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This topic describes Incremental Refresh SBE template book processing for processing for Market by Price (MBP) and Market by Order Full Depth (MBOMBOFD). MBP disseminates an aggregate book with summarized order quantities and order counts at a given price level for an instrument. MBO  MBOFD disseminates individual orders and quotes at every price level for the given instrument.

For bandwidth efficiency, CME Globex uses two SBE templates to send Market Data Incremental Refresh (tag 35-MsgType=X) book updates. The examples below describe template processing scenarios. 

Info

Currently:

  • the MBOMBOFD-MBP combined template id is 46
  • the MBO MBOFD only template id is 47
Info
MBO MBOFD follows MDP3 packet structure conventions.

MBP and

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MBOFD Combined Template 

MBP and MBO MBOFD book updates can occur in the same SBE message if it uses the combined template. Tag 9633-ReferenceID is used to link the MBO MBOFD repeating group to the MBP repeating group to obtain tag 270-MDEntryPx and tag 48-SecurityID. The combined template uses 37708-OrderUpdateAction for MBO MBOFD book update actions. The combined SBE message will only be used within a single packet.

Gliffy Diagram
nameMBO ReferenceID2
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MBP and

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MBOFD Combined Template - Multiple Instruments and Asymmetric Updates

An MBP and MBO MBOFD book update can occur in the same SBE message (if it uses the combined template) with different instruments and updates. Tag 9633-ReferenceID is used to link the MBO MBOFD repeating group to the MBP repeating group tag 270-MDEntryPx and tag 48-SecurityID for each instrument.

In the example below, MBP Book Update 2 does not generate an MBO MBOFD book update because the order was already sent via MBO MBOFD and existed outside the maximum ten MBP aggregate levels. 

Gliffy Diagram
nameMBO ReferenceID - Diff Instruments2
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MBP and

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MBOFD Separate Templates

For book updates in a single event, MBP and MBO MBOFD information can be sent in separate templates. In this scenario, the combined template will be used for MBP book updates and the MBO MBOFD only template will be used for MBO MBOFD book updates. The MBO MBOFD only template uses tag MDUpdateAction-279 for MBO MBOFD book update actions. The MBO MBOFD update comes before the MBP book update.

Gliffy Diagram
nameMBO Multi Packets Book Update3
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MBP and

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MBOFD - Multiple Packets

An MBO MBOFD book update may span multiple packets. Each MBO MBOFD update across packets will have seperate Market Data Incremental Refresh (tag 35-MsgType=X) messages. The example below shows an MBO MBOFD and MBP update across multiple packets for one instrument.   

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