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Date/Time: Fri, 29 Mar 2024 08:12:43 +0000



Post From: Denali Data Feed to Offer Market by Order Support in December!

[2020-12-17 08:09:57]
User311344 - Posts: 136
and there currently already is a method to combine trades into the original summary trade

Well you dont provide any infromation what is your algo to combine those trades.

But CME clearly stated in this MBO specs document how MBO provides true identification of iceberg orders so thats why I asked if you plan to use them to combine fills of larger order based on native exchange information not your proprietry algo:

https://www.cmegroup.com/education/market-by-order-mbo.html

Exchange-assigned OrderIDs are unique per order and are consistent for the life of the order. When CME Group-held iceberg orders (referred to as native icebergs) have displayed quantity refreshed, the refreshed order will have the same OrderID as the original order.

For those concerned this function gives other participants greater ability to detect presence of iceberg, we recommend evaluating third party offerings that include ISV-held iceberg orders (synthetic iceberg where total quantity is managed off-exchange by ISV server).

Refreshed quantities from these systems are treated as new orders to the exchange and receive a new OrderID. CME Direct will add synthetic iceberg support in the August 2017 release.

Attached original screen shot from CME page.
Date Time Of Last Edit: 2020-12-17 08:10:32
imageorderid_iceberg_mbo.jpg / V - Attached On 2020-12-17 08:09:45 UTC - Size: 93.61 KB - 400 views