CME MDP UDP

• Lowest Latency Real-time Messaging

• Event Based Processing

• Market By Order - Full Depth (MBOFD)

• 10-Deep Market By Price (MBP)

• Market Statistics (Opening Price, Session High and Low Trade Price, Session Statistics Reset, Electronic Volume, High Bid and Low Ask, Cleared Volume, Fixing Price, Open Interest, Settlement Price)

• Time and Sales (Trade Information)

• UDP Multicast Connectivity 

• Simple Binary Encoding (SBE)

CME Smart Stream on GCP SBE - Real-time

• Real-time messaging

• Event Based Processing

• Market By Order - Full Depth

• 10-Deep Market By Price 

• Market Statistics (Opening Price, Session High and Low Trade Price, Session Statistics Reset, Electronic Volume, High Bid and Low Ask, Cleared Volume, Fixing Price, Open Interest, Settlement Price)

• Time and Sales (Trade Information)

• Google Cloud Pub/Sub Connectivity

• Simple Binary Encoding (SBE)

CME Smart Stream on GCP SBE - Delayed

• Delayed (10 minute delay) messaging

• Event Based Processing

• Market By Order - Full Depth

• 10-Deep Market By Price 

• Market Statistics (Opening Price, Session High and Low Trade Price, Session Statistics Reset, Electronic Volume, High Bid and Low Ask, Cleared Volume, Fixing Price, Open Interest, Settlement Price)

• Time and Sales (Trade Information)

• Google Cloud Pub/Sub Connectivity

• Simple Binary Encoding (SBE)

CME Smart Stream on GCP JSON

• Real-time messaging

• Top Of Book Market By Price 

• 2-Deep Market By Price Book

• Market Statistics (Open Interest, Settlement and Traded Volume)

• Time and Sales (Trade Information)

• Google Cloud Pub/Sub Connectivity

• JSON format

MDP 3.0 Feature

Futures and Options on CME Globex

CME MDP 3.0 UDP

Simple Binary Encoding (SBE)

Protocol for decoding and encoding messages in binary format.

Dissemination

The CME Group Market Data Platform (MDP) disseminates bid, ask, trade, and statistical data for CME Group markets and also provides recovery and supporting services for market data processing.

Event Based Market Data Messaging

Event Based - market data generated by order activity and market state events.

Correlating MDP 3.0 with Order Entry

Certain values transmitted in market data messages can be correlated with their counterpart iLink order entry message tags. This topic provides an overview and mapping of tags which can be correlated by the client

Conflation Processing

N/A

Conflated TCP Market Data Group Processing

N/A

Trade Summary

Trade and trade-driven market data.
futures and options do not support Trade/Value Dates and Trade Embargos.

MDP 3.0 - CME Globex Pricing

This topic describes how to obtain and display tick size and pricing data for products traded on CME Globex. 

Trade and Value Date Processing 

N/A

Trade Embargo Processing for OFF-SEF NDF Instruments

N/A

MDP 3.0 - Security Status

The Market Data Security Status message is used to indicate:

• Security group market state change

• Instrument state change

• Implied matching OFF/ ON state

CME Smart Stream on GCP Processing - SBE

Information required for processing SBE on CME Smart Stream on GCP.

CME Smart Stream on GCP Processing - JSON

Information required for processing the following data via JSON on CME Smart Stream on GCP:

• Top of Book

• Level 2 Order Book

• Market Statistics (OI, Settlement and Traded Volume)

• Time and Sales (Trade Information)

CME Globex Market Data Channel Guide

MDP 3.0 Channel Guide for futures and options

Book Management

Market by Price (MBP)

CME Group provides a multiple-depth Market by Price (MBP) book for most products.

Implied Book Processing

MDP 3.0 - Implied Matching Status

CME Group provides a 2-deep best bid and ask in the market for each implied-eligible contract

Market by Order - Full Depth (MBOFD)

CME Globex Market by Order (MBO) disseminates individual orders and quotes at every price level for the given instrument. 

Market By Order - Limited Depth (MBOLD) Book Processing

Inverted Price Book Processing

Mid-Session Order Quantity Update

All-Or-None Processing

Bilateral Trading Relationship Processing

MDP 3.0 - Credit Screened Market Best Processing for EBS

Statistics

Opening Price

The Opening Price represents the first trade for the opening or re-opening of the instrument.

Indicative Opening

Indicative opening indicates the price and quantity at which the market would open were the market to open at the given point in time.

Session High and Low Trade Price

The High Trade Price data block is sent when a trade occurs which results in the highest trade price for the current session. Likewise, the Low Trade Price data block is sent when a trade occurs which results in the lowest trade price for the current session.

Session Statistics Reset

Statistics are sent on the Incremental Feed as they occur throughout a trading session. Certain statistics are also made available on the Market Recovery Feed with the Market Data Snapshot Full Refresh. 

Electronic Volume

Electronic volume represents the number of contracts traded on CME Globex for the given instrument for the trading session.

High Bid and Low Ask

The high bid and low ask prices are used to indicate the highest bid and lowest ask prices of the session

Cleared Volume

Cleared Volume data blocks contain the number of contracts that have been through the clearing process for an active instrument for the previous trading day.

Fixing Price

A volume-weighted average price for the nearby futures contract

Open Interest

The total number of contracts per instrument that are not yet offset or fulfilled for the previous trading day. 

Settlement Price

Settlement is an official CME Group price established for the instrument at a given point in the trading day. CME Group staff determines the daily settlements for all contracts with volume or open interest.

Volume Weighted Average Price

Recovery

Recovery Services for UDP

Data recovery to synchronize client order books with the current state maintained by CME Group.

Recovery Services for Conflated TCP

Recovery Services for Smart Stream Market Data 

Recovery Services for Market Data Over WebSocket API

Message Specifications

Description

CME MDP 3.0 SBE

CME MDP 3.0 SBE Specification

CME Smart Stream on GCP - JSON

CME Smart Stream on GCP Specifications