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Which Data Feeds / platforms support MBO Data?
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Which Data Feeds / platforms support MBO Data?

  #11 (permalink)
Sydney Australia
 
Trading Experience: Intermediate
Platform: Rithmic API
Favorite Futures: ES CL
 
Posts: 63 since Jan 2014
Thanks: 11 given, 21 received

there is an open source MDP 3.0 handler available. i am not sure if it is CME Pre-approved. that could be a barrier, but if it works, its actually almost affordable. you can then connect via Beeks or theomne direct to their exchange facing routers. you just need to pay CME professional no-display fees, and then the service fee to use the company's Exchange facing router.

So you get the speed without paying directly for a GLink. its still 10-20x more expensive than retail offerings, but its not 100x.

the other barrier is an FCM that will allow you to manage your own risk. and it is possible if you can prove you have a risk module. but who knows if they will talk to a retail guy

i am considering trying this free MDP handler https://github.com/epam/java-cme-mdp3-handler - it is thousands and thousands of dollars for proprietary MDP handlers.

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  #12 (permalink)
charlotte nc
 
Trading Experience: Master
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I think you are right on this point.

The better play for you would be to find a business that already dabbles in the data space but doesn't have this offering, and license it to them for whatever markup you want. They would then go out and handle the marketing and manage the retail customers, etc. If they already had hundreds or thousands of retail relationships then they can cross sell this easily.

I really do think there is under-served market segment here and solid demand, so it would be a good business model. But it would be more appropriate for an existing data supplier to add this to their service line.

So hey, if you are ever looking to diversify your portfolio even more, and you want some risk free additional revenue, there you go.

Ian


artemiso View Post
I guess another problem is that the business model wouldn't make sense.

Most of the institutional vendors I know focus on providing only the software licensing, this greatly reduces their own operating costs and at the same time they're able to breakeven with just 2 corporate customers paying $10k/month.

Your costs are actually higher to run a public feed because you are running infrastructure, and managing 100+ retail customer relationships is a lot more taxing than 2 corporate clients.

The only way you can make this profitable is to land a sweet licensing deal with a big firm, like Yahoo.


In the analytical world there is no such thing as art, there is only the science you know and the science you don't know. Characterizing the science you don't know as "art" is a fools game.
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  #13 (permalink)
New York, NY
 
Trading Experience: Beginner
Platform: Vanguard 401k
Broker/Data: Yahoo Finance
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LukePoga View Post
there is an open source MDP 3.0 handler available. i am not sure if it is CME Pre-approved.

CME certification only matters to your FCM at the end of the day. They have holes in their test cases too so it's by no means a guarantee that your feed handler does what you want semantically.

The approach you described will cost closer to 45-50x of IQFeed and net you about 1 ms over receiving a well-designed third party feed over WAN.

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  #14 (permalink)
New York, NY
 
Trading Experience: Beginner
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iantg View Post
I think you are right on this point.

The better play for you would be to find a business that already dabbles in the data space but doesn't have this offering, and license it to them for whatever markup you want. They would then go out and handle the marketing and manage the retail customers, etc. If they already had hundreds or thousands of retail relationships then they can cross sell this easily.

I really do think there is under-served market segment here and solid demand, so it would be a good business model. But it would be more appropriate for an existing data supplier to add this to their service line.

So hey, if you are ever looking to diversify your portfolio even more, and you want some risk free additional revenue, there you go.

Ian

Yes, you're probably right.

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  #15 (permalink)
Sydney Australia
 
Trading Experience: Intermediate
Platform: Rithmic API
Favorite Futures: ES CL
 
Posts: 63 since Jan 2014
Thanks: 11 given, 21 received


artemiso View Post
CME certification only matters to your FCM at the end of the day. They have holes in their test cases too so it's by no means a guarantee that your feed handler does what you want semantically.

The approach you described will cost closer to 45-50x of IQFeed and net you about 1 ms over receiving a well-designed third party feed over WAN.

Thanks. Interesting comment on the Cert.

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  #16 (permalink)
Bangkok, Thailand
 
Trading Experience: Advanced
Platform: ZMAPI
Favorite Futures: Commodities
 
Posts: 148 since Mar 2011
Thanks: 288 given, 167 received

Hi,

I'm the developer behind ZMAPI. I'd be very interested in writing a ZMAPI connector module for CME MDP3 and that would support MBO book as well.

Does CME let private persons access their MDP 3 platform for private use only? And if so, then what kind of fees do you think they will charge?

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  #17 (permalink)
Bangkok, Thailand
 
Trading Experience: Advanced
Platform: ZMAPI
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artemiso View Post
By the way, I have a decent architecture for distributing MBO over WAN but I don't pay the $96k per year for the licensing rights to distribute the data realtime. If there's enough interest for it, I'm happy to distribute it at-cost for the community. I have thought of this idea before, but back of the envelope suggests that I need at least 60 subscribers to breakeven at IQFeed-like rates.

I do have the licensing rights to distribute the historical market data, but don't think that's of much use unless you have your own custom platform and are already connected to CME and just need backfill.

For full disclosure, I'm not a vendor and make no revenues selling data, just mentioning this out here in case there's interest to come up with something together as a community.

Interested about this. Do you have direct access to CME MDP3?

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  #18 (permalink)
New York, NY
 
Trading Experience: Beginner
Platform: Vanguard 401k
Broker/Data: Yahoo Finance
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rounder8 View Post
Hi,

I'm the developer behind ZMAPI. I'd be very interested in writing a ZMAPI connector module for CME MDP3 and that would support MBO book as well.

Does CME let private persons access their MDP 3 platform for private use only? And if so, then what kind of fees do you think they will charge?


rounder8 View Post
Interested about this. Do you have direct access to CME MDP3?

Interesting project that you're attempting. As for pricing, CME does let private persons connect directly, it's only an issue of cost and not an issue of qualification.

If you're distributing the data real-time, it's mainly the $96k/year license fee plus the 10G handoff which is $12k/month but you can share it under a vendor for maybe 10-30% of that. For this pricing most vendors I know choose not to act as the distributor and instead they license the feed handler.

Yes I have direct access. I might work on a project to provide the data on a historical basis first in case people want that, but I think live distribution is just too much work right now.

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  #19 (permalink)
Bangkok, Thailand
 
Trading Experience: Advanced
Platform: ZMAPI
Favorite Futures: Commodities
 
Posts: 148 since Mar 2011
Thanks: 288 given, 167 received


artemiso View Post
Interesting project that you're attempting. As for pricing, CME does let private persons connect directly, it's only an issue of cost and not an issue of qualification.

If you're distributing the data real-time, it's mainly the $96k/year license fee plus the 10G handoff which is $12k/month but you can share it under a vendor for maybe 10-30% of that. For this pricing most vendors I know choose not to act as the distributor and instead they license the feed handler.

Yes I have direct access. I might work on a project to provide the data on a historical basis first in case people want that, but I think live distribution is just too much work right now.

The project is something I have to do and I believe most people getting into algorithmic trading have to struggle with something similar. So hopefully the work I share can be useful and initiate some interesting cooperation.

Thanks for sharing this!

$96k/year + connectivity fees is pretty steep.


Quoting 
For this pricing most vendors I know choose not to act as the distributor and instead they license the feed handler.

You mean most vendors are getting a "sub-license" from the feed operator who has the expensive distribution license from CME? So they interface with whatever API the feed operator provides and then provide that data via their own API.

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  #20 (permalink)
Bangkok, Thailand
 
Trading Experience: Advanced
Platform: ZMAPI
Favorite Futures: Commodities
 
Posts: 148 since Mar 2011
Thanks: 288 given, 167 received



addchild View Post
I believe Rithmic api exposes MBO, though I have no experience with them.

As far as I know, cme has no plans of discontinuing itís market by price feed, so I highly doubt mbo will ever make its way to ninjatrader.

I agree thatís itís mostly out of the scope of retail trading, but the way around the financial barrier to entry would be to join a prop firm that already has DMA.

The firm I work for uses mbo, but itís difficult to attribute any explicit financial advantage to it over market by price.


Sent from my iPhone using Tapatalk

I have asked Rithmic about MBO support. According to Jonathan Walden they do support it. They call it "depth by order".

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