Table of Contents

Quote Feed

The Quote Feed provides real-time market data in two formats: Market by Price (MBP) and Market by Order (MBO).

The available depth and data type depend on the subscription request and the user’s market data setup.

Market by Price (MBP)

MBP provides an aggregated view of the market. It groups orders at each price level, showing either:

MBP Subscripotion

A MBP subscription is configured with DepthBuffer and DepthLevel options.

DepthBuffer

Value Description
NoSubscription Used to unsubscribe the market quote feed.
Slow A buffered feed that provides a reduced rate of updates.
SlowTrade Same as Slow, but will deliver every trade.
Smart A minimally buffered feed that is guaranteed to provide every change to best bid/offer.
SmartTrade Same as Smart, but will deliver every trade.

Note: *Smart* is typically what a trading client front end would use.

Note: The “Trade” buffers are needed when displaying a trade ticker or Time and Sales display, or updating a chart.

Depth Levels

Value Description
Undefined Used during unsubscription.
BestOnly Only the best bid and offer will be provided. (Also called Top of Book, TOB.)
Normal The full depth (as provided by the exchange) will be provided (typically top 10 bids and offers.)

MBP Subscription Example

To receive MBP data, clients send a MarketDepthSubscribe message. 

MarketDepthSubscribe {
   ExchangeId = "CME",
   ContractId = "ESM25",
   MarketId = "XCME_C ES (M25)",
   Buffer = DepthBuffer.Smart,
   DepthLevels = DepthLevels.Normal
}

Unsubscribing

To stop receiving MBP data, clients send a MarketDepthSubscribe message. 

MarketDepthSubscribe {
   ExchangeId = "CME",
   ContractId = "ESM25",
   MarketId = "XCME_C ES (M25)",
   Buffer = DepthBuffer.NoSubscription,
   DepthLevels = DepthLevels.Undefined
}

MBP Message Handling

After subscribing, the following messages are received:

Example MBP message handling: 

private void HandleMarketMessage(ServerMessage serverMessage)
{
    switch (serverMessage.PayloadCase)
    {
        case ServerMessage.PayloadOneofCase.MarketDefinition:
            ProcessMarketDefinition(serverMessage.MarketDefinition);
            break;
 
        case ServerMessage.PayloadOneofCase.MarketSnapshot:
            ProcessMarketSnapshot(serverMessage.MarketSnapshot);
            break;
 
        case ServerMessage.PayloadOneofCase.MarketDepth:
            ProcessMarketDepth(serverMessage.MarketDepth);
            break;
 
        default:
            _logger.LogWarning("Unhandled Market Message: {PayloadCase}", serverMessage.PayloadCase);
            break;
    }
}

Market by Order (MBO)

MBO provides a detailed view of the market by reporting every individual order in the book. Unlike MBP, which aggregates orders at price levels, MBO allows clients to track order-level movements. MBO also allows clients to determine their position in queue in the market.

MBO data includes:

MBO Subscription Example

To receive MBO data, clients send a MarketByOrderSubscribe message. 

MarketByOrderSubscribe {
   exchange_id = "CME",
   contract_id = "ESM25",
   market_id = "XCME_C ES (M25)",
   subscribe = true
}

Unsubscribing

To stop receiving MBO data, clients send a MarketByOrderSubscribe message. 

MarketByOrderSubscribe {
   exchange_id = "CME",
   contract_id = "ESM25",
   market_id = "XCME_C ES (M25)",
   subscribe = false
}

MBO Message Handling

After subscribing, the following messages are received:

Example MBO message handling: 

private void HandleMBOMessage(ServerMessage serverMessage)
{
    switch (serverMessage.PayloadCase)
    {
        case ServerMessage.PayloadOneofCase.MarketByOrderSubscribeReject:
            ProcessMarketByOrderSubscribeReject(serverMessage.MarketByOrderSubscribeReject);
            break;
 
        case ServerMessage.PayloadOneofCase.MarketDefinition:
            ProcessMarketDefinition(serverMessage.MarketDefinition);
            break;
 
        case ServerMessage.PayloadOneofCase.MarketSnapshot:
            ProcessMarketSnapshot(serverMessage.MarketSnapshot);
            break;
 
        case ServerMessage.PayloadOneofCase.MarketOrderUpdate:
            ProcessMarketOrderUpdate(serverMessage.MarketOrderUpdate);
            break;
 
        default:
            _logger.LogWarning("Unhandled MBO Message: {PayloadCase}", serverMessage.PayloadCase);
            break;
    }
}

Delayed vs. Non-Delayed Data

Clients may receive delayed market data if:

A flag on the messages indicates whether the data is delayed. Clients should check this flag before displaying market data.

Field Description
Delayed `true` if the market data is delayed, `false` if real-time.

If delayed data is received, clients should notify users that the feed is not real-time.

Note: T4 does not support delayed MBO data at this time.

Secondary Market Data

In addition to quotes, a market data feed subscription will include secondary market data:

Message Description
MarketDepthTrade If a `Trade` feed is subscribed, the trade ticker is sent as a feed of MarketDepthTrade messages.
MarketHighLow Publishes updates to the high and low prices reached by the market.
MarketPriceLimits Publishes the price limits (bands or collars) set by the exchange for the market.
MarketSettlement Contains the latest market settlement, held settlment, open interest, cleared volume and VWAP information as published by the exchange.