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MDP 3.0 - Inverted Price Book Processing

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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.

Inverted Incremental Book Management Examples

The examples below illustrate how an order book is built and updated for Inverted Book Management processing. The quantity and order count are provided.

Example 1 - Inverted Market by Price (MBP) Book

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

230

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) 

Tag NumberFIX NameValueDescription
279MDUpdateAction00 = New. Type of Market Data update action.
269MDEntryType00 = bid. Type of Market Data entry.
1023MDPriceLevel1Position in the book.
271MDEntrySize10Quantity represented by the Market Data Entry.
270MDEntryPx1.907Price of the Market Data Entry.
346NumberOfOrders1Number of orders at price level.
48SecurityIDgivenUnique instrument ID as qualified by the exchange 
per tag 22-SecurityIDSource.

Resulting MBP Book

Bid Order CountBid QuantityBid PriceBook Price LevelAsk PriceAsk QuantityAsk Order Count
1101.90711.906203
1151.912


2301.9113


Example 2 - Inverted Market By Order Limited Depth (MBOLD) Book

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 PriorityBid OrderIDBid QuantityBid Book PriceBook PriorityAsk Book PriceAsk QuantityAsk OrderIDOrder Priority
723766557101.9111.9065107833653 
52177522051.9112



824752370251.9113



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 NumberFIX NameValueDescription
48SecurityID12345A unique instrument ID value will not be reused until the next trade date following an instrument expiration or deletion.
268NoMDEntries5
Data Block 1 - Bid
→37OrderID557Order ID
→37707MDOrderPriority723766Order priority for execution on the order book
→270MDEntryPx1.91Price of the Market Data Entry
→37706MDDisplayQty10Market Data entry type
→269MDEntryType0Bid - Market Data entry type
Data Block 2 - Ask
→37OrderID107Order ID
→37707MDOrderPriority833653Order priority for execution on the order book
→270MDEntryPx1.906Price of the Market Data Entry
→37706MDDisplayQty5Market Data entry type
→269MDEntryType1Ask - Market Data entry type
Data Block 2 - Bid
→37OrderID876Order ID
→37707MDOrderPriority903621Order priority for execution on the order book
→270MDEntryPx1.91Price of the Market Data Entry
→37706MDDisplayQty5Market Data entry type
→269MDEntryType1Ask - Market Data entry type
Data Block 4 - Bid
→37OrderID220Order ID
→37707MDOrderPriority521775Order priority for execution on the order book
→270MDEntryPx1.911Price of the Market Data Entry
→37706MDDisplayQty5Market Data entry type
→269MDEntryType0Bid - Market Data entry type
Data Block 5 - Bid
→37OrderID370Order ID
→37707MDOrderPriority824752Order priority for execution on the order book
→270MDEntryPx1.911Price of the Market Data Entry
→37706MDDisplayQty25Market Data entry type
→269MDEntryType0Bid - Market Data entry type


Updated Market By Order - Limited Depth (MBOLD) Book

Order PriorityBid OrderIDBid QuantityBid Book PriceBook PriorityAsk Book PriceAsk QuantityAsk OrderIDOrder Priority
723766557101.9111.9065107833653 
90362187651.912



52177522051.9113



824752370251.9114



Example 3 - Inverted Market By Order Full Depth (MBOFD) Book with Negative Price

The following example illustrates inverted book processing for Market by Order - Full Depth (MBOFD). This example shows a new limit ask order with a negative price that is accepted and added to the book.

This example uses tag 37708-OrderUpdateAction, but depending on the SBE template, tag 279-MDUpdateAction may be used instead. See Incremental Refresh SBE Template Book Processing for more information.

Starting Market by Order - Full Depth (MBOFD) Book

Order PriorityBid OrderIDBid QuantityBid Book PriceBook PriorityAsk Book PriceAsk QuantityAsk OrderIDOrder Priority
723766557100.05105107833653 
52177522050.052



824752370250.13



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

Tag Number

FIX Name

Value

Description

 270MDEntryPx-0.05
 37OrderID876
 37706MDDisplayQty10
 37707MDOrderPriority903621
 37708OrderUpdateAction00 = new


Updated Market By Order - Full Depth (MBOFD) Book

Order PriorityBid OrderIDBid QuantityBid Book PriceBook PriorityAsk Book PriceAsk QuantityAsk OrderIDOrder Priority
521775557100.05105107833653 
72376622050.052-0.0510876903621
824752370250.13



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