Page tree

Versions Compared

Key

  • This line was added.
  • This line was removed.
  • Formatting was changed.

This page

...

describes the MDP 3.0

...

services and features available for futures and options, BrokerTec markets, and EBS markets on CME Globex.

Table of Contents

Use this search box to search the child pages of this page.

Page Tree Search

The tables below outline the MDP 3.0 services and features available for CME Globex markets.

Info

An outline of the message specification can be found in the MDP 3.0

...

- Message Specification page.  

Futures and Options on CME Globex

Futures and Options on CME Globex Market Data Services and Features

MDP 3.0 Service/Feature

Futures and Options on CME Globex

Support

Description

Simple Binary Encoding (SBE)

(tick)

Protocol for decoding and encoding messages in binary format.
Dissemination

(tick)

The CME Group Market Data Platform (MDP) disseminates

...

bid, ask, trade, and statistical data for CME Group markets and also provides recovery and

...

supporting services for market data processing.

MDP 3.0 - Security Status

(tick)

The Market Data Security Status message is used to indicate:

  • Security group market state change
  • Instrument state change
  • Implied matching OFF/ ON state
Event Based Market Data Messaging

(tick)

Event Based - market data generated by order activity and market state events
Trade Summary

(tick)

Trade and trade-driven market data.

Info
F&O does not support Trade/Value Dates and Trade Embargos.

MDP 3.0 - CME Globex Pricing

(tick)This topic describes how to obtain and display tick size and pricing data for products traded on CME Globex. 

Trade and Value Date Processing

(error)N/A

Trade Embargo Processing for ON-SEF NDF Instruments

(error)N/A
Book Management
Conflation Processing(error)N/A
Conflated TCP Market Data Group Processing(error)N/A
Correlating MDP 3.0 with Order Entry(tick)Certain values transmitted in market data messages can be correlated with their counterpart iLink order entry message tags. This topic provides an overview and mapping of tags which can be correlated by the client.

Market by Price (MBP)

(tick)CME Group provides a multiple-depth Market by Price (MBP) book for most products.

MDP 3.0 includes the introduction of Simple Binary Encoding (SBE) and Event Driven Messaging to the CME Group Market Data Platform.

Simple Binary Encoding (SBE) is based on simple primitive encoding, and is optimized for low bandwidth, low latency, and direct data access.

SBE and event-driven messaging provide:

  • Independence between number of events, messages, and packets, including:

- Multiple messages per packet

- A single event over multiple packets. Each packet contains a complete message as defined by the FIX specification, which allows client systems to start processing the message once the first packet is received.

  • Fixed-length fields, which allow direct data access to fields in the message based on offsets and eliminate the need to parse entire messages.

Event Driven Messaging

Events can result from activities such as: Order Entry/Acceptance, Market State Changes, Start of Week Book Population, Channel Resets and Recovery, and Statistics Generation.

As market events occur, messages are sent in the real-time market data feed in packets containing FIX messages. 

  • Event-based market data is sequential per event (i.e., all messages for Event 1 will be processed and sent before any messages for Event 2 are processed and sent). 
  • A single event will be represented by a series of FIX messages sent per market data entry type, and the end of each event will be indicated in the last message for that event.
  • Messages within an event will be disseminated in a specific order by market data entry type. Each message will include an indicator which identifies whether there is more information for that type of message in the following packet(s).

Click a link in the diagram to jump to that topic.

Gliffy Diagram
nameCME-MDP3.0-Market-Data-InfoMap
pagePin2

This specification describes the following functions available from MDP 3.0.

Implied Book Processing

MDP 3.0 - Implied Matching Status

(tick)CME Group provides a 2-deep best bid and ask in the market for each implied-eligible contract
Market by Order - Full Depth (MBOFD)(tick)CME Globex Market by Order (MBO) disseminates individual orders and quotes at every price level for the given instrument. 

Market By Order - Limited Depth (MBOLD) Book Processing

(error)N/A

Inverted Price Book Processing

(error)N/A

Mid-Session Order Quantity Update

(error)N/A

All-Or-None Processing

(error)N/A

Bilateral Trading Relationship Processing

(error)N/A

EBS Credit Screened Book Management

(error)N/A
Statistics
Opening Price(tick)The Opening Price represents the first trade for the opening or re-opening of the instrument.
Indicative Opening(tick)Indicative opening indicates the price and quantity at which the market would open were the market to open at the given point in time.
Session High and Low Trade Price(tick)The High Trade Price data block is sent when a trade occurs which results in the highest trade price for the current session. Likewise, the Low Trade Price data block is sent when a trade occurs which results in the lowest trade price for the current session.
Session Statistics Reset(tick)Statistics are sent on the Incremental Feed as they occur throughout a trading session. Certain statistics are also made available on the Market Recovery Feed with the Market Data Snapshot Full Refresh. 
Electronic Volume(tick)Electronic volume represents the number of contracts traded on CME Globex for the given instrument for the trading session.

High Bid and Low Ask

(tick)The high bid and low ask prices are used to indicate the highest bid and lowest ask prices of the session

Cleared Volume

(tick)Cleared Volume data blocks contain the number of contracts that have been through the clearing process for an active instrument for the previous trading day.

Fixing Price

(tick)A volume-weighted average price for the nearby futures contract

Open Interest

(tick)The total number of contracts per instrument that are not yet offset or fulfilled for the previous trading day. 

Settlement Price

(tick)Settlement is an official CME Group price established for the instrument at a given point in the trading day. CME Group staff determines the daily settlements for all contracts with volume or open interest.
Volume Weighted Average Price(error)N/A
Recovery

Recovery Services for UDP

(tick)

Data recovery to synchronize client order books with the current state maintained by CME Group.

Recovery Services for Conflated TCP(error)N/A

BrokerTec on CME Globex

BrokerTec on CME Globex Market Data Services

Market Data Groups

Description

Supported Markets

Active US Treasuries

EGBs

EU Repo

US Repo

CME MDP Premium

  • Real-time messaging
  • Market By Order - Full Depth (MBOFD)
  • 10-Deep Market By Price (MBP)
  • UDP Multicast Connectivity 
  • Simple Binary Encoding (SBE)
(tick)(tick)(error)(error)

CME MDP Conflated UDP

  • 50 millisecond conflated messaging
  • Market by Order Limited Depth (MBOLD) - Top 10 Orders
  • 10-Deep Market By Price 
  • UDP Multicast Connectivity 
  • Simple Binary Encoding
(tick)(tick)(error)(error)

CME MDP Conflated TCP

  • 50 millisecond conflated messaging
  • Market by Order limited Depth - Top 10 Orders 
  • 10-Deep Market By Price
  • Simple Binary Encoding
  • TCP Connectivity 
  • Bilateral market support for Repo markets
(tick)(tick)(tick)(tick)

BrokerTec on CME Globex Market Data Features

MDP 3.0 Service/Feature

BrokerTec on CME Globex

 MDP Premium Support

Conflated UDP SupportConflated TCP SupportDescription
Simple Binary Encoding (SBE)(tick)(tick)(tick)Protocol for decoding and encoding messages in binary format.
Dissemination(tick)(tick)(tick)The CME Group Market Data Platform (MDP) disseminates bid, ask, trade, and statistical data for CME Group markets and also provides recovery and supporting services for market data processing.

MDP 3.0 - Security Status

(tick)

(tick)

(tick)

The Market Data Security Status message is used to indicate:

  • Security group market state change
  • Instrument state change
  • Workup state change
Event Based Market Data Messaging(tick)(tick)(tick)Event Based - market data generated by order activity and market state events. Additional examples of event processing for conflated feeds can be found in Conflated Market Data Processing
Trade Summary(tick)(tick)(tick)

Trade and trade-driven market data. Additional examples of Trade Summary messages for conflated feeds can be found in Conflated Market Data Processing.

Info
BrokerTec does not support Trade/Value Dates and Trade Embargos

MDP 3.0 - CME Globex Pricing

(tick)(tick)(tick)This topic describes how to obtain and display tick size and pricing data for products traded on CME Globex. 

Trade and Value Date Processing

(error)(error)(error)N/A

Trade Embargo Processing for ON-SEF NDF Instruments

(error)(error)(error)N/A
Book Management
Conflation Processing(error)(tick)(tick)Conflated market data combines multiple updates within an interval to a single event. 
Conflated TCP Market Data Group Processing(error)(error)(tick)Conflated market data combines multiple updates within an interval to a single event. 
Correlating MDP 3.0 with Order Entry(tick)(tick)(tick)Certain values transmitted in market data messages can be correlated with their counterpart iLink order entry message tags. This topic provides an overview and mapping of tags which can be correlated by the client.

Market by Price (MBP)

(tick)(tick)(tick)CME Group provides a multiple-depth Market by Price (MBP) book for most products. BrokerTec on CME Globex supports Inverted Price Book Processing.

Implied Book Processing

MDP 3.0 - Implied Matching Status

(tick)

US Actives only (channel 490)

(tick)

US Actives only (channel 500)

(tick)

US Actives only (channel 510)

CME Group provides a 2-deep best bid and ask in the market for each implied-eligible contract. BrokerTec U.S. Active channels (490, 500, and 510) support implied book order functionality. 
Market by Order - Full Depth (MBOFD)(tick)(error)(error)

CME Globex Market by Order (MBO) disseminates individual orders and quotes at every price level for the given instrument. See also:

MDP 3.0 - Incremental Refresh SBE Template Book Processing for MBOFD

Market By Order - Limited Depth (MBOLD) Book Processing

(error)(tick)(tick)MBOLD sends the top 10 bid and ask orders on an order book for a given instrument. For BrokerTec MBOLD uses an overlay approach to book management that completely restates the MBOLD book with each new Market Data Snapshot Full Refresh message.

Inverted Price Book Processing

(tick)(tick)(tick)BrokerTec on CME Globex supports inverted pricing for yield, rate, or Repo trading for MBOFD, MBOLD and MBP books. Inverted books have bid prices higher than offers.

Mid-Session Order Quantity Update

(error)(error)(tick)BrokerTec US and EU Repo only

All-Or-None Processing

(error)(error)(tick)Available for Repo only.

Bilateral Trading Relationship Processing

(error)(error)(tick)Bilateral trading allows permissioned firms to trade with other permissioned firms for the given bilateral product

EBS Credit Screened Book Management

(error)(error)(error)N/A
Statistics
Opening Price(tick)(tick)(tick)Same as F&O
Indicative Opening

(tick)

US Actives only (channel 490)

(tick)

US Actives only (channel 500)

(tick)

US Actives only (channel 510)

Indicative opening indicates the price and quantity at which the market would open were the market to open at the given point in time. Only U.S. Active channels (490, 500, and 510) will support indicative opening functionality. The ‘Last Trade Price from prior session’ is the tie-breaker rule to calculate the Indicative Opening Price instead of the settlement price on CME Globex futures and options channels.

Session High and Low Trade Price(tick)(tick)(tick)Same as F&O
Session Statistics Reset(tick)(tick)(tick)Same as F&O
Electronic Volume(tick)(tick)(tick)Same as F&O

High Bid and Low Ask

(error)(error)(error)N/A

Cleared Volume

(error)(error)(error)N/A

Fixing Price

(error)(error)(error)N/A

Open Interest

(error)(error)(error)N/A

Settlement Price

(error)

(error)

(error)N/A
Volume Weighted Average Price(error)(error)(tick)For Repo markets, the Volume Weighted Average Price (VWAP) is the average price an instrument has traded at throughout the day, based on both volume and price. 
Recovery

Recovery Services for UDP

(tick)(tick)(error)

Data recovery to synchronize client order books with the current state maintained by CME Group.

MBOFD Market Recovery is only available for Premium UDP channels. MBOLD Market Recovery is only available for non-Premium conflated UDP channels.  

Recovery Services for Conflated TCP(error)(error)(tick)Data recovery to synchronize client order books with the current state maintained by CME Group.

EBS Market on CME Globex

EBS Market on CME Globex Market Data Services

Market

Market Data Group Option(s)Description
EBS Market New York CME MDP Conflated UDP - EBS Ultra New York
  • 5 millisecond conflated messaging
  • Up to 10-Deep Market By Price (MBP)
    • Not Credit Screened
  • Trade Summary Messages
  • UDP Multicast Connectivity 
  • Simple Binary Encoding (SBE)
  • eFix Matching security definition and security status messages are not available
CME MDP Conflated TCP - Credit Screened New York
  • 50 millisecond conflated messaging
  • 5-Deep Market By Price (MBP)
  • Credit screened - client systems will only receive price levels where there is tradable quantity 
  • Trade Summary Messages
  • EBS Best prices - top bid and ask offers available to all client systems
  • TCP Connectivity 
  • Simple Binary Encoding (SBE)
  • eFix Matching provides security definition and security status messages only
EBS Market LondonCME MDP Conflated UDP - EBS Ultra London
  • 5 millisecond conflated messaging
  • Up to 10-Deep Market By Price (MBP)
    • Not Credit Screened
  • Trade Summary Messages
  • UDP Multicast Connectivity 
  • Simple Binary Encoding (SBE)
  • eFix Matching security definition and security status messages are not available
CME MDP Conflated TCP - Credit Screened London
  • 50 millisecond conflated messaging
  • 5-Deep Market By Price (MBP)
  • Trade Summary Messages
  • Credit screened - client systems will only receive price levels where there is tradeable quantity
  • EBS Best prices - top bid and ask offers available to all client systems
  • TCP Connectivity 
  • Simple Binary Encoding (SBE)
  • eFix Matching is security definition and security status only
CME MDP Conflated TCP - EBS Ultra Russian Ruble
  • 5 millisecond conflated messaging
  • Up to 10-Deep Market By Price (MBP)
    • Not Credit Screened
  • Trade Summary Messages
  • TCP Connectivity 
  • Simple Binary Encoding (SBE)
  • eFix Matching security definition and security status messages are not available
EBS Market OFF SEF NDF LondonCME MDP Conflated UDP - EBS Ultra OFF SEF NDF
  • 100 millisecond conflated messaging
  • 5-Deep Market By Price (MBP)
    • Not Credit Screened
  • Trade Summary Messages
  • UDP Multicast Connectivity 
  • Simple Binary Encoding (SBE)
CME MDP Conflated TCP - Credit Screened OFF SEF NDF
  • 100 millisecond conflated messaging
  • 3-Deep Market By Price (MBP)
  • Credit screened - client systems will only receive price levels where there is tradeable quantity
  • Trade Summary Messages
  • EBS Best prices - top bid and ask offers available to all client systems
  • TCP Connectivity 
  • Simple Binary Encoding (SBE)
EBS Market ON SEF NDF LondonCME MDP Conflated UDP - EBS Ultra ON SEF NDF
  • 100 millisecond conflated messaging
  • 5-Deep Market By Price (MBP)
    • Not Credit Screened
  • Trade Summary Messages
  • Embargo Rule to delay trades
  • UDP Multicast Connectivity 
  • Simple Binary Encoding (SBE)
CME MDP Conflated TCP - Credit Screened ON SEF NDF
  • 100 millisecond conflated messaging
  • 3-Deep Market By Price (MBP)
  • Trade Summary Messages
  • Credit screened - client systems will only receive price levels where there is tradeable quantity
  • EBS Best prices - top bid and ask offers available to all client systems
  • Embargo Rule to delay trades
  • TCP Connectivity 
  • Simple Binary Encoding (SBE)

EBS Market on CME Globex Market Data Features

MDP 3.0 Service/Feature

EBS On CME Globex

 Conflated UDP Support 

Conflated TCP Support

Description

Simple Binary Encoding (SBE)(tick)(tick)Protocol for decoding and encoding messages in binary format.
Dissemination(tick)(tick)The CME Group Market Data Platform (MDP) disseminates bid, ask, trade, and statistical data for CME Group markets and also provides recovery and supporting services for market data processing.

MDP 3.0 - Security Status

(tick)

(tick)

The Market Data Security Status message is used to indicate:

  • Security group market state change
  • Instrument state change
  • Trade date roll
Event Based Market Data Messaging(tick)(tick)Event Based - market data generated by order activity and market state events. Additional examples of event processing for conflated feeds can be found in Conflated Market Data Processing
Trade Summary(tick)(tick)Trade and trade-driven market data. Additional examples of Trade Summary messages for conflated feeds can be found in Conflated Market Data Processing

MDP 3.0 - CME Globex Pricing

(tick)(tick)This topic describes how to obtain and display tick size and pricing data for products traded on CME Globex. 

Trade and Value Date Processing

(tick)(tick)EBS Market provides the Trade Session List for trade and value date processing

Trade Embargo Processing for ON-SEF NDF Instruments

(tick) (On-SEF NDF only)(tick) (On-SEF NDF only)On-SEF NDF instruments implement an embargo rule for trade messaging. The embargo sends trade information during a conflation interval at a minimum of 400 milliseconds after the trade occurs.
Book Management
Conflation Processing(tick)(tick)Conflated market data combines multiple updates within an interval to a single event. 
Conflated TCP Market Data Group Processing

(error)

(tick)Conflated market data combines multiple updates within an interval to a single event. 
Correlating MDP 3.0 with Order Entry(tick)(tick)Certain values transmitted in market data messages can be correlated with their counterpart iLink order entry message tags. This topic provides an overview and mapping of tags which can be correlated by the client.

Market by Price (MBP)

(tick)(tick)CME Group provides a multiple-depth Market by Price (MBP) book for most products.

Implied Book Processing

MDP 3.0 - Implied Matching Status

(error)

(error)

N/A

Market by Order - Full Depth (MBOFD)(error)(error)N/A

Market By Order - Limited Depth (MBOLD) Book Processing

(error)(error)N/A

Inverted Price Book Processing

(error)(error)N/A

Mid-Session Order Quantity Update

(error)(error)N/A

All-Or-None Processing

(error)(error)N/A

Bilateral Trading Relationship Processing

(error)(error)N/A

EBS Credit Screened Book Management

(error)(tick)

TCP Credit screened market data provides client systems price levels where there is applicable credit. 


The EBS Ultra Russian Ruble TCP channel is not credit screened.  

Statistics
Opening Price(error)(error)N/A
Indicative Opening(error)(error)N/A
Session High and Low Trade Price(error)(error)N/A
Session Statistics Reset(error)(error)N/A
Electronic Volume(error)(error)N/A

High Bid and Low Ask

(error)(error)N/A

Cleared Volume

(error)(error)N/A

Fixing Price

(error)(error)N/A

Open Interest

(error)(error)N/A

Settlement Price

(error)(error)N/A
Volume Weighted Average Price(error)(error)N/A
Recovery

Recovery Services for UDP

(tick)(error)

Data recovery to synchronize client order books with the current state maintained by CME Group.

MBO recovery is not available for EBS.   MBP books are only available. Therefore, MBO recovery concepts can be ignored in the MDP 3.0 - Recovery document.

Recovery Services for Conflated TCP(error)(tick)

Data recovery to synchronize client order books with the current state maintained by CME Group.