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The message formats described in this topic apply to streamlined market data feeds.

Binary Packet Header (Across All Messages)

A standard technical header included in all packets sent on Real-Time Feed, Snapshot and Instrument Recovery Feeds.

Name

Binary Type (Size)

Number of Bytes

Req

Description

MsgSeqNum

uInt32

4

Y

Packet sequence number.

A unique sequence number given to each packet sent.

Each channel will have its own separate set of sequence numbers that will increment sequentially with each packet and reset weekly.

SendingTime

uInt64

8

Y

UTC Time of message transmission by the Gateway. UTC Timestamps are sent in number of nanoseconds since Unix epoch synced to a master clock to microsecond accuracy.


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Message Header

Each message in the packet starts with a Binary message header that consists of the Binary Size and SBE header (Length, TemplateID, SchemaID, and Version)

NameBinary Type (Size)Number of BytesReqDescription
MsgSize

uInt16

2

Y

Length of entire message, including binary header in number of bytes

Simple Binary Encoding Header
BlockLength

uInt16

2

Y

Length of root of the message

TemplateID

uInt16

2

Y

Template ID used to encode the message

SchemaIDuInt162YID of the system publishing the message
Version

uInt16

2

Y

Schema version

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FIX Message Header

FIX message header consists of a single field specifiying FIX message type and is consistent across all FIX market data message types.

TagNameFIX TypeEnumerationReqDescription
35MsgTypeInt

0=Heartbeat

X= Incremental Refresh

W=Snapshot

d=Security Definition

f=Security Status

R=Request for Quote

YFIX Message Type

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Logon (tag 35-MsgType=A) – From Customer to CME

The Market Data Logon (tag 35-MsgType=A) message is sent by the client system to MDP to initiate logon.

Required fields are:

Tag

FIX Name

Valid Values

FIX Type

Description

35

MsgType

A

Char

Message Type

553

Username

 

String

User ID or username.

554

Password

 

String

Password or pass phrase.

10CheckSum StringAlways last tag in message. Functions as end-of-message delimiter.

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Logon (tag 35-MsgType=A) – From CME to Customer

The Market Data Logon (tag 35-MsgType=A) message is sent from MDP to the client system to confirm logon. This message is SBE encoded.

Tag

FIX Name

Valid Values

FIX Type

Description

35

MsgType

A

Char

Message Type

108

HeartBtlnt

 

Int

Heartbeat interval (seconds).

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Logout (tag 35-MsgType=5)

The Market Data Logout (tag 35-MsgType=5) message is sent from MDP to confirm logout. This message is SBE encoded.

Tag

FIX Name

Valid Values

FIX Type

Description

35

MsgType

5

Char

Message Type

58

Text

 

String

Free format text string. May include logout confirmation or reason for the request reject and logout.

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Heartbeat (tag 35-MsgType=0)

Heartbeat (tag 35-MsgType=0) message is sent on Real-Time Feed and Recovery Feeds in periods of no activity at a configurable time interval and consists of only a standard technical header and a FIX message header.

Currently, the configurable time interval is 30 seconds.

TagNameFIX TypeEnumerationReqDescription

35

MsgType

Int

0=Heartbeat

Y

FIX Message Type

Sample Messages

1 201307132151361919215 35=0

2 201307132151361939215 35=0

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Market Data Request (tag 35-MsgType=V)

The Market Data - Replay Request (tag 35-MsgType=V) message is sent by the client system to request a range of messages for recovery. Required fields:

Tag

FIX Name

Valid Values

FIX Type

Description

35

MsgType

V

Char

Message Type

1180

AppIID

 

String

The channel ID from the XML Configuation file for which this request is made.

262

MDReqID

 

String

Unique identifier for Market Data Request.

1182

ApplBeginSeqNo

 

SeqNum

Message sequence number of the first message in range to be re-sent. If the request is for a single message, tag 1182-ApplBeginSeqNo and tag 1183-ApplEndSeqNo are the same.

1183

ApplEndSeqNo

 

SeqNum

Message sequence number of last message in range to be re-sent. The maximum number of messages that can be requested in a given request is 2000.

10CheckSum StringAlways last tag in message. Functions as end-of-message delimiter.

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