Hi Currently I'm using CQG L2 data which gives me 10 levels of the book I would like to see the whole book or at least 30 levels in case of gold or oil it would be 30 ticks which is still not enough in volatile markets. I was told that Rhitmic feeds 20 levels which is not great. Can anyone recommend a good L2 data feed for futures markets? Thanks
eurolinux-I took a look at the CME website, because I was not aware of what they offer, which would limit what any data or platform can offer. https://www.cmegroup.com/education/market-by-order-mbo.html. This might help you know what to ask or search for.
Rithmic should show everything the CME Group sends. There is a practical limit though but it is around 1000 levels so that should not be an issue. You can also adjust the refresh the which helps a lot depending on your connection. If you are hearing differently I would check with your broker.
If you can afford to wait 2 months when we roll this out, I'd highly recommend our own real-time feed. It is configurable and you can choose to see the whole book (via MBO) or snapshots of top 10 levels of the book (MBP-10) whenever you please, just like our historical data.