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MDP 3.0 - Inverted Price Book Processing

MDP 3.0 - Inverted Price Book Processing

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. T