CME Globex Performance Enhancements
Starting Sunday, January 5 (trade date Monday, January 6), performance enhancements will be launched on the following CME Globex markets. With this launch, internal testing indicates:
- iLink latency will improve up to 30%.
- Per event, iLink fill notices (tag 35-MsgType=8, tag 39-OrdStatus=1 or 2) will be published before or at the same time as the last market data trade message
- For each individual trade, iLink fill notices will be published before or at the same time as the associated market data trade messages
- Due to performance improvements, packets per second (PPS) on implied MDP channels may increase up to 100%
These enhancements are part of our ongoing efforts to provide best-in-class technology and service on CME Globex.
February 2, 2014
- NYMEX crude energy futures; tag 1300=80
February 9, 2014
- CME Eurodollar futures; tag 1300=82
February 23, 2014
- CME and CBOT Commodity futures; tag 1300=70 and 72
- Hosted PE markets and NYMEX emissions futures; tag 1300=74
New CME Globex Market Data Protocol
In Q2 2014, CME Group is introducing Market Data Platform (MDP) 3.0, a low latency and direct data access solution designed to improve customers' ability to process and act on real-time price information. The protocol production dates will be announced in future CME Globex and Market Data Notices.
Important Update: Based on customer feedback, MDP 3.0 is being updated with a new trade reporting functionality. This update will impact the message layouts and require a new template for trade messages only. The Client Impact Assessment has been updated to reflect the new trade messaging, which will be available for testing in New Release in early Q2 2014. Customers should not develop to the current trade reporting messages, since it will be changed before the production launch; all other messaging and functionality will remain unchanged.
MDP 3.0 includes:
- Simple Binary Encoding (SBE); replaces the current FAST compression model
- FIX 5.0 (SP2) Market by Price messaging formats
- Event-driven market price and trade information
- Enhanced market state dissemination
- Increased timestamp granularity
- Trade identifier on both market data and order entry messages
The client impact assessment, functional specifications, and message specifications provide detailed functionality and messaging information.
MDP 3.0 channels and functionality are currently available in New Release.
Please Note: There will be a new version of the MDP 3.0 NR Schema file available next week via the CME Group FTP site, for use in New Release beginning on Sunday, January 19, 2014. These new templates will not be backward compatible. Due to the nature of the changes, the old templates and template ids will not be persisted in the Schema File. An update to the Schema Version will accompany the new templates and template ids.
A new MDP 3.0 certification suite will be available in AutoCert+. Customer systems receiving market data via CME Globex must complete this mandatory certification.
Real Logic Ltd. and Informatica have collaborated to create open source tools that provide extensive support for Simple Binary Encoding (SBE), the messaging standard developed through The Financial Information Exchange (FIX) Trading Community. The SBE decoders will create an environment that can be used directly by customers or treated as a reference implementation that can be extended into custom solutions tailored to individual customer’s needs. The information and tool are open to the public under an Apache Public License and available here.
Please contact your Global Account Manager with any questions or concerns in the U.S. at +1 312 634 8700, in Europe at +44 203 379 3754 or in Asia at +65 6593 5505 for additional information.