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Date/Time: Sat, 27 Apr 2024 22:34:03 +0000

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

[2019-12-18 05:17:39] Link To Thread - Link To Post [Go To First Post]
uM8137 - Posts: 180
> If it made sense for implied depth to be included, the CME would do it themselves. It makes no sense to exclude it if it is actually meant to be part of the standard order book. You need to read the section was cited and actually understand the CME documentation. Go through the table examples slowly and methodically. The implied depth are real orders. They update the 2-level book of the most recent insides. These most important and frequently updated values are published separately from the rest of the deeper orders for bandwidth efficiency purposes; since these are the most important and most frequently updated quantities, it makes sense not to have to duplicate the rest of the book in the packets when these are updated. The CME makes it very clear that to have an accurate book you must merge the two books they publish. Only together do you get the "standard book" with the complete picture. I think the name "implied book" may be confusing you. There is no requirement that the "implied book" updates contain only implied legs from a spread. Date Time Of Last Edit: 2019-12-18 05:56:10