Order book depth

The order book depth is the number of price levels available in the book.

See also: Wikipedia: Order book

Incremental Feeds

Incremental Feeds (A and B) disseminate incremental market data using UDP multicast packets containing the following message types:

"Incremental Refresh"
"Request for Quote"
"Security Definition"
"Security Status"

The same packets are sent through Feed A and Feed B to reduce the chance of message loss due to the unreliable nature of the multicast protocol.

See also: CME documentation: MDP 3.0 - Dissemination; CME documentation: MDP 3.0 - Message Specification

Incremental Refresh message

Incremental Refresh message is utilized by Incremental Feeds.

See also: CME documentation: MDP 3.0 - Message Specification

Instrument Definition Feeds

The Instrument Definition Feeds A disseminate instrument definitions for late joiners and mid-week recovery using UDP multicast packets containing "Security Definition" messages.

Instrument Definition Feed B is a backup if Feed A fails.

Instrument Definition Feeds replay "Security Definition" messages at a constant flow of configurable network packets per second.

See also: CME documentation: MDP 3.0 - Dissemination; CME documentation: MDP 3.0 - Message Specification

Market event

Each action taken on an order or a quote results in a trading platform market event. A scheduled or manual change to a market state could also result in a market event.

See also: CME documentation: MDP 3.0 - Event Based Market Data Messaging; Book update notification strategies

Market Recovery Feeds

The Market by Price (MBP) and Market by Order (MBO) Market Recovery Feeds A disseminate snapshots for all books having activity since the beginning of the week using UDP multicast packets containing Snapshot messages.

Market Recovery Feed B is a backup if Feed A fails.

Recovery feeds replay Snapshot messages at a constant flow of configurable network packets per second.

See also: CME documentation: MDP 3.0 - Dissemination

Packet

Market Recovery Feeds, Instrument Definition Feeds, and Incremental Feeds disseminate market data using using UDP multicast packets. One packet may contain multiple SBE-encoded market data messages.

A CME MDP 3.0 packet start with a header that contains the following information:

Packet's unique sequence number. Each channel has a separate set of sequence numbers that increment sequentially with each packet and reset weekly.
The UTC timestamp when the Gateway sent the message. The timestamp is set as the number of nanoseconds since the Unix epoch.

The corresponding API class is OnixS::CME::MDH::Packet.

See also: CME documentation: MDP 3.0 - SBE Technical Headers

Snapshot message

Each "Snapshot" message represents a market state snapshot of a given instrument. This message is utilized by Market Recovery Feeds.

See also: CME documentation: MDP 3.0 - Message Specification

TCP Recovery Feeds

The TCP Recovery Feeds (also known as "Historical Replay") allow client systems to request a replay of packets already published on Incremental Feeds. The request message is sent through a new TCP connection established by the handler. The responses are sent through the same connection.

Note: These feeds can be used for small-scale recovery only, and data can be requested within the last 24 hours.

See also: TCP Recovery; CME documentation: MDP 3.0 - Dissemination; CME documentation: MDP 3.0 - TCP Recovery