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This topic provides the information required for client system developers to build a new system or convert their existing system to process streamlined Simple Binary Encoding (SBE) market data for Block Trades. A Block Trade is a privately negotiated futures or option on futures transaction executed apart from the public auction market and permitted in designated contracts subject to specified conditions.

CME Group provides a Simple Binary Encoding format geared for non-actionable price data. Streamlined SBE is distinct from MDP3.0 format for CME Globex market data dissemination. As such, streamlined SBE has a dedicated message specification, message template, and Market Data Platform configuration.

Contents

Market Data Channels

The following table lists the channels that are disseminated.

Channel NameSBE Channel Number
CME Block Trades230
CBOT Block Trades231
NYMEX Block Trades232
COMEX Block Trades233 
DME Block Trades234

TCP Recovery 

Client systems can recover specific messages that were missed using the sequence number and the TCP historical replay component. Refer to MDP 3.0 - TCP Recovery for more information on TCP Replay.

The Market Data Request (35=V) message will be used to request a TCP Replay. A maximum of 2000 messages can be requested at one time.

Examples

This section provides examples of Streamlined SBE for Block Trades market data being sent.

Future Processing

The following diagram shows a future message layout.

SBE Blocks Future Ex

Spread Processing

The following diagram shows a spread trade event with bundled legs across multiple packets. The spread summary is denoted by [167]=MLEG. After the first packet, the summary will not contain the trade price and quantity. The value in tag 654-LegRefID links the leg trade to tag 1788-LegID in the leg definition. After the spread trade event, duplicate leg trades for the spread are sent in individual packets.

CME Group recommends that client systems use the leg information from the spread trade event for processing.  

Blocks Spread Processing2


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