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The examples in this topic illustrate the mechanics of a Market by Price 5-deep book. All books that are not top-of-book will use the same mechanics. |
This topic describes multiple depth MDP 3.0 Market by Price (MBP) books. CME Group provides a multiple-depth Market by Price (MBP) book for most products. Client systems must determine the book depth for an instrument from tag 264-MarketDepth in the Security Definition message. The MBP aggregate book reports summarized order quantities and order counts at a given price level. The depth represents the number of price levels supported via the market data feed.
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An aggregate depth book is sequenced by price, descending for bid and ascending for ask.
5-Deep - Best Bid/Ask
Bid | Ask | ||||
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Order Count | Quantity | Price | Price | Quantity | Order Count |
1 | 100 | 9427.50 | 9428.00 | 40 | 2 |
19 | 500 | 9427.00 | 9428.50 | 600 | 35 |
34 | 750 | 9426.50 | 9429.00 | 850 | 55 |
25 | 400 | 9426.00 | 9429.50 | 350 | 21 |
14 | 300 | 9425.50 | 9430.00 | 150 | 12 |
CME Group maintains the Aggregate Depth view with the following data blocks:
Add - create/insert a new price at a specified price level (tag 279 MDUpdateAction=0)
Change - change quantity for a price at a specified price level (tag 279 MDUpdateAction=1)
Delete - remove a price at a specified price level (tag 279 MDUpdateAction=2)
An Aggregate book is built from a series of data blocks which indicate whether an entry is to be inserted (Add), changed (Change), or removed (Delete). All data blocks are issued for a specified entry type (tag 269), price (tag 270), and price level (tag 1023). The incremental instruction approach assumes the use of the Market Data Incremental Refresh (tag 35-MsgType =X) message. The Bid and Ask sides are updated independently with separate data blocks. The practice of sending separate data blocks provides efficiencies by allowing only the bid or ask to be sent, based on which side has changed, rather than both sides.
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In general, if a trade occurs, CME Group will send a delete or change data block to update the book. The trade data block itself is not used to update the order book.
Examples
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