The Chicago Mercantile Exchange has released two new market data products that provide historical market depth and best bid/offer prices for users creating sophisticated trading algorithms.
The first new product, CME BBO (Best Bid/Offer) provides data on best bid, best bid volume, best offer, best offer volume, last sale and volume of last sale. The second, CME MD (Market Depth), provides the five highest bids and five lowest offers.
The products went live in November and January respectively
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