TT Score

Cluster View - Market Ladder Replay

Cluster View - Market Ladder Replay

Market Ladder Replay is a research tool that provides users with a frame-by-frame replay of the trading activity overlaid with Level 2 market data on a ladder-style interface. The ladder is 10 ticks deep and displays all market data, including the orders for each relevant participant in the order book. Users can stop, start and rewind the playback of the activity within a given cluster in order to gain a precise understanding of the sequence of events that occurred in the order book and how the trader’s orders impacted the market.

Market Ladder Replay display

  1. Interactive display of the market ladder for the specified time frame.
  2. List of Audit Trail messages that comprise the activity included in the Ladder Replay.

Replaying the ladder

Replaying the ladder lets you watch the market react as the order activity in the audit messages are replayed. You can start, stop and rewind the activity to help get a clearer picture of potentially problematic trading activity.

  1. Information about the snapshot shown in the ladder, including:
    • View shown in the ladder (Macro, ?)
    • Total number of frames in the replay and the frame number currently being displayed.
    • Time, with millisecond precision, when the activity snapshot shown in the ladder occurred.
  2. State of the market at the indicated time.
  3. Interactive controls to play and rewind trading activity in the ladder.

Audit Messages columns

The Audit Messages section lists all of the audit trail messages associated with the order-related activity in the current cluster. Each audit message represents a single transaction, such a submitting an order, receiving a fill, modifying an order, or canceling an order.,

  1. Summary of the messages related to the replay, including:
    • Instrument associated with the audit messages.
    • Risk score based on the audit messages.
    • Total number, and the number currently shown, of orders represented by the audit messages.
  2. Individual audit trail messages that comprise the activity in the ladder replay.
Column Description
Line # Audit message line number.
Timestamp Time the transaction occurred.
Order ID TT-generated ID that uniquely identifies the order associated with the transaction.
Action Action that occurred for the order (Add, Cancel, Partial or Full Fill).
Side Whether the transaction represents a Buy or Sell order.
Ord Total order quantity.
Ice Qty submitted by an Iceberg order slice.
Position Open position for the related instrument.
Price Price of the order or fill.
Type Type of order associated with this transaction (e.g. Limit or Market).
TIF Time In Force for the order.
Account Account number associated with the transaction.
Exch time Time the exchange acknowledged the order action.
Exch ID Name of the exchange.
User ID TT User ID of the person who submitted the order.