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Inside Markets

  • 3 min read

It is commonly understood that CME private fill confirmations are delivered ahead of public market data. In this study, we set out to validate and quantify this assumption using real measurements.

By matching market data events with corresponding private confirmations, we observed several noteworthy results.

  • Convenience Gateway (CGW) median latency advantage: 16 microseconds
  • In approximately 89% of cases, CGW confirmations arrived before Trade Summary

  • However, in 11% of cases, CGW confirmations were delivered after public Trade Summary data

  • Market Segment Gateway (MSGW) median latency advantage: 64 microseconds

  • 2 min read

CME Trades: Message Ordering and Latency

Whenever a trade occurs on a CME matching engine, the exchange disseminates such information in a sequence of messages.

A few important observations:

  1. The exchange disseminates a Trade Summary Message first for any trade.

  2. 85% of the time other updates, such as Incremental Book updates or Order updates arrive in subsequent network packets.

The above observations prove that there is a significant latency advantage to processing Trade Summary Message and applying it to internal book (which predicts the resulting CME public order book).

How big is the advantage?

On average it is found to be 19.036 microseconds.

  • 3 min read

CME iLink is the CME Group's official order entry protocol - used by trading systems to submit, modify, and cancel orders directly into the CME Globex matching engine. It forms the backbone of CME's direct market access (DMA) for futures and options trading.

  • 2 min read

What Is Order Book Imbalance?

Order book imbalance is a key concept in market microstructure that helps traders interpret short-term supply and demand pressure in financial markets. It refers to the relative difference between the volume of buy orders (bids) and sell orders (asks) visible in the order book at or near the current market price.

  • 4 min read

What Is an Order Book? How It's Built and Why It Matters

In financial markets, the order book is one of the most fundamental concepts. It's where buying and selling interest meets - and where price discovery begins. If you've ever placed a trade on a stock, future, or crypto exchange, your order likely became part of an order book, even if only for a moment.

But what exactly is an order book, how is it constructed, and why is it essential to market microstructure? Let's break it down.

  • 2 min read

Direct Market Access (DMA) 101

Direct Market Access (DMA) allows traders to send orders directly to an exchange without needing an intermediary broker to re-enter the order manually. It is essential for firms aiming for speed, control, and competitive advantage in modern markets.

This guide covers what you need to establish your own DMA setup.