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Date/Time: Sun, 05 May 2024 18:17:30 +0000

Post From: Sierra Data Feed - Depth Levels Available on Crude Oil Futures

[2019-10-28 04:41:49] Link To Thread - Link To Post [Go To First Post]
uM8137 - Posts: 180
This means CQG market depth data is inaccurate. That we are 100% certain of. Unless they are including the implied order book. We do not. Could SC elaborate on why the implied book is not included? When I read the CME documentation they seem to say that this is necessary (their word is "must") in order to give an accurate book. https://www.cmegroup.com/confluence/display/EPICSANDBOX/MDP+3.0+-+Consolidating+Implied+and+Multiple+Depth+Books "The book update message for a Market by Price (MBP) multiple-depth book reports modifications to prices, quantities, and order count; the data block for an implied prices book reports modifications to prices and quantities. The MBP multiple-depth book should be used in conjunction with the implied prices book to create an accurate book for all contracts with implied functionality. To create a consolidated book, the multiple-depth book and the implied book must be built and managed separately, then consolidated to reflect the current state of the market."