Quote add/update/remove ordering question

[morleyc]

Dear all, after pointers on the below please, with the following stream of order book update MarketDepthEventArgs events:

Sequence,Symbol,Exchange,Time,Type,Operation,Price ,Volume,Position,MarketMaker
ES 06-24,Globex,2024-04-01T17:04:52.3160000,Ask,Update,5313.5,48,1,2
ES 06-24,Globex,2024-04-01T17:04:54.0840000,Ask,Update,5313.5,49,1,2
ES 06-24,Globex,2024-04-01T17:04:54.4490000,Ask,Update,5313.5,50,1,2
ES 06-24,Globex,2024-04-01T17:04:56.5490000,Ask,Add,5313.5,50,1,1
ES 06-24,Globex,2024-04-01T17:04:56.5490000,Ask,Remove,0,0,1,3 

With the above, we have market maker 2 update their quote, then market maker 1 adds their quote as position 1 and thus is higher up the book than market maker 2.

But how and why does market maker 3 remove from position 1 (as they are currently not in position 1, that would be market maker 1)?

Also, how come multiple market makers do not sit on the same price on the ladder, in sequence i.e.

5313.5, POS 0, MM1
5313.5, POS 1, MM5
5313.5, POS 2, MM8 

I expected to follow the below life cycle of adding, updating then removing of the same position and market maker - pointers to help my understanding are much appreciated.

Sequence,Symbol,Exchange,Time,Type,Operation,Price ,Volume,Position,MarketMaker
ES 06-24,Globex,2024-04-01T20:21:35.0190000,Ask,Add,5290,122,2,3
ES 06-24,Globex,2024-04-01T20:21:35.2770000,Ask,Update,5290,128,2,3
ES 06-24,Globex,2024-04-01T20:21:35.3860000,Ask,Update,5290,127,2,3
ES 06-24,Globex,2024-04-01T20:21:35.4700000,Ask,Update,5290,112,2,3
ES 06-24,Globex,2024-04-01T20:21:35.8090000,Ask,Remove,0,0,2,3 

[NinjaTrader_Jesse]

Hello morleyc,

These type of questions would not be something our support could answer as we don't have the required details for that, NinjaTrader is working like a radio and is receiving that data from the data provider. The entity that would know the reason behind adding or removing rows or which position certain rows should be would be the exchange.

[morleyc]

Filtering the CSV i have the below, again appreciate pointers in helping me understand the flow, as seems different market makers are removing themselves from the same position (0)?

[morleyc]

Understood thanks @NinjaTrader_Jesse, i appreciate this is not a NT question (on second thoughts, i can repost to a different section of the forum if off-topic here), i am after other developers experience on the order book and any pointers they can give of the raw data coming from the exchange.

[morleyc]

Updating here after reaching out to CME data provider and they said:

CME gives order IDs in their MBO/L3 data, but not MPID, so you shouldn't be able to identify market makers

Given the above can NT please clarify the Market Maker column?

Can any other developers confirm how the sequencing works? I’m looking to understand to create my own DOM i saw some NT example code but want to understand in more detail the mechanics as seems l2 data is processed or in a different CME format.

[NinjaTrader_Jesse]

Hello morleyc,

Unfortunately that wouldn't be something we could answer, the data that is provided to NinjaTrader comes pre formatted from the data provider. NinjaTrader is acting like a radio in this case and displaying the available information for each event that is observed.

Regarding creating a dom, if you wanted to create a price ladder you can see the sample level 2 script in the help guide linked below, that demonstrates the code needed to make the orderbooks from the events provided through the api. You would have to then display the data in the way you wanted, that sample simply prints the data based on a condition.

https://ninjatrader.com/support/helpGuides/nt8/creating_your_own_level_ii_dat.htm