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CME MDP 3.0 Market Data Handler

The CME implemented a key infrastructure change migrating to the CME Market Data Platform 3.0 (MDP3). This migration was to event based messaging using Simple Binary Encoding (SBE) encoding techniques for the Market Data Incremental Refresh (tag 35-MsgType=X) messages. This provided the same business level functionality as the previous FIX/FAST encoded market data feed, but with major changes to message flows, sequence logic, and layouts including messages within each UDP packet, message and event boundaries.

CME MDP3 is based on the FIX 5.0 SP2 message specification and provides market by price feeds. Templates provide the schema that specifies the components of a message as well as the data types and identifiers.

The Simple Binary Encoding (SBE) format is a fixed position, fixed field length protocol supporting direct access to data, therefore avoiding the need for management of multiple variable-length elements which must be sequentially processed. This makes it easier for consuming systems to scan the message for key fields to determine whether or not to process the message.

CME MDP3 provides:

  • Lower latency dissemination versus current FAST feed.
  • Less CPU intensive.
  • Increased timestamp granularity.
  • Improved market state granularity.
  • Independence between number of events, messages, and packets, including multiple messages per packet, and a single event over multiple packets.

A key OnixS offering is the provision under the service level guarantee of support to existing users of updates and upgrades to supported venue API's. Therefore the migration path to support CME MDP 3.0 is available as a standard part of the maintenance service.

The OnixS directConnect: CME MDP3 Market Data Handler C++, .NET/ C#, and Java implementations features include:

  • Support for CME MDP Market By Price (MBP) and Market By Order (MBO)
  • Easy-to-use API.
  • Low latency and low CPU load.
  • Incremental Book Management.
  • Security Status, Security Definition, Trade and News messages are reported.
  • MBO support for individual order sizes that make up the total quantity at a price.
  • MBO support for Order priority in the queue.
  • Arbitration between A and B feeds.
  • Synchronization of client systems to the latest market state.
  • Recovery of missed (lost) messages (both "Market Recovery" and and "TCP Replay" feeds are supported).
  • Instrument Recovery.
  • Supported instrument book depth level is identified dynamically (multiple depth order books are supported).
  • Per-symbol and sub-channel filtering.
  • Multiple channels are supported simultaneously.
  • History Replay (for backtesting).
  • Ability to handle multi-homed hosts.
  • Multithreaded architecture.
  • Flexible logging.
  • CME AutoCert+ pre-certified.

These solutions are implemented on multiple platforms including C ++ on Linux (RedHat, CentOS, SuSE, Ubuntu, etc) and Windows, Microsoft .NET Framework, and Java.

CME MDP 3.0 Market Data Feed Handler by OnixS