The CME Group Market Data Platform (MDP) disseminates bid, ask, trade, and statistical data for CME Group markets and also provides recovery and supporting services for market data processing.
Contents
| Table of Contents |
|---|
Market Data Groups
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.
CME MDP Premium (Futures and Options, BrokerTec)
CME MDP Premium is a real-time market data group that supports Market By Order Full Depth (MBOFD) and Market By Price (MBP) over User Datagram Protocol (UDP) multicast in Simple Binary Encoding (SBE).
| Gliffy | ||||
|---|---|---|---|---|
|
CME MDP Conflated User Datagram Protocol (UDP) (BrokerTec)
The CME MDP Conflated Multicast UDP market data group supports 50-millisecond conflated UDP feed processing over UDP multicast in Simple Binary Encoding (SBE).
| Gliffy | ||||
|---|---|---|---|---|
|
CME MDP Conflated User Datagram Protocol (UDP) (EBS)
The CME MDP Conflated Multicast UDP market data group supports conflated UDP feed processing over UDP multicast in Simple Binary Encoding (SBE).
Gliffy name conflation MDP UDP EBS1 pagePin 1
CME MDP Conflated Transmission Control Protocol (TCP) (BrokerTec, EBS)
CME MDP Conflated TCP market data group supports 50-millisecond conflated over TCP unicast in Simple Binary Encoding (SBE). Each Conflated TCP channel market data group has separate I/P and ports; therefore, session activity will only apply to their respective channels.
| Gliffy | ||||
|---|---|---|---|---|
|
CME MDP Component Overview
This section provides an overview of MDP components.
UDP Incremental Feed
Feed A and Feed B disseminate UDP CME Group incremental market data using encoded packets containing the following FIX market data message types:
...
| Info |
|---|
UDP Feed A and UDP Feed B should be used for arbitration. |
UDP Market Recovery Feeds
The Market by Price (MBP) and Market by Order (MBO) 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 Feed B functions as a backup in the event that Feed A becomes inoperative. The following new Market Recovery Feeds are supported on CME Globex:
- MBOFD Market Recovery - for market data groups that support Recovery of Market By Order Full Depth (MBOFD)
- MBP & MBOLD Market Recovery - for market data groups that support Market By Price (MBP) and Market By Order Limited Depth (MBOLD)
- MBP Market Recovery - for market data groups that support Market By Price (MBP
...
| Info |
|---|
| CME Group 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. |
UDP Instrument Definition Feed
Instrument Definition (UDP) Feeds replay CME Group instrument definitions for late joiners and mid-week recovery.
...
| Info |
|---|
Instrument Definition (UDP) Feed B functions as a backup in the event that Feed A becomes inoperative. |
TCP Message Recovery
The TCP historical replay component allows client systems to request a replay a set of packets already published on the UDP Incremental Market Data Channel. The request identifies the start and end packet sequence numbers to be replayed. The request uses the Market Data - Request (tag 35-MsgType=V) message.
...
| Info |
|---|
| TCP message recovery is only recommended for small scale recovery. |
TCP MDP Gateway
TCP MDP Gateway disseminates CME Group market data using TCP encoded packets. The TCP MDP gateway supports conflated MBP & MBOLD book management.
Market Data Services
Market data services provide the external data required to process CME Group market data.
...