Market Data Enhancements for CME Globex
CME Group will introduce a number of market data enhancements. These enhancements include:
- Market Status of Halted Instruments
- Market Data Improvements
- New FIX Tags and Statistic Reset Changes
Market Status of Halted Instruments
Effective Sunday, September 8 (trade date Monday, September 9) CME Group will be enhancing the FIX/FAST market data messaging for the following markets to accurately reflect market status of halted contracts.
Market Status of Halted Instruments
||NYMEX Globex Emissions Futures
||NYMEX Globex Emissions Options
||KRX Globex Futures
||BMD Globex Futures
||BMD Globex Options
During Sunday start-up and in the event of a book reset, in addition to the product group status message, the FIX/FAST Security Status message will be sent for individual products in a halted state with the following values: tag 35-MsgType=f, tag 326-SecurityTradingStatus=2 (tags 327-HaltReason and 1174-SecurityTradingEvent are not sent).
Scenarios for a halted instrument include the following:
- Prelisted contracts prior to activation date
- Defective contract that has been deactivated
- Market event that requires deactivation, e.g. Partner Exchange request
A detailed schedule is available online.
Market Data Improvements
Based on customer feedback, the market data enhancements release schedule has been updated to provide additional time.
CME Group is implementing architecture improvements that will impact market data bandwidth on implied futures channels. This release is expected to reduce overall latency, particularly in implied channels. In internal testing, these enhancements yielded up to a 60% increase in bandwidth utilization during peak periods on implied channels resulting in an overall increase of up to 15% increase across the Market Data Platform.
There will be no changes to FIX/FAST messaging or functionality.
The launch will be phased in over four weeks across the Market Data Platform. The next launch will be as follows:
Market Data Improvements
||NYMEX Globex Nat Gas & other Non-Crude Energy Futures
||CBOT Globex Interest Rate Futures
The complete implied channel launch schedule is available online.
New FIX Tags and Statistic Reset Changes
Effective Sunday, September 8 (trade date Monday, September 9), introduce the following new FIX tags and changes to Trading Statistic Reset:
- New FIX tags
- 1003-TradeID will be sent on Market Data Incremental Refresh Messages (tag 35-MsgType=X) for Trades (tag 269-MDEntryType=2)
- Represents a unique Trade Entry ID per Instrument and Trading Date.
- Matches the trade number from tag 17-ExecID in the Execution Report – Fill Notice for iLink Order Entry Messages. The characters following the ‘TN’ in the ExecID are called the Trade Number and will match the new tag 1003-TradeID.
- tag 1300-MarketSegmentID will be sent on the Security Definition message (tag 35-MsgType=d)
- Identifies the market segment.
- Populated for all CME Globex instruments.
- Changes to Trading Statistic Reset
- Security Status (tag 35-MsgType=f) Message will be sent with the following tags prior to or during the Pre-Open Session.
- Tag 326-SecurityTradingStatus=Any Valid Value
- Tag 1174-SecurityTradingEvent=4
This launch will be phased in on the following schedule:
- August 25
- NYMEX Metals, Softs, and Alternative Markets
- COMEX futures
- September 8
- All other markets listed on CME Globex
These enhancements are currently available for customer testing in New Release.
Please Note: The template files that were implemented on March 3, 2013 must be utilized when these new enhancements are implemented. New template ids '140 through 147' will be used for these enhancements.
Changes to ITC Category Code C Messages
Effective Monday, September 9, the following ITC 2.1Category Code C messages will be disseminated at approximately 5 p.m. Central Time (CT) for NYMEX and COMEX products via MDP channel 244 and 245. Currently, these messages are disseminated at approximately 4:35 p.m. (CT).
Category C: Control Messages
- Type Code D=Start of official transmissions
- Type Code I = End of official transmissions
Fee Code Change for Several Dow Jones Indices
Effective Sunday, September 15, the fee code will change for several Dow Jones Indices from XD=Dow Jones Fee Liable Indices to XW=All Fee Waived Indices. With this change, these indices will migrate to the streamlined FIX/FAST Market Data Platform S&P Channel 150.
The fee code will be defined in the Security Definition message (tag 35-MsgType=d) in the Attribute Type Repeating group in tags 871=119 and 872=XW.
Please note: The indices naming convention and the Security Exchange will not be impacted by this change.
S&P and Dow Jones Source IP Changes
Effective Sunday, September 15, CME Group will be changing the multicast source IPs for S&P and Dow Jones streamlined FIX/FAST market data channels. If a firewall or network device is configured with the source IP information, please correct your configuration to use the entire range of eligible addresses.
The new source IPs will be available in the config.xml file on the FTP site on Sunday, September 2.
Source IP Changes for MexDer on the Market Data Platform
The source IP changes for MexDer on the Market Data Platform, scheduled for this Sunday, August 25, have been postponed. The new production launch date will be announced via the CME Globex and Market Data Notices.
CME Group will be changing the multicast source IPs for the MexDer Mercado Mexicano de Derivados (MexDer) market data channels. If a firewall or network device is configured with the source IP information, please correct your configuration to use the entire range of eligible addresses. Port, multicast addresses, and source IPs for MexDer Market Data Platform are available in the config.xml file on the FTP site.
As a reminder, CME Group does not recommend restricting data flow via the source IPs, as these may change without notice.
If you have any questions or concerns, please contact your Global Account Manager with any questions or concerns in the U.S. at +1 312 634 8700, in Europe at +44 20 3379 3754 or in Asia at +65 6593 5505. If you experience any connectivity issues, CME Global Command Center in the U.S. at +1 312 456 2391, in Europe at +44 20 7623 4708 or in Asia at +65 6223 1357.
New CME Globex Market Data Protocol
CME Group is introducing Market Data Platform (MDP) 3.0, a low latency and direct data access solution designed to improve customers’ ability to process and act on real-time price information. The protocol will launch on new production parallel channels beginning in Q4 2013.
MDP 3.0 includes:
- Simple Binary Encoding (SBE); replaces the current FAST compression model
- FIX 5.0 (SP2) Market by Price messaging formats
- Event-driven market price and trade information
- Enhanced market state dissemination
- Increased timestamp granularity
- Trade identifier on both market data and order entry messages
The client impact assessment provides detailed functionality and messaging information.
A new MDP 3.0 certification suite will be available in AutoCert+ in Q3 2013. Customer systems receiving market data via CME Globex must complete this mandatory certification.
MDP 3.0 functional specification is now available online. The functional specification provides the complete MDP 3.0 functionality details, whereas the client impact assessment outlines the differences in functionality between FIX/FAST and MDP 3.0.
MDP 3.0 will be available in New Release for customer testing in Q3 2013. Further information on the deployment plan and timing for all customer-facing environments will be published in upcoming CME Globex and Market Data Notices.
Test versions of MDP 3.0 template and PCAP (Packet Capture) test files will be available online starting Monday, August 12. The PCAP files will contain sample MDP 3.0 packets of various types in binary format.
Please contact your Global Account Manager with any questions or concerns at 312-634-8700, in Europe at 44-20-3379-3754 or in Asia at +65 6593 5505 for additional information.