Effective Sunday, June 4, CME Group will launch new a Simple Binary Encoding (SBE) schema on the BrokerTec U.S. Treasury Market Data and new RV Curve Spreads. The schema update will impact all client systems connecting to BrokerTec U.S. Treasury Market Data. The impacted services are as follows:

With this update, BrokerTec U.S. Treasury Market Data will launch new implied book functionality for all RV Curve instruments.

This topic provides an overview of the concepts with which clients must be familiar to process the new SBE market data schema, RV Curves and implied book updates. 


Revision History

March 8, 2023Initial release.

Key Events and Dates

Now AvailableNew Release schema btecstreammktdata_v1.xml available on the FTP/SFTP site
Monday, March 27RV Curve Launch.  New Release launch of new SBE Schema and implied books.
Now AvailableProduction schema btecstreammktdata_v1.xml available on the FTP/SFTP site
Sunday, June 4

RV Curve Launch.  Production SBE schema launch with btecstreammktdata_v1.xml overwriting btecstreammktdata.xml

Sunday, June 4

Production launch of new SBE Schema and implied books 

Testing and Certification

Certification is conditional.

Impacted MDP Services

The following MDP services will be updated with the new SBE schema and RV Curves:

SBE Schema Update

A new SBE incremental schema version will be sent on the BrokerTec U.S. Treasury Market Data channel. The schema update will impact all client systems connecting to BrokerTec U.S. Treasury Market Data. The new schema will be incremented from version 0 to 1. The new schema for New Release can be found on FTP/SFTP site.  

New Implied Book Message Types

New MDEntryType values will be added to the new SBE schema to support implied book processing. Implied book updates are denoted by tag 269-MDEntryType=E (implied bid) and F (implied offer). The new values are denoted in the SBE schema with the value of sinceVersion="1".   

Example: SBE Implied Book Values

<enum name="MDEntryType" encodingType="CHAR">

<validValue name="Bid" description="Bid">0</validValue>
<validValue name="Offer" description="Offer">1</validValue>
<validValue name="Trade" description="Trade">2</validValue>
<validValue name="OpenPrice" description="Open Price">4</validValue>
<validValue name="ClosePrice" description="Close Price">5</validValue>
<validValue name="HighTradePrice" description="Trading Session High Price">7</validValue>
<validValue name="LowTradePrice" description="Trading Session Low Price">8</validValue>
<validValue name="VWAP" description="VWAP or VWAY">9</validValue>
<validValue name="ImpliedBid" description="Implied Bid" sinceVersion="1">E</validValue>
<validValue name="ImpliedOffer" description="Implied Offer" sinceVersion="1">F</validValue>
<validValue name="BookReset" description="Book Reset">J</validValue>


RV Curve Launch

RV Curves will be launched with this release.

RV Curve Market Data Incremental Refresh (tag 35-MsgType=X) Specification

The table below is the message specification for RV curves. This message maps to the MDIncrementalRefreshBtec405 template in the SBE incremental schema. The following fields will be null for RV Curves:

  • Tag 541-MaturityDay
  • Tag 455-SecurityAltID
  • Tag 456-SecurityAltIDSource
  • Tag 223-CouponRate

The → symbol indicates a repeating group tag.

TagFIX NameFormatValid ValuesDescription




X=Market Data Incremental Refresh

Defines message type.

Trade Date in number of days since Unix epoch.




UTC Timestamps are sent in number of nanoseconds since Unix epoch synced to a master clock to microsecond accuracy.




Number of FIX Market Data Incremental Refresh Data Blocks in the Market Data Incremental Refresh message.

Repeating Group




0 = New 

1 = Update 

2 = Delete

Indicates the type of Market Data update action.




0 = Bid

1 = Ask

2 = Trade 

4 = Opening Price

5 = Closing Price

7 = High Trade

8 = Low Trade

9 = Yield

E=Implied Bid

F=Implied Offer

J = Book Reset

Indicates the type of Market Data entry.




Price of the Market Data Entry


Quantity of the MD Entry.

  • In a Book Entry – order quantity
  • In a Trade Entry – traded quantity
Price Level in the book
Total traded volume since the beginning of he session.  If this tag is not present, then there is no volume.




See "RV Curve Symbols" section below

Instrument Symbol

→541MaturityDayLOCAL MKT DATEnullInstrument Maturity Date
→456SecurityAltIDSourceSTRINGnullIdentifies class or source of the  SecurityAltID (455) value.
→223CouponRatePERCENTAGEnullThe rate of interest that, when multiplied by the principal, par value, or face value of a bond, provides the currency amount of the periodic interest payment.

H = Hit

T = Take

List of conditions describing a trade. In this case the field is reporting when BTEC trade is from Hit or Take.
→423PriceTypeINT9 = YieldThis tag will only contain a value if price in tag 270-MDEntryPx is in Yield terms. New SBE Schema Impacts.

RV Curve Symbols

Below are the new RV Curve symbols.



(tag 55-Symbol) 

UST 2YR vs 3YR RV Curve2Y/3Y2 Yr3 Yr1.5
UST 2YR vs 5YR RV Curve2Y/5Y2 Yr5 Yr2.5
UST 2YR vs 7YR RV Curve2Y/7Y2 Yr7 Yr3.0
UST 2YR vs 10YR RV Curve2Y/10Y2 Yr10 Yr5.0
UST 2YR vs 20YR RV Curve2Y/20Y2 Yr20 Yr7.0
UST 2YR vs 30YR RV Curve2Y/30Y2 Yr30 Yr9.0
UST 3YR vs 5YR RV Curve3Y/5Y3 Yr5 Yr1.7
UST 3YR vs 7YR RV Curve3Y/7Y3 Yr7 Yr2.0
UST 3YR vs 10YR RV Curve3Y/10Y3 Yr10 Yr3.0
UST 3YR vs 20YR RV Curve3Y/20Y3 Yr20 Yr5.0
UST 3YR vs 30YR RV Curve3Y/30Y3 Yr30 Yr6.0
UST 5YR vs 7YR RV Curve5Y/7Y5 Yr7 Yr1.3
UST 5YR vs 10YR RV Curve5Y/10Y5 Yr10 Yr2.0
UST 5YR vs 20YR RV Curve5Y/20Y5 Yr20 Yr3.0
UST 5YR vs 30YR RV Curve5Y/30Y5 Yr30 Yr4.0
UST 7YR vs 10YR RV Curve7Y/10Y7 Yr10 Yr1.3
UST 7YR vs 20YR RV Curve7Y/20Y7 Yr20 Yr2.0
UST 7YR vs 30YR RV Curve7Y/30Y7 Yr30 Yr3.0
UST 10YR vs 20YR RV Curve10Y/20Y10 Yr20 Yr1.7
UST 10YR vs 30YR RV Curve10Y/30Y10 Yr30 Yr2.0
UST 20YR vs 30YR RV Curve20Y/30Y20 Yr30 Yr1.3

Implied Book Processing for RV Curves

BrokerTec U.S. Treasury Market Data will provide a 2-deep best bid and ask for all RV Curve spreads. Implied book updates are denoted by tag 269-MDEntryType=E (implied bid) and F (implied offer).

See also: Implied Book Processing.  

The MBP multiple-depth book can be used in conjunction with the implied prices book to create an accurate book for all instruments with implied functionality. To create a consolidated book, the multiple-depth book and the implied book must be built and managed separately, then consolidated to reflect the current state of the market.

See also: Consolidating Implied and Multiple Depth Books.  

Contact Information

For technical development support, contact Certification Support for Electronic Trading (CSET).

For production requests, please contact the Global Command Center (GCC).

For all other inquiries, please contact Global Account Management (GAM).

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