The Order Book and Yellow Strip

The order book and the Yellow Strip are split into two sides; the buy side and the sell side.

On the Yellow Strip the values are mirrored on the left hand side you have:

• 10% / Buy: if the depth of the order book has been reduced, the percentage of the order book currently being shown. Otherwise Buy is displayed on the left and Sell is displayed on the right.
• 2: the number of orders available at the current bid price.
• 5894: the total current volume offered at the bid price.
• 222.95: the current bid price.
• The equivalent information is displayed on the sell side e.g. 223 is the current offer price.

Order colours

On the order book, the buy and sell orders are graduated in blue on the buy side and red on the sell side. Blocks of orders with the same price per share are coloured the same.

• Orders that flash green indicate the appearance of a new order.
• Orders that flash yellow (like those at the top of the sell side in the above example), indicate an order that has changed.
• Orders that flash orange indicate a deleted order.

On the order book you may also see 4 character market-maker codes. These will be accompanied by arrows to show if the market-maker has increased or decreased their price when they last changed it.

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SEAQ Stocks

The SEAQ market is designed for smaller companies listed on the AIM market whose shares are generally illiquid. It allows market-makers to provide liquidity for the company in question

Because of this, the order book features a different design:

On each line you can see the 4 digit code for the Market Maker, their current bid and offer prices, along with arrows to show the latest change in both. After this, you will see the number of shares available for trade in an abbreviated form.

For example, 7.5x7.5 this represents 7,500 shares on the bid and offer sides of the order book.

Depending on the stock the amount of shares made available for trade by the Market Makers can be in the hundreds of thousands so this abbreviation method helps to save space on the order book.

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SETSqx Stocks

SETSqx (Stock Exchange Electronic Trading Service - quotes and crosses) is a trading service for securities less liquid than those traded on SETS.

SETSqx combines a periodic electronic auction book with standalone non-electronic quote driven market making. Electronic orders can be named or anonymous and for the indicated securities order book executions will be centrally cleared.

The SETSqx order book looks like a cross between the SETS and SEAQ order books.

At the top of the order book you have the market-makers' section and below that you have section where orders are shown.

For the majority of SETSqx stocks there are auction periods that end at 8:00, 9:00, 11:00, 15:00 and 16:35.

With the exception of the 16:35 auction there is a 10 minute auction call period before each auction. It is only during these periods that orders are shown on the order book. The yellow strip is coloured pink during auctions by default.

There are a small number of SETSqx stocks that have no market-makers. They are in the segment SSX4. These stocks behave as though they are in auction all day with uncrossing periods at the same times as normal SETSqx stocks.

Orders placed on these stocks will appear on the order book at any time and will remain for 90 days.

Summary View Button

At the top of the Level 2 screen there is a button labelled Summary View.

If you select this then for SETS stocks the orders are aggregated together by price.

On each row you'll see the number of orders, the total number of shares to be traded and the price per share at which those orders have been placed.

There are options in Design that can change the way the Order Book looks:

Individually sorted bid/offer quotes (SEAQ/SETSqx): this changes the way the order book is drawn for these two trading systems. The market-maker quotes are shown with the full values rather than their abbreviated version.

Show summary order book initially: this shows the summary view initially to speed up drawing of the Level 2 screen. This can help when you do not have a robust connection to the internet.

Insert blank lines: when you are looking at the order book with the summary view turned on orders at the same price are aggregated together. They are then listed in sequential order without taking into account if there are no orders at particular values. This option will insert blank lines whenever there are no orders at a particular price point.

Here you can see that the insert blank lines option has been turned on and there are gaps on the buy side at 489.6 and 488.6 for example.

Note that the order depth has been reduced to 10%.

Aggregate Named Orders: Named orders are those orders that have been listed by market-makers. When you have the summary view option turned on these are not, by default, aggregated together.

Here you can see that there are two orders listed by market-makers at the same price on the buy side and the single order listed by WINS on the sell side is also at the same price as two other non-named orders. However, they have not been aggregated together.

With the aggregate named orders option turned on the market-maker orders are aggregated together with the each other and the non-named orders.

Limit to orders within a percentage of sell price: this reduces or increases the depth of the order book shown on the screen.

The available options are:

• All
• 1%
• 2%
• 5%
• 10%
• 25%
• 50%

Note that selecting the Insert Blank Lines option reduces the number of options available by removing the 25%, 50% and All options.

Draw horizontal separating lines: you can see from the image above that there are is a thin blank line drawn between orders shown on the order book. Deselecting this option will remove this line.

There are also options in Design that can change the behaviour of the Yellow Strip.

The colour of the background and text on the yellow strip can be changed from this part of the dialog box.

The Auction format of the yellow strip can also be changed.

• Standard layout: shows the indicative uncrossing price and volume.
• Alternative layout 1: shows the indicative uncrossing price in the centre of the strip. On the left and right of the strip are, respectively, the total volume of buy orders equal to or better than the uncrossing price, and the total volume of sell orders equal to or better than the uncrossing price.
• Alternative layout 2: the same as alternative layout 1, but with the higher of the two volume figures displayed as a difference from the lower figure.

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SEAQ/SETSqx options

• Do not use auction colour for SETSqx: as mentioned above SETSqx stocks either have multiple auctions during the day or, in the case of those stocks in the SSX4 segment, they are constantly in an auction. This option stops those stocks turning pink when they are in an auction. This helps to stop confusion with those stocks SETS stocks that have entered an unscheduled auction.
• Show number of Market Makers on the strip: this shows the 4 digit market-maker codes on the yellow strip for those market-makers with the best bid and offer quotes. It also shows the number of market-makers on the far-left and far-right-hand sides of the yellow strip.

Deselecting this option just shows the current bid and offer on the strip.

• Show number of Market Makers at the centre: This changes where the number of market -makers is shown. Rather than on the far left and right the number appears in brackets beside the market-maker codes.

The Volume Graph

The volume graph shows the price of the orders on the x-axis and the amount of shares waiting to be traded at that price on the y-axis.

The volume graph can be set to display as either a stepped line graph or a histogram. It is also possible to Fold either chart. Folding the chart draws the buy and sell side over the top of each other. If the chart is not folded then the buy and sell sides are draw to the left and right of the mid price which is also the centre point on the y-axis.

Here you can see the stepped and histogram charts. Note how the volume on the stepped chart accumulates whereas on the histogram each bar represents the volume available at that price.

Here we have folded both chart types. Using this method it's easier to see that there is greater total volume on the sell side of the order book. You can also see where there are large tranches of volume waiting to be traded.