CME MDP3.0的規劃與建置

張貼日期：Mar 03, 2015 3:8:23 AM

CME於2015/6/10開始, 全面改用FIX/SBE的方式並停用FIX/FAST

FIX的重大改變

The following data will be removed from the FIX/FAST Market Data Incremental Refresh (35=X) message format:

Tag 75-TradeDate - only the time is included on each message to save space. The Trade Date will be included on every Security Status (35=f) message update.

(http://www.cmegroup.com/confluence/display/EPICSANDBOX/MDP3+-+Market+Data+Security+Status)

Tag 273-MDEntryTime - Currently, tag 273-MDEntryTime is sent in each Market Data Incremental Refresh (35=X) message data block. Beginning with this release, the Start of Event timestamp (tag 60-TransactTime) will be sent once for each message. This will provide a more accurate timestamp for the message blocks.

The following market data will no longer be sent:

- Better Bid/Offer (CLAST)

- Simulated Buy/Sell

- Calculated Prices for Trades (Leg or Implied Orders Only)

- Net Change

- Tick Direction

- Trade Condition

Tag 731-SettlPriceType will be used for settlement prices; tag 286-OpenCloseSettlFlag will no longer be sent for settlement prices.

The table below shows the relationship between the MDP and iLink tags.

(Previous MDP Format[FAST]) (MDP3.0 New [FIX/SBE])

tag 1151-SecurityGroup : tag 6937-Asset

tag 55-Symbol : tag 1151-SecurityGroup

tag 107-SecurityDesc : tag 55-Symbol

The following new tags will be added to the Market Data Security Definition (35=d) message:

tag 779-LastUpdateTime indicates the timestamp for when the instrument was last added, modified or deleted.

tag 1300-MarketSegmentID identifies the market segment for all CME Globex Instruments.

tag 6937-Asset indicates the underlying asset code, which was previously disseminated in tag 1151-SecurityGroup.

tag 167-SecurityType indicates the type of security.

tag 6350-TickRule indicates the VTT Code provided for instruments with variable ticks in addition to the Tick Size in Tag 969-MinPriceIncrement.

tag 37702-MainFraction indicates the price denominator of the main fraction.

tag 37703-SubFraction indicates the price denominator of the sub fraction.

tag 9800-PriceDisplayFormat indicates the number of decimals in the displayed price (e.g., for price '100.25' will = '2')

tag 731-SettlPriceType will be sent for settlement prices. It will contain a bitmap field of Boolean type indicators representing the settlement price type as described for the Incremental Refresh message.

The following tags will be removed from the Market Data Security Definition (35=d) message:

tag 5796-TradingReferenceDate

tag 827-ExpirationCycle

tag 107-SecurityDesc

tag 9853-PricingModel

tag 454-NoSecurityAltID with repeating groups: tag 455-SecurityAltID and tag 456-SecurityAltIDSource

tag 1144-ImpliedMarketIndicator (implied eligibility for instruments will be found in the tag 871-InstAttribType=24 repeating group).

tags from the Leg repeating group (tag 555-NoLegs):

- tag 5795-LegSecurityGroup

- tag 600-LegSymbol

- tag 608-LegCFICode

- tag 764-LegSecuritySubType

- tag 556-LegCurrency

- tag 610-LegMaturityMonthYear

- tag 612-LegStrikePrice

- tag 616-LegSecurityExchange

- tag 620-LegSecurityDesc

- tag 942-LegStrikeCurrency

- tag 286-OpenCloseSettlFlag

特別是商品描述的欄位部分非常容易混淆

Tick合併比較:

以期貨商品同時段同範圍資料量比較:

FIX/FAST: Channel ( 7,9,11,13,15,30,31,32,33,60,111,117,113,115 )

FIX/SBE: Channel ( 310,312,314,316,318,382,386,384,360,320,340,346,342,344 )

PatsEmu-CME的設定(也就是把Option的部分簡化為一個)

新增FIX/SBE格式查看功能(rem是格式名稱,如果是偵測到新格式則是格式分析說明)

調整CME Filter的方式, 易於對照交易所提供之商品是否正確

新的URDS增加8,9,10三種新的接收方式 (可參考 URDS延伸參數說明 )

其中模式9可以用來替代目前收FIX/FAST使用的模式6

新的SBE則用模式10設定來接收

由於URDS接收模式9,10為自行定義清單, 因此控制分流接收可以透過檔案內容設定不同清單,

也可用相同的完整清單設定透過 /Channel 參數作不同的分流設定

例如以目前的Future/Option兩個分流, 可以用一個完整的清單

URDS-ByList-SBE.cfg

#註解行引符可為 # ; ' 與 Tab(x09)

#依序設定欄位

#Title,#Group IP,#Listen port

#模式一(任意來源):

#Title - 簡稱(30Bytes以內)

#Group IP - Multicast Group IP for join

#Listen port - port number for listen

#模式二(CME AB備源):

#Title - 以'*'帶Channel-ID作為Title, 例如 *300

#Group-A IP - Multicast Group IP for join

#Listen port - listen port for Group-A

#Group-B IP - Multicast Group IP for join

#Listen port - listen port for Group-B

#可透過 <enable> 與 <disable> 指定該行以下之設定是否生效

<enable>

#CME MDP3.0 FIX/SBE的Multicast Group IP/port ( A/B-Feed )

#正式環境 ftp://ftp.cmegroup.com/SBEFix/Production/Configuration/config.xml

*310,224.0.31.1,14310 ,224.0.32.1,15310

*311,224.0.31.2,14311 ,224.0.32.2,15311

*312,224.0.31.3,14312 ,224.0.32.3,15312

'*313,224.0.31.4,14313 ,224.0.32.4,15313

*314,224.0.31.5,14314 ,224.0.32.5,15314

*315,224.0.31.6,14315 ,224.0.32.6,15315

*316,224.0.31.7,14316 ,224.0.32.7,15316

'*317,224.0.31.8,14317 ,224.0.32.8,15317

*318,224.0.31.9,14318 ,224.0.32.9,15318

'*319,224.0.31.10,14319 ,224.0.32.10,15319

*320,224.0.31.11,14320 ,224.0.32.11,15320

*321,224.0.31.12,14321 ,224.0.32.12,15321

*340,224.0.31.64,14340 ,224.0.32.64,15340

*341,224.0.31.65,14341 ,224.0.32.65,15341

*342,224.0.31.66,14342 ,224.0.32.66,15342

*343,224.0.31.67,14343 ,224.0.32.67,15343

*344,224.0.31.68,14344 ,224.0.32.68,15344

*345,224.0.31.69,14345 ,224.0.32.69,15345

*346,224.0.31.70,14346 ,224.0.32.70,15346

*360,224.0.31.192,14360 ,224.0.32.192,15360

*361,224.0.31.193,14361 ,224.0.32.193,15361

'*380,224.0.31.128,14380 ,224.0.32.128,15380

'*381,224.0.31.129,14381 ,224.0.32.129,15381

*382,224.0.31.130,14382 ,224.0.32.130,15382

*383,224.0.31.131,14383 ,224.0.32.131,15383

*384,224.0.31.132,14384 ,224.0.32.132,15384

'*385,224.0.31.133,14385 ,224.0.32.133,15385

*386,224.0.31.134,14386 ,224.0.32.134,15386

'*387,224.0.31.135,14387 ,224.0.32.135,15387

'*410,224.0.33.1,14410 ,224.0.34.1,15410

'*430,224.0.33.64,14430 ,224.0.34.64,15430

'*431,224.0.33.65,14431 ,224.0.34.65,15431

'*440,224.0.33.80,14440 ,224.0.34.80,15440

'*441,224.0.33.81,14441 ,224.0.34.81,15441

'*450,224.0.33.96,14450 ,224.0.34.96,15450

'*460,224.0.33.112,14460 ,224.0.34.112,15460

'*461,224.0.33.113,14461 ,224.0.34.113,15461

那麼可以設定

Pars_10fut 內容為

/CfgFile URDS-ByList-SBE.cfg /Channel 310,312,314,316,318,382,386,384,360,320,340,346,342,344

Pars_10opt 內容為

/CfgFile URDS-ByList-SBE.cfg /Channel 341,343,345,311,315,321,383,361

也可以用兩個分別的清單檔案來完成

URDS-ByList-SBEfut.cfg

<enable>

*310,224.0.31.1,14310 ,224.0.32.1,15310

*312,224.0.31.3,14312 ,224.0.32.3,15312

*314,224.0.31.5,14314 ,224.0.32.5,15314

*316,224.0.31.7,14316 ,224.0.32.7,15316

*318,224.0.31.9,14318 ,224.0.32.9,15318

*382,224.0.31.130,14382 ,224.0.32.130,15382

*386,224.0.31.134,14386 ,224.0.32.134,15386

*384,224.0.31.132,14384 ,224.0.32.132,15384

*360,224.0.31.192,14360 ,224.0.32.192,15360

*320,224.0.31.11,14320 ,224.0.32.11,15320

*340,224.0.31.64,14340 ,224.0.32.64,15340

*346,224.0.31.70,14346 ,224.0.32.70,15346

*342,224.0.31.66,14342 ,224.0.32.66,15342

*344,224.0.31.68,14344 ,224.0.32.68,15344

URDS-ByList-SBEopt.cfg

<enable>

*341,224.0.31.65,14341 ,224.0.32.65,15341

*343,224.0.31.67,14343 ,224.0.32.67,15343

*345,224.0.31.69,14345 ,224.0.32.69,15345

*311,224.0.31.2,14311 ,224.0.32.2,15311

*315,224.0.31.6,14315 ,224.0.32.6,15315

*321,224.0.31.12,14321 ,224.0.32.12,15321

*383,224.0.31.131,14383 ,224.0.32.131,15383

*361,224.0.31.193,14361 ,224.0.32.193,15361

那麼則設定清單檔案即可

Pars_10fut 內容為

/CfgFile URDS-ByList-SBEfut.cfg

Pars_10opt 內容為

/CfgFile URDS-ByList-SBEopt.cfg

MDP3.0新的Channel的資料與流量可以參考CME頁面: Data Directly from the Market Data Platform

擷取CME 2018-11-26的資料, 依頻寬使用狀態排序後的內容如下:

其他舊的相關文章:

PatsEmu-CME的商品篩選設定方式

CME市場商品分析規劃

CME FAST/Template Decode