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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 Priority | Bid OrderID | Bid Quantity | Bid Book Price | Book Priority | Ask Book Price | Ask Quantity | Ask OrderID | Order Priority |
|---|---|---|---|---|---|---|---|---|
| 723766 | 557 | 50 | 101 | 1 | 102 | 5 | 107 | 833653 |
...
| Order Priority | Bid OrderID | Bid Quantity | Bid Book Price | Book Priority | Ask Book Price | Ask Quantity | Ask OrderID | Order Priority |
|---|---|---|---|---|---|---|---|---|
| 723766 | 557 | 50 | 101 | 1 | 102 | 5 | 107 | 833653 |
| 583672 | 709 | 10 | 100 | 2 |
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 Priority | Bid OrderID | Bid Quantity | Bid Book Price | Book Priority | Ask Book Price | Ask Quantity | Ask OrderID | Order Priority |
|---|---|---|---|---|---|---|---|---|
| 723766 | 557 | 50 | 101 | 1 | 102 | 5 | 107 | 833653 |
| 583672 | 709 | 10 | 100 | 2 |
...
| Order Priority | Bid OrderID | Bid Quantity | Bid Book Price | Book Priority | Ask Book Price | Ask Quantity | Ask OrderID | Order Priority |
|---|---|---|---|---|---|---|---|---|
| 723766 | 557 | 50 | 101 | 1 | 102 | 5 | 107 | 833653 |
| 923768 | 809 | 30 | 101 | 2 | ||||
| 583672 | 709 | 10 | 100 | 3 |
Example 3 - Multiple Updates
This example shows multiple MBOLD updates within a Conflated Market Data interval sent on a single Snapshot (35=W) message. The book price processing in this example is non-inverted.
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| Order Priority | Bid OrderID | Bid Quantity | Bid Book Price | Book Priority | Ask Book Price | Ask Quantity | Ask OrderID | Order Priority |
|---|---|---|---|---|---|---|---|---|
| 723766 | 557 | 10 | 101 | 1 | 102 | 5 | 107 | 833653 |
| 923768 | 809 | 30 | 101 | 2 | 103 | 25 | 923 | 933072 |
| 933281 | 955 | 50 | 100 | 3 | ||||
| 583672 | 709 | 10 | 99 | 4 |
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 Priority | Bid OrderID | Bid Quantity | Bid Book Price | Book Priority | Ask Book Price | Ask Quantity | Ask OrderID | Order Priority |
|---|---|---|---|---|---|---|---|---|
| 923768 | 809 | 30 | 101 | 1 | 102 | 5 | 107 | 833653 |
| 1090103 | 557 | 90 | 101 | 2 | 103 | 10 | 303 | 671011 |
| 1090555 | 905 | 15 | 101 | 3 | ||||
| 1091202 | 1000 | 10 | 101 | 4 | ||||
| 1092237 | 888 | 5 | 101 | 5 | ||||
| 702018 | 630 | 25 | 100 | 6 | ||||
| 801001 | 723 | 10 | 100 | 7 | ||||
| 831827 | 782 | 25 | 100 | 8 | ||||
| 641800 | 302 | 20 | 99 | 9 | ||||
| 781872 | 701 | 15 | 99 | 10 |
...
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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