Market by Order (MBO)

Background

Market by Order (MBO) describes an order-based data feed that provides the ability to view individual queue position, full depth of book and the size of individual orders at each price level.

Market by Price (MBP) is the price-based data format that remains available and delivered in the same data feed. MBP restricts updates to a maximum of 10 price levels and consolidates all the quantity into a single update for each price level, which includes total quantity and number of orders. Individual queue position and order sizes cannot be determined with a high degree of accuracy.

  • Since 1983, similar feeds have been offered on global futures, equity and equity options, cash bond and FX platforms. Currently every major exchange offers an order-based feed.
  • Announced in May 2016, phased rollout began in December 2016 and completed in June 2017

Client Benefits

Increased Transparency:  Increased confidence in execution by improved understanding of the central limit order book composition as details of the orders making up that book are available.

 Customer Anonymity:  MBO data contains no customer identifiable information. Unique OrderID which is visible in the order book is assigned sequentially by CME Group match engine across all orders.  That OrderID is provided privately to the customer via iLink when an order is entered and can be used to determine their place in the priority queue.

Full Depth of Book:  MBO improves the transparency of all CME Group markets, by enhancing Globex to disseminate market data at all price levels (previously a maximum of 10 price levels were sent) with new anonymous order level granularity.

Known queue position: gives traders more confidence in posting increased order size which creates greater market depth for all market participants.  Queue position also provides insight for participants executing a trade that requires resting orders in multiple instruments to manage execution risk.

Flexible Customer Adoption/Migration Approach: The changes necessary to support MBO are optional and MBO was specifically designed by CME Group to be backwards compatible with the existing Market by Price (MBP) feed, providing customers complete flexibility to decide when and if they want to consume the new MBO data.

CME Direct Support:  New Queue Position Tracking on CME Direct gives customers the ability to view their exact queue positions for all markets, directly on their trade blotter.  ISVs who adopt MBO, will also be able to offer this functionality to their clients.

Historic Data Available:  MBO historical data is available from launch date for each channel.  (Ex. Treasury data available from May 2017 onwards)

All CME Globex Products:  MBO is supported for all CME Globex options and futures products.

Impacts

Increased Bandwidth Utilization and Data Processing
MBO details add additional messaging that requires more network bandwidth and increased processing power on the data parser to take in and properly display the additional details. CME Group manages the one gigabit network connections (non-CoLo) to ensure bursting data will not exceed carrier rates which could result in dropped packets. Customers are encouraged to manage data subscriptions to minimize their own network bandwidth impact and data processing impacts.

Iceberg OrderIDs
Exchange-assigned OrderIDs are unique per order and are consistent for the life of the order.  When CME Group-held iceberg orders (referred to as native icebergs) have displayed quantity refreshed, the refreshed order will have the same OrderID as the original order. 

For those concerned this function gives other participants greater ability to detect presence of iceberg, we recommend evaluating third party offerings that include ISV-held iceberg orders (synthetic iceberg where total quantity is managed off-exchange by ISV server).

Refreshed quantities from these systems are treated as new orders to the exchange and receive a new OrderID. CME Direct will add synthetic iceberg support in the August 2017 release.

MBP versus MBO

Market by Price  provides total quantity and number of orders at a price level. Only summary information for the top 10 price levels are disseminated. Participants cannot definitively determine individual position in queue.

Market by Order provides individual orders for all price levels (not restricted to top 10). Each order is assigned an anonymous OrderID for identification and a PriorityID for sorting.

Participant queue position can be determined by using the OrderID.  Queue position and proper sorting of book is done using PriorityID.  PriorityID may change if order modified or refreshed, OrderID is consistent for the life of the order.

What Would a Potential MBO Display Look Like?

CME Group MBP example for ES

CME Group MBO example for ES (same book as MBP above)

An MBO display could break out the current quantity/order count in a more granular but still anonymous way.

Note: only individual orders are shown and not firm IDs