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Market data for Equity Indices employs the streamlined SBE format. This topic, along with the information in the Equity Indices Messaging Format topic, provides the information required for client system developers to build a new system or adapt an existing system to process Equity Indices market data via streamlined SBE.

Market data for Equity Indices via streamlined SBE has the following characteristics.

  • Market data is sent for the following:
    • S&P Indices
    • Dow Jones Indices
    • Bloomberg Indices
  • The following messages are available:
    • News (tag 35-MsgType=B) message
      • The News (tag 35-MsgType=B) message is NOT sent for Bloomberg Indices.

    • Security Definition Request (tag 35-MsgType=c) message
    • Security Definition (tag 35-MsgType=d) message
    • Market Data Incremental Refresh (tag 35-MsgType=X) message
  • A Product Key for the Equity Indices market data is included in each Market Data Incremental Refresh (tag 35 =X) message.
  • The following Equity Indices market data is disseminated on an incremental market data feed:
    • Index prices
    • Bid and ask prices
      • Bid and ask prices are NOT sent for Bloomberg Indices.
    • High and low prices
    • Opening and Closing prices
    • Trade volume
    • Settlement prices
      • Settlement prices are NOT sent for Bloomberg Indices.
    • Special opening quotes
  • Market data is disseminated according to the following schedule (Central Time):
    • S&P Indices and Dow Jones Indices
      • Sun 14:00 CT - Fri 19:30 CT
      • Sat 22:30 CT - Sun 11:30 CT
    • Bloomberg Indices
      • Sunday 16:00 CT - Friday 19:30 CT
  • Security Definition Messages are initially sent at approximately 11:30 pm on Saturday evenings (Chicago Daylight Savings Time) and approximately 10:30 pm on Saturday evenings (Chicago Standard Time).
  • Order book management is not applicable.
  • TCP historical Replay  is available for message recovery
    • Market Recovery feed is not supported.
  • 52- week High and 52-week Low prices are not disseminated.
There may be circumstances where CME Globex SBE and streamlined SBE utilize the same template id.  When this situation occurs, the template structure will be identical.
TCP Replay

This section describes two options for small scale recovery via TCP Replay:

TCP Replay (All Messages)

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 general TCP Replay.

TCP Replay (Security Definitions Only)

Client systems can also recover only the missed Security Definition messages via the TCP historical replay component, if desired.

Updates will be received from the beginning of the week, including all modifications and deletions. Client systems should process the Security Definition (35=d) messages in the order that they are received.

Unlike the general TCP Replay, client systems will not be able to specify sequence numbers for a group of messages or a specific time period for which the original messages were sent.
TCP Replay Process

The process for recovering only Security Definition messages is shown below:

  1. Customer establishes a TCP connection.

    Refer to the configuration file for TCP IP and port information. For additional information on the configuration file, refer to Market Data - Services.

  2. Customer sends Logon (35=A) message to CME Group.

    Customer Username and Password are verified. If the Username and Password are incorrect, a  Logout will be sent.

  3. CME Group sends Logon (35=A) message to the customer.

    CME Group will send a Logout message if a Security Definition Request (35=c) message is not received in 5 seconds.

  4. Customer sends Security Definition Request (tag 35-MsgType=c) message to CME Group.

    Client systems must indicate the channel ID (tag 1180-ApplFeedID) in the Security Definition Request (tag 35-MsgType=c) message.

    Client systems cannot specify sequence numbers in the Security Definition Request (tag 35-MsgType=c) message. CME Group will send all Security Definition messages from the beginning of the week.

  5. CME Group sends Heartbeat (35=0) messages to customer every 2 seconds until the first recovery message is sent.

  6. CME Group sends all Security Definition (35=d) messages (including all Adds, Modifications, and Deletions) from the beginning of the week until the time of the request. Client systems should process the Security Definition messages in the order that they are received.

  7. CME Group sends a Logout (35=5) message to the customer.

    CME Group will close the TCP connection if the customer does not send a Logout (35=5) message within 5 seconds from the time CME Group sends a Logout (35=5) message.

  8. Customer sends a Logout (35=5) message to CME Group.

  9. CME Group closes the TCP connection.

    The username and password for the TCP Replay component for the New Release and Certification testing environments are both "CME" (do not include quotes). The username and password for the production environment are provided after certification is completed. For more information, contact your Global Account Manager.

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TCP Replay Message Flow

tcpsecdefrep

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