CME-Market-Data-Platform-CME市场数据平台.pptVIP

overview Market Data Platform :MDP three formats of market data CME Globex Market Data Streamlined Market Data Interexchange Technical Committee(ITC) CME Globex Market Data disseminates real-time bid, ask, trade, and statistical data for CME Group markets and also provides recovery and supporting services for market data processing. Market Data Group Market data is organized by Market Data Group Incremental Feed are used to disseminate CME Group incremental market data using bandwidth efficient FAST encrypted FIX messages. All FIX message types(e.g.,book update, statistics, quotes,instrument definitions, trades, instrument / instrument group, security definitions, CME Globex status) sent down both feeds Central Limit Order Book multiple-depth book (3, 5, 10) top-of-book(MDUpdateAction=Overlay) 2-deep book for implied futures price Incremental Book Management MDUpdateAction MDPriceLevel MDEntryType MDEntryTime RptSeq MDEntryPx QuoteCondition(K =Implied) MDEntrySize SecurityID NumberOfOrders SecurityIDSource MDQuoteType Real Time Statistics Pre-Opening Statistics Pre-opening statistics are used to indicate simulated buy or sell, stop spike, and pre-opening prices. Last Best Price a new best bid or new best ask price Session High and Low Trade Price The High/ Low Trade Price data is sent when a trade occurs which results in the highest/ lowest trade price for the current session. Real Time Statistics Best High Bid and Best Low Ask the highest bid and lowest ask prices of the session. Open Interest the total number of contracts per instrument that are not yet offset or fulfilled for the previous trading day. Cleared Volume contain the number of contracts that have been through the clearing process for an active instrument for the previous trading day. Real Time Statistics Fixing Price contains the Fixing Price, a volume-weighted average price for the nearby futures contract of an Option, and the time Settlement Price Trading Statistics Reset Based on