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.Â
Contents
Revision History
Date | Description |
|---|---|
March 8, 2023 | Initial release. |
Key Events and Dates
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:
BrokerTec U.S. Treasury Market Data - Multicast (channel ID 215)
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. Â
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". Â
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 | ||||
|---|---|---|---|---|
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.
| |
→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)Â | 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. Â
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. Â
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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