CME Market Data Over WebSocket API
With CME Market Data Over WebSocket API, clients can access easy-to-use real-time CME Group market data feeds. CME Market Data Over WebSocket API supports JavaScript Object Notation (JSON) format. The service provides an easy, low-cost, and highly scalable format to drive trading analysis, risk management, or distribution. Data available in this universal format includes top of book information, trade execution, and product statistics including settlement, total daily volume, and open interest. CME Market Data Over WebSocket API is a service powered by Google Cloud for market data distribution.
Contents
- 1 Product Offerings
- 2 Supported Market Data
- 3 Onboarding and Entitlements
- 4 Accessing CME Market Data over WebSocket API
- 5 Connectivity
- 6 OWASP Compliance
- 7 Messaging Information
- 7.1 Trade Information
- 7.2 Book Management Information
- 7.3 Daily Statistics Information
- 7.3.1 Cleared Volume
- 7.3.2 Open Interest
- 7.3.3 Settlement Price
- 8 Connectivity Processing
- 9 Messaging Summary
- 9.1 WebSocket Connection
- 9.1.1 Login Status Messages
- 9.1.2 Message Requests
- 9.1.2.1 Subscription Message
- 9.2 Additional Considerations
- 9.2.1 Sequence Number
- 9.2.2 Heartbeat
- 9.1 WebSocket Connection
- 10 System Recovery Processing
- 11 Product and Instrument Referential Data
Product Offerings
CME Market Data Over WebSocket API supports CME Globex sourced futures and options products from the following Designated Contract Markets (DCM):
CME
CBOT
COMEX
NYMEX
GME
Supported Market Data
The following market data types are available via Google Cloud WebSocket feed:
Top of Book Topic - Provides a 1-deep Market by Price (MBP) book for an instrument
Market Stats Topic - Includes Open Interest, Settlement and Traded Volume
Trade Information Topic - Provides trade updates for an instrument
Session Management
Onboarding and Entitlements
Client Onboarding / Authorization and Entitlement
A registered OAuth API ID is required to access the CME Market Data Over WebSocket API services. API IDs for CME Group Logins are created and managed in the CME Customer Center - My Profile menu. Client API IDs must also be entitled prior to accessing CME APIs.
New clients should consult the CME Group Login registration process page for more information.
Complete the step(s) that are applicable to your account:
New Clients | Clients with Existing CME Group Logins |
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Accessing CME Market Data over WebSocket API
To access CME Market Data Over WebSocket API, an OAuth API ID and access token are required. Client systems are allowed to use any API tool of their choice to request and refresh access tokens to access order entry Endpoints using the OAuth protocol. Endpoints are used by client applications to communicate with the OAuth Authorization Server to request and refresh access tokens. Additional information on on OAuth 2.0 adoption can be found in the Client API Service Adoption using OAuth 2.0 Protocol documentation.
OAuth 2.0 Authorization Server Access Token Retrieval Endpoints
The below Endpoints are available to request and refresh access tokens.