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This market data solution for CME's Market Data Platform (MDP) is designed to receive, decode and handle FAST messages published by CME and stores the appropriate market data. 

A full description of CME Globex MDP can be found on http://www.cmegroup.com.  

This CME Adapter consists of a market data collector to convert the multicast FAST streams into ordered FIX message objects and an Instrument store to maintain a list of instruments and associated orders books (real and implied).  The adapter then passes the individual market updates or the updated book object into your application or into logfiles of quotes and trades.

Features

  • Certified with CME (CME FIX / FAST compliant).
  • Supports all CME channels and messages.
  • API delivery or FIX Market Data Logging.
  • Hides complexity of CME's multicast feeds (Incremental, Snapshot, Instrument, A&B feeds) by providing a logging interface and / or a book update interface.
  • Book update interface translates incremental update packets into real and implied (and combined books).
  • Automatic recovery of missing packets through recovery channel
  • Multiple home IP configurations supported (through binding configuration).
  • Arbitrate between redundant feeds.
  • Auto-synchronize when joining late.

Benefits 

  • Multiple simultaneous CME channels supported.
  • Simple API - quick development time.
  • High Performance - multi-threaded processing takes advantage of many CPU's.
  • Symbol filtering for low overhead.