Cboe Book Viewer

Purpose & User Intent: A specialized data tool that exposes real-time or near real-time order-book depth for Cboe-listed symbols. Target users include traders, market-data analysts, algo developers, and risk managers who need quick visibility into liquidity, price levels, and potential execution impact. It solves the problem of interpreting raw feed dumps by presenting structured depth data and trends for informed decisions during intraday trading and options strategies.
Core Logic & Features: Required: real-time depth feed ingestion, symbol/exchange selection, configurable depth_level, and bid/ask side aggregation. Outputs a normalized depth view with best bid/ask, aggregated volumes per level, and spread. Optional/Advanced: historical depth snapshots, multiple feed sources, consensus vs. feed-specific views, export to CSV/JSON, and alerting on liquidity shifts.
Inputs & Outputs: Inputs: symbol (string), exchange (string, e.g., CBOE), depth_level (int, 1–50), data_feed (string), time_window_sec (int, optional). Outputs: order_book: object containing bids[ {price, size} ], asks[ {price, size} ], best_bid, best_ask, spread, and last_trade. Formatting: prices with 2 decimals, sizes as integers, volumes summed per level.
Algorithms & Calculations: Depth is computed by aggregating raw feed levels into the requested depth_level, sorting bids descending by price and asks ascending, and computing spread and midpoint. If data is missing, carry-forward last known values. No forecasting; only current snapshot.
Error & Edge Cases: Missing required inputs (symbol, exchange) yield explicit error flags. depth_level outside 1–50 clamps with a warning. Feed outages or rate limits produce a hold state with last good snapshot, and a non-fatal error code. Time-zone normalization applies to timestamps.
Industry/Region & Localization: US market conventions; USD pricing; tick-size handling; Cboe symbol formats; adherence to data latency expectations and exchange hours.
Assumptions & Exclusions: Assumes access to a compliant market data feed with depth data. Excludes UI semantics, charting, and order placement. No historical charting beyond depth snapshots; latency depends on feed and network.