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Data feed, execution, platform — and why MBO data matters

Data feed, execution, and platform are three different layers. MBO shows individual anonymous orders instead of only the total per price level. Once you know these differences, you stop confusing a glowing chart with a properly connected account.

Three layers. Three different jobs.

Data comes to you. Orders go through the account connection. The interface makes both visible — if it is connected for that purpose.

  1. Data feed

    What do I see of the market?

    Prices, trades, and order book data: MBP or MBO, exchange, depth, and entitlements.

  2. Execution

    Where are my orders processed?

    The connection to the specific account: order entry, changes, cancels, and status messages.

  3. Platform

    Which window do I work in?

    Display, analysis, and possibly an order ticket, such as Bookmap or a compatible trading interface.

The layers are logically separate, not a mandatory wiring order. One product can cover several jobs; a data subscription alone does not open a trading account.

MBP vs MBO: the same total, two stories

Fictional visible orders on a single price level. Both variants add up to 200 contracts in 12 orders — no live data and no buy or sell signal.

MBP — aggregated

Example price level: 5,000.00

Contracts
200
Orders
12

200 contracts, 12 orders. The individual sizes and their distribution are missing from this summary.

MBO — individual orders

Example price level: 5,000.00

Fictional individual orders at the same price level
Priority*OrderID*Contracts
1O-001180
2O-0022
3O-0032
4O-0042
5O-0052
6O-0062
7O-0072
8O-0082
9O-0092
10O-0102
11O-0111
12O-0121

One visible order of 180 contracts plus eleven small ones totaling 20. The MBP total does not reveal this concentration.

* IDs and priority ranks are invented teaching values, not real CME identifiers. MBO remains anonymous and describes visible orders — not their owners, hidden total size, or future execution.

Three layers — and why your chart is not your account

“I use Rithmic.” Sounds unambiguous, but it does not answer which program you are looking at or where your orders land. Separate data feed, execution, and platform. The data feed delivers information from the market; execution is the connection through which orders are accepted, changed, and cancelled; the platform is the interface for display, analysis, and possibly order entry.

One product can cover several roles. They are still three different questions: Which data do I get? Which account does the order connection control? Which software shows me all of it? A moving chart only proves that data is arriving — not that the order ticket open next to it is attached to the right account. NinjaTrader or Tradovate in a name is no substitute for a confirmed connection for your specific assessment.

MBP: what is behind 200 contracts at one price?

MBP stands for Market by Price. According to the CME FAQ, this format bundles the visible quantity per price level and additionally states the number of orders. The CME MBP described there broadcasts the best ten price levels; that limit is not a blanket statement about every feed at every exchange.

If it says “200 contracts, 12 orders”, you know the total and the count. You do not reliably know how large each individual order is or where exactly your order sits in the queue. 200 divided by 12 gives roughly 16.67 — an average, not a picture of the individual orders. Behind it could be twelve similarly sized orders, or one with 180 contracts and eleven small ones. The same total, a completely different composition.

MBO: individual orders instead of only the price total

MBO stands for Market by Order. CME describes individual orders across all price levels of the order book, each with an anonymous OrderID and a PriorityID for sequencing. That makes order size and queue position much more precisely traceable. The OrderID names an order, not the person, bank, or firm behind it.

“Full depth” means the published scope of the order book, not knowledge of every invisible intention or hidden total size. Native iceberg orders can refresh their displayed quantity under the same OrderID; synthetic icebergs can get new IDs. So from 180 visible contracts you can reliably read neither the owner nor a future market move. More detail is more information — not a signal and no execution guarantee.

Why Rithmic is relevant in the Iceberg Futures context

The public Iceberg documents name Rithmic access credentials with the futures challenge and Bookmap via Rithmic with your own Bookmap license. Bookmap documents CME MBO data and full order book depth for Rithmic. That connection can therefore enable a more detailed order-flow analysis, provided the necessary data entitlements and matching licenses are in place.

The important catch is activation: “Rithmic access available” does not automatically mean “every data package and every analysis add-on included.” For your specific account, clarify CME MBO, level-2 entitlements, gateway, allowed parallel sessions, and extra costs. The Bookmap license remains your own; special MBO tools can also have their own package or add-on requirements. Assessments are simulated. Analysis on real market data does not turn the assessment account into real live capital.

Analyze via BookmapData, execute through another connection?

Bookmap confirms CME real-time MBO with full depth for BookmapData. You can therefore think of the analysis running over this data path while organizing execution separately through your permitted account — for example via Rithmic, Tradovate, or another supported connection. That can also mean: Bookmap for analysis, a separate interface for orders.

Whether direct order entry from Bookmap, cross-trading, or parallel connections work with your account is something you have to check against the specific integration, license, and provider rules. The two windows are not an automatic connection. Especially with different data sources, instrument, contract month, and account have to match. Tradovate here is a general example of a possible execution path, not a confirmed Iceberg connection.

Does dxFeed provide MBO data?

No. dxFeed does not provide MBO data. Full depth and individual-order granularity are not the same thing. In its futures overview, Bookmap lists dxFeed with “full depth,” while Rithmic is listed expressly as “MBO & full depth.” dxFeed does not deliver market-by-order data.

If you use dxFeed, do not count on individual OrderIDs and priority information. For MBO, the routes named here remain Rithmic and BookmapData, each with the required entitlements.

What does the complete workstation cost — and what happens in an outage?

A fictional cost example, not current software or data prices: a $525 assessment plus $40 of software and $30 of data per month adds up to $595 in the first month; after three months $735, if all three monthly fees apply. The assessment fee comes from the confirmed futures $50k calculator price; the $40 and $30 are pure arithmetic assumptions. Check included data, your own license, optional add-ons, and cancellation separately.

A feed outage, a rejected order, and a frozen interface are three different problems. Who is responsible for each? How do you recognize open orders? Which alternative connection does your provider allow? The historical True Forex Funds/MetaQuotes case of 2024 illustrates platform dependency, not the current quality of any other provider. This page explains technology and review questions — no trades, signals, or profit promises.

Sources and context

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