After spending about 5 hours searching, closest information that I can find is here: http://www.cmegroup.com/market-data/distributor/market-data-platform.html I want to know how CME reports activity to bid/ask as well as how they match up trades and report updates to bid/ask after a trade has occurred. For example, I was asked this question and I don't know the answer: Say some instrument listed on CME is trading and the best bid price is 17 1/4 while the best ask price is 17 3/4. 2 new limit orders come arrive. One is a sell limit order at 17 1/2 and the other is a buy limit order at the same price. Obviously, the two limit orders will execute against each other, but will there be any updates to the bid / ask offers? It seems that the two limit orders coming in should cause 5 ticks of market updates all sharing the same time stamp: 1. 1 bid at 17 1/2, 1 ask at 17 1/2 (2 ticks) 2. 1 trade at 17 1/2 (1 tick) 3. 0 bid at 17 1/2, 0 ask at 17 1/2 (2 ticks) But is this what happens or is only item number 2 printed to the tape? I have many other questions similar to this. Can someone please point me to a document which describes the reporting and trade execution algorithm used for futures and possibly the equities markets if that information is available.