Futures and options exchanges; market makers; hedge funds; and traders require real-time knowledge of the best bid and ask prices for the instruments that they trade. Algo-Logic’s CME Tick product is an FPGA based hardware accelerator with CME MDP 3.0 feed handler and CME MarketByPrice (MBP) Futures & Options Order Book implemented in logic.

Algo-Logic’s CME Tick achieves deterministic, ultra-low latency without jitter regardless of the number of tracked instruments at data rates of up to 10Gbps.

CME Tick Deployment

Direct updates

Distributed updates

Algo-Logic’s CME Tick supports:

  • Book building for instruments that have actual orders
  • CME multiple depth (i.e. real) book up to 5 levels deep
  • Book building for instruments that have implied orders
    • CNE implied book up to 2 levels deep
    • CME consolidated book up to 5 levels deep
  • Processing of CME MDP 3.0 messages
    • Market Data Incremental Refresh (35=X) MDP 3.0 message type, used for:
    • Updating real and implied books in normal operation throughout the trading day
    • Start-of-day book initialization
    • Late joiner book initialization
    • CME Natural Refresh recovery mechanism
  • Reporting L2 snapshots with the best bid/ask information up to 5 levels deep
    • L2 snapshots are generated when each repeating group within a market data update is processed
    • L2 snapshots contain corresponding Security ID field, along with sided Price and Size fields
    • Real book snapshot is generated for instruments that have no implied orders
    • Consolidated book snapshot is generated for instruments that have implied orders CME Tick

The CME Futures and Options Order Book integrates with the Algo-logic Feed Handler to provide additional functions:

  • A/B Feed Arbitration
  • Multicast Channel Filter
  • MDP 3.0 Message Processor

Product brief