CME High Level Market Data API


This article describes the connectivity using the B2BITS CME High Level Market Data API.


The B2BITS CME High Level Market Data API is a library developed by B2BITS EPAM Systems Company (B2BITS) to provide with High-level access to CME Market Data.

B2BITS CME High Level Market Data API provides user application with built-in services:

Quick start for CME High Level Market Data API

This example provides a simple functionality for connecting to CME Market Data server and reading data from it. This example includes scenario based on pre-configuration of Subscriptions with binding of user applications listener to Subscription to handle Market Data. This example demonstrates Multiple Depth (Direct) Order Book provided via CME High Level Market Data API.

import com.epam.cmefast.marketdata.MarketDataApp;
import com.epam.cmefast.marketdata.MarketDataAppFactory;
import com.epam.cmefast.marketdata.cfg.ConfigHelper;
import com.epam.cmefast.marketdata.cfg.Configuration;
import com.epam.cmefast.marketdata.event.OrderBookListener;
import com.epam.cmefast.marketdata.example.util.CmeMarketDataUtil;
import com.epam.cmefast.marketdata.model.BookPriceData;
import com.epam.cmefast.marketdata.model.OrderBook;
import com.epam.cmefast.marketdata.model.OrderBookState;
import com.epam.fix.message.FIXFieldList;
import org.slf4j.Logger;
import org.slf4j.LoggerFactory;
public class DirectBookExample {
    private static final Logger logger = LoggerFactory.getLogger(DirectBookExample.class);

    public static void main(String[] args) {
        try {
            new DirectBookExample().handleMarketData();
        } catch (Exception e) {
            logger.error("Error in example", e);

    public void handleMarketData() throws Exception {"DirectBookExample has been started ...");
        // create instance of MarketDataApp
        final MarketDataApp mdApp = MarketDataAppFactory.createMarketDataApp();
        // load configuration of Subscriptions (if you work via pre-configurated Subscriptions)
        Configuration mdAppCfg = ConfigHelper.loadConfiguration(getClass().getClassLoader().getResource("jfast-cme-md-func-directbook.cfg"));
        // bind listeners to required Subscriptions from configuration
        mdAppCfg.bindDirectBookListener("SSCRPTN001", new OrderBookListener() {
            public void onBookStateChanged(OrderBook book, OrderBookState oldState, OrderBookState newState) {
      "Direct onBookStateChanged: type: [{}], security: [{}], prevState: [{}], newState: [{}]",
                book.getBookType(), book.getSecurityDef().getSecurityDesc(), oldState, newState);

            public void onOrderBookUpdated(OrderBook book, FIXFieldList source) {
      "Direct onOrderBookUpdated: security: [{}]", book.getSecurityDef().getSecurityDesc());

            public void onOrderBookTopOfTheBookUpdated(Long securityId, BookPriceData topBid, BookPriceData topAsk, FIXFieldList source) {
      "New top of the Direct Book of security [{}]: [{}]|[{}]|[{}]|[{}]", securityId, topBid.getQuantity(), topBid.getPrice(), topAsk.getPrice(), topAsk.getQuantity());
        // start to connect and handle CME Market Data

        // shutdown stream and disconnect

Configuration of Subscriptions


Subscription Options and appropriate Event Listeners

The following table lists all Subscription Options and appropriate Listenters to bind to listen Market Data events.

Subscription Option Purpose Listener to bind to get events Example Names
DIRECT Multiple Depth Book Multiple Depth Book com.epam.cmefast.marketdata.event.OrderBookListener DirectBookExample, DirectAndImpliedBookExample, AdhocBookExample
IMPLIED Implied Book com.epam.cmefast.marketdata.event.ImpliedOrderBookListener ImpliedBookExample, DirectAndImpliedBookExample
CONSOLIDATED Consolidated Book com.epam.cmefast.marketdata.event.ConsolidatedOrderBookListener ConsolidatedBookExample, AdhocBookExample
TRADE Last Trades com.epam.cmefast.marketdata.event.TradeListener LastTradeBySecDescExample, LastTradeBySecurityGroupExample
QUOTEREQUEST Quote Requests com.epam.cmefast.marketdata.event.QuoteRequestListener
STATISTICS Statistics com.epam.cmefast.marketdata.event.StatisticsListener StatisticsBySecuritySymbolExample
STATUS Security Status com.epam.cmefast.marketdata.event.SecurityStatusListener
SECURITY All security related events (excepting Book) com.epam.cmefast.marketdata.event.SecurityEventsListener
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