A very good job on the new OrderFlow+ suite. Thank you.
I trade CME futures contracts, and I would like to make use of the CumDelta order size filtering feature, but I don't see much use of it as long as the flow of data (as I can read it on the Time&Sales) can only show the passive side of the market (limit orders). Ideally I would like a filter to select orders hitting the market that exceed a specific size.
I understand that data distributed by CME under its MDP3 protocol bear all the information needed to build both active and passive flows, so I'm wondering whether this might be an issue to be addressed at the data provider level?
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