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. 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

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

Tag Number

FIX Name

Value

Description

Tag Number

FIX Name

Value

Description

279

MDUpdateAction

0

0 = New. Type of Market Data update action.

269

MDEntryType

0

0 = bid. Type of Market Data entry.

1023

MDPriceLevel

1

Position in the book.

271

MDEntrySize

10

Quantity represented by the Market Data Entry.

270

MDEntryPx

1.907

Price of the Market Data Entry.

346

NumberOfOrders

1

Number of orders at price level.

48

SecurityID

given

Unique instrument ID as qualified by the exchange 

per tag 22-SecurityIDSource.

Resulting MBP Book

Bid Order Count

Bid Quantity

Bid Price

Book Price Level

Ask Price

Ask Quantity

Ask Order Count

Bid Order Count

Bid Quantity

Bid Price

Book Price Level

Ask Price

Ask Quantity

Ask Order Count

1

10

1.907

1

1.906

20

3

1

15

1.91

2

 

 

 

2

30

1.911

3

 

 

 

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 Priority

Bid OrderID

Bid Quantity

Bid Book Price

Book Priority

Ask Book Price

Ask Quantity

Ask OrderID

Order Priority

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

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

 

Updated 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

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 

903621

876

5

1.91

2

 

 

 

 

521775

220

5

1.911

3

 

 

 

 

824752

370

25

1.911

4

 

 

 

 

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 Priority

Bid OrderID

Bid Quantity

Bid Book Price

Book Priority

Ask Book Price

Ask Quantity

Ask OrderID

Order Priority

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

Tag Number

FIX Name

Value

Description

Tag Number

FIX Name

Value

Description

 270

MDEntryPx

-0.05

 

 37

OrderID

876

 

 37706

MDDisplayQty

10

 

 37707

MDOrderPriority

903621

 

 37708

OrderUpdateAction

0

0 = new

 

Updated Market By Order - Full Depth (MBOFD) Book

Order Priority

Bid OrderID

Bid Quantity

Bid Book Price

Book Priority

Ask Book Price

Ask Quantity

Ask OrderID

Order Priority

Order Priority

Bid OrderID

Bid Quantity

Bid Book Price

Book Priority

Ask Book Price

Ask Quantity

Ask OrderID

Order Priority

521775

557

10

0.05

1

0

5

107

833653 

723766

220

5

0.05

2

-0.05

10

876

903621

824752

370

25

0.1

3

 

 

 

 




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