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Frequently asked questions
Does depth of market apply to all order types?
Yes, depth of market can be applied to all available order types. This includes entry (market, limit and stop) and exit (stop-loss, trailing stop-loss and take-profit) orders.
Which asset classes does depth of market apply to?
The depth of market functionality applies to all asset classes, but the levels of depth will vary across instruments – some may only have one level. You can view the current market depth for an instrument by opening the order ticket and clicking on the Market Depth/DOM window.
How can I calculate a price for an order filled at depth?
Let’s say an order for 10,000 is being submitted. The depth of market window highlights the applicable levels.
- To calculate the resulting Volume Weighted Average Price for this order, first multiply each level’s price by the number of units at that level. Continue down the depth until all of the order quantity has been filled and then sum up the total. In this example, we do not need to use the fifth level, (price 140), as the requested number of units is satisfied from the first four levels.
This results in a notional value of 1,220,000 for the order.
2. Next, divide the notional value by the quantity of units of the order to obtain a VWAP price. In this case, it’s 10,000:
This gives an order “VWAP” price of 122.
Can I break one order into multiple smaller orders?
If multiple orders are triggered at once when the combination of the orders would require executing at depth, the orders are executed on the same basis as if they were combined as one order. So the first order would consume a portion of the depth of market, the second order would carry on from where the first order concluded and so on for each of the orders.