MDP 3.0 - Channel Reset

Market Data Channel Reset provides a process for synchronizing order books and trade session statistics in the unlikely event of a CME Group dual component failure. In this scenario, order books on the channel may be "corrupted". During a channel reset, book messages will be sent down the incremental feed.

A Market Data Incremental Refresh (tag 35-MsgType=X) message with tag 269-MDEntryType=J and tag 1180-ApplID present will identify a Channel Reset occurrence.

Daily statistics such as Settlement prices are not resent during Channel Reset.

Market Data Incremental Refresh (tag 35-MsgType=X) Message

Tag	FIX Name	Format	Valid Values	Description
269	MDEntryType	Char (1)	0 = Bid 1 = Offer 2 = Trade 4 = Opening Price 6 = Settlement Price 7 = Trading Session High Price 8 = Trading Session Low Price E = Implied Bid F = Implied Offer J = Empty Book N = Session High Bid O = Session Low Offer	Type of Market Data entry.

The steps to detect this condition and recover are shown below:

The Market Data Incremental Refresh (tag 35-MsgType=X) message, Channel Reset data block is sent down the Incremental feed with tag 269-MDEntryType=J to indicate that there has been a dual component failure and the order books on the channel are corrupted.
The order book and all statistics for the instrument should be emptied on the client system for the impacted channel. During recovery the channel will not interrupt the recovery process with incoming business events such as incoming trade or book updates.

The order book and all statistics for the instrument should be emptied on the client system.
The Market Data Snapshot Full Refresh (tag 35-MsgType=W) messages on the Market Recovery feed will be deleted for the impacted channel. Tag 83-RptSeq for Market by Price (MBP) book updates resets to 1 for each instrument repeating group.
CME Globex will disseminate incremental real-time market data for that channel and client systems can process the data. Market Data Incremental Refresh (tag 35-MsgType=X) messages will be sent to recover the following data, where applicable, by instrument:
1. Current session Trade Volume
2. Price levels in the order books
3. Highest and lowest trade
4. Indicative Opening Price
  
  All messages resent during recovery will contain Bit 5 set to '1' in tag 5799-MatchEventIndicator.
Security Status (35=f) messages containing market states (per instrument group) will be sent for the affected channels. Then any instrument states that are different from the instrument group state are sent (e.g., Forbidden/Halted instruments).

Example: Market Data Channel Reset and Recovery without Conflation

The following diagram shows an example of a Market Data Channel Reset and Recovery for a channel with 3 instruments.

Example: Market Data Channel Reset and Recovery with Conflation

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