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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

...

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



...

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.

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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



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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.

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