Quote Feed

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

• Market by Price (MBP) – Aggregates orders at each price level, showing the best bid/offer (BBO) or a depth of market (DOM) view, typically up to 10 levels.
• Market by Order (MBO) – Provides a full order book, showing each individual order at its exact price level.

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

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

• Top of Book (BBO) – The best bid and offer.
• Depth of Market (DOM) – Typically the 10 best bid/offer levels.

A MBP subscription is configured with DepthBuffer and DepthLevel options.

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
}

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
}

After subscribing, the following messages are received:

• MarketDefinition – Sent once per market, unless already received via another feed.
• MarketSnapshot – Provides a full market state on initial subscription.
• MarketDepth – Sends incremental changes to depth.

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;
    }
}

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:

• MarketByOrderSnapshot – Full snapshot of the current order book state.
• MarketByOrderUpdate – Incremental updates to the order book.

To receive MBO data, clients send a MarketByOrderSubscribe message.

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

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
}

After subscribing, the following messages are received:

• MarketDefinition – Sent once per market, unless already received.
• MarketSnapshot – A full order book snapshot.
• MarketOrderUpdate – Incremental order updates.

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;
    }
}

Clients may receive delayed market data if:

• They have an expired simulator account.
• Their market data setup only permits delayed data.

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

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

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