MARKET DETAIL BEYOND THE 10TH LEVEL

July 20, 2017
by VXfintech

Category: Market Activity

Since early 2017, the CME has been rolling out MBO data to all of its products.  This new data gives traders access to market orders on all levels, a huge step-up from just being able to see the first ten levels of the book.  V3 platform is built on the principle that without market data context, you have no idea what is really happening; you have to be able to see every event. Using V3, traders can see every order entered in the market, painting a complete picture of how events unfolded for the first time ever. 

The images above highlight just how much market activity was hidden from traders before the release of MBO.  Understanding what was truly taking place was next to impossible because so much of the activity was hidden.  For example, when an order was deleted from any of the first 10 levels of the book, was it actually deleted or was it just moved outside the 10th level? There was simply no way to know.  You can see an example of this in the image below.

MBO shows what before looked like random participants coming in and out of the market is in fact NOT random but part of a pattern of two orders being moved inside and then outside of the 10th level.  With this ability to see the full book on either side traders can also see what price levels contain a large quantity of orders.

This gives traders visibility to many areas of importance and allows them to continuously monitor them.  With V3, traders can now have the tools to understand what is truly occurring throughout a trading session, which serves as a solid strategic foundation.

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