Derived Data Enhancement for BrokerTec U.S. Treasuries

Effective Sunday, June 4, CME Group will launch new a Simple Binary Encoding (SBE) schema on the BrokerTec U.S. Treasury Market Data and new RV Curve Spreads. The schema update will impact all client systems connecting to BrokerTec U.S. Treasury Market Data. The impacted services are as follows:

With this update, BrokerTec U.S. Treasury Market Data will launch new implied book functionality for all RV Curve instruments.

This topic provides an overview of the concepts with which clients must be familiar to process the new SBE market data schema, RV Curves and implied book updates. 

Contents

Revision History

Date

Description

Date

Description

March 8, 2023

Initial release.

Key Events and Dates

Date

Milestone

Date

Milestone

Now Available

New Release schema btecstreammktdata_v1.xml available on the FTP/SFTP site

Monday, March 27

RV Curve Launch.  New Release launch of new SBE Schema and implied books.

Now Available

Production schema btecstreammktdata_v1.xml available on the FTP/SFTP site

Sunday, June 4

RV Curve Launch.  Production SBE schema launch with btecstreammktdata_v1.xml overwriting btecstreammktdata.xml

Sunday, June 4

Production launch of new SBE Schema and implied books 

Testing and Certification

Certification is conditional.

Impacted MDP Services

The following MDP services will be updated with the new SBE schema and RV Curves:

SBE Schema Update

A new SBE incremental schema version will be sent on the BrokerTec U.S. Treasury Market Data channel. The schema update will impact all client systems connecting to BrokerTec U.S. Treasury Market Data. The new schema will be incremented from version 0 to 1. The new schema for New Release can be found on FTP/SFTP site.  

New Implied Book Message Types

New MDEntryType values will be added to the new SBE schema to support implied book processing. Implied book updates are denoted by tag 269-MDEntryType=E (implied bid) and F (implied offer). The new values are denoted in the SBE schema with the value of sinceVersion="1".   

Example: SBE Implied Book Values

<enum name="MDEntryType" encodingType="CHAR">

<validValue name="Bid" description="Bid">0</validValue>
<validValue name="Offer" description="Offer">1</validValue>
<validValue name="Trade" description="Trade">2</validValue>
<validValue name="OpenPrice" description="Open Price">4</validValue>
<validValue name="ClosePrice" description="Close Price">5</validValue>
<validValue name="HighTradePrice" description="Trading Session High Price">7</validValue>
<validValue name="LowTradePrice" description="Trading Session Low Price">8</validValue>
<validValue name="VWAP" description="VWAP or VWAY">9</validValue>
<validValue name="ImpliedBid" description="Implied Bid" sinceVersion="1">E</validValue>
<validValue name="ImpliedOffer" description="Implied Offer" sinceVersion="1">F</validValue>
<validValue name="BookReset" description="Book Reset">J</validValue>

</enum>

RV Curve Launch

RV Curves will be launched with this release.

RV Curve Market Data Incremental Refresh (tag 35-MsgType=X) Specification

The table below is the message specification for RV curves. This message maps to the MDIncrementalRefreshBtec405 template in the SBE incremental schema. The following fields will be null for RV Curves:

  • Tag 541-MaturityDay

  • Tag 455-SecurityAltID

  • Tag 456-SecurityAltIDSource

  • Tag 223-CouponRate

The → symbol indicates a repeating group tag.

Header

Header

Tag

FIX Name

Format

Valid Values

Description

35

MsgType

STRING

X=Market Data Incremental Refresh

Defines message type.

Body

75

TradeDate

LOCAL MKT DATE

 

Trade Date in number of days since Unix epoch.

60

TransactTime

UTC_TIMESTAMP

 

UTC Timestamps are sent in number of nanoseconds since Unix epoch synced to a master clock to microsecond accuracy.

268

NoMDEntries

NUM_IN_GROUP

 

Number of FIX Market Data Incremental Refresh Data Blocks in the Market Data Incremental Refresh message.

Repeating Group

→279

MDUpdateAction

CHAR

0 = New 

1 = Update 

2 = Delete

Indicates the type of Market Data update action.

 

→269

MDEntryType

CHAR

0 = Bid

1 = Ask

2 = Trade 

4 = Opening Price

5 = Closing Price

7 = High Trade

8 = Low Trade

9 = Yield

E=Implied Bid

F=Implied Offer

J = Book Reset

Indicates the type of Market Data entry.

 

→270

MDEntryPx

PRICE

 

Price of the Market Data Entry

→271

MDEntrySize

QTY

 

Quantity of the MD Entry.

  • In a Book Entry – order quantity

  • In a Trade Entry – traded quantity

→1023

MDPriceLevel

INT

 

Price Level in the book

→1020

TradeVolume

QTY

 

Total traded volume since the beginning of he session.  If this tag is not present, then there is no volume.

→55

Symbol

STRING

See "RV Curve Symbols" section below

Instrument Symbol

→541

MaturityDay

LOCAL MKT DATE

null

Instrument Maturity Date

→455

SecurityAltID

STRING

null

CUSIP

→456

SecurityAltIDSource

STRING

null

Identifies class or source of the  SecurityAltID (455) value.

→223

CouponRate

PERCENTAGE

null

The rate of interest that, when multiplied by the principal, par value, or face value of a bond, provides the currency amount of the periodic interest payment.

→277

TradeCondition

CHAR

H = Hit

T = Take

List of conditions describing a trade. In this case the field is reporting when BTEC trade is from Hit or Take.

→423

PriceType

INT

9 = Yield

This tag will only contain a value if price in tag 270-MDEntryPx is in Yield terms. New SBE Schema Impacts.

RV Curve Symbols

Below are the new RV Curve symbols.

NAME

SYMBOL

(tag 55-Symbol) 

FRONT LEG

BACK LEG

LEG RATIO

NAME

SYMBOL

(tag 55-Symbol) 

FRONT LEG

BACK LEG

LEG RATIO

UST 2YR vs 3YR RV Curve

2Y/3Y

2 Yr

3 Yr

1.5

UST 2YR vs 5YR RV Curve

2Y/5Y

2 Yr

5 Yr

2.5

UST 2YR vs 7YR RV Curve

2Y/7Y

2 Yr

7 Yr

3.0

UST 2YR vs 10YR RV Curve

2Y/10Y

2 Yr

10 Yr

5.0

UST 2YR vs 20YR RV Curve

2Y/20Y

2 Yr

20 Yr

7.0

UST 2YR vs 30YR RV Curve

2Y/30Y

2 Yr

30 Yr

9.0

UST 3YR vs 5YR RV Curve

3Y/5Y

3 Yr

5 Yr

1.7

UST 3YR vs 7YR RV Curve

3Y/7Y

3 Yr

7 Yr

2.0

UST 3YR vs 10YR RV Curve

3Y/10Y

3 Yr

10 Yr

3.0

UST 3YR vs 20YR RV Curve

3Y/20Y

3 Yr

20 Yr

5.0

UST 3YR vs 30YR RV Curve

3Y/30Y

3 Yr

30 Yr

6.0

UST 5YR vs 7YR RV Curve

5Y/7Y

5 Yr

7 Yr

1.3

UST 5YR vs 10YR RV Curve

5Y/10Y

5 Yr

10 Yr

2.0

UST 5YR vs 20YR RV Curve

5Y/20Y

5 Yr

20 Yr

3.0

UST 5YR vs 30YR RV Curve

5Y/30Y

5 Yr

30 Yr

4.0

UST 7YR vs 10YR RV Curve

7Y/10Y

7 Yr

10 Yr

1.3

UST 7YR vs 20YR RV Curve

7Y/20Y

7 Yr

20 Yr

2.0

UST 7YR vs 30YR RV Curve

7Y/30Y

7 Yr

30 Yr

3.0

UST 10YR vs 20YR RV Curve

10Y/20Y

10 Yr

20 Yr

1.7

UST 10YR vs 30YR RV Curve

10Y/30Y

10 Yr

30 Yr

2.0

UST 20YR vs 30YR RV Curve

20Y/30Y

20 Yr

30 Yr

1.3

Implied Book Processing for RV Curves

BrokerTec U.S. Treasury Market Data will provide a 2-deep best bid and ask for all RV Curve spreads. Implied book updates are denoted by tag 269-MDEntryType=E (implied bid) and F (implied offer).

See also: Implied Book Processing.  

The MBP multiple-depth book can be used in conjunction with the implied prices book to create an accurate book for all instruments with implied functionality. To create a consolidated book, the multiple-depth book and the implied book must be built and managed separately, then consolidated to reflect the current state of the market.

See also: Consolidating Implied and Multiple Depth Books.  

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).




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