CME Globex supports inverted pricing for yield, rate or repo trading for MBOFD, MBOLD and MBP books. Inverted books have bid prices higher than offers. Instruments with inverted books are denoted by tag 872-InstAttribValue with the InvertedBook bit 22 equal to 1 on the Security Definition (tag 35-MsgType=d) message.
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The following example illustrates inverted book processing for Market by Price (MBP). This example shows a new limit bid order accepted and added to the first level of the book. The following examples assume there are no other updates within a conflation interval and the book price processing is non-inverted. For more information on conflation processing see Conflated Market Data Processing.
Starting Market by Price (MBP) Book
Bid Order Count | Bid Quantity | Bid Price | Book Price Level | Ask Price | Ask Quantity | Ask Order Count |
|---|---|---|---|---|---|---|
1 | 15 | 1.910 | 1 | 1.906 | 20 | 1 |
| 2 | 30 | 1.911 | 2 |
New Order Entered
A new order is entered to bid 10 @ 1.907. The following update action occurs:
MBP Modify Bid Quantity (tag 35-MsgType=X)
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The following example illustrates inverted book processing for Market By Order - Limited Depth (MBOLD). This example shows a new limit bid order accepted and added to the book. The following examples assume there are no other updates within a conflation interval and the book price processing is non-inverted. For more information on conflation processing see Conflated Market Data Processing.
Starting Market By Order - Limited Depth (MBOLD) Book
| Order Priority | Bid OrderID | Bid Quantity | Bid Book Price | Book Priority | Ask Book Price | Ask Quantity | Ask OrderID | Order Priority |
|---|---|---|---|---|---|---|---|---|
| 723766 | 557 | 10 | 1.91 | 1 | 1.906 | 5 | 107 | 833653 |
| 521775 | 220 | 5 | 1.911 | 2 | ||||
| 824752 | 370 | 25 | 1.911 | 3 |
New Order Entered
A new order is entered to bid 5 @ 1.910. The following update action occurs:
Snapshot (35=W) MBOLD Book Update
| Tag Number | FIX Name | Value | Description |
|---|---|---|---|
| 48 | SecurityID | 12345 | A unique instrument ID value will not be reused until the next trade date following an instrument expiration or deletion. |
| 268 | NoMDEntries | 5 | |
| Data Block 1 - Bid | |||
| →37 | OrderID | 557 | Order ID |
| →37707 | MDOrderPriority | 723766 | Order priority for execution on the order book |
| →270 | MDEntryPx | 1.91 | Price of the Market Data Entry |
| →37706 | MDDisplayQty | 10 | Market Data entry type |
| →269 | MDEntryType | 0 | Bid - Market Data entry type |
| Data Block 2 - Ask | |||
| →37 | OrderID | 107 | Order ID |
| →37707 | MDOrderPriority | 833653 | Order priority for execution on the order book |
| →270 | MDEntryPx | 1.906 | Price of the Market Data Entry |
| →37706 | MDDisplayQty | 5 | Market Data entry type |
| →269 | MDEntryType | 1 | Ask - Market Data entry type |
| Data Block 2 - Bid | |||
| →37 | OrderID | 876 | Order ID |
| →37707 | MDOrderPriority | 903621 | Order priority for execution on the order book |
| →270 | MDEntryPx | 1.91 | Price of the Market Data Entry |
| →37706 | MDDisplayQty | 5 | Market Data entry type |
| →269 | MDEntryType | 1 | Ask - Market Data entry type |
| Data Block 4 - Bid | |||
| →37 | OrderID | 220 | Order ID |
| →37707 | MDOrderPriority | 521775 | Order priority for execution on the order book |
| →270 | MDEntryPx | 1.911 | Price of the Market Data Entry |
| →37706 | MDDisplayQty | 5 | Market Data entry type |
| →269 | MDEntryType | 0 | Bid - Market Data entry type |
| Data Block 5 - Bid | |||
| →37 | OrderID | 370 | Order ID |
| →37707 | MDOrderPriority | 824752 | Order priority for execution on the order book |
| →270 | MDEntryPx | 1.911 | Price of the Market Data Entry |
| →37706 | MDDisplayQty | 25 | Market Data entry type |
| →269 | MDEntryType | 0 | Bid - Market Data entry type |
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| Order Priority | Bid OrderID | Bid Quantity | Bid Book Price | Book Priority | Ask Book Price | Ask Quantity | Ask OrderID | Order Priority |
|---|---|---|---|---|---|---|---|---|
| 723766 | 557 | 10 | 0.05 | 1 | 0 | 5 | 107 | 833653 |
| 521775 | 220 | 5 | 0.05 | 2 | ||||
| 824752 | 370 | 25 | 0.1 | 3 |
New Order Entered
A new order is entered to ask 10 @ -0.05. The following update action occurs:
Incremental Refresh Market Data (tag 35-MsgType=X) Update
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