Introduction

Note

Before reading the subsequent sections of this guide, becoming familiar with the CME MDP 3.0 market data documentation is recommended.

C++ CME MDP Premium Market Data Handler is a C++ library that provides access to the CME MDP Premium Market Data. The software development kit (SDK) encapsulates low-level aspects of the CME market data platform. It allows building ultra-low-latency applications quickly to get market data without much involvement in the MDP protocol.

The key features of the handler:

• Easy-to-use API.
• Flexible threading architecture.
• Ultra-low latency, high throughput.
• Incremental order book management, including Natural Refresh.
• Real-time trades and market data statistic notifications.
• Support of recovery services to recover missed data or synchronize market state.
• Arbitration between primary (A) and secondary (B) feeds.
• Per-security filtering.
• Log/*.pcap replay.

The Getting Started section guides through the most significant parts of the SDK and the handler's architecture.

The Order Books sections provides order-book related information.

The Advanced Programming section provides information about sophisticated development tasks and techniques.

The Low latency best practices section explains how to achieve the best latency of market data processing.

The FAQ section contains commonly asked questions and answers.

The External resources section lists online resources on the product, CME MDP Premium Market Data documentation, and other related areas like troubleshooting lost multicast packets.

The Glossary section defines the terms that are used in this document.

The Support section describes the best way to get support for the product.

For a complete list of available topics, see Table of Contents.