Technical details

• Download the Stop & Iceberg Tracker here
• Download the Liquidity Tracker Pro here
• To load any of the jar files into Bookmap, click Settings -> Addons -> Add, and select the jar file

* The CATS addon is in development and will be added soon

MBO stands for Market-By-Order — the data format provided by CME which includes order-by-order full market depth data. This format allows tracking orders throughout their entire lifetime, e.g. from the moment a limit order is submitted, modified, and eventually executed or cancelled.

The MBO bundle includes:

• Stops & Icebergs Tracker (SI Tracker) — displays with 100% accuracy the executions of Stop and Iceberg orders, includes filtering of orders by their size, and more
• Liquidity Tracker Pro (LT Pro) — shows the current state and historical view of the Bid and Ask liquidity in the entire market depth (limit orders). In addition to the LT addon (free), the LT-Pro include filtering of orders by their size
• Customizable Advanced Times & Sales (CATS) [prototype] — a detached times & sales window which shows event by event all the data available to SI Tracker (Stops, Icebergs, true trades reconstruction, etc) and also includes market depth updates (limit orders).

Important: the MBO bundle works only with CME Futures with Rithmic data. Bookmap Global or Global+ subscription is required. Click here for detailed installation guide

Simulation of the data – with SI Tracker and in LT Pro, traders can change indicator’s settings and the indicator displays the updated information instantly for the entire data. This can be done in real time or in Replay mode.

FYI… those addons were developed after intensive research into CME MBO micro-structure. One of the main challenges in the development was performance, because for instance ES (S&P500 E-mini) alone may contain over 10 million data updates per day. All indicators in the MBO bundle are capable of processing millions of events per second and store the data effectively without overloading the RAM

To learn more about the addons, go to Bookmap knowledge base