Crude oil (CME CL) is currently showing current price plus or minus 50 ticks resting orders on DOM. It use to be just plus or minus 10 ticks. Anybody know if CME changed policy just for CL?
Crude oil Dom
- Thread starter bmw335isedan
- Start date
Possibly due to the MBO update that the CME is slowly introducing, see: http://www.cmegroup.com/confluence/display/EPICSANDBOX/Market+by+Order
What platform is displaying 50 levels?
I believe the number of levels (for CL specifically) has not changed: it's still 10 levels. However, there is a new CME enhancement to its MDP3 data dissemination protocol, called "Market by Order", where CME disseminates separately all orders for each of the 10 levels, whereas before all orders were lumped together for each price level.
http://www.onixs.biz/news/cme-mdp-mbo-updates.html
http://www.cmegroup.com/confluence/...rket+by+Order#MarketbyOrder-KeyEventsandDates
From the official CME document "For MBO there is no maximum number of orders or depth allowed on the book. All MBO book updates for an instrument within an event must be processed before the MBO book is valid."
So it sounds like MBO and MBP will run side by side, providers using MBP will display the traditional 10 levels, providers with MBO data can in theory display the entire book.
Who is your data provider and what platform?
AMP Futures with CQG data, Sierra Chart platform package 3
Yep, I misunderstood the MBO. Looks like MBO will indeed show the entire book, and not just the top 10 levels.
bmw i noticed ur a day trader, or at least know how, i was wondering if i can have ur input on this please, if possible would be appreciated,
https://www.elitetrader.com/et/thre...soned-swing-trader.306263/page-3#post-4396881