This page contains information about CME MDP 3.0 SBE market data on CME Smart Stream on Google Cloud Platform (GCP). CME Smart Stream on GCP leverages Google Cloud Pub/Sub technology for market data distribution. For complete details regarding Google Cloud Pub/Sub please refer to Google Pub/Sub documentation.

Within CME Smart Stream, CME MDP refers to the CME Group Market Data Platform, which provides the complete array of CME Group market data. 

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CME Smart Stream on GCP includes MDP 3.0 channels (CME, CBOT, COMEX, NYMEX, DMEGME, MGEX), Streamlined SBE channels, Data Insights and BrokerTec U.S. Treasuries as follows:

• Equity indices - S&P and Bloomberg
• Settlements and Valuations
• Block trades – DMEGME
• OTC daily
• BrokerTec U.S. Treasury Market Data

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Certification via AutoCert+ is required for all client systems that will support CME Smart Stream on GCP. The following market data offerings have separate test suites:

• Globex MDP 3.0
• Data Insights - Settlement and Valuations
• Streamlined - Block Trades
• Streamlined - OTC Daily
• Streamlined - CME CF Cryptocurrency Indices
• Streamlined - Equity Indices
• Streamlined - OTC Daily
• BrokerTec U.S. Treasury Data

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Clients planning to process CME Data Insights Settlements and Valuations market data should be familiar with the functional specification available here. 

BrokerTec U.S. Treasury Data

Clients planning to process BrokerTec U.S. Treasury market data on CME Smart Stream on GCP should be familiar with the functional specification available here.  

Market Data Support Services

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

Support Services 

There are two MDP services available for markets on CME Globex: Core Globex SBE Schema and CME Reference Data API. An FTP site is used to store the schema files for all environments.

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The following diagram outlines the Publisher (CME Group) relationship with the Subscriber (Client System) for Google Cloud Pub/Sub technology.   

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4. The subscriber receives pending messages from its subscription and acknowledges each one to the Cloud Pub/Sub service.  A message contains the CME Group Simple Binary Encoded (SBE) messages.

5. When a message is acknowledged by the subscriber, it is removed from the subscription's message queue.

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The following section outlines the CME MDP messaging within a Google Pub/Sub Message structure.  

CME MDP Included Data

The Google Pub/Sub data field provides the full CME Group UDP data packet.  

The following diagram outlines CME data with a Google Pub/Sub message:

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Topic names have the following methodology:  

Topic Name Examples

The following are topic name examples:

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The following section outlines recovery options for CME Smart Stream on GCP.

Google Cloud Pub/Sub Message Replay

Google Cloud Pub/Sub includes the ability to replay messages. For more information on recovering messages, please refer to the Google quick start guide. (https://cloud.google.com/pubsub/docs/replay-qs).  

Google Cloud Pub/Sub replay is available for all CME MDP channels on Google Cloud Pub/Sub. Client systems that require data recovery from the beginning of the week on CME Globex can determine the weekly start via the incremental topic when the CME Group sequence number is equal to one.

Large-Scale Market Recovery

This section describes Market by Price (MBP) & Market by Order (MBO) recovery processing for MDP 3.0 channels via Google Cloud Pub/Sub. Market Recovery should be used for large-scale data recovery (i.e. major outage or late join) to synchronize client systems to the latest state maintained by CME Group.  Market by Price (MBP) & Market by Order (MBO) recovery have separate topics.

Once a subscriber requests to recover from a market recovery topic all Market Data Snapshot Full Refresh (tag 35-MsgType=W) messages are looped 3 times for an applicable channel.  

The following is an example of the messaging from the market recovery 3x topic loop:

A Market Data Snapshot Full Refresh (35=W) message will be included if the instrument has had book/trade activity since the beginning of the week. Once the instrument has had at least one order, it will stay in the recovery topic, even if the order is cancelled. Market Data Snapshot Full Refresh (35=W) messages will not be sent for instruments having no book activity. More than one instrument can be updated in a packet. The following information is available in the Market Data Snapshot Full Refresh (35=W) message:

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• Last Trade
• Opening Price
• Session High Trade Price
• Session Low Trade Price
• Session High Bid
• Session Low Offer
• Electronic Volume

Large Scale Market Recovery Processing

When recovery is required, client systems must re-synchronize all books to the latest state maintained by CME Group and determine whether any new instrument definitions have been published.

• the tag 369-LastMsgSeqNumProcessed value on the Snapshot message corresponds to the packet sequence number on the Incremental topic

• tag 60-TransactTime communicates the start transaction time of the last event for the instrument

  Market Recovery Topic - Snapshot (tag 35-MsgType=W) Message		Incremental Topic
  tag 369-LastMsgSeqNumProcessed	corresponds to	packet sequence number
  tag 60-TransactTime		tag 60-TransactTime

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CME Smart Stream on GCP utilizes the same SBE template processing methodology as CME Globex. 

Market Recovery Processing Workflow

This section describes the process to follow for large-scale recovery concurrently processing the Incremental topic and Snapshot messages from the Market Recovery topic. Once a book is recovered, client systems can resume normal processing for that instrument even if other books are still being recovered. Client systems will not recover any missed statistics on the Market Recovery topic.

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