MDP 3.0, is CME migrating to a new data comm protocol? | Reviews of Brokers and Data Feeds


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MDP 3.0, is CME migrating to a new data comm protocol?

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artemiso View Post
No, the new protocol is simpler. In fact it's a shame that CME is 10 years late to the game to make this change. Among other things, FIX specifies the dissemination of field values in text representation, which contributes to this mess:

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For comparison, ARCA's raw feed (trades only) already adopts a binary protocol and on the same day and time window looks like this:

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As quoted earlier in this thread, I had been using MDP 3.0 in pre-production since early 2014. A small dump of channel 313 on Mar 10, 2014 just for credibility:

 
Code
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My experience is that it took >100,000 lines of code to build a production quality CME FIX/FAST feed handler (most of it general-purpose FIX/FAST), but only >10,000 to do the same for MDP 3.0. I don't think there's any excuse for a vendor to have issues giving you a production quality MDP 3.0 feed.

Does the new feed have shortcomings?

Yes, but they matter only to very few on this forum and in general the developments are very positive for retail users.

1. For one, XML schemas are still verbose and dated. (Of the >10,000 lines of code I mentioned, about 15-20% had to do just with the XML message schemas.)

2. A positive departure from FIX/FAST is that you can access fields within a message sub-tree in random order. As mentioned in earlier posts, most vendors ignore certain fields from the data feed before disseminating it to you. In a FIX/FAST feed, they would have to search for delimiters to skip each field, whereas in the new feed, they can 'instantly' skip between primitive fields to reduce latency. For those of us in the unfortunate business of being faster than everyone else though, the message tree is nevertheless written in pre-order. You could shave another 20~ nanoseconds in limited use cases if you can access message sub-trees in random order.

Thank you.

Mike

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