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CME Group supports CME Benchmark Administration Premium, a market data group for CME Term SOFR Reference Rates.  


Contents

Testing and Certification

Certification is required. Any client system frontend certified for Data Insights: Settlements and Valuations will be automatically certified for CME Benchmark Administration Premium.

MDP Dissemination 

The CME Benchmark Administration Premium Market Data Platform (MDP) disseminates CME Term SOFR Reference Rate prices and also provides recovery and supporting services for market data processing.

Market Data Group

Market data is organized by Market Data Group, which is a configuration of MDP channels providing all market data required to support markets for a given product or set of products. This section outlines the CME Benchmark Administration Premium market data group.

Data Insights SOFR MDP Group

CME MDP Component Overview

This section provides an overview of MDP components. 

UDP Incremental Feed

Feed A and Feed B disseminate UDP CME Group incremental market data using encoded packets containing the following FIX market data message type:

  • Market Data Incremental Refresh (tag 35-MsgType=X)

All packets are sent through both UDP Feed A and UDP Feed B applicable Market Data Groups. This redundancy minimizes the chance of message loss due to UDP. 

UDP Feed A and UDP Feed B should be used for arbitration.

TCP Message Recovery

The TCP historical replay component allows client systems to request a replay a set of packets already published on the UDP Incremental Market Data Channel. The request identifies the start and end packet sequence numbers to be replayed. The request uses the Market Data - Request (tag 35-MsgType=V) message.

This type of request is sent through a new TCP connection established by the client. The responses are sent by CME Group through this same connection and the connection is then closed by CME Group once the resend is complete. Replay is limited to a maximum of 2000 packets. Data can be requested within the last 24 hours.

TCP message recovery is only recommended for small scale recovery. 

UDP MDP - System Startup

This section provides an overview of the startup procedure on for the market data group.

Startup Prior to Open

For a startup prior to the weekly market open, will be disseminated through the Incremental UDP Feed A and Feed B. 

Follow the process below to ensure that all necessary market data is received:

  1. Download the configuration files and schema files from the FTP or SFTP site.
  2. Listen to the Incremental feed for incremental market data and start normal processing.

Market Data Support Services

Market data services provide the external data required to process CME Group market data.

MDP Services SOFR

Support Services 

There are four MDP services available for Core Index for CME Term SOFR Reference Rates: Incremental SBE Schema, Global TCP Recovery SBE Schema for UDP, Market Data Configuration and CME Reference Data API. An FTP site is used to store the schema files and configuration files for all environments.

Service

Description

Incremental SBE Schema 

MDP is a template-based SBE protocol wherein a given message is interpreted by means of its corresponding template. Each message contains a unique Schema ID that references the template to use to interpret the message. The core CME Globex SBE schema is used across all market data groups.

Global TCP Recovery SBE Schema for UDP

A Global TCP Recovery SBE Schema for UDP is an SBE schema dissemination service that provides a method for client systems to process TCP Recovery for UDP system administration messages for UDP market data groups.

UDP Market Data Configuration

The Market Data Configuration Service allows clients systems to receive the list of all market data channel configurations (multicast IP and product groups) for UDP market data groups. Although Multicast IPs will not change mid-week, additional products will be added throughout the week. Therefore, CME Group recommends client systems process this file daily.

CME Reference Data API 

Additional product and instrument referential data can be obtained via CME Reference Data API. CME Globex tag 48-SecurityID maps to the Reference data API instrument field globexSecurityId.

FTP/SFTP Site Information

CME provides an FTP (https://www.cmegroup.com/ftp) and SFTP (sftpng.cmegroup.com) site to disseminate schema and market data configuration information. This FTP/SFTP site contains the schema and configuration files for all events. Schema and market data configuration details for the Production environment are only available to customers after the certification process is complete. 

To reduce system development for MDP clients, CME Benchmark Administration Premium will share SBE schemas with Data Insights: Settlement & Valuations market data group.

Environment

Service

FTP/SFTP Site

Directory Location

Client System Update Schedule

New Release

Incremental Schemahttps://www.cmegroup.com/ftp or sftpng.cmegroup.com/SBEFix/NRCert/SettlementsValuations/Templates/Sunday prior to market open

New Release

Configuration File

/SBEFix/NRCert/BenchmarkAdministrationPremium/Configuration/ 


New Release

Global TCP Recovery Schema/SBEFix/NRCert/GlobalTCPRecovery/Templates/Sunday prior to market open

Production

Incremental Schema/SBEFix/Production/SettlementsValuations/Templates/Sunday prior to market open

Production

Configuration File

/SBEFix/Production/BenchmarkAdministrationPremium/Configuration/ 


Production

Global TCP Recovery Schema/SBEFix/Production/GlobalTCPRecovery/Templates/Sunday prior to market open

Channel Guide

Below are the supported channels for CME Benchmark Administration Premium.  

Name

Channel ID

CME Benchmark Administration Premium261

Simple Binary Encoding Schema Overview

The following section outlines key concepts for Simple Binary Encoding (SBE) schema processing on BrokerTec on CME Globex. For tag level messaging details see the specification section.  

SBE Incremental Schema Overview

The following table outlines the Incremental SBE Schema template mapping for market data groups: 

Market Data GroupChannel TypeCurrent Supported Templates

CME Benchmark Administration Premium



Incremental UDP
  • AdminHeartbeat12
  • MDIncrementalRefreshSettle401
TCP Recovery for UDP
  • AdminHeartbeat12
  • MDIncrementalRefreshSettle401
  • AdminLogin408
  • AdminLogout409
  • AdminHeartbeat410

Global TCP Recovery SBE Schema for UDP Overview

BrokerTec on CME Globex will utilize a separate SBE schema dedicated for TCP recovery for UDP systems. Global TCP Recovery SBE Schema supports SBE release version 1.0 candidate 2The SBE schema is named tcprecovery.xml and is currently available in the Global TCP templates directory.

CME Benchmark Administration Premium Data Overview

The following section is an overview of CME Benchmark Administration Premium.

The message specification can be found in the following link: CME Benchmark Administration Premium Specification 

CME Benchmark Administration Premium Overview for SBE Messaging

This section provides a technology overview of the CME Benchmark Administration Premium channels.

Simple Binary Encoding (SBE)

CME Benchmark Administration Premium will use compact Simple Binary Encoding (SBE) optimized for low latency of encoding and decoding while minimizing bandwidth utilization. Concise message sizes are used but without the processing cost of compression. All FIX semantics are supported. The encoding standard is complimentary to other FIX standards for session protocol and application level behavior.

TCP Recovery

The following section describes recovery services for CME Benchmark Administration Premium.

Incremental UDP Feed A and B

UDP Feed A and UDP Feed B are used to disseminate CME Group incremental market data using SBE-encrypted FIX messages. All FIX message types are sent through both UDP Feed A and UDP Feed B applicable market data groups. This duality minimizes the chance of message loss due to UDP. Each SBE message is sent on both feeds.  

TCP Replay Recovery

Client systems can recover specific messages that were missed using the sequence number and the TCP historical replay component. The TCP historical replay component allows systems to request a replay of a set of messages already published on the UDP Incremental Market Data Channel. The request specifies messages to replay. The request uses the SBE Market Data Request (tag 35-MsgType=V) message.

This type of request is sent through a new TCP connection established by client systems. The responses are sent by CME Group through this same connection and the connection is then closed by CME Group once the resend is complete. All responses are SBE-encoded (including the reject response).

The following restrictions apply when requesting messages via TCP Historical Replay:

  • A maximum of 2,000 messages can be requested per Market Data Request (35=V) message.
  • Only the current day's messages can be requested and resent.

Refer to MDP 3.0 - TCP Recovery for more information on TCP Replay.