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Want to know where your order sits in the queue?
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Want to know where your order sits in the queue?

  #1 (permalink)
Just a boy
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Want to know where your order sits in the queue?

Well according to this the CME is going to introduce Market by Order functionality starting from Q4 2106.


Quoting 
New - Market by Order: Coming Soon
To increase transparency and provide more choice to customers, CME Group will soon be enabling Market by Order (MBO) functionality in line with the current Market by Price (MBP) service for CME Globex electronic markets.
Key Features:
Ability to view individual queue position and size of individual orders at a price while remaining anonymous
Existing channels enhanced to provide both Price and Order data on a single feed
Historical MBO data available following the real-time launch
DCM and asset class roll out model
Supported by CME Direct
The new MBO functionality will be phased over several months, starting Q4 2016 through Q2 2017.

Not sure what that means for us retail traders ie will our data vendors provide this extra information. Presumably it will cost more than the current data packages.

20160509 - CME Group

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  #3 (permalink)
Market Wizard
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steve2222 View Post
Well according to this the CME is going to introduce Market by Order functionality starting from Q4 2106.



Not sure what that means for us retail traders ie will our data vendors provide this extra information. Presumably it will cost more than the current data packages.

20160509 - CME Group

Thanks Steve. Some tools/platforms already provide this, although it is an estimated figure (TT or Jigsaw, for example).

I wonder whether the higher accuracy that the CME would provide adds more value.

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  #4 (permalink)
Just a boy
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xplorer View Post
Thanks Steve. Some tools/platforms already provide this, although it is an estimated figure (TT or Jigsaw, for example).

I wonder whether the higher accuracy that the CME would provide adds more value.

I have no interest in this myself - just posted for the benefit of others who may.

I don't even look at or use Depth of Market (DoM) data and in fact only subscribe to the Top of Book (ToB) CME data feed.

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Market Wizard
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ICE provide position in queue information already - but I think you have to use WebICE to see it.
@steve2222's original message says "Supported by CME Direct" which makes me wonder whether it will only be available on CME Direct (which is CME's WebICE wanna be web based front end).
If it is available for other platforms I have to wonder how long it will be before TT/CQG/NT/etc modify their platforms to show it.

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xplorer View Post
Thanks Steve. Some tools/platforms already provide this, although it is an estimated figure (TT or Jigsaw, for example).

NinjaTrader 8 provides this. In the SuperDOM, the optional column is called APQ (Aproximate Position in Queue).

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Market Wizard
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NinjaTrader View Post
NinjaTrader 8 provides this. In the SuperDOM, the optional column is called APQ (Aproximate Position in Queue)

As @xplorer said, TT call it EPIQ, but a) it's only an estimate b) it only updates when your specifically viewing that instrument and c) it's not available as a data variable in any of your automated decision making (autospreaders, ADL etc)

For what its worth ICE don't make it available anywhere other than on WebICE so you cant use it in your decision process either.


xplorer View Post
I wonder whether the higher accuracy that the CME would provide adds more value.

It would actually be very helpful for many automated strategies, especially marketing making related ones.

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Market Wizard
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SMCJB View Post
It would actually be very helpful for many automated strategies, especially marketing making related ones.

Thanks SMCJB - I presume you're talking about market making?

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Market Wizard
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xplorer View Post
Thanks SMCJB - I presume you're talking about market making?

Yeap, especially for times when you want (or need) to be on the bid or offer, but would prefer not to actually trade

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Market Wizard
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SMCJB View Post
Yeap, especially for times when you want (or need) to be on the bid or offer, but would prefer not to actually trade

Ok thanks. I know little about market making but I've always wanted to find out more.

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