CME Expands Views of Order Book Data

CME Group is providing more in-depth look at the order book of its Globex electronic trading platform so that traders can see more bids and offers in the most active futures contracts.

CME Group began rolling out 10-Deep, a new market data product, which is showing 10 levels of market depth, instead of the previous five. Last weekend, CME began rolling out 10-deep in the Chicago Board of Trade commodities and equities products, including futures on grains, oil seeds and the Dow Jones Industrial Average. Next weekend, it will show more bids and offers on the Treasuries, which are CBOT’s most actively traded contracts.

The move follows the CME’s early adoption of FIX Adapted for STreaming (FAST), a data compression methodology, which changes the way CME disseminates market data. While many exchanges are struggling with data overload, CME was able to become more efficient. FAST allows exchanges to reduce the amount of bandwidth needed to transmit a data feed. FIX FAST was developed by the FIX Protocol Ltd., the not-for-profit- organization, to address ever-increasing electronic trading volumes and market data messaging rates.

“Philosophically we’d like to provide as much transparency and depth in the market so they (clients) can make better trading decisions,” said Rick Redding, managing director of products and services at CME Group.

Traders want to see more depth whether they are an algo trader or looking at quotes on a screen, said Redding. They want to see how much liquidity is out there and what impact it is going to have on orders they put in, he said.

Traditionally, the CME has shown five levels of depth of market on its products, but the CBOT showed 10-levels when it acquired the rival exchange in July of 2007. (CBOT was merged onto the Globex platform in January of 2008.) Since "the legacy Board of Trade products were 10 deep before the merger, that’s the logical place to reinstate it,” said Redding.

But CME, like other exchanges, was deluged with so much market data being pumped out that it reduced the CBOT products to five levels of market depth. “We felt the right approach was let’s change the market data piece. Let’s get all the customers to move over to the FIX FAST. That will enable the market to move back to going 10-deep,” said Redding.

The other alternative was to have the customers spend money on bandwidth. Instead of placing the burden on customers, CME felt it should become more efficient on dissemination of market data. “That would make more sense than having our customers make a major investment in bandwidth,” explained Redding. CME did a lot of internal work on coming up with the protocol and figuring out how to do this to really save the bandwidth, he said. Then it worked with all of its clients to get the necessary programming changes made on their end.

According to Redding, FIX FAST compresses the amount of data CME is sending out by 70 percent. “You can take in a lot more messages with the same bandwidth,” he explained. However, FAST is not compressing the data, so that it adds latency to open the message. “We’re talking about a different way to send the data out for people to read it,” said Redding.

Once CME finishes the rollout of 10-deep in the Board Of Trade products, it will start on the NYMEX and COMEX futures products on April 5 and then move through the CME products beginning with equities and foreign exchange.

If clients don’t want to receive all the data, for instance, if they just trade commodities or treasuries, they can subscribe to specific channels of data. However, a lot of CME’s clients want to trade every product. “That’s why we’re changing the way we send this message out,” said Redding.

Customers won’t need to make changes to their systems, though their vendor has to be able to read FIX Fast. CME had the data vendors switch over to the FIX FAST protocol at the end of 2008. (CME previously used the RTC protocol). “Now we’re just starting to pump the data out so that people can pick it up in 10 deep format,” he said. There’s no incremental cost for the extra data, added Redding.

Ivy is Editor-at-Large for Advanced Trading and Wall Street & Technology. Ivy is responsible for writing in-depth feature articles, daily blogs and news articles with a focus on automated trading in the capital markets. As an industry expert, Ivy has reported on a myriad ... View Full Bio