Market Data Platform supports a Simple Binary Encoding (SBE) Market Data Platform (MDP) channel for BrokerTec U.S. Treasury Data.
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The BrokerTec U.S. Treasury market data channel uses compact Simple Binary Encoding (SBE) optimized for low latency of encoding and decoding while keeping bandwidth utilization reasonably small. Concise message sizes are used without the processing cost of compression. All FIX semantics are supported. The encoding standard is complimentary to other FIX standards for session protocol and application level behavior.
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| New customers developing to a non-Globex market data channel for the first time should familiarize themselves with MDP 3.0 - Simple Binary Encoding and MDP 3.0 - Message Schema topics. |
Market Data Support Services
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Market Data Configuration Service
Customers can obtain channel definitions, UDP configurations, and TCP Historical Replay configurations.
Incremental Schema Dissemination Service
Customers can use the incremental schema dissemination service to obtain the Broker U.S. Treasury Data incremental message templates.
Global TCP Recovery Schema
BrokerTec U.S. Treasury Data utilize a separate schema dedicated to TCP recovery templates. However, client systems utilize the common replay component for the retrieval of actual messages.
FTP Locations
CME provides an FTP (https://www.cmegroup.com/ftp) and SFTP (sftpng.cmegroup.com) site to disseminate schema and market data configuration information. This FTP/SFTP site contains the Schema and Configuration files for all events. Schema and Market Data configuration details for the Production environment are only available to customers after the certification process is complete.
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Channel Name | ChannelID |
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BrokerTec U.S. Treasury Data | 215 |
Customers can obtain channel network configurations from the config.xml file located at the new ftp location https://www.cmegroup.com/ftp.
Incremental Book Management People
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For customers not familiar with Incremental Book Management, you should familiarize yourself with MDP 3.0 Market by Price Multiple Book Depth. |
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- The 'Add' data block is sent if there is a new price level. Client systems should then shift price levels down and delete any price levels past the defined depth.
- The 'Change' data block is sent to update characteristics of a price level without changing the price itself or impacting any other prices on the book. The 'Change' data block is sent to update the quantity for a price level per volume.
- The 'Change' data block is not sent when the price changes at a given price level.
- The 'Delete' data block is sent to remove a price level in the book. Client systems should shift prices below the data block up to the price level vacated by the deleted price level. If available, an add data block will be sent to fill in the last price level.
Recovery
Missed messages can be recovered using TCP Recovery or Natural Refresh.
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Natural Refresh is not guaranteed and should not be considered a definitive substitute for recovering lost data. |
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The client system must track the state of the book at all times with the FIX Market Data Incremental Refresh message (tag 35-MsgType=X) book update data blocks. It is possible, though not guaranteed, that a set of these book update data blocks can be used to construct the current, correct state of a book without prior book state knowledge. While client systems wait for the recovery of missing data, they may opt to also use a natural refresh algorithm to recover book state prior to recovering the lost data. Natural refresh can also be used to re-instate the top-of-book. Prior to beginning a natural refresh, the entire book should be emptied. Natural refresh assumes no prior knowledge of book state. |
TCP Recovery
The TCP historical replay component allows systems to request a replay of a set of messages already published on the UDP Incremental Market Data Channel. The request specifies messages to replay.
Client systems will use the new Global TCP Replay Templates located at the new ftp location; however, client systems will utilize the common replay component for the retrieval of actual messages.
The request uses the SBE Market Data Request (tag 35-MsgType=V) message.
This type of request is sent through a new TCP connection established by client systems. The responses are sent by CME Group through this same connection and the connection is then closed by CME Group once the resend is complete. All responses are SBE encoded (including the reject response).
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