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This section outlines functionality for the CME MDP Conflated UDP and CME MDP Conflated TCP market data groups. Conflated market data combines multiple updates within an interval to a single event. The interval is reset once MDP messages are published. The conflation interval is a configurable value set at the market segment level (tag 1300-MarketSegmentID in the Security Definition tag 35-MsgType=d). Messages that are not conflated will be sent real-time and will flush any queued conflated messages. The following table outlines which messages are subject to market data conflation:

MessageConflated

Trade Summary

Yes

Electronic Volume

Yes

Market by price book updates (MBP)

Yes
Market By Order Limited Depth (MBOLD)Yes

Implied Book

Yes

Session Stats

Yes

Security Definitions

No

Security Status

No

Limits and Banding

No

Channel Reset

No
Collateral No

Conflated market data processing will follow standard CME Globex event ordering. The trade summary will use the real-time tag 60-TransactTime; all other conflated messages will use the last event tag 60-TransactTime. Non-conflated messages will use a real-time tag 60-TransactTime. Order entry on CME Globex is not subject to conflation.

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.

conflation_multi_updates3


Example 2 - Multiple Updates for Multiple Instruments

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

conflation-multi-instruments

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.

conflation-past-interval

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.

no-messages-within-conflation-interval

Example 5 - Non-Conflated Message Flush

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

conflation-pass-thru

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

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

conflated-channel-reset-recovery


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