MDP 3.0 - Market by Order Full Depth - Book Management

CME Globex Market by Order Full Depth (MBOFD) disseminates individual orders and quotes at every price level for the given instrument. MBOFD allows customers to view position(s) while preserving market participant anonymity.

This page describes the following MBOFD book management features:

CME Globex maintains the Market by Order Full Depth (MBOFD) depth view with the following data blocks:

• New - create/insert a new order (tag 37708-OrderUpdateAction=0 or tag 279-MDUpdateAction=0)

• Update - change order information (tag 37708-OrderUpdateAction=1 or tag 279-MDUpdateAction=1)

• Delete - remove an order (tag 37708-OrderUpdateAction=2 or tag 279-MDUpdateAction=2)

A book is built from a series of data blocks which indicate whether an order is to be inserted (New), changed (Update), or removed (Delete). The incremental instruction approach assumes the use of the Market Data Incremental Refresh (tag 35-MsgType=X) message. 

• Order Priority (tag 37707-MDOrderPriority), from lowest to highest values, is used to position the order against other orders of the same instrument side, and price.

• To build the full depth MBOFD order book, each order must be sorted by instrument side, and price (in descending order for Bids and ascending order for Asks). Then the order priority number must be applied only to the orders of the same price/ side.

In the example below, 37-OrderID 111 has a higher book priority (1) than OrderID 901 despite OrderID 901 having a lower tag 37707-MDOrderPriority value.

For MBOFD, there is no maximum number of orders or depth allowed on the book. All MBOFD book updates for an instrument within an event must be processed before the MBOFD book is valid.

MBOFD Order Priority is based on the sequence of iLink orders received by a CME Globex market segment (tag 1300-MarketSegmentID) and will be sent accordingly regardless of the match algorithm.  

Implied order book information is not sent in MBOFD format.

MBOFD Book Management Processing Examples

The following section shows examples using the MBOFD book update actions: new, update and delete.

Limit Order - New Action Example

This example shows a new limit bid order accepted and added to the first level of the book, since there are no resting bid orders.

Starting Market by Order (MBOFD) Book

New Update Action

Order added to Bid side level 1 at Limit Price of 1010 and a quantity of 50.

Incremental Refresh Market Data

Final Market by Order (MBOFD) Book

Modify Order - Update MBOFD Quantity of Resting Order Example

This example shows the update performed on an existing book when a an order modify is processed for MBOFD. The order will lose priority at the price level (950).

Starting Book Market by Order (MBOFD) Book

Modify Bid Quantity (tag 35-MsgType=X) Data Block

OrderID 555 quantity is increased from 30 to 50. The order loses priority in the book.

Incremental Refresh Market Data

Market by Order (MBOFD) Final Order Book

Order quantity is increased from 30 to 50. OrderID 555 loses priority in the book, and Order Priority changes from 722095 to 722787.

Cancel Resting Order - MBOFD Update Only Example

Cancel a resting order at price 850 which is outside the maximum market depth of 10 for the MBP book, therefore only an MBOFD update is sent.   

Starting Market by Order (MBOFD) Book

Market by Price (MBP) Book

Delete Bid Quantity (tag 35-MsgType=X) 

OrderID 251 for quantity of 25 at price of 850 is cancelled. 

Final Order Market by Order (MBOFD) Book

OrderID 251 for quantity of 25 at price of 850 is cancelled.

Market by Price (MBP) Book - No Change

The canceled order at price of 850 is below the disseminated 10 levels, therefore there are no changes to the MBP order book.