B2BITS CME MDP Handler

Connects and maintains connections to the CME Globex MDP 3.0 Platform, provides client applications with all types of CME partner exchange 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
• Market By Order
• Trading statistics including opening price, high bid price, low ask price, high trade price, low trade price,
• Quote and cross requests

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 - TCP recovery, snapshot, natural, natural and snapshot combined recovery, configurable for late join and packet gap events separately.

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.

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 receives notifications on instrument state updates and analyzes the corresponding data structures maintained by the handler;
• Message API receive instrument market data messages that are sequenced, recovered and synchronized by the handler;
• Raw Data API receives channel UDP packets as they arrive from the socket layer;
• Connection API extends handler connectivity with custom sockets
• Built-in mock player replays a pcap file or push single UDP message to market data service for testing purposes

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

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 (for Java Handler only).
• Loading of CME XML channel configuration files.

One of the lowest latency (C++/ Java) 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.

Specifically for C++ Handler:

• Integration with OS bypass libraries (Myricom DBL, Solarflare OpenOnload).
• Dedicated thread pool for incremental messages. 
• Options to bind threads to CPU cores.

• 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

• Linux (RedHat, CentOS, Ubuntu)
• Windows Server, Windows 7/8/10

• GCC 4.8, GCC 6.1 - with C++03 and C++11 ABIs
• MS Visual Studio 2015/2017
• JDK 1.8