | 249 |
| Ask | 10 | 119 |
Aggregation Formula:
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for 10 units: 10x1 + 11x2 + 12x4 + 13x3 = 119
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for 20 units: 10x1 + 11x2 + 12x4 + 13x13 = 249
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for 30 units: 10x1 + 11x2 + 12x4 + 13x14 + 14x2 + 15x7 = 395
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for 35 units: 10x1 + 11x2 + 12x4 + 13x14 + 14x2 + 15x12 = 470
In our example, we do not have enough order book volume to calculate the level 4 with 40 units, because the total available order book volume is 35 units. If we apply the index 100, the order book will look something like on the screenshot below.
Quantity Avg Aggregation
Use Quantity Avg Aggregation to display average market prices for aggregated quantity groups, when in case of Quantity Aggregation the price at each level is cumulative. See attached screenshot for your reference.
My Size
The My Size column in the order book represents the quantity of a particular security that you, as the trader, has placed in the order book to buy or sell the security at a specific price. This allows you to keep track of your orders among the multitude of other market participants' orders and understand how the size of an order is distributed between levels in case of limit orders. My Size is displayed for limit orders.
For instance, if you have placed an order to buy 50 shares of a particular securities at a limit price of $10, the My Size column would show '50' at the $10 level in the order book.
If you have sent another order to sell 20 shares of some other securities at a limit price of $15, the My Size column would show '20' at the $15 level.
Distribution of Order Size Between Levels
The distribution of order size between levels in the order book refers to how the quantities of buy or sell orders are spread across different price points or levels.
It occurs in case of limit orders and trailing stop limit orders when they become limit. Refer to the example below to learn details.
For example, Order Book contains the following data:
| Quantity | Price |
|---|---|
| 30 | 35 |
| 20 | 29 |
| 10 | 19 |
A user creates an order with a limit price of 40 and quantity of 50. In this case, the order execution will go as follows:
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Starting from the lowest price, the order will first match with the 10 units available at the price of 19. This leaves 40 units of the order still to be filled.
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The order will then match with the 20 units available at the price of 29. This leaves 20 units of the order still to be filled.
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Finally, the order will match with 20 out of the 30 units available at the price of 35. This fully fills the order, and there are still 10 units left at the price of 35 in the order book.
After the execution, the order book will look like this:
| Quantity | Price |
|---|---|
| 10 | 35 |