What products let me see the SEQUENCE of the Level-2 / Market Depth queue?

[d0rian]

(Specifically I'm interested in the Montreal Options Exchange, and to a lesser extent Toronto exchange, but would be interested in US exchanges too.)

I purchase Level 2 / Depth-of-Market data from IB, but I want to be able to see the sequence of the Level 2 queue; e.g. if I bid $1.50 for 10 contracts, and my Level 2 panel is showing that the highest live bid is 40 contracts @ $1.50 (of which 10 are mine), I want to know who's A, B, C, etc in the queue so that I know who's at "the front of the line" if a seller doesn't want to fill all the $1.50 bids.

I don't think IB offers any product to let me see this, but seems like something that should exist somewhere given its utility.

Can anyone point me in the right direction?

 

[i960]

Nobody offers this. TT (or maybe CQG) can attempt to predict it if it has enough information, but it's impossible to be 100% accurate.

 

[OTM-Options]

(Specifically I'm interested in the Montreal Options Exchange, and to a lesser extent Toronto exchange, but would be interested in US exchanges too.)

I purchase Level 2 / Depth-of-Market data from IB, but I want to be able to see the sequence of the Level 2 queue; e.g. if I bid $1.50 for 10 contracts, and my Level 2 panel is showing that the highest live bid is 40 contracts @ $1.50 (of which 10 are mine), I want to know who's A, B, C, etc in the queue so that I know who's at "the front of the line" if a seller doesn't want to fill all the $1.50 bids.

I don't think IB offers any product to let me see this, but seems like something that should exist somewhere given its utility.

Can anyone point me in the right direction?

What for?

If your $1.50 bid doesn't get filled why not just raise it until it does get filled? Or better yet just accept the ask and get your order filled. Leave the games for the other guys.

 

[KENMORA]

(Specifically I'm interested in the Montreal Options Exchange, and to a lesser extent Toronto exchange, but would be interested in US exchanges too.)

I purchase Level 2 / Depth-of-Market data from IB, but I want to be able to see the sequence of the Level 2 queue; e.g. if I bid $1.50 for 10 contracts, and my Level 2 panel is showing that the highest live bid is 40 contracts @ $1.50 (of which 10 are mine), I want to know who's A, B, C, etc in the queue so that I know who's at "the front of the line" if a seller doesn't want to fill all the $1.50 bids.

I don't think IB offers any product to let me see this, but seems like something that should exist somewhere given its utility.

Can anyone point me in the right direction?

(Specifically I'm interested in the Montreal Options Exchange, and to a lesser extent Toronto exchange, but would be interested in US exchanges too.)

I purchase Level 2 / Depth-of-Market data from IB, but I want to be able to see the sequence of the Level 2 queue; e.g. if I bid $1.50 for 10 contracts, and my Level 2 panel is showing that the highest live bid is 40 contracts @ $1.50 (of which 10 are mine), I want to know who's A, B, C, etc in the queue so that I know who's at "the front of the line" if a seller doesn't want to fill all the $1.50 bids.

I don't think IB offers any product to let me see this, but seems like something that should exist somewhere given its utility.

Can anyone point me in the right direction?

I couldn't imagine how this could be reliably accomplished. For futures markets, the queue could likely be estimated with some degree of accuracy. If I remember correctly, Xtrader can provide an estimate of this. As i960 pointed out, TT and CQG may as well.

When you start dealing with fragmented markets and highly automated options market making, I would doubt how useful the information would be anyway. In options, you can have hundreds of contracts on the bid and offer at any given time, but very few (if any) will trade before the bids and offers move. The constant shuffling of orders in options markets by market making firms to move with the underlying asset's price makes the queue somewhat irrelevant. From experience, you may be bidding 20 call contracts among 2500 spread across 5 or 6 market centers. The price of the underlying may drop, 2480 calls disappear from the bid (without trading) and your 20 is waiting on the bid to get swiped by a market maker or someone who finds an arbitrage opportunity.

Further, knowing the actual pecking order when dealing with a highly fragmented market may be a matter of experience for that particular asset and market - i.e. the probability of getting a fill on one venue as opposed to other ones at the same price.

 

[d0rian]

Thanks for the answers, all. Your thoughts about the complexity of producing such a feed make sense. Didn't really think of it, since I primarily trade Canadian options on the Montreal exchange, which has relatively thin volume compared to US exchanges. Moreover, IIRC Montreal's not an open auction-style marketplace with a dozen brokers / multiple pools...IOW, action is pretty slow on the contracts I'm looking at: Bid/Asks don't change much unless the underlying moves, and it's pretty rare to see manual / odd lot orders posted.

In short, I only asked because it seemed like a rather straight-forward uncomplicated feed to provide, and one that would be very useful given the contracts I'm trading, but it sounds like they're outliers of sorts, and that exchanges don't provide feeds like this b/c in the majority of use cases they'd be too complex / of less utility than my particular case. Feel free to lmk if I've misinterpreted anything. Thanks.