Support Board

Date/Time: Sat, 27 Apr 2024 16:58:18 +0000

Post From: I noticed today the order book now has the implied book added.

[2019-12-18 03:37:36] Link To Thread - Link To Post [Go To First Post]
uM8137 - Posts: 180
From the CME: "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." -- https://www.cmegroup.com/confluence/display/EPICSANDBOX/MDP+3.0+-+Consolidating+Implied+and+Multiple+Depth+Books If this is the same implied book being discussed here, then it is certainly an important part of presenting an accurate book. Why would you want to discard the most recent updates to the inside quotes?