This page describes the market data recovery process for Market by Price (MBP) and Market by Order Full Depth (MBOFD) order books. This method:
- should be used for large-scale data recovery (e.g. major outage or late join)
- synchronizes client order books with the current state maintained by CME GroupGroup
The Market Recovery Feed:
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| Market Recovery support is required for client systems that utilize MDP 3.0. |
This topic includes:
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Market Recovery Feed Messaging
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| For MBP books, client systems have the option to concurrently recover instrument books via MBP Natural Refresh logic. |
MBOFD Recovery Feed Messaging
The MBOFD Market Recovery feed:
- loops Snapshot messages
- implements template SnapshotFullRefresh and template SnapshotFullRefreshOrderBook for recovery processing
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Market Recovery Price Interleaving (MBOFD)
To optimize recovery time for the highest priority orders, the Snapshot message alternates bid and ask orders from highest to lowest priority (tag 37707-MDOrderPriority).
Gliffy name MBO Snapshot Alternate Prices4 pagePin 2
Market Recovery Processing (MBP & MBOFD)
When packets are missed on both UDP Incremental feeds, packet loss is indicated by a gap in message packet sequence numbers.
- the tag 369-LastMsgSeqNumProcessed value on the Snapshot message corresponds to the packet sequence number on the Incremental feed
tag 60-TransactTime communicates the start transaction time of the last event for the instrument
Market Recovery Feed - Snapshot (tag 35-MsgType=W) Message Incremental Feed 369-LastMsgSeqNumProcessed corresponds to packet sequence number tag 60-TransactTime tag 60-TransactTime
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When this large-scale market recovery method is used, client systems must subscribe to the Instrument Definition feed to determine if any new instruments have been defined. A client application can determine if recovery is necessary using the tag 779-LastUpdateTime timestamp on the Market Recovery feed to detect if instrument data has changed.
Market Recovery Processing Workflow
This section describes the process to follow for large-scale recovery concurrently processing the Incremental feed and Snapshot messages from the Market Recovery feed. 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 feed.
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Incremental Feed | Market Recovery Feed | |||||||
Incremental Packet Sequence Number | Tag 35- MsgType | Tag 48- SecurityID(s) | Tag 60-TransactTime(s) | Snapshot Packet Sequence Number | Tag 369- LastMsgSeq NumProcessed | Tag 60-TransactTime
| Tag 48-SecurityID | Tag 911- TotNumReports |
100 - drop | X | 13205 | 20191120-18:36:41.000000000 | |||||
101 - drop | X | 5522 | 20191120-18:36:41.000278478 | |||||
904 | 20191120-18:36:41.000293451 | |||||||
102 - drop | X | 904 | 20191120-18:36:41.000320480 | |||||
103 - drop | X | 15212 | 20191120-18:36:41.000368253 | |||||
104 - recover instrument 15212 information via Market Recovery Snapshot message and begin normal processing | X | 15212 | 20191120-18:36:41.000368253 TransactTime matches with Snapshot message | 4 – Connect to Market Recovery Feed | 104 | 20191120-18:36:41.000368253
TransactTime matches with Incremental message | 15212 | 10 |
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