Market Data Platform supports a Simple Binary Encoding (SBE) Market Data Platform (MDP) channel for BrokerTec U.S. Treasury Data.
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BrokerTec U.S. Treasury market data supports the product types listed below.
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Only the benchmark active notes and bonds support multiple book depth (5 levels). |
List of available products and most valuable data. Refer to Market Data Incremental Refresh Specification for a complete list of available data.
Products | Available Data |
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Active Benchmark Bills
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Active Benchmark Notes and Bonds
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When Issued Bills, Notes & Bonds
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Once Old & Twice Old Off-the-Run Notes and Bonds
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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.
| Environment | Service | FTP/SFTP Site | Directory Location | Client System Update Schedule |
|---|---|---|---|---|
New Release | Incremental Schema | https://www.cmegroup.com/ftp or sftpng.cmegroup.com | /SBEFix/NRCert/BrokerTecUST/Templates/ | Sunday prior to market open |
New Release | Configuration File | /SBEFix/NRCert/BrokerTecUST/Configuration/ | Daily | |
New Release | Global TCP Recovery Schema | /SBEFix/NRCert/GlobalTCPRecovery/Templates/ | Sunday prior to market open | |
Production | Incremental Schema | /SBEFix/Production/BrokerTecUST/Templates/ | Sunday prior to market open | |
Production | Configuration File | /SBEFix/Production/BrokerTecUST/Configuration/ | Daily | |
Production | Global TCP Recovery Schema | /SBEFix/Production/GlobalTCPRecovery/Templates/ | Sunday prior to market open |
Market Data Channel
The following market data channel is available for BrokerTec U.S. Treasuries market data.
Channel Name | ChannelID |
|---|---|
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. |
Client systems use the Market Data Incremental Refresh (tag 35-MsgType=X) message to update and and maintain aggregate book depth, trades, and statistical data views with the following data blocks:
- Add - create/insert a new price at a specified price level (tag 279 MDUpdateAction=0)
- Change - change quantity for a price at a specified price level (tag 279 MDUpdateAction=1)
- Delete - remove a price at a specified price level (tag 279 MDUpdateAction=2)
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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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The following restrictions apply when requesting messages via TCP Historical Replay:
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Book Reset
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BrokerTec U.S. Treasury Data is the only non-Globex market data channel to send Instrument level Book Reset (tag 35-MsgType=X, tag 55-Symbol, tag 269-MDEntryType=J) messages. |
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Example of Take Trade Condition built using incremental refresh messages:
| 30 Year | Last Trade Size | Last Trade Price | Trade Condition | Last Traded Volume |
|---|---|---|---|---|
Symbol | 2 | 100.03125 | T | 1262 |
Top of Book (TOB) in Yield Terms
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For Yield books, prices are inverted, i.e., the best Bid price can be lower than the best Ask. |
FIX Syntax for 1 Level 2-Year Yield Book – Market Data Incremental Refresh (35=X):
- Tag 279-MDEntryAction=0 (New)
- Tag 269-MDEntryType=0 (Bid)
- Tag 55-Symbol (Contract Name)
- Tag 1023-MDPriceLevel=1 (Level 1)
- Tag 271-MDEntrySize null
- Tag 270-MDEntryPx (Price of the Market Data Entry)
- Tag 423-PriceType =9, else null (only if price is quoted in yield)
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Example built using incremental refresh messages:
| 2 Year 1 | Bid Yield | Ask Yield | 2 Year 1 | ||
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Level | Price Type | Price | Price | Price Type | Level |
1 | Yield | 1.910 | 1.906 | Yield | 1 |
Statistical Information
This section provides examples of FIX Syntax for statistical information such as low trades, opening prices, VWAY, and VWAP.
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Example - Statistical Information Low Trade
| 7 YEAR |
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| Low Trade Price |
| 100.7812 |
Opening Price
FIX Syntax for Statistical Information Opening Price – Market Data Incremental Refresh (35=X)
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Example - Statistical Information Opening Price
| 7 YEAR |
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Opening Price |
100.7343 |
Volume Weighed Average Yield (VWAY)
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Example - Statistical Information Volume Weighed Average Yield (VWAY)
| 7 YEAR WI | |
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Yield | Price Type |
3.10043 | Yield |
Volume Weighed Average Price (VWAP)
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Example - Statistical Information Volume Weighed Average Yield (VWAP)
| 7 YEAR WI | |
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Yield | Price Type |
100.475 | null |
Contact Information
For technical development support, contact Certification Support for Electronic Trading (CSET).
For production requests, please contact the Global Command Center (GCC).
For all other inquiries, please contact Global Account Management (GAM).