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CME Group and Cryptocurrency Facilities (CF) provide streamlined Market Data products for virtual currencies designed to give CME Group clients a reliable cryptocurrency pricing index source for digital assets.

The pricing data is disseminated via a streamlined Simple Binary Encoding (SBE) market data feed. This feed publishes the following cryptocurrency standardized pricing index data:

  • CME CF Cryptocurrency Reference Rate (RR), which provides a final settlement price in U.S. dollars shortly after 4:00 p.m. London time on each trading day.
    • The Reference Rate aggregates the trade flow of major cryptocurrency spot exchanges during a specific calculation window into a once-per-day reference rate of the U.S. dollar price of the cryptocurrency.
  • CME CF Cryptocurrency Real Time Index (RTI), which allows users real-time access to cryptocurrency prices.
    • The real time index, calculated by Cryptocurrency Facilities, aggregates global demand to buy and sell cryptocurrencies into a consolidated order book and reflects the real time U.S. dollar price of the virtual currencies and will be published approximately once every second.

Market data for virtual currencies via streamlined SBE has the following characteristics.

  • Dissemination of cryptocurrency prices – leveraging the CME CF Real Time Index (RTI), once per second, for executing intra-day cryptocurrency transactions and risk management
  • The following messages are NOT disseminated on the streamlined incremental feed:
    • bid and ask prices
    • high and low prices
    • opening and closing prices
  • Streamlined market data is disseminated on the following schedule:
    • CME CF Cryptocurrency Reference Rate (RR) - shortly after 16:00 London time each day
    • CME CF Cryptocurrency Real Time Index (RTI) - once every second for 24 hours
  • The following tags apply for the Reference Rate (RR) only:
    • tag 451 - NetChgPrevDay 
    • tag 6119 - NetPctChg
The News (tag 35-MsgType=B) message is NOT sent for the CME CF Cryptocurrency Real Time Index (RTI) Index.
  • Streamlined Cryptocurrency Market Data is disseminated according to the following schedule (Central Time):
    • Sun 14:00 CT - Fri 17:30 CT
    • Sat 00:00 CT - Sat 11:30 CT
    • Sat 22:30 CT - Sun 11:30 CT

In future, cryptocurrency future settlement information with decimal point price precision greater than 7 digits WILL NOT BE DISSEMINATED in ITC market data format. Customers are advised to migrate to the cryptocurrency streamlined MDP3 for pricing information for the cryptocurrency future settlement information.


See also:

SBE - CME CF Cryptocurrency Indices Messaging Format

Market Data Channels

The following table lists the channels that are disseminated.

Channel NameStreamlined Channel Number
streamlined CME CF Cryptocurrency Pricing Data213

Pricing Index Information

Cryptocurrency pricing index data and details are available here:

http://www.cmegroup.com/trading/cryptocurrency-indices.html

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