The message formats described in this topic apply to streamlined market data feeds.

Binary Packet Header (Across All Messages)

A standard technical header included in all packets sent on Real-Time Feed, Snapshot and Instrument Recovery Feeds.

Name	Binary Type (Size)	Number of Bytes	Req	Description

Name

Binary Type (Size)

Number of Bytes

Req

Description

MsgSeqNum

uInt32

4

Y

Packet sequence number.

A unique sequence number given to each packet sent.

Each channel will have its own separate set of sequence numbers that will increment sequentially with each packet and reset weekly.

SendingTime

uInt64

8

Y

UTC Time of message transmission by the Gateway. UTC Timestamps are sent in number of nanoseconds since Unix epoch synced to a master clock to microsecond accuracy.

SBE - Streamlined Market Data Message Formats#top

Message Header

Each message in the packet starts with a Binary message header that consists of the Binary Size and SBE header (Length, TemplateID, SchemaID, and Version)

Name	Binary Type (Size)	Number of Bytes	Req	Description

Name	Binary Type (Size)	Number of Bytes	Req	Description
MsgSize	uInt16	2	Y	Length of entire message, including binary header in number of bytes
Simple Binary Encoding Header
BlockLength	uInt16	2	Y	Length of root of the message
TemplateID	uInt16	2	Y	Template ID used to encode the message
SchemaID	uInt16	2	Y	ID of the system publishing the message
Version	uInt16	2	Y	Schema version

SBE - Streamlined Market Data Message Formats#top

FIX Message Header

FIX message header consists of a single field specifiying FIX message type and is consistent across all FIX market data message types.

Tag	Name	FIX Type	Enumeration	Req	Description

Tag

Name

FIX Type

Enumeration

Req

Description

35

MsgType

Int

0=Heartbeat

X= Incremental Refresh

W=Snapshot

d=Security Definition

f=Security Status

R=Request for Quote

Y

FIX Message Type

SBE - Streamlined Market Data Message Formats#top

Logon (tag 35-MsgType=A) – From Customer to CME

The Market Data Logon (tag 35-MsgType=A) message is sent by the client system to MDP to initiate logon.

Required fields are:

Tag	FIX Name	Valid Values	FIX Type	Description

Tag	FIX Name	Valid Values	FIX Type	Description
35	MsgType	A	Char	Message Type
553	Username		String	User ID or username.
554	Password		String	Password or pass phrase.
10	CheckSum		String	Always last tag in message. Functions as end-of-message delimiter.

SBE - Streamlined Market Data Message Formats#top

Logon (tag 35-MsgType=A) – From CME to Customer

The Market Data Logon (tag 35-MsgType=A) message is sent from MDP to the client system to confirm logon. This message is SBE encoded.

Tag	FIX Name	Valid Values	FIX Type	Description

Tag	FIX Name	Valid Values	FIX Type	Description
35	MsgType	A	Char	Message Type
108	HeartBtlnt		Int	Heartbeat interval (seconds).