This topic describes the CME Group MDP 3.0 message schema.

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A FIX template corresponds to a FIX message type, and uniquely identifies an ordered collection of fields. The template also includes syntax indicating the type of field and transfer decoding to apply. A template is communicated between CME Group and client systems in XML syntax using the Simple Binary Encoding XML schema. The XML format is human- and machine-readable and can be used for authoring and storing FIX templates. Session Control Protocol (SCP) will not be used.

Contents

Each template has a unique Template ID that describes the format of the binary encoded message. A Template ID is present in every message to provide a reference to the correct template. The Template ID is unique and is included in every message header, allowing the client system to apply the correct schema to the message upon receiving it.

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Schema Distribution

Schema and configuration files are available for download via the CME Group FTP (https://www.cmegroup.com/ftp) or SFTP (sftpng.cmegroup.com) site.

Schema Versioning

The templates.xml file is versioned each time an update is made. All elements in a message schema are of the same version. The first version of a schema is version zero, and the version number is incremented each time a schema is changed. The “sinceVersion” attribute indicates when a template is extended.

Word Boundaries / Block Alignment

To aid client system processing of MDP data, the root lengths of the most common messages—such as the Market Data Incremental Refresh (tag 35-MsgType=X), Market Data Security State (tag 35-MsgType=f), and the Request for Quote (tag 35-MsgType = R), that are not in increments of 8 bytes—are padded to the byte boundary in multiples of 8 byte units. Additionally, repeating block length is 8 byte aligned in the Incremental Messages.

SBE Optimization

SBE has two features to control alignment of message elements.

• The length of a block is controlled with the blockLength attribute of a message or group. When applied to a message, it controls the length of the root level of the message, prior to any repeating groups or variable-length data. When applied to a group, it controls the length of each entry of the repeating group. The blockLength attribute is not required. By default, the length of a block is the sum of its field sizes. When specified, it must be at least that much, but can be greater. When greater than the field lengths, the extra space resides at the end of the block.
• The position of an individual field can be controlled with the offset attribute. Since individual field alignment is not considered crucial, this field attribute is optional. When not specified, the field is packed to the previous field without padding.

Template Extension

In the event that a message template is updated, the change can be made as an appended extension, which requires no immediate action on the part of the client, or a non-appended extension, which requires implementation of the new template.

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• Tags added to the body of the message will be added to the end of the body, before the repeating groups. In this scenario, the TemplateID will not change, but the schema version will change.
• The BlockLength field in the Binary Header or Group will increase in value to include the length of the new tag.
• Data fields can also be appended at the end of the repeating groups without updating the TemplateID, although the contents of the template and the schema version number will change. Each repeating group will include:
• the new length of each entry in the repeating group
• the number of entries in the repeating group

Example: Template Before Appended Extension

For the example below, the schema version is 1.

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<field name=" GroupField2" id="9991" type="GroupField2Type" description="ExampleGroupField2" offset="4" semanticType="char" />

</group>

</ns2:message>

Example: Template After Appended Extension

In the example below “ExampleField3” has been appended to the template 99 header. Additionally, the following updates were made to the schema:

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<field name=" GroupField2" id="9991" type="GroupField2Type" description="ExampleGroupField2" offset="4" semanticType="char" />

</group>

</ns2:message>

Non-Appended Extension

For a non-appended template extension, the template is not backward compatible and the new template must be implemented. Examples of a non-appended extension include:

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Schema Format

The schema file is constructed of several sections including the following:

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• Message Description - FIX Message Type Name.
  • ID - The Schema ID used identify the Template ID.
  • Semantic Type - FIX Message Type value for the message
  • Name - Identifies the message being encoded.
• Field Descriptions 
  • Field Description - Field name
  • ID - FIX tag.
  • Semantic Type - FIX semantic data type and encoding type.
  • Name - FIX tag name.
  • Block Length - The size of the root level or the repeating group of the message in bytes. 
  • Since Version - Version that the tag was added.
  • Offset - The number of bytes from the start of the message body or group to the first byte of the field.
  • Type - FIX semantic data type and encoding type.
• Repeating Group Definitions 
  • Group Name - Unique identifier for a repeating group.
  • Field Description - Field Name.
  • ID - FIX Tag.
  • Semantic Type - FIX semantic data type and encoding type.
  • Name - FIX tag name.
  • Block Length - The size of the root level or the repeating group of the message in bytes.  
  • Since Version - Version that the tag was added.
  • Offset - The number of bytes from the start of the message body or group to the first byte of the field.
  • Type - FIX semantic data type and encoding type.

SBE Schema Header 

The following is the layout of the SBE Schema header:

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