To support future enhancements for futures and options markets on CME Globex, the MDP 3.0 SBE core schema will be updated to version 13 starting Sunday, October 13, 2024 (trade date Monday, October 14, 2024), and concluding Sunday, January 12, 2025 (trade date Monday, January 13, 2025).

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In conjunction with the core schema futures and options update, the futures and options markets will leverage a new separate schema dedicated to TCP recovery for UDP.  

This topic provides an overview of concepts with which clients must be familiar to process the new futures and options SBE market data and Global TCP schemas.  

Contents

Revision History

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SBE Schema Update

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    <ns2:message name="MDInstrumentDefinitionSpread56" id="56" description="MDInstrumentDefinitionSpread" blockLength="255" semanticType="d" sinceVersion="9">
        <field name="MatchEventIndicator" id="5799" type="MatchEventIndicator" description="Bitmap field of eight Boolean type indicators reflecting the end of updates for a given Globex event" offset="0" semanticType="MultipleCharValue"/>
        <field name="TotNumReports" id="911" type="uInt32NULL" description="Total number of instruments in the Replay loop. Used on Replay Feed only" offset="1" semanticType="int"/>
        <field name="SecurityUpdateAction" id="980" type="SecurityUpdateAction" description="Last Security update action on Incremental feed, 'D' or 'M' is used when a mid-week deletion or modification (i.e. extension) occurs" offset="5" semanticType="char"/>
        <field name="LastUpdateTime" id="779" type="uInt64" description="Timestamp of when the instrument was last added, modified or deleted" offset="6" semanticType="UTCTimestamp"/>
        <field name="MDSecurityTradingStatus" id="1682" type="SecurityTradingStatus" description="Identifies the current state of the instrument. The data is available in the Instrument Replay feed only" offset="14" semanticType="int"/>
        <field name="ApplID" id="1180" type="Int16" description="The channel ID as defined in the XML Configuration file" offset="15" semanticType="int"/>
        <field name="MarketSegmentID" id="1300" type="uInt8" description="Identifies the market segment, populated for all CME Globex instruments" offset="17" semanticType="int"/>
        <field name="UnderlyingProduct" id="462" type="uInt8NULL" description="Product complex" offset="18" semanticType="int"/>
        <field name="SecurityExchange" id="207" type="SecurityExchange" description="Exchange used to identify a security" offset="19" semanticType="Exchange"/>
        <field name="SecurityGroup" id="1151" type="SecurityGroup" description="Security Group Code" offset="23" semanticType="String"/>
        <field name="Asset" id="6937" type="Asset" description="The underlying asset code also known as Product Code" offset="29" semanticType="String"/>
        <field name="Symbol" id="55" type="Symbol" description="Instrument Name or Symbol. Previously used as  Group Code " offset="35" semanticType="String"/>
        <field name="SecurityID" id="48" type="Int32" description="Unique instrument ID" offset="55" semanticType="int"/>
        <field name="SecurityIDSource" id="22" type="SecurityIDSource" description="Identifies class or source of the security ID (Tag 48) value" semanticType="char"/>
        <field name="SecurityType" id="167" type="SecurityType" description="Security Type" offset="59" semanticType="String"/>
        <field name="CFICode" id="461" type="CFICode" description="ISO standard instrument categorization code" offset="65" semanticType="String"/>
        <field name="MaturityMonthYear" id="200" type="MaturityMonthYear" description="This field provides the actual calendar date for contract maturity" offset="71" semanticType="MonthYear"/>
        <field name="Currency" id="15" type="Currency" description="Identifies currency used for price" offset="76" semanticType="Currency"/>
        <field name="SecuritySubType" id="762" type="SecuritySubType" description="Strategy type" offset="79" semanticType="String"/>
        <field name="UserDefinedInstrument" id="9779" type="UserDefinedInstrument" description="User-defined instruments flag" offset="84" semanticType="char"/>
        <field name="MatchAlgorithm" id="1142" type="CHAR" description="Matching algorithm" offset="85" semanticType="char"/>
        <field name="MinTradeVol" id="562" type="uInt32" description="The minimum trading volume for a security" offset="86" semanticType="Qty"/>
        <field name="MaxTradeVol" id="1140" type="uInt32" description="The maximum trading volume for a security" offset="90" semanticType="Qty"/>
        <field name="MinPriceIncrement" id="969" type="PRICENULL9" description="Minimum constant tick for the instrument, sent only if instrument is non-VTT (Variable Tick table) eligible" offset="94" semanticType="Price"/>
        <field name="DisplayFactor" id="9787" type="Decimal9" description="Contains the multiplier to convert the CME Globex display price to the conventional price" offset="102" semanticType="float"/>
        <field name="PriceDisplayFormat" id="9800" type="uInt8NULL" description="Number of decimals in fractional display price" offset="110" semanticType="int"/>
        <field name="PriceRatio" id="5770" type="PRICENULL9" description="Used for price calculation in spread and leg pricing" offset="111" semanticType="Price"/>
        <field name="TickRule" id="6350" type="Int8NULL" description="Tick Rule " offset="119" semanticType="int"/>
        <field name="UnitOfMeasure" id="996" type="UnitOfMeasure" description="Unit of measure for the products' original contract size" offset="120" semanticType="String"/>
        <field name="TradingReferencePrice" id="1150" type="PRICENULL9" description="Reference price - the most recently available Settlement whether it be Theoretical, Preliminary or a Final Settle of the session" offset="150" semanticType="Price"/>
        <field name="SettlPriceType" id="731" type="SettlPriceType" description="Bitmap field of eight Boolean type indicators representing settlement price type" offset="158" semanticType="MultipleCharValue"/>
        <field name="OpenInterestQty" id="5792" type="Int32NULL" description="The total open interest for the market at the close of the prior trading session" offset="159" semanticType="Qty"/>
        <field name="ClearedVolume" id="5791" type="Int32NULL" description="The total cleared volume of instrument traded during the prior trading session" offset="163" semanticType="Qty"/>
        <field name="HighLimitPrice" id="1149" type="PRICENULL9" description="Allowable high limit price for the trading day" offset="167" semanticType="Price"/>
        <field name="LowLimitPrice" id="1148" type="PRICENULL9" description="Allowable low limit price for the trading day" offset="175" semanticType="Price"/>
        <field name="MaxPriceVariation" id="1143" type="PRICENULL9" description="Differential value for price banding" offset="183" semanticType="Price"/>
        <field name="MainFraction" id="37702" type="uInt8NULL" description="Price Denominator of Main Fraction" offset="191" semanticType="int"/>
        <field name="SubFraction" id="37703" type="uInt8NULL" description="Price Denominator of Sub Fraction" offset="192" semanticType="int"/>
        <field name="TradingReferenceDate" id="5796" type="LocalMktDate" description="Indicates session date corresponding to the settlement price in tag 1150-TradingReferencePrice" offset="193" semanticType="LocalMktDate"/>
        <field name="PriceQuoteMethod" id="1196" type="String5" description="Price quotation method" offset="195" sinceVersion="10" semanticType="String"/>
        <field name="RiskSet" id="37721" type="String6" description="Risk Set identifies the list of instruments sharing credit limits set up" offset="200" sinceVersion="10" semanticType="String"/>
        <field name="MarketSet" id="37722" type="String6" description="Market Set defines the bilateral relationship and Self Match Prevention configuration for eligible markets" offset="206" sinceVersion="10" semanticType="String"/>
        <field name="InstrumentGUID" id="37513" type="uInt64NULL" description="External unique instrument ID" offset="212" sinceVersion="10" semanticType="int"/>
        <field name="FinancialInstrumentFullName" id="2714" type="LongName" description="Long name of the instrument" offset="220" sinceVersion="10" semanticType="String"/>
        <group name="NoEvents" id="864" description="Number of repeating EventType entries" blockLength="9" dimensionType="groupSize">
            <field name="EventType" id="865" type="EventType" description="Code to represent the type of event" offset="0" semanticType="int"/>
            <field name="EventTime" id="1145" type="uInt64" description="Date and time of instument Activation or Expiration event sent as number of nanoseconds since Unix epoch" offset="1" semanticType="UTCTimestamp"/>
        </group>
        <group name="NoMDFeedTypes" id="1141" description="Number of FeedType entries" blockLength="4" dimensionType="groupSize">
            <field name="MDFeedType" id="1022" type="MDFeedType" description="Describes a class of service for a given data feed. GBX- Real Book, GBI-Implied Book" offset="0" semanticType="String"/>
            <field name="MarketDepth" id="264" type="Int8" description="Identifies the depth of book" offset="3" semanticType="int"/>
        </group>
        <group name="NoInstAttrib" id="870" description="Number of InstrAttribType entries" blockLength="4" dimensionType="groupSize">
            <field name="InstAttribType" id="871" type="InstAttribType" description="Instrument Eligibility Attributes" semanticType="int"/>
            <field name="InstAttribValue" id="872" type="InstAttribValue" description="Bitmap field of 32 Boolean type Instrument eligibility flags" offset="0" semanticType="MultipleCharValue"/>
        </group>
        <group name="NoLotTypeRules" id="1234" description="Number of entries" blockLength="5" dimensionType="groupSize">
            <field name="LotType" id="1093" type="Int8" description="This tag is required to interpret the value in tag 1231-MinLotSize" offset="0" semanticType="int"/>
            <field name="MinLotSize" id="1231" type="DecimalQty" description="Minimum quantity accepted for order entry. If tag 1093-LotType=4, this value is the minimum quantity for order entry expressed in the applicable units, specified in tag 996-UnitOfMeasure, e.g. megawatts" offset="1" semanticType="Qty"/>
        </group>
        <group name="NoLegs" id="555" description="Number of Leg entries" blockLength="18" dimensionType="groupSize">
            <field name="LegSecurityID" id="602" type="Int32" description="Leg Security ID" offset="0" semanticType="int"/>
            <field name="LegSecurityIDSource" id="603" type="SecurityIDSource" description="Identifies source of tag 602-LegSecurityID value" semanticType="char"/>
            <field name="LegSide" id="624" type="LegSide" description="Leg side" offset="4" semanticType="int"/>
            <field name="LegRatioQty" id="623" type="Int8" description="Leg ratio of quantity for this individual leg relative to the entire multi-leg instrument" offset="5" semanticType="Qty"/>
            <field name="LegPrice" id="566" type="PRICENULL9" description="Price for the future leg of a UDS Covered instrument " offset="6" semanticType="Price"/>
            <field name="LegOptionDelta" id="1017" type="DecimalQty" description="Delta used to calculate the quantity of futures used to cover the option or option strategy" offset="14" semanticType="Qty"/>
        </group>
    </ns2:message>  

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TCP Recovery for UDP Schema Update

With this release client systems that support TCP Recovery for UDP must migrate to a separate dedicated Global TCP Recovery SBE Schema for UDP.  Therefore, with this release client systems that utilize MDP TCP recovery must support both the Core Globex and Global TCP Recovery SBE Schema for UDP SBE schemas.  The Global TCP Recovery schema is already in use for EBS, Brokertec, Data Insights and Streamlined Market Data. This change does not support template extension.

CME provides an FTP (https://www.cmegroup.com/ftp) and SFTP (sftpng.cmegroup.com) site to disseminate MDP 3.0 schemas. CME Group recommends clients use SFTP over FTP to access configuration files.  See the available FTP schema file location for TCP Recovery SBE Schema for UDP. 

Template Mapping

The table below outlines the template mapping between the current v9 core schema templates and the new Global TCP Recovery SBE Schema for UDP.  

TCP Recovery Connection Details

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