EBS Spectrum Market Data
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
- 1 EBS Market Data Services Overview
- 2 Getting Started with CME Market Data Processing
- 3 MDP Dissemination
- 4 Market Data Support Services
- 4.1 Support Services
- 5 Simple Binary Encoding Schema Overview
- 6 EBS Spectrum Messaging
- 7 Conflated Market Data Processing
- 8 Conflated TCP Market Data Group
- 9 Correlating EBS Spectrum Data with CME Globex MDP
- 10 EBS Spectrum Message Specification
- 10.1 Binary Packet Headers
- 10.2 CME Group MDP EBS Spectrum Message Specification
- 10.3 CME Group MDP TCP Session Management Specification
- 10.3.1 Market Data Header
- 10.3.2 MDP Session Management Messages - Client to Exchange
- 10.3.2.1 Negotiate Message
- 10.3.2.2 Market Data Request Message (tag 35-MsgType=V)
- 10.3.2.3 Subscriber Heartbeat (tag 35-MsgType=0)
- 10.3.3 MDP Session Management Messages - Exchange to Client
- 10.3.3.1 Negotiation Reject
- 10.3.3.2 Negotiation Response
- 10.3.3.3 Request Acknowledgment (tag 35-MsgType=V)
- 10.3.3.4 Request Reject (tag 35-MsgType=Y)
- 10.3.4 MDP Session Management Message - Client to Exchange and Exchange to Client
- 10.3.4.1 Terminate
EBS Market Data Services Overview
The following market data services are available for EBS Spectrum markets.
Market | Market Data Group Option(s) | Channel ID | Description |
|---|---|---|---|
EBS Spectrum | CME MDP Conflated TCP- Spectrum | 550 |
|
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.
Category | CME Globex Concepts & Links | CME MDP Conflated TCP Support? | Notes |
|---|---|---|---|
Message Encoding | Yes | Encoding type for EBS Spectrum. |
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.
Service | Description |
|---|---|
EBS Derived MDP SBE Schema | MDP is a template-based SBE protocol wherein a given message is interpreted by means of its corresponding template. Each message contains a unique Schema ID that references the template to use to interpret the message. This schema contains messaging such as TWAP/VWAP and Market Best Bid/Offer. |
TCP Session Management SBE Schema | An SBE schema for client systems to receive CME Group session management templates for the CME MDP Conflated TCP market data group. |
CME Reference Data API | Additional product and instrument referential data can be obtained via CME Reference Data API. |
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
Environment | Service | FTP/SFTP Site | Directory Location | Client System Update Schedule |
|---|---|---|---|---|
Certification | EBS Derived MDP SBE Schema | /SBEFix/Cert/DerivedMDP/Templates/ | Sunday prior to market open | |
TCP Session Management SBE Schema | /SBEFix/Cert/SessionManagement/Templates/ | Sunday prior to market open | ||
Certification AutoCert+ | SBE Schema | /SBEFix/CertAutoCertPlus/Templates | Sunday prior to market open | |
TCP Session Management SBE Schema | /SBEFix/CertAutoCertPlus/SessionManagement/Templates/ | Sunday prior to market open | ||
New Release | EBS Derived MDP SBE Schema | /SBEFix/NRCert/DerivedMDP/Templates/ | Sunday prior to market open | |
TCP Session Management SBE Schema | /SBEFix/NRCert/SessionManagement/Templates/ | Sunday prior to market open | ||
New Release Autocert+ | EBS Derived MDP SBE Schema | /SBEFix/NRAutoCertPlus/Templates | Sunday prior to market open | |
TCP Session Management SBE Schema | /SBEFix/NRAutoCertPlus/SessionManagement/Templates/ | Sunday prior to market open | ||
Production | EBS Derived MDP SBE Schema | /SBEFix/Production/DerivedMDP/Templates/ | Sunday prior to market open | |
TCP Session Management SBE Schema | /SBEFix/Production/SessionManagement/Templates/ | Sunday prior to market open |
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:
Market Data Group | Current Supported Templates |
|---|---|
CME MDP Conflated TCP - EBS Spectrum |
|
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.
Message | Description |
|---|---|
TWAP | TWAP is the sum of the prices, divided by the number of completed deals. TWAP is based on price only and does not consider the traded amount. |
VWAP | VWAP is the sum of the deal prices multiplied by the deal amount, divided by the total amount of all trades within the conflation interval. |
EBS Spectrum TWAP/VWAP Message (35=X) Tag Usage
The following table outlines tag usage for TWAP/VWAP messages.
Tag | Name | Description | MRF Field Replaced | TWAP | VWAP | |||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
60 | TransactTime | Publication event time, sent in number of nanoseconds since Unix epoch
| Update Date/Time | Available | Available | |||||||||
5799 | MatchEventIndicator | BitSet
| - | Available | Available | |||||||||
268 | NoMDEntries | Number of elements in the message (groupSize) | - | Available | Available | |||||||||
→279 | MDUpdateAction | Market Data update action. Always 0=(new) | - | 0 | 0 | |||||||||
→269 | MDEntryType | Market Data entry type, identifies the element
| Element Name | t=TWAP | 9=VWAP | |||||||||
→48 | SecurityID | SecurityID as referenced in MDP3 and iLink protocols | - | Available | Available | |||||||||
→55 | Symbol | Unique instrument Symbol | - | Available | Available | |||||||||
→37513 | InstrumentGuid | External unique instrument ID | - | Available | Available | |||||||||
→2714 | FinanicalInstrumentFullName | Financial instrument long name e.g. FXSPOT.EURUSD | Description | Available | Available | |||||||||
→270 | MDEntryPx | Market Data entry price | PriceNull9 | TWAP Value | VWAP Value | |||||||||
→271 | MDEntrySize | Market Data entry size | Amount | Number of Trades | The Notional Volume for the Interval | |||||||||
→273 | MDEntryTime | Time of the last market event that contributed to element calculation or publication. Sent in UTC format. | Price Date/Time | Available | Available |
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.
The following examples assume trade embargo (see in the following section) functionality is not included. Additionally, for the examples below, message performance is for illustrative purposes only. Actual production message performance on CME Globex will differ.
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.
Message Name | FIX Tags | Template Name | From | To | Purpose |
|---|---|---|---|---|
Market Data Request Message | 35-MsgType=V | MarketDataRequest205 | Client System to CME Globex | Request to recover current state via the Market Data Snapshot Recovery Message (35=W) and receive all subsequent message type updates for the subscribed instruments or all entitled products. |
Request Acknowledgment | 35-MsgType=V | RequestAck206 | CME Globex to Client System | CME Globex acknowledgment to denote if a client system request is fully or partially acknowledged. |
Request Reject | tag 35-MsgType=Y | RequestReject207 | CME Globex to Client System | Message sent to client systems as a reply to any type of request that is fully rejected. |
For more information, see Conflated MDP TCP - Request Messages.
Security List Request Message (tag 35-MsgType=x) and Security Status Request Message (tag 35-MsgType=g) messages referenced are not applicable to EBS Spectrum market data.
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.
Name | Type | Description |
|---|---|---|
encodingType | integral enumeration value '0xCAFE' | CME SBE version 1.0 little-endian - value 0xCAFE |
MsgSeqNum | uInt32 | TCP sequence number. A unique sequence number given to each TCP message sent. Each connection will have its own separate set of sequence numbers that will increment sequentially with each packet and reset on connection termination. |
SendingTime | uInt64 | UTC Time of message transmission by the MD Gateway. UTC Timestamps are sent in number of nanoseconds since Unix epoch. |
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
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