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This section outlines Market by Order Limited Depth (MBOLD) functionality for the CME MDP Conflated UDP and CME MDP Conflated TCP market data groups. MBOLD sends the top 10 bid and ask orders on an order book for a given instrument. MBOLD allows clients to view top position(s) while preserving market participant anonymity. Within a market event, MBOLD order books are sent before Market by Price (MBP) order books. 

Info
Current CME Globex Market by Order (MBO) functionality will be re-branded to "Market By Order Full Depth (MBOFD)" to better differentiate it from "Market by Order Limited Depth (MBOLD)".

Unlike standard CME Globex MDP incremental book processing, MBOLD uses an overlay approach to book management. Overlay book management completely restates the MBOLD book with each new Market Data Snapshot Full Refresh (tag 35-MsgType=W) message. The MBOLD orders are sorted by price and priority within a price level. Bid-ask encoding is interleaved (first bid, followed by first ask, followed by second bid, followed by second ask, etc). 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.

Book PriorityMDOrderPriorityOrderIDQuantityPriceSide
165365411110100Buy
2703699759120100Buy
376593520130100Buy
45241239015098Buy

MBOLD 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 MBOLD format.

MBOLD Processing Examples

The examples below illustrate how an order book is built and updated for MBOLD processing. The quantity and order count are provided.

Example 1 - Single Update

This example shows a new limit bid order accepted and added to the second 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 MBOLD Book

Order PriorityBid OrderIDBid QuantityBid Book PriceBook PriorityAsk Book PriceAsk QuantityAsk OrderIDOrder Priority
7237665575010111025107833653

New Order Entered

A new order is entered to bid 10 @ 100. A Snapshot (tag 35-MsgType=W) book update is generated:

Snapshot (35=W) 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

3
Data Block 1 - Bid
37OrderID557Order ID
37707MDOrderPriority723766Order priority for execution on the order book

270

MDEntryPx

101

Order price of the Market Data Entry

37706MDDisplayQty50Visible Order Qty
269MDEntryType0Bid - Market Data entry type
Data Block 2 - Ask
37OrderID107Order ID
37707MDOrderPriority833653Order priority for execution on the order book

270

MDEntryPx

102

Order price of the Market Data Entry

37706MDDisplayQty5Visible Order Qty
269MDEntryType1Ask - Market Data entry type
Data Block 3 - Bid
37OrderID709Order ID
37707MDOrderPriority583672Order priority for execution on the order book

270

MDEntryPx

100

Order price of the Market Data Entry

37706MDDisplayQty10Visible Order Qty
→269MDEntryType0Bid - Market Data entry type

Resulting MBOLD Book

Order PriorityBid OrderIDBid QuantityBid Book PriceBook PriorityAsk Book PriceAsk QuantityAsk OrderIDOrder Priority
7237665575010111025107833653
583672709101002



Example 2 - Single Update with Same Price

This example shows a new limit bid with the same price as the top bid order accepted and added to the second 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 MBOLD Book

Order PriorityBid OrderIDBid QuantityBid Book PriceBook PriorityAsk Book PriceAsk QuantityAsk OrderIDOrder Priority
7237665575010111025107833653
583672709101002



New Order Entered

A new bid order is entered to bid 30 @ 101. A Snapshot (tag 35-MsgType=W) book update is generated:

Snapshot (35=W) 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

4
Data Block 1 - Bid
37OrderID557Order ID
37707MDOrderPriority723766Order priority for execution on the order book

270

MDEntryPx

101

Order price of the Market Data Entry

37706MDDisplayQty50Visible Order Qty
269MDEntryType0Bid - Market Data entry type
Data Block 2 - Ask
37OrderID107Order ID
37707MDOrderPriority833653Order priority for execution on the order book

270

MDEntryPx

102

Order price of the Market Data Entry

37706MDDisplayQty5Visible Order Qty
269MDEntryType1Ask - Market Data entry type
Data Block 3 - Bid
37OrderID809Order ID
37707MDOrderPriority923768Order priority for execution on the order book

270

MDEntryPx

101

Order price of the Market Data Entry

37706MDDisplayQty30Visible Order Qty
→269MDEntryType0Bid - Market Data entry type
Data Block 4 - Bid
37OrderID709Order ID
37707MDOrderPriority583672Order priority for execution on the order book

270

MDEntryPx

100

Order price of the Market Data Entry

37706MDDisplayQty10Visible Order Qty
→269MDEntryType0Bid - Market Data entry type

Resulting Book MBOLD Book

Order PriorityBid OrderIDBid QuantityBid Book PriceBook PriorityAsk Book PriceAsk QuantityAsk OrderIDOrder Priority
7237665575010111025107833653
923768809301012



583672709101003



Example 3 - Multiple Updates

This example shows multiple MBOLD updates within a Conflated Market Data interval sent on a single Snapshot (35=W) messageThe book price processing in this example is non-inverted.

Starting MBOLD Book

Order PriorityBid OrderIDBid QuantityBid Book PriceBook PriorityAsk Book PriceAsk QuantityAsk OrderIDOrder Priority
7237665575010111025107833653
923768809301012



583672709101003



Multiple Updates

The following updates occur within the Conflated Market Data Interval interval:

...

Snapshot (35=W) 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

6
Data Block 1 - Bid
37OrderID557Order ID
37707MDOrderPriority923768Order priority for execution on the order book

270

MDEntryPx

101

Order price of the Market Data Entry

37706MDDisplayQty30Visible Order Qty
→269MDEntryType0Bid - Market Data entry type
Data Block 2 - Ask
37OrderID107Order ID
37707MDOrderPriority833653Order priority for execution on the order book

270

MDEntryPx

102

Order price of the Market Data Entry

37706MDDisplayQty5Visible Order Qty
269MDEntryType1Ask - Market Data entry type
Data Block 3 - Bid
37OrderID809Order ID
37707MDOrderPriority923768Order priority for execution on the order book

270

MDEntryPx

101

Order price of the Market Data Entry

37706MDDisplayQty30Visible Order Qty
→269MDEntryType0Bid - Market Data entry type
Data Block 4 - Ask
37OrderID923Order ID
37707MDOrderPriority933072Order priority for execution on the order book

270

MDEntryPx

103

Price of the Market Data Entry.

37706MDDisplayQty25Visible Order Qty
269MDEntryType1Ask - Market Data entry type
Data Block 5 - Bid
37OrderID955Order ID
37707MDOrderPriority583672Order priority for execution on the order book

270

MDEntryPx

100

Order price of the Market Data Entry

37706MDDisplayQty50Visible Order Qty
→269MDEntryType0Bid - Market Data entry type
Data Block 6 - Bid
37OrderID709Order ID
37707MDOrderPriority583672Order priority for execution on the order book

270

MDEntryPx

99

Order price of the Market Data Entry

37706MDDisplayQty10Visible Order Qty
→269MDEntryType0Bid - Market Data entry type

Resulting Book MBOLD Book

Order PriorityBid OrderIDBid QuantityBid Book PriceBook PriorityAsk Book PriceAsk QuantityAsk OrderIDOrder Priority
7237665571010111025107833653
92376880930101210325923933072
933281955501003



58367270910994



Example 4 - No MBOLD Message Update

In this example, a bid order is added greater than the maximum 10 MBOLD depth. Consequently, only a Market by Price (MBP) book update will be sent. 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 MBOLD Book

Order PriorityBid OrderIDBid QuantityBid Book PriceBook PriorityAsk Book PriceAsk QuantityAsk OrderIDOrder Priority
923768809301011102 5107833653 
109010355790101210310303671011
1090555905151013



10912021000101014



109223788851015



702018630251006



801001723101007



831827782251008



64180030220999



781872701159910



New Order Entered

A new order is entered to bid 10 @ 98. No MBOLD message is generated due to the update is outside of the maximum MBOLD book depth of 10. An MBP book update will be sent to reflect the new order.   

Example 5 - All Orders Removed

In this example, an order is canceled to create an empty book. Consequently, an empty Snapshot (tag 35-MsgType=W) book update is generated.

Starting MBOLD Book

Order PriorityBid OrderIDBid QuantityBid Book PriceBook PriorityAsk Book PriceAsk QuantityAsk OrderIDOrder Priority
923768809301011



Order Canceled

Order 809 is canceled. An empty snapshot (tag 35-MsgType=W) book update is generated:

Snapshot (35=W) Book Update

Tag NumberFIX NameValueDescription

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

0