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Yes. And the software provider doesn't pay any license or sub-license fee since it's purely SaaS, it doesn't have any infrastructure component that requires licensing from CME.
It comes out ahead of the MBP message so it's faster. Probably not important unless you're already on FPGA. A lot of FPGA vendors don't seem to understand this actually, and their tick-to-trades are inflated.
You can get direct mdp3 feeds from several providers. You have to pay a lot for 3rd party mdp3 receiver software, or write your own. What benefit is it though if you can’t place orders via same? That’s where the 500,000 Account minimum is required to remove the intermediary risk check. otherwise you can lose a million of your fcm’s money accidentally and have to declare bankruptcy!
Yeah true if I follow what you're saying. Well the main reason why you'd get a vendor's feed handler for MDP3 to parse the direct feed is because it can be a pain to unify the API for multiple venues. There's almost zero reason to use a vendor's feed handler for a direct feed if you're only trading 1-2 exchanges.
Can you tell here or send me as a private message these providers? If they are not cost prohibitive I'd be very interested in getting such direct MDP3 feed.
Coding MDP3 receiver should not be too difficult. MDP3 is using SBE with CME defined templates. In SBE Github page there are open source parsers available for several languages that are very fast.
This would be a connector to ZMAPI and will be open sourced as usual.
they are around 2000usd/month with a colo server to receive via lan.
if you want mdp3 not for performance, but for convenience, i am not sure of any provider that does it on the cheap. someone mentioned above Rithmic. i had not heard that rithmic had a mbo/mdp3 over wan version. so that might be worth investigating.
to read mdp3 you need a handler. there is an open source one for java. the only c++ ones are around $10K minimum. you can find mbo/mdp3 packet spec on CME website so it would be possible to do it yourself obviously if youre an experienced programmer. i have only looked at CME so cant comment on other exchanges, but I suspect each exchange has a slightly different format. so it might not be that convenient after all.
There's the feed handler (provided by software vendor), hosting and transport (provided by colocation vendor), and the handoff for the raw feed, license fees and Globex connectivity fees (managed by the exchange).
(1) There's only 1 raw feed (MDP3), and only 1 way to get it - that's from being on CME's LAN.
(2) You can do it indirectly through a colocation vendor, by paying a vendor like Guavatech/Interactive Data to fan it out to you in their cabinet, or transport it for you out of DC3 with a 10G line but it's all networking, no software. And you still need to pay an indirect access fee to the exchange. Up to this point, there's no software involved. The raw feed (MDP3) just needs to be transported over UDP multicast, it's all networking.
(3) Once you get the raw feed, you need to parse it. A software vendor like QuantHouse/Activ/Bloomberg writes software that parses it. You can choose to receive (a) a parsed feed with their own API or protocol, or (b) take their parsing library and build it into your own software. Or (c) you can write your own.
It sounds to me that you all are formulating different ways to not pay for the exchange fees in (1) or the hosting/transport layer in (2) while receiving MDP3 losslessly. There's no magical software solution that eliminates the need for the hosting/transport layer, the closest you get to that is in approach (3)(a) where the software vendor and its own vendors have already paid for (1) and (2) upstream, but no matter what those fees are going to flow down to you in some form or another or you'll have to trade those fees off with a more watered down feed which requires less bandwidth or a cheaper tier of subscriber license (e.g. delayed).
found this topic and it was very useful for exchange data market understanding
preamble
currently I have a trading algo/robot that trades futures on moex.com (Moscow Exchange). it uses order book analysis to generate signals (100 ms snapshots of orderbook)
moex provides 50 levels of order book (100 lines total bid/ask) which is fairly enough for me
because of successful trading (haha) I've decided to try a "real big markets" and got stuck: it isn't simple to get such kind of order book data
contacted to IQFeed and they said about "10 lines of order book currently"
so my questions is -
is it something changed on the MBO Data market?
is it possible to get such kind of data without big $$ investments ?
is there any broker/data provider that aggregates 50+ levels order book ?
Thanks!
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I think the thread answers most of your questions but in summary Market-by-Price is what most platforms use. This is the standard 10 deep depth of market prices. Market-by-order is where the exchange sends you all the orders and you build your own price book - hence you have the complete price book with full information at every price level. I don't believe any retail platforms offer MBO as it's generally the domain of market makers, HFT, etc and they obviously aren't using retail platforms.
