I'm re-opening this thread from a few years ago since it's a question I was about to post in a new thread before I found this one.

Since this thread was started, Bookmap has come on the market and heavily marketed of their use of MBO and the way they present it. I tried Bookmap a while back for a few months and while it was interesting, it never resonated with me. Perhaps that is my fault.

Question 1: To re-state the OP's original question: Are there other platforms or add-ons to existing platforms (i.e. Ninja or MultiCharts), that effectively use and present MBO information in a way that's useful to retail traders?

Question 2: One of the questions I had back when I tried Bookmap was that the big players's algos can submit their orders in rapid fashion so that even MBO will show see the book behind them as it is never presented to the exchange. Does that reduce the effectiveness of MBO data? It seems to me that it would but I'm sure there are folks that know a lot more than I do about the topic.

Thanks!

whuffo 

Question 1: To re-state the OP's original question: Are there other platforms or add-ons to existing platforms (i.e. Ninja or MultiCharts), that effectively use and present MBO information in a way that's useful to retail traders?

Can confirm
Trading Technologies is MBP
Stellar Trading Systems is MBO
As to the OP question I believe that nothing has changed and the only difference between MBP and MBO is that one is limited to 10 layers of depth and the other isn't. So is more than 10 layers of depth informative?

On a slight tangent, right now, trading prompt month Natural Gas, if you have a DOM open that it is 30 ticks wide, you probably only see 4 depths of the order book its that thin!

whuffo 

Question 2: One of the questions I had back when I tried Bookmap was that the big players's algos can submit their orders in rapid fashion so that even MBO will show see the book behind them as it is never presented to the exchange. Does that reduce the effectiveness of MBO data? It seems to me that it would but I'm sure there are folks that know a lot more than I do about the topic.

Exchanges have rather strict messaging policies ( see CME's here and ICE's here ) which don't kick in until you hit 20,000 messages on CME or 100,000 messages on ICE. Both policies score orders, CME based upon what type of order it is and ICE based upon how close to the inside market the order is. Either way flashing lots of orders off market will kill your messaging ratio and unless you are trading massive volume, will subject you to a lot of fines. Software like TT and Stellar (and I assume other top pro or in house software) have functionality to prevent this. In TT it's called 'inside smart quote' and in Stellar its "sensitivity". In its simplest form it says "If this order is more than X ticks away from market stop updating it until it is back within X ticks again". So while I'm not saying people don't intentionally show or even flash orders in the depth of the order book (obviously that's exactly what spoofing is/was), I am saying that many/most people actually go to great efforts to reduce their messaging in the depths of the order book.

Any idea if those MBO providers also provide historical data? This is for academic research. CME does offer historical, but the free tier for academia is not extended for MBO or BBO (top of the book).
Cheers!

hibanzai 

Any idea if those MBO providers also provide historical data? This is for academic research. CME does offer historical, but the free tier for academia is not extended for MBO or BBO (top of the book). Cheers!

I use IQFeed and I am sure they provide the said data in realTime only. I once talked to dxFeed and they said they dont provide historical MBO data "because its a lot of data" - this is most likely indication that they have the historical data (while IQFeed doesnt store this kind of data I would say, so they dont even have the history of MBO) so maybe it makes sense to drop dxfeed an email.

Eubie 

I use IQFeed and I am sure they provide the said data in realTime only. I once talked to dxFeed and they said they dont provide historical MBO data "because its a lot of data" - this is most likely indication that they have the historical data (while IQFeed doesnt store this kind of data I would say, so they dont even have the history of MBO) so maybe it makes sense to drop dxfeed an email.

Actually contacted them along with a myriad other providers and they don't have free samples for students. CME usually does, but for some reason the BBO and MBO aren't part of the package offered to universities.

artemiso 

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.

Reading through the thread, I was wondering artemiso, if you're able to share a few months of historical data if you still have access to it?

Cheers!

hibanzai 

Actually contacted them along with a myriad other providers and they don't have free samples for students. CME usually does, but for some reason the BBO and MBO aren't part of the package offered to universities.

Sorry to hear that.

Can you tell me a bit about what type of research topic you're interested in? Something "academic" such as long memory in order durations (made that topic up), or something closer to trading?

Also what type of data are you after (stocks, futures, options .. )?

Funny ... I just recalled that back in the day (some 14 years ago) I wrote a piece of software for a research agency to allow for fast order book retrieval from historical CME stock data. So in essence, I should have a couple of DVDs somewhere with CME MBO stock data ... but I guess you want newer than from 2008, right?

Eubie 

Sorry to hear that. Can you tell me a bit about what type of research topic you're interested in? Something "academic" such as long memory in order durations (made that topic up), or something closer to trading? Also what type of data are you after (stocks, futures, options .. )? Funny ... I just recalled that back in the day (some 14 years ago) I wrote a piece of software for a research agency to allow for fast order book retrieval from historical CME stock data. So in essence, I should have a couple of DVDs somewhere with CME MBO stock data ... but I guess you want newer than from 2008, right?

I was interested in index futures as it combines all types of trades (speculation, hedging, etc..) particularly the most liquid ES.
It was to do some tests based on pattern execution and time horizon category identification.

You're right, I'd prefer post 2008, as the numbers liquidity and patterns changed. Although, would be interesting to compare and contrast pre and post recession environments. The data is so huge, I don't even attempt to request more than 2-3 months. Bogs down any computer/server in my lab and slows down the research. Mind you, nothing has been slower than finding the historical data. I even concluded to finding top of the book data, as that may suffice. However, even that is difficult to source for free.

If you hear someone with level 2 data for ES or some such, please update this tread if you don't mind, I'll keep an eye.

hibanzai 

Reading through the thread, I was wondering artemiso, if you're able to share a few months of historical data if you still have access to it? Cheers!

Wow the post you quoted was from 4 years ago. How time flies.

I've since then brought the idea and some of my projects that I described in this thread to a startup (Databento), where I've been consulting as one of the lead developers, and we've nearly formalized it into a commercial data feed.

It does the sort of thing you're looking for:

- Streaming 1M rows of ES MBO data as CSV.
- Streaming 1M rows of ES MBO data as JSON.
- Streaming 1M rows of full exchange (500,000+ tickers) MBO data in arbitrary 10 minute time slice.
- Streaming 100k rows of full exchange (500,000+ tickers) as 10 level snapshots (MBP-10) in arbitrary 10 minute time slice.
- Merging 1 second bars of multiple tickers (CLM2 and CLN2 outright, CLM2-CLN2 spread) in arbitrary 90 minute time slice.
(note the above API token will expire in a month)

It's still in a private beta mode, but feel free to ping me if you want to give it a try. I can arrange extra free credits to anyone from BMT.

P.S.: Mods, feel free to delete the post if it violates community guidelines or let me know how to mark vendor affiliation.

artemiso 

Wow the post you quoted was from 4 years ago. How time flies. I've since then brought the idea and some of my projects that I described in this thread to a startup (Databento), where I've been consulting as one of the lead developers, and we've nearly formalized it into a commercial data feed. It does the sort of thing you're looking for: - Streaming 1M rows of ES MBO data as CSV. - Streaming 1M rows of ES MBO data as JSON. - Streaming 1M rows of full exchange (500,000+ tickers) MBO data in arbitrary 10 minute time slice. - Streaming 100k rows of full exchange (500,000+ tickers) as 10 level snapshots (MBP-10) in arbitrary 10 minute time slice. - Merging 1 second bars of multiple tickers (CLM2 and CLN2 outright, CLM2-CLN2 spread) in arbitrary 90 minute time slice. (note the above API token will expire in a month) It's still in a private beta mode, but feel free to ping me if you want to give it a try. I can arrange extra free credits to anyone from BMT. P.S.: Mods, feel free to delete the post if it violates community guidelines or let me know how to mark vendor affiliation.

Desperate times require desperate measures!
Appreciate the share, top top man!