CME Group supports CME Benchmark Administration Premium, a market data group for the following products:
- CME Term SOFR Reference Rates
- Petroleum Indexes
- CVOL Indexes
- RFR Benchmarks
...
- Download the configuration files and schema files from the FTP or SFTP site.
- Listen to the Incremental feed for incremental market data and start normal processing.
Market Data Support Services
Market data services provide the external data required to process CME Group market data.
| Gliffy | ||||||||
|---|---|---|---|---|---|---|---|---|
|
Support Services
There are four MDP services available for CME Benchmark Administration Premium: Incremental SBE Schema, Global TCP Recovery SBE Schema for UDP, Market Data Configuration and CME Reference Data API. An FTP site is used to store the schema files and configuration files for all environments.
Service | Description |
|---|---|
Incremental SBE Schema | MDP is a template-based SBE protocol wherein a given message is interpreted by means of its corresponding template. Each message contains a unique Schema ID that references the template to use to interpret the message. The core CME Globex SBE schema is used across all market data groups. |
Global TCP Recovery SBE Schema for UDP | A Global TCP Recovery SBE Schema for UDP is an SBE schema dissemination service that provides a method for client systems to process TCP Recovery for UDP system administration messages for UDP market data groups. |
UDP Market Data Configuration | The Market Data Configuration Service allows clients systems to receive the list of all market data channel configurations (multicast IP and product groups) for UDP market data groups. Although Multicast IPs will not change mid-week, additional products will be added throughout the week. Therefore, CME Group recommends client systems process this file daily. |
| CME Reference Data API | Additional product and instrument referential data can be obtained via CME Reference Data API. CME Globex tag 48-SecurityID maps to the Reference data API instrument field globexSecurityId. |
FTP/SFTP Site Information
...
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/SettlementsValuations/Templates/ | Sunday prior to market open |
New Release | Configuration File | /SBEFix/NRCert/BenchmarkAdministrationPremium/Configuration/ | ||
New Release | Global TCP Recovery Schema | /SBEFix/NRCert/GlobalTCPRecovery/Templates/ | Sunday prior to market open | |
Production | Incremental Schema | /SBEFix/Production/SettlementsValuations/Templates/ | Sunday prior to market open | |
Production | Configuration File | /SBEFix/Production/BenchmarkAdministrationPremium/Configuration/ | ||
Production | Global TCP Recovery Schema | /SBEFix/Production/GlobalTCPRecovery/Templates/ | Sunday prior to market open |
Channel Guide
...
The following section outlines key concepts for Simple Binary Encoding (SBE) schema processing on CME Benchmark Administration Premium. For tag level messaging details see the CME Benchmark Administration Premium Message Specification.
SBE Incremental Schema Overview
The following table outlines the Incremental SBE Schema template mapping for market data groups:
| Market Data Group | Channel Type | Current Supported Templates |
|---|---|---|
CME Benchmark Administration Premium | Incremental UDP |
|
| TCP Recovery for UDP |
|
Global TCP Recovery SBE Schema for UDP Overview
CME Benchmark Administration Premium utilizes a separate SBE schema dedicated for TCP recovery for UDP systems. Global TCP Recovery SBE Schema supports SBE release version 1.0 candidate 2. The SBE schema is named tcprecovery.xml and is currently available in the Global TCP templates directory.
CME Benchmark Administration Premium Data Overview
The following section is an overview of CME Benchmark Administration Premium.
| Info |
|---|
| The message specification can be found in the following link: CME Benchmark Administration Premium Specification |
CME Benchmark Administration Premium Overview for SBE Messaging
...
CME Benchmark Administration Premium uses compact Simple Binary Encoding (SBE) optimized for low latency of encoding and decoding while minimizing bandwidth utilization. Concise message sizes are used but 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.
TCP Recovery
The following section describes recovery services for CME Benchmark Administration Premium.
...
UDP Feed A and UDP Feed B are used to disseminate CME Group incremental market data using SBE-encrypted FIX messages. All FIX message types are sent through both UDP Feed A and UDP Feed B applicable market data groups. This duality minimizes the chance of message loss due to UDP. Each SBE message is sent on both feeds.
...
Client systems can recover specific messages that were missed using the sequence number and the TCP historical replay component. 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. 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).
The following restrictions apply when requesting messages via TCP Historical Replay:
- A maximum of 2,000 messages can be requested per Market Data Request (35=V) message.
- Only the current day's messages can be requested and resent.
Refer to MDP 3.0 - TCP Recovery for more information on TCP Replay.