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On Sunday, November 6 (trade date Monday, November 7), CME Globex will launch a new EBS Ultra 20 Millisecond Conflated TCP Market Data Group for the New York and London markets. Current Conflated TCP Market Data Group channels are not impacted by this launch.  

This topic provides an overview of the concepts with which clients must be familiar to process the new market data group.


Contents

Revision History

DateDescription
September 21, 2022Initial Release

Key Events and Dates

DateMilestone
Monday, October 3New Release
Monday, October 3Available in AutoCert+
Sunday, November 6Production

Testing and Certification

Certification is mandatory. Clients already certified to the current EBS Conflated TCP MDP market data group do not need to recertify.  

EBS Market Data Services Overview

Market

Market Data Group NameChannel IDDescription
EBS Market New York CME MDP EBS Ultra 20 Millisecond Conflated TCP - EBS Ultra New York545
  • EBS Ultra 20 millisecond conflated messaging
  • Up to 10-Deep Market By Price (MBP)
    • Not Credit Screened
  • Trade Summary Messages
  • TCP Connectivity  
  • Simple Binary Encoding (SBE)
  • eFix Matching security definition and security status messages are not available
  • NDF not available
EBS Market LondonCME MDP EBS Ultra 20 Millisecond Conflated TCP - EBS Ultra London546
  • EBS Ultra 20 millisecond conflated messaging
  • Up to 10-Deep Market By Price (MBP)
    • Not Credit Screened
  • Trade Summary Messages
  • TCP Connectivity  
  • Simple Binary Encoding (SBE)
  • eFix Matching security definition and security status messages are not available
  • NDF not available

CME Globex EBS Features

The table below outlines functionality supported by the new 20 Millisecond market data group. The two current market data groups are also included for comparison.

MDP 3.0 Service/Feature

EBS On CME Globex

MDP Conflated UDP Support - (CURRENT)

Conflated TCP Support - (CURRENT)

CME MDP EBS Ultra 20 Millisecond Conflated TCP - (NEW)

Description

Simple Binary Encoding (SBE)(tick)(tick)(tick)Protocol for decoding and encoding messages in binary format.
Dissemination(tick)(tick)(tick)MDP 3.0 Dissemination Concepts
Event Based Market Data Messaging(tick)(tick)(tick)Event Based - market data generated by order activity and market state events. Additional examples of event processing for conflated feeds can be found in Conflated Market Data Processing
Trade Summary(tick)(tick)(tick)Trade and trade-driven market data. Additional examples of Trade Summary messages for conflated feeds can be found in Conflated Market Data Processing

MDP 3.0 - CME Globex Pricing

(tick)(tick) (tick)This topic describes how to obtain and display tick size and pricing data for products traded on CME Globex.

Trade and Value Date Processing

(tick)(tick)(tick)EBS Market provides the Trade Session List for trade and value date processing

Trade Embargo Processing for ON-SEF NDF Instruments

(tick) (On-SEF NDF only)(tick) (On-SEF NDF only)(error)On-SEF NDF instruments implement an embargo rule for trade messaging. The embargo sends trade information during a conflation interval at a minimum of 400 milliseconds after the trade occurs.
Book Management
Conflation Processing(tick)(tick)(tick)Conflated market data combines multiple updates within an interval to a single event. 
Conflated TCP Market Data Group Processing

(error)

(tick)

(tick)

Conflated market data combines multiple updates within an interval to a single event. 
Correlating MDP 3.0 with Order Entry(tick)(tick)(tick)Certain values transmitted in market data messages can be correlated with their counterpart iLink order entry message tags. This topic provides an overview and mapping of tags which can be correlated by the client.

Market by Price (MBP)

(tick)(tick)(tick)CME Group provides a multiple-depth Market by Price (MBP) book for most products.

Implied Book Processing

MDP 3.0 - Implied Matching Status

(error)

(error)

(error)

N/A

Market by Order - Full Depth (MBOFD)(error)(error)(error)N/A

Market By Order - Limited Depth (MBOLD) Book Processing

(error)(error)(error)N/A

Inverted Price Book Processing

(error)(error)(error)N/A

Mid-Session Order Quantity Update

(error)(error)(error)N/A

All-Or-None Processing

(error)(error)(error)N/A

Bilateral Trading Relationship Processing

(error)(error)(error)N/A

EBS Credit Screened Book Management

(error)(tick)(error)

TCP Credit screened market data provides client systems price levels where there is applicable credit. 


The EBS Ultra Russian Ruble TCP channel is not credit screened.  

Statistics
Opening Price(error)(error)(error)N/A
Indicative Opening(error)(error)(error)N/A
Session High and Low Trade Price(error)(error)(error)N/A
Session Statistics Reset(error)(error)(error)N/A
Electronic Volume(error)(error)(error)N/A

High Bid and Low Ask

(error)(error)(error)N/A

Cleared Volume

(error)(error)(error)N/A

Fixing Price

(error)(error)(error)N/A

Open Interest

(error)(error)(error)N/A

Settlement Price

(error)(error)(error)N/A
Volume Weighted Average Price(error)(error)(error)N/A
Recovery

Recovery Services for UDP

(tick)(error)(error)

Data recovery to synchronize client order books with the current state maintained by CME Group.

MBO recovery is not available for EBS.   MBP books are only available. Therefore, MBO recovery concepts can be ignored in the MDP 3.0 - Recovery document.

Recovery Services for Conflated TCP(error)(tick)(tick)

Data recovery to synchronize client order books with the current state maintained by CME Group.

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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