CME Calls for Recovery Standards

The Chicago Mercantile Exchange last week began aggregating market data messages sent out by its trading engine, as part of a strategy to deal with rising capacity requirements by reducing the volume of data messages it distributes.

"As of Monday, we are able to take an event, such as a trade, from the engine and send it out as a series of trades or a book update all together, as opposed to as individual pieces of data," says Matt Simpson, associate director of electronic trading systems architecture at the CME.

The types of messages affected include book updates, trade messages and last price—all of which were previously distributed using their own, individual packets, and which can now be grouped together.

Before implementing the change, Simpson says the exchange had to check that users could process multiple messages within a single UDP (User Datagram Protocol) packet.

This move alone has resulted in a 25 percent reduction in bandwidth usage. "The savings come from not sending out so many packages," he says, as each UDP package uses around 50 bytes of bandwidth.

He says the next step—where the CME expects to see even more savings—will be to move to incremental book updates using the FIX protocol.

However, the CME also sees the ability to recover data—for example, data that needs to be back-filled where it has been lost due to a connectivity interruption or because a trading firm has, for example, needed to enter the market late after a software installation—as a major aspect of reducing bandwidth, Simpson says. "Customers need that ability to come into the market late," he says, without having to worry that the data they need to replay will use too much bandwidth if replayed over the same channel as their real-time feeds, and negatively impact the latency of the real-time data.

"We are raising this with other exchanges as an issue that needs to be addressed," he says, partly because major exchanges—including, to an extent, the CME—have no book-recovery capability, but also because such a capability must be implemented in a way that does not affect an exchange's real-time feed. "The industry needs to get together to solve the problem. You can solve it one exchange at a time… but we're trying to engineer a solution to launch next year that is an out-of-band feed… not delivered across the same feed as real-time data so that it doesn't impact that data," he says (IMD, Aug. 21).

"It's important to have low-latency feeds. But to provide a full solution, you need to provide a recovery service—and most exchanges in the world don't currently do that," he says. However, he says other exchanges agree that the CME's proposed solution of caching the real-time feed and synchronizing snapshot updates of the missed data with the real-time feed via an out-of-band stream, is the best approach because it has the least impact on the high-performance, real-time feeds. "And now that the CME technology and data delivery will be used in the merger with the Chicago Board of Trade… we really want to converge on a solution," he says.