Derived Cash Market Data is available via WebSocket API, offering direct access to real-time pricing information for multiple derived cash data products, including bid, ask, trades and value-add content for supported products.

Product Offerings

BrokerTec U.S. Treasury

U.S. Treasury data sourced from BrokerTec's electronic trading services, providing Top of Book and Depth of Book pricing for the UST On-the-runs; 2Y, 3Y, 5Y, 7Y, 10Y, 20Y, 30Y, Bills, WI’s, once old and twice old off-the-runs.

GovPX U.S. Treasury

Real-time, indicative price discovery across U.S. Treasury Bills, Notes, Bonds, FRNs, When-Issued (WIs), TIPS, STRIPS, Basis, Swap Boxes and Agencies, sourced from the U.S. Treasury trading activities of BrokerTec and TP ICAP.

EBS Ticker

Reliable real-time transactional Spot FX and Metals data including best rate and dealt rate sourced from EBS Market.

Premium FX

Indicative, streaming Spot FX prices derived from a carefully selected range of sources, including EBS, the primary source of global transactional spot FX market data.

TFS-ICAP FX Options

Indicative FX options pricing, including at-the-money (ATM) straddles and a full volatility surface for 10 and 25 delta butterflies and risk reversals from overnight to 1-year on all currency pairs, with long-dated ATMs out to 20 years for the most liquid pairs.

CME Derived Cash Markets Data on WebSocket API

CME Derived Cash Markets leverage WebSocket APIs to provide a persistent connection between a client and server that both parties can use to start sending data at any time. This is a technology that is widely used in the Real-time delivery of Crypto Currency exchanges and the feeds they provide. It is also offered by traditional exchanges and vendors. 

The client establishes a WebSocket connection through a process known as the WebSocket handshake. This process starts with the client sending a regular HTTPS request to the server via a URL that the CME Global Command Center (GCC) provides. This request must use a minimum TLS version of TLS1.2 and one of the cipher suites listed below. For security reasons the initiators' IP address needs to be whitelisted. In addition to this, the GCC will provide a secure key which would need to be passed on to the WebSocket when a connection is attempted. This enables controlled access to the feed and also ensures that the connection is not compromised.  

Supported cipher suites for the WebSocket connection:

• TLS_ECDHE_ECDSA_WITH_CHACHA20_POLY1305_SHA256

• TLS_ECDHE_RSA_WITH_CHACHA20_POLY1305_SHA256

• TLS_ECDHE_ECDSA_WITH_AES_128_GCM_SHA256

• TLS_ECDHE_RSA_WITH_AES_128_GCM_SHA256

• TLS_ECDHE_ECDSA_WITH_AES_256_GCM_SHA384

• TLS_ECDHE_RSA_WITH_AES_256_GCM_SHA384

WebSockets are capable of achieving full duplex in the Web. Once a WebSocket connection is established, both parties can exchange messages simultaneously. WebSockets work on top of TCP and do not use the HTTP protocol. 

WebSockets represent a long-awaited evolution in client/server web technology. They allow a long-held single TCP socket connection to be established between the client and server which allows for bi-directional, full duplex messages to be instantly distributed with little overhead resulting in a very low latency connection.

Delivery Setup

Message Structure

The message type for CME Derived Cash Markets WebSocket API is JSON (JavaScript Object Notation) made up of name-value pairs, also known as objects, and ordered lists of values, also known as arrays. These structures can be nested within each other.

On initialization of the connection the subscriber will receive a full image and incremental updates thereafter. As long as the connection remains in place data will continue to be sent when available

Derived Cash Markets Data Product Chains and Records

In derived cash markets products, chains represent the continuous stream of bid/ask prices, trades and yield data for assets like bonds or currencies, tracking their real-time changes.

Records are the detailed logs of each transaction, including timestamps, trades, and volume, ensuring transparency and historical analysis of market activity. 

• BrokerTec chains and records

• GovPX chains and records

Derived Cash Markets Data Product Message Specifications and Examples 

CME Cash Markets Data WebSocket message specifications and examples by product are as follows:

• BrokerTec U.S. Treasury

• GovPX U.S. Treasury

• EBS Ticker

• Premium FX

• TFS-ICAP FX Options

Environment Schedules

Functionality in New Release/Certification is available from: 8:00 p.m. Central Time (CT) Sunday to 4:00 p.m. CT Friday, except for a weekly maintenance window:

5 a.m. – 12 p.m. CT Wednesday

Customer Onboarding

The following steps detail the customer onboarding process:

1.   Client provides IP address(s) to GCC to be Whitelisted.

2.   CME Group Networks team enables clients IP Address(s).

3.   GCC configures the connection and provides the URL to Client.
   Example: wss://ddp.api.cmegroup.com/<customer Identifier>/json/2KPBAU09TUOmJKddRt82KA

4.   Client tests the connection via WebSocket and can obtain a JSON sample log file, if necessary

Weekend Availability

The connectivity between client systems and CME may be interrupted during weekend maintenance.

No customer testing is available on Web Data Reliability Engineering and Operations (WDREO) Weekends, please reference the CME Globex Freeze calendar.

Contact Information

For technical development support, contact Certification Support for Electronic Trading (CSET).

For production requests, technical assistance and order status, please contact the Global Command Center (GCC). 

For all other inquiries, please contact Global Account Management (GAM).