Webinar excerpt by Peter Simpson, OneTick Product Owner, originally broadcasted Nov. 18th, 2025
OneTick Cloud
For CME level one, we go back further than CME book depth. For CME book depth, which is Market by Order, it's the full level three order book that goes back to 2019. If we're looking at CME futures, that goes back to 2009. So level one, 2009, level three, 2019.
OneTick provides Market by Order for history for CME, therefore everything that CME is pushing out, you can access via OneTick. We offer a layer of order book analytics on top. This allows you to reconstruct the order book at any point in time, investigate Iceberg orders, and other types of orders as needed.
CME data includes tags for trades, order IDs on the bid and ask side. This allows you to see which side of the trade was more aggressive, leading to a much richer order book. OneTick provides the full order history on the passive side, and the aggressive history for orders that trade. In fact, if you look at a past webinar, I go into detail onto how we query book depth for CME.
Yes. How trades are categorized depends on the venue. If we're looking at US equities, then there are the trade condition fields, where there are up to four trade conditions associated with a given trade. Here we can identify whether it's on-book, off-book, is it an odd lot trade, is it a trade during an auction, that kind of period.
If we're looking at data from CME, for example, then we'll identify whether it's on-book or off-book, or is it the leg of an implied trade, or is it an implied trade itself. So it's not just price and size or price and quantity, it's as much detail as we can provide, so you can start filtering down to the relevant content.
If the data set is going to be used by multiple people or used again and again, it makes sense to pre-calculate rather than generate on the fly. If it's just a one-off, then generate on the fly.
If we're looking at one-minute bars, we started off originally providing just access to tick history, we found a lot of customers were generating their own bars. It made sense to provide that as a service so people can pull out the bars that we're generating once, and then everyone else gets faster retrieval.
The same goes for real-time metrics. You can subscribe to the tick-by-tick data, but it may make sense to subscribe to pre-calculated features that we're generating, which then makes your analysis easier. In fact, we're going through an exercise at the moment where we're talking to our key customers on identifying which features they would like us to add to our data set so it can make their trading strategy build significantly faster.
Typically, the real-time becomes historical after the markets close. Different exchanges have different periods. Sometimes it's directly after close, sometimes it's a couple of hours later, sometimes it's after midnight of that particular venue's time zone. The OneTick team handles this and provides the data to you as fast as possible.
If you're just enabled for T+1 access, in terms of book depth, that depends on the market. If we're looking at CME, that's a full level three order book and that's every single message by the exchange. For some sparse options that may be just effectively one level, for very liquid futures, that can be hundreds of levels.
If we look at the E-mini S&P 500 futures contract that goes very deep and that's probably 10 million-plus order book updates per day. Here we are reconstructing the book down to the level of depth that you're comfortable with. That could be the full book, down to a couple of hundred levels, or that could be filtered down to a certain number of levels of depth, a certain accumulated quantity on the bid and ask side, a certain price skew or a certain spread.
You choose how you want to filter the output book.
We provide real-time access for level one for CME. For some customers, we do look down to level two, top 10 levels. But typically, it's level one for real-time.
First, I just want to differentiate here – if you're looking at historic data, then we permissioned the firm. Anyone who has created an account can then see that historic data.
For real-time data, you need to be permissioned with the exchange to receive real-time data, and that's based on the individual. We can create a set of accounts and pass that through to our real-time partner where we collect the live data. Exchange agreements will be signed so that these individuals can see these real-time markets. Once the paperwork is done, then you'll have a Client ID and Client Secret to make requests for data and receive that in real-time. The difference between real-time and history is more of a contractual difference.
From a querying perspective, there is no difference between real-time data and historical data. You can query from what was happening last week through what happened yesterday through what happened today, right up until the current time, and it's just seamlessly stitched together. However, from a technology point of view, data is sitting in different places, whether it's sitting on disk or sitting in memory or streaming in from the data feed.
This Q&A session comes from conversations with market professionals during our recent webinar, On-Demand Low Latency Analytical Access for Equities & Futures, given by Peter Simpson, OneTick Product Owner, Watch the full webinar here.
To learn more about OneTick, please visit onetick.com, email info@onetick.com, or request a private demo here.
Best wishes,
Peter Simpson, OneTick Product Owner