CME Group and Cryptocurrency Facilities (CF) provide streamlined Market Data products for virtual currencies designed to give CME Group clients a reliable cryptocurrency pricing index source for digital assets. 

The pricing data is disseminated via a streamlined Simple Binary Encoding (SBE) market data feed. This feed publishes the following cryptocurrency standardized pricing index data:

• CME CF Cryptocurrency Reference Rate (RR), which provides a final settlement price in U.S. dollars shortly after 4:00 p.m. London time on each trading day.

  • The Reference Rate aggregates the trade flow of major cryptocurrency spot exchanges during a specific calculation window into a once-per-day reference rate of the U.S. dollar price of the cryptocurrency.

• CME CF Cryptocurrency Real Time Index (RTI), which allows users real-time access to cryptocurrency prices.

  • The real time index, calculated by Cryptocurrency Facilities, aggregates global demand to buy and sell cryptocurrencies into a consolidated order book and reflects the real time U.S. dollar price of the virtual currencies and will be published approximately once every second.

Market data for virtual currencies via streamlined SBE has the following characteristics:

• Dissemination of cryptocurrency prices – leveraging the CME CF Real Time Index (RTI), once per second, for executing intra-day cryptocurrency transactions and risk management

• The following messages are NOT disseminated on the streamlined incremental feed:

  • bid and ask prices

  • high and low prices

  • opening and closing prices

• Streamlined market data is disseminated on the following schedule:

  • CME CF Cryptocurrency Reference Rate (RR) - shortly after 16:00 London time each day

  • CME CF Cryptocurrency Real Time Index (RTI) - once every second for 24 hours

• The following tags apply for the Reference Rate (RR) only:

  • tag 451 - NetChgPrevDay 

  • tag 6119 - NetPctChg

• Streamlined Cryptocurrency Market Data is disseminated according to the following schedule (Central Time):

  • Sun 14:00 CT - Fri 17:30 CT

  • Sat 00:00 CT - Sat 11:30 CT

  • Sat 22:30 CT - Sun 11:30 CT

• Real-time and historical data can also be accessed through the CME Group website.

Testing and Certification - Bitcoin

Certification for CME CF streamlined Bitcoin Market Data is not mandatory for client systems already certified for streamlined SBE Equity Indices.

New customers and system providers can certify their applications using the Bitcoin test suite in AutoCert+.

Certification for CME CF streamlined Bitcoin Market Data data in AutoCert+ entails:

• Incremental  Market Data Refresh Messages

• Security Definition Messages

• Recovery via TCP Replay for streamlined Bitcoin Market Data

• Recovery of Security Definition Messages via TCP Replay

Market Data Channels

The following table lists the channels that are disseminated.

TCP Replay

This section describes two options for small scale recovery via TCP Replay:

• TCP Replay (All Messages)

• TCP Replay of Security Definitions Only

TCP Replay (All Messages)

Client systems can recover specific messages that were missed using the sequence number and the TCP historical replay component. Refer to MDP 3.0 - TCP Recovery for more information on general TCP Replay.

TCP Replay (Security Definitions Only)

Client systems can also recover only the missed Security Definition messages via the TCP historical replay component, if desired.

Updates will be received from the beginning of the week, including all modifications and deletions. Client systems should process the Security Definition (35=d) messages in the order that they are received.

TCP Replay Process

The process for recovering only Security Definition messages is shown below:

1. Customer establishes a TCP connection.
   Refer to the configuration file for TCP IP and port information. For additional information on the configuration file, refer to Market Data - Services-ARCHIVED.

2. Customer sends Logon (35=A) message to CME Group.

   • Customer Username and Password are verified. If the Username and Password are incorrect, a  Logout will be sent.

3. CME Group sends Logon (35=A) message to the customer.

   • CME Group will send a Logout message if a Security Definition Request (35=c) message is not received in 5 seconds.

4. Customer sends Security Definition Request (tag 35-MsgType=c) message to CME Group.

   • Client systems must indicate the channel ID (tag 1180-ApplFeedID) in the Security Definition Request (tag 35-MsgType=c) message.

     Client systems cannot specify sequence numbers in the Security Definition Request (tag 35-MsgType=c) message. CME Group will send all Security Definition messages from the beginning of the week.

5. CME Group sends Heartbeat (35=0) messages to customer every 2 seconds until the first recovery message is sent.

6. CME Group sends all Security Definition (35=d) messages (including all Adds, Modifications, and Deletions) from the beginning of the week until the time of the request. Client systems should process the Security Definition messages in the order that they are received.

7. CME Group sends a Logout (35=5) message to the customer.

   • CME Group will close the TCP connection if the customer does not send a Logout (35=5) message within 5 seconds from the time CME Group sends a Logout (35=5) message.

8. Customer sends a Logout (35=5) message to CME Group.

9. CME Group closes the TCP connection.

   • The username and password for the TCP Replay component for the New Release and Certification testing environments are both "CME" (do not include quotes). The username and password for the production environment are provided after certification is completed. For more information, contact your Global Account Manager.

TCP Replay Message Flow

Open