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.
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.
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.
ETFs are marketed as convenient ways to gain access to commodities, rates, crypto, and volatility-but in many cases, they're inefficient, expensive, and poorly designed.
Equities may be marketed as the path for the everyday investor-but under the surface, they've become a maze of fragmented exchanges, slow public data feeds (SIP), and opaque order routing games stacked against retail.
Futures, on the other hand, are often misunderstood as "too complex" or "just for institutions." In reality, they've evolved into one of the fairest, most efficient ways for anyone - retail, HFT, or institutional-to trade.
The SIP (Securities Information Processor) was created to ensure transparency and protect investors by consolidating quotes and trades from all U.S. equity exchanges into a single public feed. But in practice, it's now one of the biggest obstacles to fair and sustainable market structure.
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.