CME Group supports CME Benchmark Administration Premium, a market data group for CME Term SOFR Reference Rates.
Testing and Certification
Certification is required.
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.
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 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.
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:
- Download the configuration files and schema files from the FTP or SFTP site.
- 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.
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. he schema files and configuration files for all environments.
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.
|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.
Client System Update Schedule
|Incremental Schema||https://www.cmegroup.com/ftp or sftpng.cmegroup.com||/SBEFix/NRCert/SettlementsValuations/Templates/||Sunday prior to market open|
|Global TCP Recovery Schema||/SBEFix/NRCert/GlobalTCPRecovery/Templates/||Sunday prior to market open|
|Incremental Schema||/SBEFix/Production/SettlementsValuations/Templates/||Sunday prior to market open|
|Global TCP Recovery Schema||/SBEFix/Production/GlobalTCPRecovery/Templates/||Sunday prior to market open|
Below are the supported channels for CME Benchmark Administration Premium.
|CME Benchmark Administration Premium||261|
Simple Binary Encoding Schema Overview
SBE Incremental Schema Overview
The following table outlines the Incremental SBE Schema template mapping for market data groups:
|Market Data Group||Channel Type||Current Supported Templates|
CME Benchmark Administration Premium
|TCP Recovery for UDP|
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 2. The 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.
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.
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.