OnixS C++ CME MDP Premium Market Data Handler 5.9.0
API Documentation
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Glossary

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