Market Data Channel Reset provides a process for synchronizing order books and trade session statistics in the unlikely event of a CME Group dual component failure. In this scenario, order books on the channel may be "corrupted". During a channel reset, Market by Order (MBO) along with Market by Price (MBP) messages will be sent down the incremental feed.
A message with tag 269-MDEntryType=J and tag 1180-ApplID present will identify a Channel Reset occurrence.
Daily statistics such as Settlement prices are not resent during Channel Reset.
0 = Bid
Type of Market Data entry.
The steps to detect this condition and recover are shown below:
- The Market Data Incremental Refresh (tag 35-MsgType=X) message, Channel Reset data block is sent down the Incremental feed with tag 269-MDEntryType=J to indicate that there has been a dual component failure and the order books on the channel are corrupted.
The client system must empty all order books for the impacted channel.
The order book and all statistics for the instrument should be emptied on the client system.
- The on the Market Recovery feed will be deleted for the impacted channel. Tag 83-RptSeq for Market by Price (MBP) book updates resets to 1 for each instrument repeating group.
CME Globex will disseminate incremental real-time market data for that channel and client systems can process the data. Market Data Incremental Refresh (tag 35-MsgType=X) messages will be sent to recover the following data, where applicable, by instrument:
Current session Trade Volume
Price levels in the order books
Highest and lowest trade
Indicative Opening Price
All messages resent during recovery will contain Bit 5 set to '1' in tag 5799-MatchEventIndicator.
Security Status (35=f) messages containing market states (per instrument group) will be sent for the affected channels. Then any instrument states that are different from the instrument group state are sent (e.g., Forbidden/Halted instruments).
Example: Market Data Channel Reset and Recovery
The following diagram shows an example of a Market Data Channel Reset and Recovery for a channel with 3 instruments.