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  1. The Market Data Incremental Refresh (tag 35-MsgType=X) message, Channel Reset data block is sent down the Incremental feed with tag 269-MDEntryType=J to indicate that there has been a dual component failure and the order books on the channel are corrupted.
  2. The order book and all statistics for the instrument should be emptied on the client system for the impacted channel. During recovery the channel will not interrupt the recovery process with incoming business events such as incoming trade or book updates.

    Info

    The order book and all statistics for the instrument should be emptied on the client system.

  3. The Market Data Snapshot Full Refresh (tag 35-MsgType=W) messages on the Market Recovery feed will be deleted for the impacted channel. Tag 83-RptSeq for Market by Price (MBP) book updates resets to 1 for each instrument repeating group.
  4. CME Globex will disseminate incremental real-time market data for that channel and client systems can process the data. Market Data Incremental Refresh (tag 35-MsgType=X) messages will be sent to recover the following data, where applicable, by instrument:

    1. Current session Trade Volume

    2. Price levels in the order books

    3. Highest and lowest trade

    4. Indicative Opening Price

      Info

      All messages resent during recovery will contain Bit 5 set to '1' in tag 5799-MatchEventIndicator.

  5. Security Status (35=f) messages containing market states (per instrument group) will be sent for the affected channels. Then any instrument states that are different from the instrument group state are sent (e.g., Forbidden/Halted instruments).

Example: Market Data Channel Reset and Recovery

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without Conflation

The following diagram shows an example of a Market Data Channel Reset and Recovery for a channel with 3 instruments.

Gliffy Diagram
displayNameOrderBookReset2
nameOrderBookReset2
pagePin1

Example: Market Data Channel Reset and Recovery with Conflation

The following diagram shows an example of a Market Data Channel Reset and Recovery for a conflated channel with 2 instruments.

Gliffy Diagram
nameConflated Channel Reset Recovery2
pagePin1