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There are four MDP services available: Schema Dissemination Service, Market Data Configuration Service, Security Definition Flat File, and Market Schedule File. An FTP/SFTP site is used to store the template files and configuration files for all environments and the Security Definition Flat File for the Production environment.

Service

Description

Schema Dissemination

MDP is a template-based 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 schema dissemination service provides a method for client systems to receive all of the CME active templates, or the templates associated with either a schema ID or a Market Data Group.

Market Data Configuration

The Market Data Configuration Service allows clients systems to receive the list of all Market Data Channel configurations (multicast IP, product group, and Security ID).  

Security Definition Flat File

The Security Definition Flat File (secdef.dat) is available only for the Production environment. The process to generate the file begins each Sunday through Friday as follows:

All start times are Central Time (CT)

  • Monday - 8:55 AM
  • Sunday - 12:15 PM
  • Sunday through Friday - 2:30 PM
  • Monday through Friday - 8:30 PM
The availability of the file will vary. Typically it takes approximately 50 - 60 minutes to complete the creation of the file.

The Security Definition Flat File file contains the Security Definition (tag 35-MsgType=d) message information for the start of the next trading day, including instrument data and daily settlement prices.

This file has been decoded and some of the data has been converted to human-readable FIX format.

Security Definition Flat File Conversion

The tags that have been converted include:

TagFIX NameFIX Format Conversion

779

LastUpdateTime

UTC Time – Format:  YYYYMMDDHHMMSSlllmmm

1145

EventTime

UTC Time – Format:  YYYYMMDDHHMMSSlllmmm

5819

DecayStartDate

Local Market Date - Format:  YYYYMMDD

5796

TradingReferenceDate

Local Market Date - Format:  YYYYMMDD

872

InstAttribValue

32 Boolean Bit Values

731

SettlPriceType

8 Boolean Bit Values

5799

MatchEventIndicator

8 Boolean Bit Values

Please see the MDP - Security Definition message specification for a detailed description of each tag value. 

This file is not refreshed throughout the trading day. Once a trading day has started, the following intra-day instrument changes are not reflected in the file until a new one is generated that evening:

  • New instruments added during the day
  • Covered options spreads that expire at the end of the trading day
  • User Defined Spreads (UDS) created during the trading day

CME Group strongly recommends using this file either in addition to or as a back up for the market data channels due to risk of unaccounted for intra-day instrument additions and deletions.

Market Schedule File

The Market Schedule File (TradingSessionList.dat) lists all Security Groups with state changes scheduled for each Trading Date of the current week. It is available for the New Release and Production environments.

The Market Schedule file is created on Sundays and will be available all week. It will not be refreshed throughout the week. 

Mid-week changes to the schedule are not updated in the file.

Use of the Market Schedule File is optional.

CME Reference Data API 

Additional product and instrument referential data can be obtained via CME Reference Data API. Globex tag 48-SecurityID maps to the Reference data API instrument field globexSecurityId.