Book data for garage-built algo

[Cap'n]

I was referring to MBO (CME).

 

[Robert Morse]

Does level 3 even exist for futures? Are you referring to Dbo?

Yes, the CME offers Level 3, but very few platforms offer it as there is little demand. TT is a sponsor and I believe in an old post they said they offer it, -Market by Order (MBO)

 

[IAS_LLC]

Ah, Rithmic API has that too (since version 10.1 or so). I personally haven't played with that functionality though.