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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.

Table of Contents

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:

Gliffy Diagram
nameMDP MBO3
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Incremental Feed

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:

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Info

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.

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Info

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.

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Info

Instrument Definition (UDP) Feed B functions as a backup in the event that Feed A becomes inoperable.

TCP Replay

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 the Market Data - Request (tag 35-MsgType=V) message.

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Info

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.

Gliffy Diagram
nameMDP Market Data Services
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  • 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 Security Definition (tag 35-MsgType=d) messages for CME Globex instruments
  • Market Schedule File - contains all Security Groups with state changes scheduled for each Trading Date of the current week.

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