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Unless otherwise noted, the following examples assume an empty book and the conflation interval is set to 50 milliseconds. Additionally, for the examples below, message performance is for illustrative purposes only. Actual production message performance on CME Globex will differ.  

Example 1 - Multiple Updates for Single Instrument

The following example illustrates conflation for a single instrument with multiple updates.

Gliffy Diagram

Example 2 - Multiple Updates for Multiple Instruments

The following example illustrates conflation with multiple updates and multiple instruments.

Gliffy Diagram

Example 3 - Event Exceeds Conflation Interval

In this example, a market data event exceeds the 50 millisecond conflation interval. When the conflation interval is exceeded due to additional processing, MDP 3.0 waits until the event is complete before publishing messages.

Gliffy Diagram

Example 4 - No Messages within Configured Interval

In this example, there is no activity within the 50 millisecond interval. Therefore, MDP 3.0 resets the conflation interval to 50 and waits to publish the next market event.

Gliffy Diagram

Example 5 - Non-Conflated Message Flush

In this example, a non-conflated message is triggered, which causes the conflated data to be sent earlier.

Gliffy Diagram

Example 6 - Market Data Channel Reset with Conflation

Conflated market data feeds support Market Data Channel Reset (tag 269-MDEntryType=J). Market Data Channel Reset provides a process for synchronizing order books and trade session statistics in the unlikely event of a CME Group component failure. In this scenario, order books on the channel may be corrupted. During a conflation channel reset, Market by Order Limited Depth (MBOLD) along with Market by Price (MBP) messages will be sent down the incremental feed real-time. More information regarding channel reset can be found here