This section outlines functionality for the CME MDP Conflated UDP and CME MDP Conflated TCP market data groups. Conflated market data combines multiple updates within an interval to a single event. Supported conflated market data messages will be set to a 50 millisecond interval and the interval is reset once MDP messages are published. The conflation interval is a configurable value set at the market segment level (tag 1300-MarketSegmentID in the Security Definition tag 35-MsgType=d). Messages that are not conflated will be sent real-time and will flush any queued conflated messages. The following table outlines which messages are subject to market data conflation:
Market by price book updates (MBP)
|Market By Order Limited Depth (MBOLD)||Yes|
Limits and Banding
Conflated market data processing will follow standard CME Globex event ordering. The trade summary will use the real-time tag 60-TransactTime; all other conflated messages will use the last event tag 60-TransactTime. Non-conflated messages will use a real-time tag 60-TransactTime. Order entry on CME Globex is not subject to conflation.
Example 1 - Multiple Updates for Single Instrument
The following example illustrates conflation for a single instrument with multiple updates.
Example 2 - Multiple Updates for Multiple Instruments
The following example illustrates conflation with multiple updates and multiple instruments.
Example 3 - Event Exceeds Conflation Interval
In this example, a market data event exceeds the 50 millisecond conflation interval. When the conflation interval is exceeded due to additional processing, MDP 3.0 waits until the event is complete before publishing messages.
Example 4 - No Messages within Configured Interval
In this example, there is no activity within the 50 millisecond interval. Therefore, MDP 3.0 resets the conflation interval to 50 and waits to publish the next market event.
Example 5 - Non-Conflated Message Flush
In this example, a non-conflated message is triggered, which causes the conflated data to be sent earlier.
Example 6 - Market Data Channel Reset with Conflation
Conflated BrokerTec market data feeds support Market Data Channel Reset (tag 269-MDEntryType=J). Market Data Channel Reset provides a process for synchronizing order books and trade session statistics in the unlikely event of a CME Group component failure. In this scenario, order books on the channel may be corrupted. During a conflation channel reset, Market by Order Limited Depth (MBOLD) along with Market by Price (MBP) messages will be sent down the incremental feed real-time. More information regarding channel reset can be found here.
The following diagram shows an example of a Market Data Channel Reset and Recovery for a channel with 2 instruments.