B2BITS CME MDP Handler

B2BITS CME MDP Handler was designed to take advantage of the new low-latency data feed and  fully supports features of the CME Globex MDP3.0 market data platform, helps feeding CME and CME partner exchanges market data directly into the client application. The handler delivers market data updates from socket to your application in less than 2 microseconds (C++, Linux). It is based on proven B2BITS FIX Antenna® technology and is available in C++,  .NET and  Java.

 CME MDP30 Adaptor

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Features

Feature Description
CME MDP access

Connects and maintains connections to the CME Globex MDP 3.0 Platform, provides client applications with all types of CME partner exchanges including BVMF MDP 3.0 market data:

  • Instrument definition
  • Instrument trading status
  • Instrument threshold limits including low price, high price, max price variation
  • Trades and trade reversals
  • Electronic trading volume
  • Outright order book
  • Implied order book
  • Consolidated order book top
  • Trading statistics including opening price, high bid price, low ask price, high trade price, low trade price,
  • Quote and cross requests
Recovery

Automatically  detects UDP packet gaps and recovers lost market data.

  • Packet gap detection logic based on packet sequence number to detect gaps as soon as possible.
  • Per-instrument recovery logic to keep feeding instruments not affected by a packet gap.
  • Several recovery types - snapshot, natural, natural and snapshot combined  recovery, configurable for late join and packet gap events separately.
Feed arbitration

Automatically arbitrates between feeds A and B to reduce probability of packet loss (live-live concept).

  • Option to disable feed B 
  • Option to receive feeds A and B via different network interfaces.
Flexible API

Simple API to subscribe and receive reference data and/or live market data events via callback interfaces. Several levels of interaction with the client application:

  • Order Book API to receive notifications on instrument state updates and analyze the corresponding data structures maintained by the handler;
  • Message API to receive instrument market data messages, sequenced, recovered and synchronized by the handler;
  • Raw Data API to receive channel UDP packets as they arrive from the socket layer;
  • Connection API to extend handler connectivity with custom sockets
Order book management

Automatically builds and updates order books from market data snapshot and incremental messages:

  • Outright price-aggregated order book
  • Implied price-aggregated order book
  • Consolidated best bid-offer
Configuration

Supports different usage scenarios including live data only and reference data only. Configurable with API calls and configuration files.

  • Options to specify market data of application interest to maintain.
  • Options to subscribe to market data events of application interest.
  • Loading of CME SBE templates and adjustment of the SBE decoder behavior.
  • Loading of CME XML channel configuration files.
High performance

One of the lowest latency among available software solutions on the market.

  • Fast SBE message decoder to access fields by tag id. 
  • Optimized for both single- and multi-channel usage scenarios. 
  • Integration with OS bypass libraries (Myricom DBL, Solarflare OpenOnload).
  • Dedicated thread pool for incremental messages. 
  • Options to bind threads to CPU cores.

Packaging

B2BITS CME MDP Handler is delivered with:
  • Pre-compiled binaries for the chosen platform
  • Programmer's Guide with code examples
  • Detailed API Reference
  • Configuration files for different CME environments
  • Set of sample applications with source code
  • Benchmark application with source code
  • Set of utilities for capturing UDP packets and saving them into binary files for subsequent decoding and reply
Supported OS
  • Linux (RedHat, CentOS, Ubuntu)
  • Windows Server, Windows 7/8
Supported compilers
  • GCC 4.X, 3.X
  • MS Visual Studio 2012/2010/2008
  • JDK 1.7, 1.5
  • .NET Framework 4.0, 3.5, 3.0, 2.0 (C#, C++/CLI, VB.NET)

Low latency options

Solarflare  Myricom 

OpenOnload OS kernel bypass technology

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Solarflare 10GbE Server Adapters

DBL OS kernel bypass technology

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Myri-10G Network Adapters 

B2BITS CME MDP Handler is now available in 30-day trial version.

Software escrow is available on demand.