With CME Smart Stream on Google Cloud Platform (GCP), clients can access real-time CME Group market data feeds through native Google Cloud Platform services. CME Smart Stream on Google Cloud Platform (GCP) supports JavaScript Object Notation (JSON) formatted futures and options data, allowing customers to use an easy, low-cost, and highly scalable format to drive their business. Data available in this universal format includes top of book information, second market level depth (i.e., second best bid and offer), trade execution, and product statistics including settlement, total daily volume, and open interest.

This page provides an overview of CME Smart Stream on GCP JSON technical impacts. CME Smart Stream on GCP leverages Google Cloud Pub/Sub technology for market data distribution. For complete details regarding Google Cloud Pub/Sub, refer to Google Cloud Pub/Sub documentation.

CME Smart Stream on GCP also offers Simple Binary Encoded (SBE) data. For more information, refer to the CME Smart Stream on GCP SBE impact documentation.

Contents

1 Testing and Certification
- 1.1 Certification
- 1.2 CME Globex Test Environments
2 Summary of Impacts
- 2.1 Market Data Offerings via Google Cloud
- 2.2 Google Cloud Pub/Sub Processing Overview
  - 2.2.1 Terminology
  - 2.2.2 CME MDP on Google Cloud Pub/Sub Message Flow
  - 2.2.3 Message Structure
    - 2.2.3.1 CME MDP Included Data
    - 2.2.3.2 CME MDP Included Attributes
  - 2.2.4 Message Ordering
  - 2.2.5 Project Names and Topic Naming Methodology
    - 2.2.5.1 Topic Name Examples
- 2.3 Additional Product and Instrument Information
  - 2.3.1 Message Specification
    - 2.3.1.1 Trade Message
    - 2.3.1.2 Book Message
    - 2.3.1.3 Statistic Message
3 Contact Information

Testing and Certification

The following section outlines testing and certification for GCP.

Certification

Certification is not required for CME Smart Stream on GCP JSON.

CME Globex Test Environments

The New Release test environment allows product and new functionality testing prior to release in production. Use the New Release environment to perform:

New product testing
Development testing on new functionality

The New Release test environment has lower data rates than production.

Summary of Impacts

The following market data is published in JSON format via the Google Cloud Pub/Sub:

Top of Book (TOB)
Level 2 Order Book (LVL 2)
Market Statistics (OI, Settlement and Traded Volume)
Time and Sales (Trade Information)

Market Data Offerings via Google Cloud

JSON CME Smart Stream on GCP supports CME Globex sourced products from the following Designated Contract Markets (DCM):

CME
CBOT
COMEX
NYMEX
GME

Google Cloud Pub/Sub Processing Overview

This section provides an overview of CME MDP processing for Google Cloud Pub/Sub. For complete details regarding Google Cloud Pub/Sub technology, refer to Google's online Pub/Sub documentation. For Pub/Sub libraries, refer to Google’s Pub/Sub Client Libraries. Common GCP SDK Pub/Sub processing concepts include the following:

Subscriber methodology in Java
Pulling data from a subscription in Python synchronously and asynchronously
Create a Subscription using JavaScript
Listen for messages using JavaScript

Terminology

Topic: A named resource to which messages are sent by a publisher (CME Group).
Subscription: A named resource representing the stream of messages from a single, specific topic, to be delivered to the subscribing application (client system).
Message: The combination of Google data and CME SBE data sent to a topic and delivered to subscribers.

CME MDP on Google Cloud Pub/Sub Message Flow

The following diagram outlines the Publisher (CME Group) relationship with the Subscriber (client system) for Google Cloud Pub/Sub technology.

CME Group creates a topic in the Cloud Pub/Sub service and sends messages to the topic. To process CME MDP on Google Cloud Pub/Sub, client systems must subscribe to a topic to receive data. The Google Cloud Pub/Sub message will contain CME Group messages.
Message store ensures that published messages are retained on behalf of subscriptions.
Cloud Pub/Sub forwards messages from a topic to each individual subscription. Each subscription receives messages by pulling them from the service. For CME MDP on Cloud Pub/Sub there are four types of topics for a given product group that client systems can subscribe to:
Top of Book Topic - Provides a 1-deep Market by Price (MBP) book for an instrument.
2-Level Book Topic - Provides a 2-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.
The subscriber receives pending messages from its subscription and acknowledges each one to the Cloud Pub/Sub service. A message contains JSON messages.
When a message is acknowledged by the subscriber it is removed from the subscription's message queue.

Message Structure

The following section outlines the CME MDP messaging within a Google Cloud Pub/Sub Message structure.

CME MDP Included Data

The Google Cloud Pub/Sub data field provides the full CME JSON message. The following diagram outlines CME data within a Google Cloud Pub/Sub message:

CME MDP Included Attributes

In addition to the full CME Group JSON message, Smart Stream on GCP provides the following quick access data in the Google Cloud Pub/Sub attributes field:

SendingTime - Sending time from CME before the message is sent to GCP.

Message Ordering

Google Cloud Pub/Sub does not guarantee message order. Therefore, the client system must ensure the correct order for processing messages via the SendingTime attribute.

Project Names and Topic Naming Methodology

CME Smart Stream JSON on Google Cloud Platform (GCP) has data per product. Project names have the following methodology:

Project Name	Type	Environment

Project Name	Type	Environment
cmegroup-marketdata-js-nr	Futures	New Release
cmegroup-marketdata-js-opt-nr	Options	New Release
cmegroup-marketdata-js	Futures	Production
cmegroup-marketdata-js-opt	Options	Production

Topic names have the following methodology:

Name	Valid Values	Description

Name	Valid Values	Description
EnvType	PROD = Production NR = New Release CERT = Certification	Environment
ServiceName	SSCL = Smart Stream Cloud Link	Cloud service provider
Provider	GCP = Google Cloud Products	Name of the cloud provider
ContentType	MD = Market Data	Type of content
Content Timing	RT = Real Time	Time data is sent
ContentOwner	CMEG = CME Group Owned Market Data DME = Gulf Mercantile Exchange	Reference to exchange
Format	JSON = JavaScript Object Notation	Feed Type
Version	v01000	The version of the message format for a topic
Topic Type	TOB = Top of Book LVL2 = Top Two Book Levels TRD = Time and Sales (Trade Information) STAT = Statistic Information	Defines the type of topic
SecurityExchange	Security Exchange: XCBT = Chicago Board of Trade XCME = Chicago Mercantile Exchange XNYM = New York Mercantile Exchange XCEC= COMEX (Commodities Exchange Center) DUMX = Gulf Mercantile Exchange	Security Exchange for JSON Topics
Product Group	Examples: CL = Crude Oil Futures	Product Group. JSON topics only Product and instrument referential data for CME Smart Stream on GCP can be obtained via CME Reference Data API.

Topic Name Examples

The following are topic name examples:

Production JSON 30-Year U.S. Treasury Bond Futures Top of Book Information: PROD.SSCL.GCP.MD.RT.CMEG.JSON.v01000.TOB.XCBT.ZB
New Release JSON Crude Oil Futures Trade Information: NR.SSCL.GCP.MD.RT.CMEG.JSON.v01000.TRD.XNYM.CL

Additional Product and Instrument Information

Product and instrument referential data for CME Smart Stream on GCP can be obtained via CME Reference Data API.

Message Specification

The following section outlines the full message specification for Smart Stream JSON messages.

Trade Message

This message is generated for the Trade topic.

	Key	Attribute	Type	Enumeration	Description

	Key	Attribute	Type	Enumeration	Description
1	header	messageType	String	TS	Denotes trade summary message.
2	header	sentTime	String	ex "2020-05-11T11:22:12.208530531"	CME MDP gateway sends the message (UTC). Format: "yyyy-MM-dd'T'HH:mm:ss.n"
3	header	version	String	1.0	API version
4	payload	lastUpdateTime	String	ex "2020-05-11T11:22:12.208530531"	Last update processing time (UTC). Format: "yyyy-MM-dd'T'HH:mm:ss.n"
5	payload.tradeSummary	aggressorSide	short	0 = No aggressor 1 = Buy 2 = Sell 255 = Null Value	Indicates which side is aggressor of the trade. If there is a zero value present, then there is no aggressor. Trades without aggressors occur: at Market Open after a Pre-Open or after a Pause when the event includes customer order participation in a trade with a CME Globex-generated implied bid or offer.
6	payload.tradeSummary	mdTradeEntryId	uInt32		Common Trade ID that links each trade execution.
7	payload.tradeSummary	tradePrice	PRICE		Trade price.
8	payload.tradeSummary	tradeQty	int32		Total traded quantity.
9	payload.tradeSummary	tradeOrderCount	int32		Identifies the total number of non-implied orders per instrument that participated in a match event.
10	payload.tradeSummary	tradeUpdateAction	String	NEW CHANGE DELETE	Trade market data update action.
11	payload.tradeSummary.orderQty	orderId	int32		Unique ID assigned by CME Globex to identify orders.
12	payload.tradeSummary.orderQty	lastOrdQty	int32		Quantity of trade
13	payload.Instrument	definitionSource	String	E = exchange defined U = user defined	Identifies user-defined instruments. If the tag is not present, the instrument is not user-defined.
14	payload.Instrument	exchangeMic	String	XCBT = Chicago Board of Trade XCME = Chicago Mercantile Exchange XNYM = New York Mercantile Exchange XCEC= COMEX (Commodities Exchange Center) DUMX = Gulf Mercantile Exchange	Exchange used to identify a security.
15	payload.Instrument	id	int32		Unique instrument ID as qualified by the exchange per market segment. The unique instrument ID value will not be reused until the next trade date following an instrument expiration or deletion.
16	payload.Instrument	marketSegmentId	int32		Identifies the market segment. Populated for all CME Globex instruments.
17	payload.Instrument	periodCode	String	ex "202106"	This field provides the calendar month reflected in the instrument symbol. Format YYYYMM (e.g., 201912) For futures spreads, this field contains the first leg's calendar month reflected in the instrument symbol.
18	payload.Instrument	productCode	String		String field that indicates the underlying asset code (Product Code). Example: SR1 (SOFR), ES (E-Minis).
19	payload.Instrument	productType	String	FUT = Future or Future Spread	Product Type
20	payload.Instrument	productGroup	String		Product Group Code.
21	payload.Instrument	symbol	String	e.g. ‘6EN2 P1220’, 6AZ4	Instrument Name or Symbol.
22	payload.Instrument	PutCallIndicator	INT	1 = Call 0 = Put	Indicates whether an option instrument is a put or call.
23	payload.Instrument	Strike	Price		Strike Price for an option instrument.
24	payload.Instrument	UnderlyingSymbol	String		Underlying Instrument Symbol (Contract Name) * this value will be the same as that contained in Leg Instrument's Security Definition Tag 55-Symbol.

Book Message

This message is generated for top of book and level 2 book topics.

	Key	Attribute	Type	Enumeration	Description

	Key	Attribute	Type	Enumeration	Description
1	header	messageType	String	OBTS = top of book LVL2 = level 2 book depth	Denotes trade book message
2	header	sentTime	String	ex "2020-05-11T11:22:12.208530531"	Time CME MDP gateway sends the message (UTC). Format: "yyyy-MM-dd'T'HH:mm:ss.n"
3	header	version	String		API version
4	payload	tradingStatus	String	2=Trading Halt 4=Close 15=New Price Indication 17=Ready To Trade (start of session) 18=Not Available For Trading 20=Unknown or Invalid 21=Pre-Open 24=Pre-Cross 25=Cross 26=Post Close 103=No Change	Identifies the trading status applicable to the instrument or product group.
5	payload.Instrument	definitionSource	String	E = exchange-defined U = user-defined	Identifies user-defined instruments. If the tag is not present, the instrument is not user-defined.
6	payload.Instrument	exchangeMic	String	XCBT = Chicago Board of Trade XCME = Chicago Mercantile Exchange XNYM = New York Mercantile Exchange XCEC= COMEX (Commodities Exchange Center) DUMX = Gulf Mercantile Exchange	Exchange used to identify a security.
7	payload.Instrument	marketSegmentId	int32		Identifies the market segment. Populated for all CME Globex instruments.
8	payload.instrument	periodCode	String	ex "202106"	The calendar month reflected in the instrument symbol. For futures spreads, this field contains the first leg's calendar month reflected in the instrument symbol.
9	payload.instrument	productCode	String		An exchange-specific code assigned to a group of related securities, which are concurrently affected by market events.
10	payload.instrument	productGroup	String		Product group
11	payload.instrument	productType	String	FUT = Future or Future Spread	Product type
12	payload.instrument	symbol	String		Instrument Name or Symbol.
13	payload.askLevel	lastUpdateTime	String	ex "2020-05-11T11:22:12.208530531"	Last update time for ask price Format: "yyyy-MM-dd'T'HH:mm:ss.n"
14	payload.askLevel	orderCnt	int32		Aggregate number of orders at the given price level.
15	payload.askLevel	price	long		Price of the MD Entry.
16	payload.askLevel	qty	int32		Order quantity.
17	payload.bidLevel	lastUpdateTime	String	ex "2020-05-11T11:22:12.208530531"	Last update time for bid price. Format: "yyyy-MM-dd'T'HH:mm:ss.n"
18	payload.bidLevel	orderCnt	int32		Aggregate number of orders at the given price level.
19	payload.bidLevel	price	long		Price of the MD Entry.
20	payload.bidLevel	qty	int32		Order quantity
21	payload.Instrument	PutCallIndicator	INT	1 = Call 0 = Put	Indicates whether an option instrument is a put or call.
22	payload.Instrument	Strike	Price		Strike Price for an option instrument.
23	payload.Instrument	UnderlyingSymbol	String		Underlying Instrument Symbol (Contract Name) * this value will be the same as that contained in Leg Instrument's Security Definition Tag 55-Symbol.

Statistic Message

This message is generated for statistic topics.

See CME Group Settlements for more information.

	Key	Attribute	Type	Enumeration	Description

	Key	Attribute	Type	Enumeration	Description
1	header	messageType	String	TSTAT	Denotes statistic message.
2	header	sentTime	String	ex "2020-05-11T11:22:12.208530531"	Time CME MDP gateway sends the message (UTC). Format: "yyyy-MM-dd'T'HH:mm:ss.n"
3	header	version	String		API version
4	payload	lastUpdateTime	long	ex "2020-05-11T11:22:12.208530531"	Last update processing time (UTC). Format: "yyyy-MM-dd'T'HH:mm:ss.n"
5	payload.tradeStatistics	settlementPrice	PRICENULL		Settlement price.
6	payload.tradeStatistics	settlementPriceDate	String	ex "2020-05-13"	Date of trade session corresponding to a statistic entry. Format: "YYYY-MM-DD"
7	payload.tradeStatistics	settlementPriceTimestamp	String	ex "2020-05-11T11:22:12.208530531"	Time of trade session corresponding to a statistic entry. Format: "yyyy-MM-dd'T'HH:mm:ss.n"
8	payload.tradeStatistics	settlementFinal	boolean		Final settlement price
9	payload.tradeStatistics	settlementActual	boolean		Actual settlement price
10	payload.tradeStatistics	settlementRounded	boolean		Rounded settlement price
11	payload.tradeStatistics	openInterest	int32		The total open interest for the market at the close of the prior trading session.
12	payload.tradeStatistics	openInterestDate	String	ex "2020-05-13"	Open interest trade date Format: "YYYY-MM-DD"
13	payload.tradeStatistics	openInterestTimestamp	String	ex "2020-05-11T11:22:12.208530531"	Open interest update time.
14	payload.tradeStatistics	clearedVolume	^int32		Cleared volume quantity.
15	payload.tradeStatistics	clearedVolumeDate	String		Cleared volume date.
16	payload.tradeStatistics	clearedVolumeTimestamp	String		Cleared volume time.
17	payload.Instrument	definitionSource	String	E = exchange-defined U = user-defined	Identifies user-defined instruments. If the tag is not present, the instrument is not user-defined.
18	payload.Instrument	exchangeMic	String	XCBT = Chicago Board of Trade XCME = Chicago Mercantile Exchange XNYM = New York Mercantile Exchange XCEC= COMEX (Commodities Exchange Center) DUMX = Gulf Mercantile Exchange	Exchange used to identify a security.
19	payload.Instrument	id	int		Unique instrument ID as qualified by the exchange per market segment. The unique instrument ID value will not be reused until the next trade date following an instrument expiration or deletion.
20	payload.Instrument	marketSegmentId	int		Identifies the market segment. Populated for all CME Globex instruments.
21	payload.Instrument	periodCode	String	ex "202106"	The calendar month reflected in the instrument symbol. Format YYYYMM (e.g., 201912) For futures spreads, this field contains the first leg's calendar month reflected in the instrument symbol.
22	payload.Instrument	productCode	String		String field that indicates the underlying asset code (Product Code). Example: SR1 (SOFR), ES (E-Minis).
23	payload.Instrument	productType	String	FUT = Future or Future Spread	Product Type.
24	payload.Instrument	productGroup	String		Product Group Code.
25	payload.Instrument	symbol	String	e.g. ‘6EN2 P1220’, 6AZ4	Instrument Name or Symbol.
26	payload.Instrument	PutCallIndicator	INT	1 = Call 0 = Put	Indicates whether an option instrument is a put or call.
27	payload.Instrument	Strike	Price		Strike Price for an option instrument.
28	payload.Instrument	UnderlyingSymbol	String		Underlying Instrument Symbol (Contract Name) * this value will be the same as that contained in Leg Instrument's Security Definition Tag 55-Symbol.

Contact Information

For technical development support, contact Certification Support for Electronic Trading (CSET).

For production requests, please contact the Global Command Center (GCC).

For all other inquiries, please contact Global Account Management (GAM).