The order book depth is the number of price levels available in the book.
Incremental Feeds (A and B) disseminate incremental market data using UDP multicast packets containing the following message types:
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.
Incremental Refresh message is utilized by Incremental 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.
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.
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.
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:
The corresponding API class is OnixS::CME::MDH::Packet.
Each "Snapshot" message represents a market state snapshot of a given instrument. This message is utilized by Market 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.
