First Published 4th May 2016 "CME will introduce a market data feed featuring all individual orders, also known as "Level 3 Data", on its CME Globex electronic markets platform in the last quarter of 2016. CME will gradually add the feed to its existing market data channels. Futures Other exchanges, notably many stock exchanges as well as CME's main competitors Eurex and ICE, have had market data featuring individual order granularity for some time. The data will provide more transparency on orders than CME Globex's existing solution, which offers traditional depth of market data featuring 10 best bid levels and 10 best ask levels (sometimes referred to as "Level 2 Data"). It displays price, the quantity of contracts at that price and the number of orders making up the total quantity. By comparison, CME's MBO (Market By Order) solution will display all the individual orders in the book. This will result in significantly increased bandwidth. The group expects that the increased transparency and level of depth of the order book will improve confidence in execution, by allowing traders to locate the position of their orders in the queue without any uncertainty. Previously, traders would have to roughly estimate their queue position. The CME is also planning to make some historical order data available later in 2017." http://www.automatedtrader.net/news/at/155484/cme-to-launch-market_by_order--level-3-data-solution
I heard from some friends in Chicago that this was rumoured. Will wait for the CME press release for confirmation. If true it's great news as the added transparency will make order management more reliable and possibly open up some new opportunities to extract alpha.
@IAS_LLC does this mean we can stop coming up with crazy Bayesian stuff for Q position? Doesn't sound too bad...
No. I think AutomatedTrader are just voicing the rumours. I wouldn't expect anything official from the Merc for a while.