CME MDP 3.0 Market Data
This page describes the MDP 3.0 services and features available for futures and options, BrokerTec markets, and EBS Market on CME Globex.
CME Group may also update Globex SBE schemas, add new CME Market Data channels or CME Market Data groups periodically. For the latest impact details, customers are advised to utilize the Pending Client System Impacts site.
Contents
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The tables below outline the MDP 3.0 services and features available for CME Globex markets.
See MDP 3.0 - Message Specification for the SBE message specification.
See CME Smart Stream on GCP for the JSON message specification.
Futures and Options on CME Globex
Futures and Options on CME Globex Market Data Services
Market Data Groups | Description |
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CME MDP UDP |
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CME Smart Stream on GCP SBE - Real-time |
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CME Smart Stream on GCP SBE - Delayed |
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CME Smart Stream on GCP JSON |
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Futures and Options on CME Globex Market Data Features
MDP 3.0 Feature | Futures and Options on CME Globex | |||||
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CME MDP 3.0 UDP | CME Smart Stream on GCP SBE - Real-time | CME Smart Stream on GCP SBE - Delayed | CME Smart Stream on GCP - JSON | CME Market Data Over Websocket API | Description | |
Simple Binary Encoding (SBE) | Protocol for decoding and encoding messages in binary format. | |||||
Dissemination | The CME Group Market Data Platform (MDP) disseminates bid, ask, trade, and statistical data for CME Group markets and also provides recovery and supporting services for market data processing. | |||||
Event Based Market Data Messaging | Event Based - market data generated by order activity and market state events. | |||||
Correlating MDP 3.0 with Order Entry | Certain values transmitted in market data messages can be correlated with their counterpart iLink order entry message tags. This topic provides an overview and mapping of tags which can be correlated by the client | |||||
Conflation Processing | N/A | |||||
Conflated TCP Market Data Group Processing | N/A | |||||
Trade Summary | Trades are available See CME Smart Stream on GCP JSON for more information. | Trades are available See CME Market Data Over WebSocket API for more information. | Trade and trade-driven market data. futures and options do not support Trade/Value Dates and Trade Embargos. | |||
MDP 3.0 - CME Globex Pricing | This topic describes how to obtain and display tick size and pricing data for products traded on CME Globex. | |||||
Trade and Value Date Processing | N/A | |||||
Trade Embargo Processing for OFF-SEF NDF Instruments | N/A | |||||
MDP 3.0 - Security Status | Available. See CME Smart Stream on GCP JSON for more information. | The Market Data Security Status message is used to indicate:
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CME Smart Stream on GCP Processing - SBE | Information required for processing SBE on CME Smart Stream on GCP. | |||||
CME Smart Stream on GCP Processing - JSON | Information required for processing the following data via JSON on CME Smart Stream on GCP:
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CME Globex Market Data Channel Guide | MDP 3.0 Channel Guide for futures and options | |||||
Book Management | CME MDP 3.0 UDP | CME Smart Stream on GCP SBE - Real-time | CME Smart Stream on GCP SBE - Delayed | CME Smart Stream on GCP - JSON | CME Market Data Over WebSocket API | Description |
Available. See CME Smart Stream on GCP JSON for more information. | Available. See CME Market Data Over WebSocket API for more information. | CME Group provides a multiple-depth Market by Price (MBP) book for most products. | ||||
CME Group provides a 2-deep best bid and ask in the market for each implied-eligible contract | ||||||
Market by Order - Full Depth (MBOFD) | CME Globex Market by Order (MBO) disseminates individual orders and quotes at every price level for the given instrument. | |||||
N/A | ||||||
N/A | ||||||
N/A | ||||||
N/A | ||||||
N/A | ||||||
N/A | ||||||
Statistics | CME MDP 3.0 UDP | CME Smart Stream on GCP SBE - Real-time | CME Smart Stream on GCP SBE - Delayed | CME Smart Stream on GCP - JSON | CME Market Data Over WebSocket API | Description |
Opening Price | The Opening Price represents the first trade for the opening or re-opening of the instrument. | |||||
Indicative Opening | Indicative opening indicates the price and quantity at which the market would open were the market to open at the given point in time. | |||||
Session High and Low Trade Price | The High Trade Price data block is sent when a trade occurs which results in the highest trade price for the current session. Likewise, the Low Trade Price data block is sent when a trade occurs which results in the lowest trade price for the current session. | |||||
Session Statistics Reset | Statistics are sent on the Incremental Feed as they occur throughout a trading session. Certain statistics are also made available on the Market Recovery Feed with the Market Data Snapshot Full Refresh. | |||||
Electronic Volume | Electronic volume represents the number of contracts traded on CME Globex for the given instrument for the trading session. | |||||
The high bid and low ask prices are used to indicate the highest bid and lowest ask prices of the session | ||||||
Available. See CME Smart Stream on GCP JSON for more information. | Available. See CME Market Data Over WebSocket API for more information. | Cleared Volume data blocks contain the number of contracts that have been through the clearing process for an active instrument for the previous trading day. | ||||
A volume-weighted average price for the nearby futures contract | ||||||
Available. See CME Smart Stream on GCP JSON for more information. | Available. See CME Market Data Over WebSocket API for more information. | The total number of contracts per instrument that are not yet offset or fulfilled for the previous trading day. | ||||
Available. See CME Smart Stream on GCP JSON for more information. | Available. See CME Market Data Over WebSocket API for more information. | Settlement is an official CME Group price established for the instrument at a given point in the trading day. CME Group staff determines the daily settlements for all contracts with volume or open interest. | ||||
Volume Weighted Average Price | N/A | |||||
Recovery | CME MDP 3.0 UDP | CME Smart Stream on GCP SBE - Real-time | CME Smart Stream on GCP SBE - Delayed | CME Smart Stream on GCP - JSON | CME Market Data Over WebSocket API | Description |
Available. See CME Smart Stream on GCP SBE for more information. | Available. See CME Smart Stream on GCP SBE for more information. | Available. See CME Smart Stream on GCP JSON for more information. | Data recovery to synchronize client order books with the current state maintained by CME Group. | |||
Recovery Services for Conflated TCP | ||||||
Recovery Services for Smart Stream Market Data | Available. See CME Smart Stream on GCP SBE for more information | Available. See CME Smart Stream on GCP SBE for more information | Available. See CME Smart Stream on GCP SBE for more information | |||
Recovery Services for Market Data Over WebSocket API | Available. See CME Market Data Over WebSocket API for more information. |
BrokerTec on CME Globex
BrokerTec on CME Globex Market Data Services
Market Data Groups | Description | Supported Markets | |||
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Active US Treasuries | EGBs | EU Repo | US Repo | ||
CME MDP Premium |
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CME MDP Conflated UDP |
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CME MDP Conflated TCP |
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BrokerTec on CME Globex Market Data Features
MDP 3.0 Feature | BrokerTec on CME Globex | |||
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MDP Premium Support | Conflated UDP Support | Conflated TCP Support | Description | |
Simple Binary Encoding (SBE) | Protocol for decoding and encoding messages in binary format. | |||
Dissemination | The CME Group Market Data Platform (MDP) disseminates bid, ask, trade, and statistical data for CME Group markets and also provides recovery and supporting services for market data processing. | |||
Event Based Market Data Messaging | Event Based - market data generated by order activity and market state events. Additional examples of event processing for conflated feeds can be found in Conflated Market Data Processing. | |||
Correlating MDP 3.0 with Order Entry | Certain values transmitted in market data messages can be correlated with their counterpart iLink order entry message tags. This topic provides an overview and mapping of tags which can be correlated by the client. | |||
Conflation Processing | Conflated market data combines multiple updates within an interval to a single event. | |||
Conflated TCP Market Data Group Processing | Conflated market data combines multiple updates within an interval to a single event. | |||
Trade Summary | Trade and trade-driven market data. Additional examples of Trade Summary messages for conflated feeds can be found in Conflated Market Data Processing. BrokerTec does not support Trade/Value Dates and Trade Embargos. | |||
This topic describes how to obtain and display tick size and pricing data for products traded on CME Globex. | ||||
N/A | ||||
N/A | ||||
The Market Data Security Status message is used to indicate:
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N/A | ||||
N/A | ||||
MDP 3.0 Channel Guide for BrokerTec | ||||
Book Management | MDP Premium Support | Conflated UDP Support | Conflated TCP Support | Description |
CME Group provides a multiple-depth Market by Price (MBP) book for most products. BrokerTec on CME Globex supports Inverted Price Book Processing. | ||||
US Actives only (channel 490) | US Actives only (channel 500) | US Actives only (channel 510) | CME Group provides a 2-deep best bid and ask in the market for each implied-eligible contract. BrokerTec U.S. Active channels (490, 500, and 510) support implied book order functionality. | |
Market by Order - Full Depth (MBOFD) | CME Globex Market by Order (MBO) disseminates individual orders and quotes at every price level for the given instrument. See also: MDP 3.0 - Incremental Refresh SBE Template Book Processing for MBOFD | |||
MBOLD sends the top 10 bid and ask orders on an order book for a given instrument. For BrokerTec MBOLD uses an overlay approach to book management that completely restates the MBOLD book with each new Market Data Snapshot Full Refresh message. | ||||
BrokerTec on CME Globex supports inverted pricing for yield, rate, or Repo trading for MBOFD, MBOLD and MBP books. Inverted books have bid prices higher than offers. | ||||
BrokerTec US and EU Repo only | ||||
Available for Repo only. | ||||
Bilateral trading allows permissioned firms to trade with other permissioned firms for the given bilateral product | ||||
N/A | ||||
Statistics | MDP Premium Support | Conflated UDP Support | Conflated TCP Support | Description |
Opening Price | Same as futures and options | |||
Indicative Opening | US Actives only (channel 490) | US Actives only (channel 500) | US Actives only (channel 510) | Indicative opening indicates the price and quantity at which the market would open were the market to open at the given point in time. Only U.S. Active channels (490, 500, and 510) will support indicative opening functionality. The ‘Last Trade Price from prior session’ is the tie-breaker rule to calculate the Indicative Opening Price instead of the settlement price on CME Globex futures and options channels. |
Session High and Low Trade Price | Same as futures and options | |||
Session Statistics Reset | Same as futures and options | |||
Electronic Volume | Same as futures and options | |||
N/A | ||||
N/A | ||||
N/A | ||||
N/A | ||||
N/A | ||||
Volume Weighted Average Price | For Repo markets, the Volume Weighted Average Price (VWAP) is the average price an instrument has traded at throughout the day, based on both volume and price. | |||
Recovery | MDP Premium Support | Conflated UDP Support | Conflated TCP Support | Description |
Data recovery to synchronize client order books with the current state maintained by CME Group. MBOFD Market Recovery is only available for Premium UDP channels. MBOLD Market Recovery is only available for non-Premium conflated UDP channels. | ||||
Recovery Services for Conflated TCP | Data recovery to synchronize client order books with the current state maintained by CME Group. | |||
Recovery Services for Smart Stream Market Data | ||||
Recovery Services for Market Data Over Websocket |
EBS Market on CME Globex
EBS Market on CME Globex Market Data Services
Market | Market Data Group Option(s) | Description |
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EBS Market New York | CME MDP Conflated UDP - EBS Ultra New York |
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CME MDP 1 Millisecond Conflated UDP - EBS Ultra New York |
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CME MDP Conflated TCP - Credit Screened New York |
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CME MDP EBS Ultra 20 Millisecond Conflated TCP - EBS Ultra New York |
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EBS Market London | CME MDP Conflated UDP - EBS Ultra London |
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CME MDP 1 Millisecond Conflated UDP - EBS Ultra London |
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CME MDP EBS Ultra 20 Millisecond Conflated TCP - EBS Ultra London |
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CME MDP Conflated TCP - Credit Screened London |
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CME MDP Conflated TCP - EBS Ultra Russian Ruble |
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EBS Market OFF SEF NDF London | CME MDP Conflated UDP - EBS Ultra OFF SEF NDF |
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CME MDP 5 Millisecond Conflated UDP - EBS Ultra OFF SEF NDF |
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CME MDP Conflated TCP - Credit Screened OFF SEF NDF |
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EBS Market OFF SEF NDF London | CME MDP Conflated UDP - EBS Ultra OFF SEF NDF |
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CME MDP 5 Millisecond Conflated UDP - EBS Ultra OFF SEF NDF |
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CME MDP Conflated TCP - Credit Screened OFF SEF NDF |
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EBS Market on CME Globex Market Data Features
MDP 3.0 Feature | EBS on CME Globex | |||
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Conflated UDP Support | Conflated TCP Support | CME MDP EBS Ultra 20 Millisecond Conflated TCP | Description | |
Simple Binary Encoding (SBE) | Protocol for decoding and encoding messages in binary format. | |||
Dissemination | The CME Group Market Data Platform (MDP) disseminates bid, ask, trade, and statistical data for CME Group markets and also provides recovery and supporting services for market data processing. | |||
Event Based Market Data Messaging | Event Based - market data generated by order activity and market state events. Additional examples of event processing for conflated feeds can be found in Conflated Market Data Processing. | |||
Correlating MDP 3.0 with Order Entry | Certain values transmitted in market data messages can be correlated with their counterpart iLink order entry message tags. This topic provides an overview and mapping of tags which can be correlated by the client. | |||
Conflation Processing | Conflated market data combines multiple updates within an interval to a single event. | |||
Conflated TCP Market Data Group Processing | Conflated market data combines multiple updates within an interval to a single event. | |||
Trade Summary | Trade and trade-driven market data. Additional examples of Trade Summary messages for conflated feeds can be found in Conflated Market Data Processing. | |||
This topic describes how to obtain and display tick size and pricing data for products traded on CME Globex. | ||||
EBS Market provides the Trade Session List for trade and value date processing | ||||
(OFF-SEF NDF only) | (OFF-SEF NDF only) | OFF-SEF NDF instruments implement an embargo rule for trade messaging. The embargo sends trade information during a conflation interval at a minimum of 400 milliseconds after the trade occurs. | ||
The Market Data Security Status message is used to indica |