FIX Market Data

The Zero Hash CLOB market data gateway.

The Zero Hash Central Limit Order Book (CLOB) leverages the Market By Order (MBO) data schema for its FIX market data feed. MBO provides detailed order-level market data, allowing participants to gain insights into the order book depth and individual order details.

Market By Order

  • Market Data Structure: In an MBO feed, market data is structured at the individual order level, providing information about each order in the order book. This includes details such as order price, quantity, side (buy/sell), and other relevant attributes.
  • Real-Time Updates: MBO feeds provide real-time updates on the state of the order book. Whenever there is a change in the order book, such as a new order being placed, an order being canceled, or an order being executed, the MBO feed sends out incremental updates reflecting these changes.
  • Granular Information: MBO feeds offer granular information about the liquidity and trading activity in the market. Traders can see not only the aggregated bid and ask prices but also the individual orders contributing to those prices. This level of detail helps traders make more informed trading decisions.
  • Order Execution Transparency: By providing visibility into individual orders, MBO feeds offer transparency into the execution process. Traders can see how their orders interact with the rest of the market, which can be particularly useful in highly liquid or volatile markets.
  • Compatibility with FIX Protocol: MBO market data feeds are implemented using the FIX protocol, a widely adopted standard for electronic trading communication. FIX 5.0SP2 defines specific message types and fields for handling MBO data, ensuring interoperability between different trading systems and market participants.
  • Comparison with Other Standards: MBO is similar in concept to other market data formats, such as Market By Price (MBP) and Market By Order with Aggregated Depth (MBOAD). However, MBO provides the most detailed view of the order book by representing each order individually, whereas MBP aggregates orders at each price level. MBOAD combines elements of both MBO and MBP by providing aggregated depth alongside individual order details.

Market By Order (MBO) market data feeds in FIX 5.0SP2 offer a granular and transparent view of the order book, providing traders with detailed information about individual orders and real-time updates on market activity. Its compatibility with the FIX protocol ensures seamless integration with existing trading systems and interoperability with other market participants.