The CME Group Market Data Platform (MDP) disseminates real-time bid, ask, trade, and statistical data for CME Group markets and also provides recovery and supporting services for market data processing.
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Market Data Group
Market data is organized by Market Data Group, which is a configuration of MDP channels providing all market data required to support markets for a given product or set of products.
Market Data Groups have the following structure:
UDP Feed A and UDP Feed B are used to disseminate CME Group incremental market data using encoded packets containing the following FIX market data message types:
- Security Definition (tag 35-MsgType=d)
- Market Data Security Status (tag 35-MsgType=f)
- Market Data Incremental Refresh (tag 35-MsgType=X)
- Request for Quote (tag 35-MsgType=R)
All packets are sent through both UDP Feed A and UDP Feed B applicable Market Data Groups. This redundancy minimizes the chance of message loss due to UDP.
UDP Feed A and UDP Feed B should be used for arbitration.
Market Recovery Feed
The Market by Price (MBP) and Market by Order (MBO) Market Recovery (UDP) Feed A is used to disseminate CME Group market data snapshots for all books having activity since the beginning of the week. Market Recovery (UDP) Feed B functions as a backup in the event that Feed A becomes inoperable.
Each packet on this feed can contain more than one Snapshot message; each message represents a market state snapshot of a given instrument. Snapshots are replayed at a constant flow of configurable packets per second.
Expired instruments will be removed from the Market Recovery feed after a configurable timeout period.
CME strongly recommends that the Market Recovery feeds be used for recovery purposes only. Once client systems have retrieved recovery data, client systems should stop listening to the Market Recovery feeds.
Instrument Definition Feed
Instrument Definition (UDP) Feeds replay CME Group instrument definitions for late joiners and mid-week recovery.
Each packet on this feed can contain more than one Security Definition (35=d) message, with each message representing a definition of a given instrument. Instrument definitions are replayed at a constant, configurable rate (in packets per second).
Seefor additional information.
Expired instruments are removed from the Instrument Definition feeds after a configurable time period.
Instrument Definition (UDP) Feed B functions as a backup in the event that Feed A becomes inoperable.
The TCP historical replay component allows you to request a replay of a set of packets already published on the UDP Incremental Market Data Channel. The request identifies the start and end packet sequence numbers to be replayed. The request uses themessage.
This type of request is sent through a new TCP connection established by the customer. 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. Replay is limited to a maximum of 2000 packets.
TCP Replay is only recommended for small scale recovery. For larger recovery events, Market Recovery is strongly recommended.
Market Data Services
Market data services provide the external data required to process CME Group market data.
- Schema Dissemination - method for client system to receive all active CME Group templates
- Market Data Configuration - allows client systems to receive list of all market data channel configurations
- Security Definition Flat File - contains all messages for CME Globex instruments
- Market Schedule File - contains all Security Groups with state changes scheduled for each Trading Date of the current week.