Level 3 (Market By Order / MBO) order book data

Hi everyone,

I'm a systematic gold futures trader (XAUUSD/COMEX) working on integrating live Level 3 (Market By Order / MBO) order book data into my algorithmic trading framework. I've done quite a bit of research into sourcing this data and wanted to share what I've found — and ask whether anyone in the community has found a more cost-effective path.
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**What I'm trying to achieve**
I'm not chasing HFT-style latency. My goal is to use real-time L3 depth to validate whether significant resting orders exist at key Support/Resistance levels before entry — essentially using the order book as a confirmation filter on top of an existing structural trading framework. Latency of a few seconds is acceptable for this use case.
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**What I've found so far (costs as of this post date, USD)**
The most accessible professional-grade provider I've found is **Databento** (databento.com):
- **Databento Plus Plan** (required for any live data): ~$1,399–$1,500/month, annual contract
- **CME Information License Agreement (ILA)**: Required for any firm or individual using this data for algorithmic/non-display purposes — approximately $400+/month, independent of the data feed fees
- **Exchange fees**: CME sets these independently and passes them through the provider at cost
So realistically, live CME L3 MBO data for a single instrument (COMEX gold) in a non-display/algorithmic context appears to cost **$1,800–$2,000+/month minimum** when the ILA and platform fees are combined.
The underlying reasons for this cost are worth understanding:
- CME deliberately prices L3 as a premium product — it's a significant revenue stream on top of transaction fees
- Providers like Databento co-locate physical servers inside exchange buildings with dedicated fibre infrastructure to capture nanosecond-accurate feeds — genuinely expensive to maintain
- Exchanges gatekeep full order-by-order data to protect the advantages of their highest-paying participants

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**My questions for the community**
1. Has anyone found a legitimate provider offering CME COMEX live L3/MBO data at a lower cost point — particularly for individual/non-professional use cases?
2. Are there any brokers or prime brokerage relationships that include L2/L3 data access as part of their offering?
3. Has anyone successfully classified their usage as **non-professional** (personal trading, not commercial) and found that significantly reduces the CME exchange fee component?
4. Is anyone using **CME Group's own data products** directly (datamine.cmegroup.com) and found that more cost-effective than going through a third-party aggregator?
5. Any experience with alternative providers — Refinitiv/LSEG, Bloomberg B-PIPE, CQG, or similar — for this specific use case?

Appreciate any guidance from those who've navigated this before.

Thanks in advance.

I use LSEG and can check prices if you want but it won't be cheaper than buying direct. The 3rd parties usually offer data that's cleansed, or formatted for easier use at a markup.
I ran into same issues with DTCC data. Once they wrapped it into a licensing agreement, fees went from virtually nothing to £0.5m/yr which is an effective gate for most of us.

I'd love to get access to LSEG — that would be fantastic. Could you please provide pricing details? I'm specifically interested in Level 3 order book data only — nothing else is required.

easy one this... LSEG do have L3 data on certain exchanges, but CME isn't one of 'em. Same story on bloomberg too. Only L1 and L2.
Looks like Databento, Datamine (CMEs) or BMLL from a quick search (never heard of it till now incidentally).
If you go direct make sure you can easily use the data, usually you'd have to reconstruct it on the fly which might make you reconsider any savings.

Hi. I have practiced latency arbitrage in the past. I have also worked on the development of a latency arbitration software, especially used for arbitration between cfd brokers (slow leg) and fast sources through fix api, ITCH such as Lmax, Rithmic, CME, Cboe, CQG, DxFeed, IQFeed, etc and arbitrage between crypto exchanges. However, although the implementations allow, we mainly used tick by tick and L1 data.
If your goal is simply to validate "resting orders" at key levels, Level 2 (Market By Price) data is likely more than enough. L3 (MBO) is fantastic for granular order tracking (spotting specific participants or sophisticated iceberg detection), but for confirming a "wall" at a resistance level, seeing the aggregate depth (L2) usually suffices for a structural strategy.
Rithmic / CQG via a Retail Broker: If you classify as a Non-Professional, you can get CME Level 2 (Full Depth) for about $15 - $30/month through brokers like AMP Futures or Ironbeam. Even if you use their API (Rithmic R-API+) for your algo, the costs are a fraction of Databento's professional tier.
The "Non-Pro" Status: This is your biggest lever. If you aren't managing third-party money or working for a regulated entity, you qualify. CME's non-pro fees are tiny compared to the $400+ ILA/Professional fees you quoted.