Market Depth FIX files provide all market data messages required to recreate the order book: 5-10 orders deep in futures markets and 3 orders deep in options markets, as well as trade data for all CME Globex traded products.
Market Depth FIX files provide all market data messages required to recreate the order book: 5-10 orders deep in futures markets and 3 orders deep in options markets, as well as trade data for all CME Globex traded products.