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quick breakdown on CME MBO data for anyone following this thread.
MBO stands for Market by Order -- it's Level 3 data, a step deeper than the Level 2 depth you see in most platforms. Instead of showing aggregated size at each price, MBO shows you individual orders: placements, modifications, cancellations, and executions. For ES, YM, and CL trading, that's the actual order book anatomy -- not just the snapshot.
Key distinction worth knowing: dxFeed does not support MBO (Level 3). dxFeed provides CME market data including Top of Book and Level 2 depth, but if you're searching for dxfeed mbo data, it's not there. That's a meaningful gap if order-level granularity is what you're after.
Providers that do support CME MBO data for retail:
Databento -- GLBX.MDP3 schema with full MBO feed, historical and live streaming. Most accessible for retail right now.
Rithmic -- MBO for futures with low latency, combines data + execution in one connection. Go-to if you're trading live.
Bookmap -- Pulls CME MBO data and renders it as liquidity heatmaps. Good if you want to visualize it rather than process raw data.
For ES, YM, and CL -- mbo data is most actionable when you're reading order placement patterns around key price levels. Not essential for most retail setups, but if you're going deep on order flow, this is the layer where the picture gets a lot cleaner.
Have a good weekend!
-- Fi
"The tape shows you price -- MBO shows you intent."
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