This topic provides information on EBS Spectrum Market Data Platform (MDP) functionality which provides Time Weighted Average Price (TWAP) and Volume Weighted Average Price (VWAP) market data for the following markets:  

• FX Spot

• Precious Metal Spot

Contents

EBS Market Data Services Overview

The following market data services are available for EBS Spectrum markets.

Getting Started with CME Market Data Processing 

This section provides an overview of current CME Group market data technology processing concepts that will be used for the EBS Spectrum feeds. If you are new to CME Group MDP technologies or wish to better understand how your current CME Group system aligns with upcoming EBS Spectrum functionality, CME Group recommends starting here.

MDP Dissemination 

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

Market Data Group

Market data is organized by Market Data Group, which is a configuration of MDP channels providing all market data required to support markets for a given product or set of products. EBS on CME Globex will have one of the following Market Data Groups:

CME MDP Conflated Transmission Control Protocol (TCP)

CME MDP Conflated TCP market data group supports one minute conflation over TCP unicast in Simple Binary Encoding (SBE). Each Conflated TCP channel market data group has separate I/P and ports, therefore session activity will only apply to their respective channels. 

CME MDP Component Overview

This section provides an overview of MDP components for EBS Spectrum MDP. 

TCP MDP Gateway

TCP MDP Gateway disseminates CME Group market data using TCP encoded packets.

CME MDP Conflated TCP - System Startup

This section provides an overview of the startup procedure on CME Globex for the CME MDP TCP feed.

Early and Late Joiner Startup

For a startup prior to the weekly market open and for a late joiner startup, to obtain all entitled data and subsequent updates, it is recommended clients send the following request with the type equal to Snapshot and Updates (tag 263-SubscriptionReqType=1):

• Market Data Request Message (35-MsgType=V)

For more information regarding request messages see Conflated MDP TCP - Request Messages.

Market Data Support Services

Market data services provide the external data required to process CME Group market data. 

Support Services 

There are three MDP services available for EBS markets on EBS Spectrum: EBS Derived SBE Schema, TCP Session Management SBE Schema and CME Reference Data API. FTP and SFTP sites are used to store the schema files and configuration files for all environments.

FTP/SFTP Site Information

CME provides an FTP (ftp://ftp.cmegroup.com) and SFTP (sftpng.cmegroup.com) site to disseminate MDP SBE schemas and market data configuration information. This FTP/SFTP site contains the schema and configuration files for all events. 

Information applies as follows in the table:

• Environment - specific environment (i.e., Certification, Certification AutoCert+, New Release, New Release AutoCert+, Production)

• Service - EBS Derived MDP SBE Schema, TCP Session Management SBE Schema

• FTP/SFTP Site - address of the FTP/SFTP site

• Directory Location - identifies directory

• Client System Update Schedule - client systems should download updates according to schedule specified

Simple Binary Encoding Schema Overview

The following section outlines key concepts for MDP 3.0 - Simple Binary Encoding schema processing on EBS Spectrum. For tag level messaging details, see the specification section.  

Core CME Globex SBE Schema Overview

The following table outlines the Derived MDP SBE schema template mapping for market data groups:  

TCP Session Management SBE Schema Overview

The TCP Session Management SBE Schema is exclusively used for the MDP TCP Gateway market data group. TCP Session Management Schema is SBE release version 1.0 candidate 4; however, the schema is compatible with SBE release version 1.0 candidate 2 systems. The SBE schema is named mdpsessionmgmt.xml. 

EBS Spectrum Messaging

EBS Spectrum includes the TWAP/VWAP messaging. 

EBS Spectrum TWAP/VWAP Message (35=X) Tag Usage

The following table outlines tag usage for TWAP/VWAP messages.  

Conflated Market Data Processing

This section describes functionality for the CME MDP Conflated UDP and CME MDP Conflated TCP market data groups for EBS Spectrum. Conflated market data combines multiple updates within an interval into a single event. EBS Spectrum MDP supports a one minute conflation interval. When the conflation interval is exceeded due to additional processing, EBS Spectrum does not publish messages until the event is complete. The interval is reset once MDP messages are published. If there is no activity within the configured 1 minute interval EBS Spectrum resets the conflation interval to 1 minute and waits to publish the next market event. If there is no activity within the publication interval for an instrument, no message will be published.

Conflation Market Data Examples

The example below outlines conflation concepts applicable to EBS Spectrum.

Example 1 - Multiple Updates for Single Instrument

The following example illustrates conflation for a single instrument with multiple updates set to a 1 minute conflation interval. The value sent to client systems is the combined Paid and Given values.

Example 2 - Multiple Updates for Multiple Instruments 

The following example illustrates conflation for multiple instruments set to a 1 minute conflation interval. 

Conflated TCP Market Data Group 

CME Group provides a CME MDP Conflated TCP market data group for EBS Market. The Conflated TCP Market Data Group schema utilizes template extension. With template extension, a template is extended as an appended extension; client systems can choose to continue processing the prior template version or process the new data with the new schema version.

Packet Structure

The encoded FIX transmission for the CME MDP Conflated TCP market data group is sent in a packet. For more information regarding packet structure see Packet Structure. 

Conflated MDP TCP - Initialization and Unbinding

Conflated MDP TCP uses the FIX protocol via Simple Binary Encoding (SBE) to establish and manage bi-directional sessions. A session is defined as a bi-directional stream of ordered messages between two parties.
Conflated MDP TCP does not support session layer re-transmit request functionality. For more information on this topic, see Conflated MDP TCP - Initialization and Unbinding.

Conflated MDP TCP - Request Messages

The following section outlines request message market data functionality provided by CME Globex. Once the client system has established a FIX session, client systems may send request messages. Subscription requests only apply to their respective channels.

TCP MDP Request Messages and Response Messages

Conflated MDP TCP payload messages are summarized as follows. 

For more information, see Conflated MDP TCP - Request Messages.

Correlating EBS Spectrum Data with CME Globex MDP

EBS Spectrum data can be correlated with EBS Spectrum Market Data via tag 273-MDEntryTime. On EBS Spectrum, tag 273-MDEntryTime is the time of the last market event that contributed to element calculation or publication for an instrument. Therefore, tag 273-MDEntryTime on EBS Spectrum is equal to tag 60-TransactTime on the last CME Globex summary trade contributing to the EBS Spectrum conflation interval. Tag 60-TransactionTime on EBS Spectrum denotes when the VWAP/TWAP messaging is created on the EBS Spectrum engine.

Example: Correlating EBS Spectrum Data with CME Globex MDP 

The following example illustrates the correlation between tag 273-MDEntryTime on EBS Spectrum and tag 60-TransactTime on the CME Globex MDP trade summary. The CME Globex trades below all contribute to the EBS Spectrum conflation interval of one minute.  

EBS Spectrum Message Specification

The message specifications provide the message layout for each FIX message type supported by the applicable SBE schema. Clients can also review message specification details via the SBE schemas: 

• EBS Derived MDP SBE Schema

• TCP Session Management
  
  

Binary Packet Headers

A standard technical header sent in a packet.

SBE Technical Header for TCP Conflated Connections

A standard technical header is included as preamble to all TCP conflated SBE messages sent by Customer to Exchange, as well as Exchange to Customer for TCP. 

CME Group MDP EBS Spectrum Message Specification 

The CME Group MDP Core Message Specification provides the message layout for each FIX message type supported by the EBS Derived MDP SBE Schema. 

Market Data Header

The following section outlines MDP headers for the Core CME Globex SBE Schema.  

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).

Market Data Incremental Refresh (tag 35-MsgType=X) 

The Market Data Incremental Refresh (tag 35-MsgType=X) is sent for incremental updates including TWAP and VWAP data.

Market Data Incremental Refresh - TWAP & VWAP

The Market Data Incremental Refresh message below is sent for TWAP and VWAP updates. This message maps to the MDIncrementalRefreshSpectrum303 template in the EBS Derived MDP SBE Schema.

Market Data Snapshot (tag 35-MsgType=W)

The Market Data Snapshot (tag 35-MsgType=W) is utilized for market recovery. This message is generated as a response to Market Data Request with SubscriptionReqType = 0 (Snapshot) or 1 (Snapshot and Updates). It is generated only for instruments that have had trade activity so that most recent updates to EBS Spectrum values can be recovered.

Market Data Snapshot - Conflated TCP Recovery 

The Market Data Snapshot message below is used by the CME MDP Conflated TCP market data group. This message maps to the MDSnapshotRefreshSpectrum305 template in the EBS Derived MDP SBE Schema for EBS Spectrum.

Market Data Heartbeat (tag 35-MsgType=0)

The Heartbeat (tag 35-MsgType=0) message is sent on UDP Real-Time Feed and Recovery Feeds in periods of no activity at a configurable time interval and consists of only a standard technical header and a FIX message header. Currently, the configurable time interval is 30 seconds. This message maps to the AdminHeartbeat302 template in the EBS Derived MDP SBE Schema.

CME Group MDP TCP Session Management Specification 

The CME Group MDP Session Message Specification provides the message layout for each FIX message type supported by the CME MDP Conflated TCP market data group in the TCP Session Management SBE Schema. Consult the MDP Dissemination section for more information. 

Market Data Header

The following section outlines MDP headers for the Global TCP Recovery for UDP schema.  

SBE Technical Header - Customer to Exchange, Exchange to Customer

For the TCP MDP 3.0 stream, a standard technical header is included as a preamble to all SBE messages. The SBE technical header is sent by the customer to the exchange and the exchange to the customer.

SBE Message Header - Customer to Exchange, Exchange to Customer

Each FIX SBE message will start with a Binary message header that consists of the Binary Size and SBE header (Length, TemplateID, SchemaID, and Version). The SBE message header is sent by the customer to the exchange and the exchange to the customer.

MDP Session Management Messages - Client to Exchange

The following section outlines client messages sent to CME Globex for a CME MDP Conflated TCP market data group.

Negotiate Message

This message maps to the Negotiate200 template in the TCP Session Management SBE Schema.

Market Data Request Message (tag 35-MsgType=V)

This message maps to the MarketDataRequest205 template in the TCP Session Management SBE Schema.

Subscriber Heartbeat (tag 35-MsgType=0)

This message maps to the SubscriberHeartbeat210 template in the TCP Session Management SBE Schema. The heartbeat time Interval is configured to 30 seconds. Client systems are disconnected if the SubscriberHeartbeat is not received for two intervals.

MDP Session Management Messages - Exchange to Client

The following section outlines CME Globex messages sent to client systems for a CME MDP Conflated TCP market data group.

Negotiation Reject

This message maps to the NegotiationReject201 template in the TCP Session Management SBE Schema.

Negotiation Response

This message maps to the NegotiationResponse202 template in the TCP Session Management SBE Schema.

Request Acknowledgment (tag 35-MsgType=V)

This message maps to the RequestAck206 template in the TCP Session Management SBE Schema.

Request Reject (tag 35-MsgType=Y)

This message maps to the RequestReject207 template in the TCP Session Management SBE Schema.

MDP Session Management Message - Client to Exchange and Exchange to Client

Terminate

This message maps to the Terminate203 template in the TCP Session Management SBE Schema. Both client systems and the exchange use this message.