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This section contains an overview of the Sunday startup process for the production environment.

CME Group internal testing in the production environment can occur during the weekend. Any trades or market data generated during these tests should be disregarded.

Clients can connect to CME Globex services beginning at 10:30 a.m. CT Sundays to prepare for weekly start-up. Clients should ensure all services are disconnected by 5:00 p.m. CT Fridays to avoid receiving internal test data.


Contents

UDP MDP - System Startup

This section provides an overview of the startup procedure on CME Globex for all UDP MDP feeds, including the CME MDP Conflated UDP and CME MDP Conflated TCP market data groups.

Startup Prior to Open

For a startup prior to the weekly market open, all market data including instrument definitions, price limits and Banding will be disseminated through the Incremental UDP Feed A and Feed B. Book updates include bid/ask/trade. Statistics include what is applicable to the tradable instruments.

Follow the process below to ensure that all necessary market data is received:

  1. Download the configuration files and schema files from the ftp site. Refer to FTP Site Information section for more information.
  2. Listen to the Incremental feed for incremental market data and start normal processing.
Market Data Security Definition (tag 35-MsgType=d) messages disseminated during the Sunday startup period will include the value for tag 980-SecurityUpdateAction=A (Add). The “Add” value will be present on all Security Definition messages whether or not they were present during the previous week’s trading session.

Late Joiner Startup

For a late joiner startup, follow the process below to ensure that all necessary market data is received:

  1. Download the configuration files and schema files from the ftp site. Refer to FTP Site Information for more additional details.
  2. Listen to the Instrument Definition feed. Refer to MDP 3.0 - Instrument Recovery for more information.
  3. Listen to the Incremental feed for incremental market data. Begin the natural refresh process and begin queuing messages.

    The incremental market data may complete a natural refresh (liquid instruments only) that would construct the current, correct state of a book. Refer to MDP 3.0 - Market by Price - Book Recovery Methods for Concurrent Processing for more information.
  4. Listen to the Market Recovery feed for the latest Snapshot (35=W) messages. 

    Use the latest Snapshot (35=W) message to verify that the book was correctly created via natural refresh and to retrieve the latest statistics. When the latest snapshots are received, the value for tag 369-LastMsgSeqNumProcessed in the Market Recovery for UDP snapshot (35=W) message matches the latest packet sequence number from the Incremental feed.

    If the book for an instrument was not completely constructed using natural refresh, then apply the Snapshot (35=W) message. Discard queued packets from the Incremental feed until the packet sequence number has the same value as tag 369-LastMsgSeqNumProcessed in the Snapshot (35=W) message. The discarded packets contain information that was already included in the Snapshot (35=W) message.

    Information for instruments included for the first time in the latest Incremental feed packet (with a packet sequence number equal to tag 369-LastMsgSeqNumProcessed in the Snapshot (35=W) message) may not be in the latest Snapshot (35=W) message. Apply the latest Incremental feed packet to obtain this information.

  5. Stop listening to the Market Recovery and Instrument Definition feeds.
  6. Start normal processing.

Heartbeats

At Sunday startup, CME Globex sends Heartbeat (tag 35-MsgType=0) messages at a predefined 30-second interval on the UDP Market Recovery and Instrument Definition feeds until the beginning of recovery data transmission. Once the UDP Market Recovery and Instrument Definition feeds start sending recovery data, CME Globex no longer sends Heartbeat messages.

CME MDP Conflated TCP - System Startup (BrokerTec Only)

This section provides an overview of the startup procedure on CME Globex for the CME MDP TCP feed.

Early and Late Joiner Startup

For a startup prior to the weekly market open and for a late joiner startup, to obtain all entitled data and subsequent updates, it is recommended clients send the following three requests in order with the request type equal to Snapshot and Updates (tag 263-SubscriptionReqType=1):

  1. Security List Request Message (35-MsgType=x)
  2. Security Status Request Message (35-MsgType=g)
  3. Market Data Request Message (35-MsgType=V)

At Sunday startup, CME Globex Conflated TCP sends Heartbeat (tag 35-MsgType=0) messages at a predefined 30-second interval until the beginning of data transmission.