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MBO Bundle addon

Posted: Mon Apr 06, 2020 1:05 pm
by ten
your blog has a description of this addon
1) "he S-I Tracker precisely displays the transactions of Stop Orders and Iceberg Orders with 100% accuracy."
2) "The SI Tracker also identifies Iceberg Order transactions. No more guesswork is required since CME MBO data assigns iceberg order transactions with unique OrderIDs. Note the Bookmap Global + version already includes iceberg detection, however this indicator is based on microstructural events and false positives can occur. The SI Tracker displays Iceberg transactions with 100% certainty due to MBO data. "

That is, you yourself confirm that the Iceberg algorithms built into the BOOKMAP are not always correct and are likely to mislead the user at any time? :shock:

this begs the following question:
why do you know that your algorithm works with errors, do not fix it in BOOKMAP itself?
The CME exchange delivers the same MBO data to all intermediaries

if some suppliers are unsuitable for analyzing iceberg due to the fact that they give the user a low-quality date, then there can be no conventions - if the market date is low-quality then any algorithm there will show not what it really is

there are not so many high-quality suppliers and it is enough to warn users not to mislead them

:shock: I don’t understand why you have 3 algorithms that are not clear what they show if there is an exchange algorithm (native) and there are synthetic icebergs CME exchange ?(dxFeed provider indicates the same)

:shock: I do not understand why you did not introduce the algorithm (native) patented by the CME exchange for all suppliers with a high-quality market date? default

do you use the algorithm(native) described by dxFeed? (dxFeed API) dxFeed API

And now you are selling an algorithm (native) for the Rithmic

This is some kind of nonsense. :shock:


Squeeze (market or market stop orders) is more clearly visible where?
1) I see the size of the trade
2) I see the hidden part
3) I see how many glass levels the market went through
4) I can turn on the display of point 1 of the order and the last one where the squeeze ended
5) I can filter the sizes to avoid a bunch of junk on the chart

you need to separate the market orders so that there is no confusion (passive and squeeze) and make a different depth of color so that they do not overlap (for those who want to have this kind, this is like an alternative view, your standard spread with compression is an excellent type of chart)

there is another order in the picture (108)
this is not a squeeze, this is an ordinary passive order, passed per unit of time and at 1 price
I can also select such orders by size
this view is suitable for graphs of 1min and higher

no need to reinvent the bike with stripes and sell it as a separate 100% stopmarket-iceberg indicator
it has long been done by other developers
combining everything in an iceberg order is a very stupid approach,you plus those who know something and fools


all this is implemented by other developers. and if you will divide such things into pieces and sell as separate 100% indicators, I think that your users will simply leave

Re: MBO Bundle addon

Posted: Mon Apr 06, 2020 10:16 pm
by macbartin
Bookmap want to make money with monthly payment  :lol:
for me "icebergdetector" is not iceberdector because on this setting there are a time setup.

Re: MBO Bundle addon

Posted: Tue Apr 07, 2020 11:37 am
by ten
macbartin wrote:
Mon Apr 06, 2020 10:16 pm
Bookmap want to make money with monthly payment :lol:
for me "icebergdetector" is not iceberdector because on this setting there are a time setup.

i think this is a bad example
there is a standard for orders and that’s all, it can’t be: - Hey, here we (probably) 50% and here already (probably) 99% - this is the kitchen
where is the guarantee that in this program in general everything works at 50%?
to trust such kitchen tricks? I won’t advise such a product to my friends
Iceberg OrderIDs
Exchange-assigned OrderIDs are unique per order and are consistent for the life of the order.  When CME Group-held iceberg orders (referred to as native icebergs) have displayed quantity refreshed, the refreshed order will have the same OrderID as the original order. 

For those concerned this function gives other participants greater ability to detect presence of iceberg, we recommend evaluating third party offerings that include ISV-held iceberg orders (synthetic iceberg where total quantity is managed off-exchange by ISV server).

Refreshed quantities from these systems are treated as new orders to the exchange and receive a new OrderID. CME Direct will add synthetic iceberg support in the August 2017 release.
it took 4 years for them to be able to give birth to an "MBO Bundle" and still sell it
what the hell in the heads of those who pay them every month?
after all this, you should check all the functions of this program for errors
well, the fact that they are selling you spoiled goods is confirmed by the cmegroup website and the kitchen appliance - MBO Bundle (which must be checked again, again!)    :lol:

Re: MBO Bundle addon

Posted: Tue Apr 07, 2020 1:49 pm
by Zack
“That is, you yourself confirm that the Iceberg algorithms built into the BOOKMAP are not always correct...?” “why do you know that your algorithm works with errors, do not fix it in BOOKMAP itself?”

Let me explain...
 Some exchanges (incl. CME) offer Iceberg order and Stop order functionality to allow traders to hide their intentions from other traders. Naturally, this information is not provided as market data to data subscribers. 

“ I do not understand why you did not introduce the algorithm (native) patented by the CME exchange for all suppliers with a high-quality market date? Default”

I’m not aware of such a patent (would appreciate a reference) but it wouldn’t make sense for CME to patent an algorithm that detects information which they intend to hide. Stop orders and the bottom of Iceberg orders are hidden until triggered. However, CME does admit that their Market-by-Order (MBO) data makes it possible to detect Iceberg orders and they recommend usage of “synthetic” Iceberg orders (which are essentially automatically managed regular limit orders) for those who are concerned about it.

The detection provided by Stops & Icebergs Tracker (SIT) is based on our internal research. It’s very specific to the CME’s MBO data and specific to sequences of events produced by their matching engine. It wouldn’t work on data of any other exchange. Also, it doesn’t work with just any CME data, but with undamaged MBO data only (which is today provided only by Rithmic).

In addition to multiple direct connections to Crypto exchanges, Bookmap supports 12 market data providers for futures and stocks including several CME data vendors (here is the full list). We created these connections to allow Bookmap users to use their preferred Broker and data vendor and because some brokers offer specific data vendors only. Unfortunately, other data vendors are either incapable of transmitting MBO data (probably due to a bad infrastructure design decisions many years ago) or post-process it (probably to “optimize” it for users or their standards) in a way that damages the information, that is essential for advanced order-by-order analysis. Indeed, all data vendors provide a different format of market data from the same exchange. I mean the difference from the information perspective, not whether it’s JSON over a websocket or a C++ API. 
 To support these data sources we’ve developed Iceberg tracker, in Global+ package which includes two modes:
  1. ‘Underflow’ - matches the trade size that exceeds the available size in the order book - aims to detect the “native” Icebergs
  2. ‘Resistance’ - detects how many orders instantly added to a price level after a price change - aims to detect the “synthetic” Icebergs
Both algorithms are generic and can work with Market-by-Price (MBP) data. Both algorithms are fully described on Bookmap’s wiki. Unlike SIT, they provide an approximation, sensitive to the quality of the market data.

We do claim that Bookmap’s Stops & Icebergs Tracker provides 100% accurate detection of native Iceberg orders (except their still hidden size), execution of Stop orders, reconstruction of the Aggressor order (incl. its actual size and limit price if it was just partially executed), and some other insights which are not displayed in any way yet. If you imply availability of other retail solutions that provide the same or better quality and/or performance, we would gladly accept a challenge to compare them.

We would be willing to provide the best data and best addons that are based on MBO henever possible, in other addons we try to  (such as Large Lot Tracker, order flow imbalance and order book imbalance) are less affected by the data quality provided and the detections are almost identical between the providers

In regards to the second part of your message, I don’t fully understand what you mean but it seems there are some erróneous statements about the market data and algorithms for detection of (probably) Icebergs and Stops. 

Regarding the pricing, as mentioned in another thread, we, as well as other 3rd parties will add new / unique addons to Bookmap marketplace. Some of the addons will be offered for free and some paid.
 We plan to add new features to Global/Global+ packages and also adjust the pricing of the addons. Note that also today Global+ doesn’t cover all addons. For example, the ability to connect your own data is provided only in Quant solution for $499/mo


Re: MBO Bundle addon

Posted: Tue Apr 07, 2020 2:42 pm
by ten
"Some exchanges (incl. CME) offer Iceberg order and Stop order" - these are exchange algorithms do you understand this?

described     dxfeed  the "native" detection algorithm is a standardized method and the only
this is the flip side - what the exchange itself does inside the kernel when it receives a message about an incoming request for processing an iceberg,there are no more options - do you understand this? this is how the iceberg executes inside the kernel ... exchanges

the synthetic algorithm is an external device, the exchange does not know about it and also does not know on which algorithm the order will be executed

you fool people’s head, the "native" has become easier to identify with the launch of the MBO and you could turn it on 4 years ago and not now, selling as an additional stray ....

Re: MBO Bundle addon

Posted: Tue Apr 07, 2020 2:54 pm
by ten
it's not something wow
the exchange gave retail the opportunity to better identify the "native" algorithm
at the same time they immediately said - hey guys do not worry
you still have the opportunity to hide your track through an external device about which I do not know
this step only outwardly sounds like - I became more transparent, nothing has changed for those who are hiding
they just changed software

Re: MBO Bundle addon

Posted: Tue Apr 07, 2020 5:48 pm
by Zack
Since we are discussing Stops & Iceberg tracker addon, I’d like to briefly highlight its functionality
  • Bookmap’s Stops & Icebergs Tracker works with Rithmic CME/MBO data and provides 100% accurate detection of:
    • Execution and tracking of Native Iceberg orders
    • Executions of Stop orders
    • The true size of the Aggressor order even if it wasn’t fully executed. In such cases its limit price is also computed
  • Ability to apply order size filter for any of the above
  • Instant computation and display of each update. Not once per minute or once per second, but whenever it happens.
  • Displays indicators’ values from the time of instrument subscription, not from the moment of enabling it
  • Processes 5 millions of market data events in a second. This allows to recompute the indicator instantly whenever user changes the settings
 Let me explain what I understand and what I believe you are missing:
  • CME offers Iceberg orders functionality to allow traders to hide their intentions from other traders. - this is the ‘native’ option discussed
  • CME Matching Engines process these all supported orders based on their Matching Algorithm  which is transparent and public per each product, e.g. ES is processed according to Price-Time priority.
  • Probably you are confusing the Matching Algorithm with algorithms for analysis of the market data produced by the matching engines. The latter are not offered by CME. But given high quality data, it’s possible to develop, for instance, a detector of “native” Iceberg orders. The proprietary algorithm we developed locates areas where iceberg and stop orders were triggered after the iceberg and stops were executed.
  • From the exchange perspective, there are no “synthetic” Iceberg orders -- these are just regular limit orders.
  • MBO data is still not provided by most retail providers (actually, by none of Bookmap supported providers except Rithmic). Rithmic allowed MBO data on the same day when CME launched it, almost 3 years ago. Bookmap developed the MBO connection and the SIT (former ACVD) addon when our team decided so. Besides, detection of “native” Iceberg orders is just a part of its functionality.
From the preliminary experience with Stops & Icebergs Tracker by some of Bookmap active users  it got positive feedback. One professional individual trader tripled his P&L consistently, and a hedge fund group even advised us to keep the addon proprietary or as a custom solution only. 

Regardless of the above details. If you want me to continue taking part in this conversation, which I’m sure you would benefit from, you have to use a more civilized tone and refrain from disparaging innuendos such as “do you understand this?” or the downright slandering such as “you fool people’s head”. If you can keep this exchange more respectful I would be more than happy to continue the discussion with you and share our knowledge and understanding about the subject matter.


Re: MBO Bundle addon

Posted: Tue Apr 07, 2020 5:57 pm
by ten
I know very well how a synthetic works (at least what I was given a try) and what it is.
you crush water in a mortar, swirling in a waltz of wording.
if you do not understand me, then you deny the research of people to whom you are very far away.
I know very well how the core of the native exchange is processed.
my opinion is not changed - this is a circus   :D

Re: MBO Bundle addon

Posted: Wed May 06, 2020 2:49 pm
by woody
Purchased the MBO Bundle two days ago, payment processed and taken from my account.

However this bundle does not work on the Mac version of Bookmap. Log and trace files sent to support ... to date no resolution (from the developer?). So I'm unable to evaluate or test the indicators and I'm out of pocket for the time being. Not happy.

Re: MBO Bundle addon

Posted: Wed May 06, 2020 6:15 pm
by Helena
Hi Warren,

I am sorry that you are experiencing some difficulties in operating Bookmap. 
We refunded your purchase for the MBO Bundle.

But we did not turn off your subscription of MBO Bundle for this month. Once the indicator will be fixed for correct operation on MacOS, you can test it. Good chance it'll be ready this week