What CME MBO shows on the NQ

The CME has published order by order depth for the NQ (MBO, market by order) for several years. The Trading Floor course explains the principle and the FDAX course compares it with the Eurex version. Here, we look at what this data makes visible specifically on the Nasdaq's thin book, and what it does not.

Aggregate against order by order, on an NQ level

A level at 180 contracts, in aggregate data (MBP, market by price), is a number. In MBO, it is a list: an order of 100 placed forty minutes ago, one of 50 placed two minutes ago, six orders of 1 to 8, and an order of 10 that just appeared after a fill at the same price. DeepCharts' heatmap, iceberg detector and stop run detector only work on the second representation.