Streamlined SBE uses compact Simple Binary Encoding (SBE) optimized for low latency of encoding and decoding while keeping bandwidth utilization reasonably small. Concise message sizes are used but without the processing cost of compression. All FIX semantics are supported. The encoding standard is complimentary to other FIX standards for session protocol and application level behavior.
Streamlined SBE Market Data Architecture
The diagram below provides an overview of the market data configuration available for streamlined SBE.
Market Data Group
Incremental UDP Feed A and B
UDP Feed A and UDP Feed B are used to disseminate CME Group incremental market data using SBE encrypted FIX messages. All FIX message types are sent through both UDP Feed A and UDP Feed B applicable Market Data Groups. This duality minimizes the chance of message loss due to UDP. Each SBE message is sent down both feeds.
TCP Replay Recovery
Client systems can recover specific messages that were missed using the sequence number and the TCP historical replay component. The TCP historical replay component allows systems to request a replay of a set of messages already published on the UDP Incremental Market Data Channel. The request specifies messages to replay. The request uses the SBE Market Data Request (tag 35-MsgType=V) message.
This type of request is sent through a new TCP connection established by client systems. The responses are sent by CME Group through this same connection and the connection is then closed by CME Group once the resend is complete. All responses are SBE encoded (including the reject response).
The following restrictions apply when requesting messages via TCP Historical Replay:
- A maximum of 2,000 messages can be requested per Market Data Request (35=V) message.
- Only the current day's messages can be requested and resent.
Streamlined SBE Channel Definitions
The MDP channel definition identifies the market assigned to a given MDP SBE channel for market data dissemination.
The Market Data Configuration service (FTP site) is used to disseminate market data channel configuration.