OneTick Cloud Workshop

CME Market Depth

Live Webinar with Demo and Q&A

In this workshop, Peter Simpson, OneTick Product Owner, demonstrates how you can use on-demand, global level-3 market data from OneTick Cloud to analyze market structure for specific CME products. This session is designed for financial professionals who are interested in learning about OneTick's available datasets, calculating high-demand book depth metrics, and our clients' most common investigations.

 

What's in the session?

In this workshop, Peter Simpson, OneTick Product Owner, demonstrates how you can use on-demand, global level-3 market data from OneTick Cloud to analyze market structure for specific CME products.

This session is designed for financial professionals who are interested in learning about OneTick's available datasets, calculating high-demand book depth metrics, and our clients' most common investigations.

 

Topics Include:

  • OneTick Datasets:
    • L1 (Trades & BBO Quotes)
    • L2 (Market by Price)
    • L3 (Market by Order)
  • Calculating Book Depth Metrics: 
    • Message Type Frequency by Interval and Across the Period
    • Comparing Current and Historic Volatility
    • Bid Ask Spread by Interval and Across the Period
    • Volume-Weighted Average Bids, Asks, and Spreads at Depth
    • Trade Price and Quantity Distributions
    • Ratios of Different Message Types (e.g. order to trade)
    • BBO Order Mean Resting Times
  • Highlight and Filter:
    • Transactions That Trade Through the BBO and Into the Book
    • Large Trades Across the Period
    • Iceberg Orders
  • Common Investigations: 
    • Book Depth Changes Across Time, Including Bid Ask Imbalances
    • Intra-day Behavior from the Whole Trading Day Down to Nano-second Messages Updates
    • Synthetic Iceberg Orders

OneTick provides a trusted market data platform, both on-demand in the Cloud and deployed, for real time, intra-day and historical analysis. Access to data can be provided by file, and via API across SQL, REST, and Python, with emphasis on executing analytics on cloud data.

 

About Our Speaker

Peter Simpson | OneTick Product Owner

Peter is an experienced Analytics Product Manager, with a history of working in and with the world’s biggest banks, brokers, fund managers and exchanges in London & New York. He provides tick database analytics consulting to financial customers including Exchange Surveillance Order Book Analysis and Market Participant Quality Statistics, Broker Surveillance Order Book Analysis, Tick Database Analytics Training, and Data Quality Analysis.