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. Â
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:Â
MBP Modify Bid Quantity (tag 35-MsgType=X)Â
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 |
|---|---|---|---|---|---|---|
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. Â
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 | 833653Â |
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:Â
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 |
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 |
|---|---|---|---|---|---|---|---|---|
723766 | 557 | 10 | 1.91 | 1 | 1.906 | 5 | 107 | 833653Â |
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 |
|---|---|---|---|---|---|---|---|---|
723766 | 557 | 10 | 0.05 | 1 | 0 | 5 | 107 | 833653Â |
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:Â
Incremental Refresh Market Data (tag 35-MsgType=X) Update
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 |
|---|---|---|---|---|---|---|---|---|
521775 | 557 | 10 | 0.05 | 1 | 0 | 5 | 107 | 833653Â |
723766 | 220 | 5 | 0.05 | 2 | -0.05 | 10 | 876 | 903621 |
824752 | 370 | 25 | 0.1 | 3 |
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