T
thecrackfox
Does every resting order left in the book, apart from those at the best bid / ask (which will show implied in orders too), show orders placed directly in the ICS order book?
T
thecrackfox
Just got an answer, for anyone interested. CME shows implied in orders at the first two levels and disseminates the data with orders in the spread book separated from orders implied in...
Enormous amount of information on this (I know you figured it out) and all other questions you may have here https://www.cmegroup.com/confluence/display/EPICSANDBOX/Implied+Orders
I'm going through the link @bathrobe posted and I understand about the first 2 levels shown in the implied book, but what is the difference between the spread book and the implied book that I think you were mentioning?
I wouldn't say the "implied book" is a book itself but instead a collection of orders that are in the outright book and the spread book that are purely implied from each other.
For instance, implied orders in the outright book (showing additional liquidity separate from orders that are explicitly in that book) come from the spread books.
Likewise, implied orders in the spread books that are not explicitly spread based orders are coming from the outright books (or other spread books depending on how complex the engine is).
All you need to know is that "implied" == "synthetic" and that is the exchange itself is synthesizing this liquidity based on another book that isn't the same book but heavily related due to a shared common series for the same instrument. It's a way of representing liquidity in more than one place so that all dependent books can benefit from it.
For instance, implied orders in the outright book (showing additional liquidity separate from orders that are explicitly in that book) come from the spread books.
Likewise, implied orders in the spread books that are not explicitly spread based orders are coming from the outright books (or other spread books depending on how complex the engine is).
All you need to know is that "implied" == "synthetic" and that is the exchange itself is synthesizing this liquidity based on another book that isn't the same book but heavily related due to a shared common series for the same instrument. It's a way of representing liquidity in more than one place so that all dependent books can benefit from it.
I want to add to this since we are talking about spreads, it it's next to impossible to beat traders with infrastructure, coding skills and much faster connections than retail behind them.....I tried for many years using TT's autospreader and legging using ADL, still use TT though (also getting hung is devastating). I only trade ICS spreads now and also look at opportunities across all time frames.