This section outlines functionality for the CME MDP Conflated UDP and CME MDP Conflated TCP market data groups. Conflated market data combines multiple updates within an interval to a single event. The interval is reset once MDP messages are published. The conflation interval is a configurable value set at the market segment level (tag 1300-MarketSegmentID in the Security Definition tag 35-MsgType=d). Messages that are not conflated will be sent real-time and will flush any queued conflated messages. The following table outlines which messages are subject to market data conflation:
| Message | Conflated |
|---|---|
Trade Summary | Yes |
Electronic Volume | Yes |
Market by price book updates (MBP) | Yes |
| Market By Order Limited Depth (MBOLD) | Yes |
Implied Book | Yes |
Session Stats | Yes |
Security Definitions | No |
Security Status | No |
Limits and Banding | No |
Channel Reset | No |
| Collateral | No |
...
| Info |
|---|
| Unless otherwise noted, the following examples assume an empty book and the conflation interval is set to 50 milliseconds. Market data group conflation intervals can be found in the MDP 3.0 Summary section. Additionally, for the examples below, message performance is for illustrative purposes only. Actual production message performance on CME Globex will differ. |
Example 1 - Multiple Updates for Single Instrument
The following example illustrates conflation for a single instrument with multiple updates.
| Gliffy | ||||||
|---|---|---|---|---|---|---|
|
Example 2 - Multiple Updates for Multiple Instruments
The following example illustrates conflation with multiple updates and multiple instruments.
| Gliffy | ||||||
|---|---|---|---|---|---|---|
|
Example 3 - Event Exceeds Conflation Interval
In this example, a market data event exceeds the 50 millisecond conflation interval. When the conflation interval is exceeded due to additional processing, MDP 3.0 waits until the event is complete before publishing messages.
| Gliffy | ||||||
|---|---|---|---|---|---|---|
|
Example 4 - No Messages within Configured Interval
In this example, there is no activity within the 50 millisecond interval. Therefore, MDP 3.0 resets the conflation interval to 50 and waits to publish the next market event.
Gliffy name no-messages-within-conflation-interval pagePin 1
Example 5 - Non-Conflated Message Flush
In this example, a non-conflated message is triggered, which causes the conflated data to be sent earlier.
| Gliffy | ||||||
|---|---|---|---|---|---|---|
|
...