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The CME Group Market Data Platform (MDP) disseminates real-time bid, ask, trade, and statistical data for CME Group markets and also provides recovery and supporting services for market data processing.

Market Data Group

Market data is organized by Market Data Group, which is a configuration of MDP channels providing all market data required to support markets for a given product or set of products.

Incremental Feed

UDP Feed A and UDP Feed B are used to disseminate CME Group incremental market data using bandwidth efficient, compact encoded packets containing FIX market data messages. All packets are sent through both UDP Feed A and UDP Feed B applicable Market Data Groups. This redundancy minimizes the chance of message loss due to UDP. 

UDP Feed A and UDP Feed B should be used for arbitration.

Market Recovery Feed

Market Recovery (UDP) Feed A is used to disseminate CME Group market data snapshots for all books having activity since the beginning of the week. Market Recovery (UDP) Feed B functions as a backup in the event that Feed A becomes inoperable. Market Recovery (UDP) Feed A and Market Recovery (UDP) Feed B should not be used for arbitration.

Book updates (outright and implied) and statistics are sent through the applicable incremental market data channel. Snapshots are replayed at a constant flow of configurable Transactions per Second (TPS). Expired instruments will be removed from the Market Recovery feed after a configured timeout period.

CME strongly recommends that the Market Recovery feeds be used for recovery purposes only. Once client systems have retrieved recovery data, client systems should stop listening to the Market Recovery feeds.

Instrument Definition Feed

Instrument Definition (UDP) Feed A is used to disseminate CME Group instrument definitions. A single message contains the definition of a given instrument. Instrument definitions are replayed at a constant flow of configurable TPS.

See  Market Recovery and Instrument Definition Rates for additional information.

Expired instruments are not included on the Instrument Definition channel. Instrument Definition (UDP) Feed B functions as a backup in the event that Feed A becomes inoperable.

Instrument Definition (UDP) Feed A and Instrument Definition (UDP) Feed B should not be used for arbitration.

TCP Replay

The TCP historical replay component allows you to request a replay of a set of packets already published on the UDP Incremental Market Data Channel. The request specifies packets to be replayed. The request uses the Market Data - Request (tag 35-MsgType=V) message.

This type of request is sent through a new TCP connection established by the customer. The responses are sent by CME Group through this same connection and the connection is then closed by CME Group once the resend is complete. Replay is limited to a maximum of 2000 packets.

This is not the preferred method for recovery (Market Recovery feed is preferred).

Market Data Services

Market data services provide the external data required to process CME Group market data.

  • Template Dissemination - method for client system to receive all active CME Group templates
  • Market Data Configuration - allows client systems to receive list of all market data channel configurations
  • Security Definition Flat File - contains all Security Definition (tag 35-MsgType=d) messages for CME Globex instruments

For additional information, see MDP3 - FTP Site Information.

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