This topic outlines functionality for the CME MDP Conflated UDP and CME MDP Conflated TCP market data groups with BrokerTec and EBS markets examples.

Contents

Conflated market data combines multiple updates within an interval to a single event. The interval is reset once MDP messages are published. The conflation interval is a configurable value set at the market segment level (tag 1300-MarketSegmentID in the Security Definition tag 35-MsgType=d). Messages that are not conflated will be sent real-time and will flush any queued conflated messages. To review the list of supported message types by market visit the CME MDP 3.0 Market Data site. The following table outlines messages that are subject to market data conflation:

Conflated market data processing will follow standard CME Globex event ordering. Each trade is sent, therefore the trade summary will use the real-time tag 60-TransactTime. All other conflated message types will use the last event tag 60-TransactTime. Order entry on CME Globex is not subject to conflation.

Conflation Examples

Unless otherwise noted, the following examples assume an empty book and the conflation interval is set to 50 milliseconds. Market data group conflation intervals can be found in the MDP 3.0 Summary section. Additionally, for the examples below, message performance is for illustrative purposes only. Actual production message performance on CME Globex will differ.  

Conflation functionality is consistent across BrokerTec and EBS markets. However, BrokerTec and EBS markets have differences in supported message types. For more information regarding supported message types by market, review the CME MDP 3.0 Market Data site. The conflation processing examples below will function the same for both BrokerTec and EBS markets.

Example 1 - Multiple Updates for a Single Instrument - BrokerTec Markets

The following example illustrates conflation for a single instrument with multiple updates.

Example 2 - Multiple Updates for Multiple Instruments - BrokerTec Markets

The following example illustrates conflation with multiple updates and multiple instruments.

Example 3 - Event Exceeds Conflation Interval - EBS Market

In this example, a market data event exceeds the 50 millisecond conflation interval. When the conflation interval is exceeded due to additional processing, MDP 3.0 waits until the event is complete before publishing messages.

Example 4 - No Messages within Configured Interval - EBS Market

In this example, there is no activity within the 50 millisecond interval. Therefore, MDP 3.0 resets the conflation interval to 50 and waits to publish the next market event.

Example 5 - Non-Conflated Message Flush - BrokerTec Markets

In this example, a non-conflated message is triggered, which causes the conflated data to be sent earlier.

Example 6 - Market Data Channel Reset with Conflation - EBS Market

Conflated EBS Market market data feeds support Market Data Channel Reset (tag 269-MDEntryType=J). Market Data MDP 3.0 - Channel Reset provides a process for synchronizing order books and trade session statistics in the unlikely event of a CME Group component failure. In this scenario, order books on the channel may be corrupted. During a conflation channel reset, Market by Price (MBP) messages will be sent down the incremental feed real-time.

The following diagram shows an example of a Market Data Channel Reset and Recovery for a channel with 2 instruments.