CME Smart Stream on GCP SBE

This page contains information about CME MDP 3.0 SBE market data on CME Smart Stream on Google Cloud Platform (GCP). CME Smart Stream on GCP leverages Google Cloud Pub/Sub technology for market data distribution. For complete details regarding Google Cloud Pub/Sub please refer to Google Pub/Sub documentation.

Within CME Smart Stream, CME MDP refers to the CME Group Market Data Platform, which provides the complete array of CME Group market data. 

CME MDP 3.0 SBE is the CME Globex event-based bid, ask, trade and statistical market data format.

• Real-Time - Real-time market data via CME Globex
• Delayed (10 minute delay) - Allows customers to use CME Group data under delayed licensing terms. Traditionally, customers licensing delayed data had to self-manage the throttling of real-time feeds from exchanges per licensing policies. This cloud-based delivery mechanism provides customers with low cost, flexible and reliable access to data without the requirement to delay the content so they can focus on its use. Receipt of the data and licensing removes the requirement, complexity and cost of an intermediary service.

Contents

Revision History

Market Data Offerings via Google Cloud

CME Smart Stream on GCP includes MDP 3.0 channels (CME, CBOT, COMEX, NYMEX, DME, MGEX), Streamlined SBE channels, Data Insights and BrokerTec U.S. Treasuries as follows:

• Equity indices - S&P and Bloomberg
• Settlements and Valuations
• Block trades – DME
• OTC daily
• BrokerTec U.S. Treasury Market Data

The following table outlines all market data channels supported on CME Smart Stream on GCP.  

Testing and Certification

The following section outlines testing and certification for GCP.

Certification

Certification via AutoCert+ is required for all client systems that will support CME Smart Stream on GCP. The following market data offerings have separate test suites:

• Globex MDP 3.0
• Data Insights - Settlement and Valuations
• Streamlined - Block Trades
• Streamlined - OTC Daily
• Streamlined - CME CF Cryptocurrency Indices
• Streamlined - Equity Indices
• Streamlined - OTC Daily
• BrokerTec U.S. Treasury Data

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
• Certification testing on new functionality
  
  

Getting Started with CME MDP Concepts

This section lists current CME MDP 3.0, Streamlined, Data Insight BrokerTec U.S. Treasury market data processing concepts applicable to CME MDP on Google Cloud Pub/Sub. If you are new to CME MDP technology or wish to better understand how your current system aligns with cloud-based technology, CME Group recommends starting here.

MDP 3.0

Clients planning to process CME MDP CME Globex market data on Google Cloud Pub/Sub should be familiar with the following CME MDP 3.0 concepts:

Simple Binary Encoding (SBE)

Trade Summary

Book Processing

Statistics

Message Specification

Streamlined SBE

Clients planning to process Streamlined SBE on CME Smart Stream on GCP should be familiar with the following Streamlined SBE functional descriptions:

Equity Indices

OTC Daily

Block Trades

CME CF Cryptocurrency Indices

The message specifications for all streamlined systems are available here. 

Data Insights: Settlements and Valuations 

Clients planning to process CME Data Insights Settlements and Valuations market data should be familiar with the functional specification available here. 

BrokerTec U.S. Treasury Data

Clients planning to process BrokerTec U.S. Treasury market data on CME Smart Stream on GCP should be familiar with the functional specification available here.  

Market Data Support Services

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

Support Services 

There are two MDP services available for markets on CME Globex: Core Globex SBE Schema and CME Reference Data API. An FTP site is used to store the schema files for all environments.

FTP 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, New Release, Production)
• Service - Core Globex SBE Schema
• FTP Site - address of the FTP/SFTP site
• Directory Location - identifies directory
• Client System Update Schedule - client systems should download updates according to schedule specified

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 

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.   

1. CME Group will create a topic in the Cloud Pub/Sub service and send 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 message will contain CME Group messages.
2. Message store ensures that published messages are retained on behalf of subscriptions. 
3. 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 two types of topics for a given channel ID that client systems can subscribe to:

• Incremental Topic - CME Group incremental market data using encoded packets containing the following FIX market data message types:
  • Security Definition (tag 35-MsgType=d)
  • Market Data Security Status (tag 35-MsgType=f)
  • Market Data Incremental Refresh (tag 35-MsgType=X)
  • Request for Quote (tag 35-MsgType=R)
• Market by Order (MBO) Market Recovery Snapshot Topic - Market by Order (MBO) Market Recovery method used for real-time and delayed data large-scale data recovery (i.e. major outage or late joiners) to synchronize client systems to the latest state maintained by CME Group. This topic is only available for CME Globex MDP 3.0 channels.   
  
• Market by Price (MBP) Market Recovery Snapshot Topic - Market by Price (MBP) Market Recovery method used for real-time and delayed data large-scale data recovery (i.e. major outage or late joiners) to synchronize client systems to the latest state maintained by CME Group. This topic is only available for CME Globex MDP 3.0 channels.   
• Instrument Recovery Topic - The Instrument Replay feed constantly replays the current week's Security Definition (tag-MsgType=d) messages will reflect any additions, modifications, or deletes to available instruments. This topic is only available for real-time and delayed data CME Globex MDP 3.0 channels.

4. The subscriber receives pending messages from its subscription and acknowledges each one to the Cloud Pub/Sub service.  A message contains the CME Group Simple Binary Encoded (SBE) messages.

5. 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 Pub/Sub Message structure.  

CME MDP Included Data

The Google Pub/Sub data field provides the full CME Group UDP data packet.  

The following diagram outlines CME data with a Google Pub/Sub message:

CME MDP Included Attributes 

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

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

MsgSeqNum - CME Group Packet sequence number.

Channel - CME Group Channel ID defined in the Market Data Offerings section. Each feed has a unique channel ID identification methodology:

CME Group MDP UDP Packet Headers

The following table outlines CME Group MDP UDP packet header concepts in the diagram above:

Message Ordering

Google Pub/Sub does not guarantee message order. Therefore, the client system must ensure the correct processing of messages.

Project Names and Topic Naming Methodology

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

Topic names have the following methodology:  

Topic Name Examples

The following are topic name examples:

• Production MDP 3.0 Globex Equity Futures Incremental Real-Time Feed (Channel 310): PROD.SSCL.GCP.MD.RT.CMEG.FIXBIN.v01000.INCR.310
• Production MDP 3.0 Globex Equity Futures Recovery Real-Time Feed (Channel 310): PROD.SSCL.GCP.MD.RT.CMEG.FIXBIN.v01000.MBORPLY.310
• New Release Streamlined S&P Index Real-Time Feed (Channel 211): NR.SSCL.GCP.MD.RT.SPDJI.STRBIN.v01000.INCR.210
• Production MDP 3.0 BMD Futures Delayed Feed (Channel 430): PROD.SSCL.GCP.MD.DLY.BMD.FIXBIN.v01000.INCR.430

Recovery Processing

The following section outlines recovery options for CME Smart Stream on GCP.

Google Cloud Pub/Sub Message Replay

Google Cloud Pub/Sub includes the ability to replay messages. For more information on recovering messages, please refer to the Google quick start guide. (https://cloud.google.com/pubsub/docs/replay-qs).  

Google Cloud Pub/Sub replay is available for all CME MDP channels on Google Cloud Pub/Sub. Client systems that require data recovery from the beginning of the week on CME Globex can determine the weekly start via the incremental topic when the CME Group sequence number is equal to one.

Large-Scale Market Recovery

This section describes Market by Price (MBP) & Market by Order (MBO) recovery processing for MDP 3.0 channels via Google Cloud Pub/Sub. Market Recovery should be used for large-scale data recovery (i.e. major outage or late join) to synchronize client systems to the latest state maintained by CME Group.  Market by Price (MBP) & Market by Order (MBO) recovery have separate topics.

Once a subscriber requests to recover from a market recovery topic all Market Data Snapshot Full Refresh (tag 35-MsgType=W) messages are looped 3 times for an applicable channel.  

The following is an example of the messaging from the market recovery 3x topic loop:

A Market Data Snapshot Full Refresh (35=W) message will be included if the instrument has had book/trade activity since the beginning of the week. Once the instrument has had at least one order, it will stay in the recovery topic, even if the order is cancelled. Market Data Snapshot Full Refresh (35=W) messages will not be sent for instruments having no book activity. More than one instrument can be updated in a packet. The following information is available in the Market Data Snapshot Full Refresh (35=W) message:

• Book Quotes – Bids and Offers
• Implied Book Quotes – Bids and Offers
• Last Trade
• Opening Price
• Session High and Low Trade Prices
• Session High Bid and Session Low Offer
• Fixing Price
• Settlement Price 
• Cleared Trade Volume
• Open Interest
• Electronic Volume
• Threshold Limits

When the Group Status Message is sent with tag 1174-SecurityTradingEvent=4 (Change of Trading Session/Reset Stats), the following statistics will be cleared until new statistics are received from the Incremental topic:

• Last Trade
• Opening Price
• Session High Trade Price
• Session Low Trade Price
• Session High Bid
• Session Low Offer
• Electronic Volume

Large Scale Market Recovery Processing

When recovery is required, client systems must re-synchronize all books to the latest state maintained by CME Group and determine whether any new instrument definitions have been published.

• the tag 369-LastMsgSeqNumProcessed value on the Snapshot message corresponds to the packet sequence number on the Incremental topic

• tag 60-TransactTime communicates the start transaction time of the last event for the instrument

  Market Recovery Topic - Snapshot (tag 35-MsgType=W) Message		Incremental Topic
  tag 369-LastMsgSeqNumProcessed	corresponds to	packet sequence number
  tag 60-TransactTime		tag 60-TransactTime

CME Smart Stream on GCP utilizes the same SBE template processing methodology as CME Globex. 

Market Recovery Processing Workflow

This section describes the process to follow for large-scale recovery concurrently processing the Incremental topic and Snapshot messages from the Market Recovery topic. Once a book is recovered, client systems can resume normal processing for that instrument even if other books are still being recovered. Client systems will not recover any missed statistics on the Market Recovery topic.

Recovery processing steps are as follows:

1. Identify channel(s) in which the client system is out of sync.
2. Listen to the Incremental topic and queue real-time data for the affected channel(s)and optionally begin MBP natural refresh.
3. Listen to the Market Recovery topic for the affected channel(s).

4. For a given instrument, compare the Market Recovery Snapshot message tag 369-LastMsgSeqNumProcessed to the Incremental topic Market Data Incremental Refresh (35=X) message packet sequence number.

   • If the Security ID appears in both the Incremental topic and Market Recovery topic updates during the comparison, then compare the Market Recovery topic tag 60-TransactTime to the Incremental topic tag 60-TransactTime. The instrument with the unequal 60-TransactTime must be recovered via the next market recovery cycle or optional concurrent natural refresh processing.

   • Drop all cached Incremental topic updates with a packet sequence number < 369-LastMsgSeqNumProcessed.

5. Once all instruments are recovered via market recovery or natural refresh, start normal processing and disconnect from the market recovery topic. 

Market Recovery Processing Examples

The following section provides examples for market recovery topic processing.  

Example 1 – Standard Scenario

The following example shows a standard recovery scenario using the following workflow:

1. Identify the channel that is out of sync.
2. Connect to the Incremental topic and begin queuing data.
3. Connect to the Market Recovery topic. In this example, the first Market Recovery Snapshot message sequence number = 4.
4. Compare the Market Recovery Snapshot message tag 369-LastMsgSeqNumProcessed to the Incremental topic packet sequence number. In this example, the Incremental topic sequence number compared is 104.
   • If the instrument (tag 48-SecurityID) appears in both the Incremental and Market Recovery updates during the comparison, then compare the Market Recovery topic tag 60-TransactTime to the Incremental topic tag 60-TransactTime.
   • In this example, the tag 60-TransactTime comparison is not required due to different instruments between the topics.
   • For Market Recovery Snapshot message processing, drop all cached Incremental topic updates with a packet sequence number < tag 369-LastMsgSeqNumProcessed from the Market Recovery topic.
   • Begin normal processing for recovered instrument 13205.
   • Recover subsequent instruments via the Market Recovery topic (8087, etc).
   • Additionally, as tag 369-LastMsgSeqNumProcessed increases in subsequent Market Recovery topic updates, continue to drop cached market data where the packet sequence number < tag 369-LastMsgSeqNumProcessed from the Market Recovery topic.
5. Disconnect from the Market Recovery topic once processing is complete for all instruments.

Example 2 - Same Transaction Time Equal for Instrument

In the following example, the instrument (tag 48-SecurityID=15212) appears in both the Incremental and Market Recovery topic updates when comparing tag 369-LastMsgSeqNumProcessed. Therefore, client systems must compare the Market Recovery topic tag 60-TransactTime to the Incremental topic tag 60-TransactTime. In this example the tag 60-TransactTime values match and the instrument can be recovered. 

Example 3 - Different Transaction Time for Instrument

In the following example, the instrument (tag 48-SecurityID=13205) appears in both the Incremental and Market Recovery topic updates when comparing tag 369-LastMsgSeqNumProcessed, however the tag 60-TransactTime values do not match. Therefore, client systems must process the next Market Recovery topic iteration for the instrument.

Example 4 - New Market Recovery Snapshot Added

In the following example there is activity for an instrument (tag 48-SecurityID) that adds a new Market Recovery Snapshot message to the Market Recovery topic. Therefore, to ensure all new instruments are recovered, client systems must process an additional Market Recovery iteration starting from the Snapshot message with a packet sequence number = 1. Client systems can determine if a new Snapshot message has been added by comparing tag 911-TotNumReports with the previous iteration. The order of each Snapshot message iteration is not guaranteed; therefore the newly created Snapshot message may be placed mid-loop in the next iteration.

Instrument Recovery 

Client systems can use the Instrument Recovery topic on each Globex channel to determine if any new instruments have been defined through the Security Definition (tag 35-MsgType=d) message. The Instrument Recovery topic sends two replays of the current week's Security Definition (tag-MsgType=d) messages and will reflect any additions, modifications, or deletes to available instruments. Tag 911-TotNumReports indicates the total number of messages to process for a complete set of Security Definitions. CME Group does not guarantee the order of the messages being sent.  The Instrument Recovery topic can have multiple messages per packet.

The following is an example of the messaging from the instrument recovery 2x topic loop:

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).