The LME has embarked on a programme to fully rebuild its electronic trading platform, LMEselect, and for LMEsource to work alongside the new trading platform, LMEsource v3 will be upgraded.
In addition, non-electronic market data (Ring, inter-office and market data reports) will be added to LMEsource v4.
More information will be published in due course.
LMEsource v4 will broadcast both the LME’s latency sensitive data (quotes and trades from the LME's LMEselect v10, Ring and inter-office trading venues) and non-latency sensitive data (market data reports) simultaneously, which will provide the most fair, consistent and transparent dissemination to all LME trading and market data participants.
ALIGNMENT WITH HKEX
LMEsource v4 standardises and aligns its market data offering with the best in class OMD platform from HKEX.
CUSTOMISATION OF MARKET DATA PRODUCTS
Enables multiple multicast products to be broadcast via different channels. The LME will have the ability to rationalise and increase its market data offering to better suit the requirements of market participants.
Uses industry standard data dissemination formats and technical protocols.
REPLAY AND RECOVERY
Enables market data to be recovered if a subscriber temporarily loses connectivity, experiences network issues (i.e. dropped multicast packets), or is late to join the market.
LMEsource can only be accessed via LMEnet lines or via the Interxion London Campus Community Data Centre (CDC) for all environments. LME market data vendors should contact the LME Market Data team.
Members and all other participants should contact the LME Technical Account Management team for further information.
LMEsource v4 test and production bandwidth requirements for both Electronic and Non-Electronic markets have not been defined yet and will be confirmed in due course. Please revert back for more information at a later date.
Based on currently observed production traffic, with some headroom, it is recommended that participants allocate the following bandwidth for the LMEsource production service:
- LMEprecious - 30mbps of bandwidth for LMEsource when measured on a 10millisecond interval
- LME (all other non-LMEprecious contracts) - 20mbps of bandwidth for LMEsource when measured on a 10millisecond interval
The above quoted bandwidth is for a single LMEsource product and single feed. All participants (including Members / ISVs / Market Data Vendors) should allow additional bandwidth if planning to run LMEsource in parallel to other services including LMEselect and LMEselectMD.
If you need further guidance or have any questions related to bandwidth requirements please email our Technical Account Management team.
The LME is currently preparing Customer Test B (CT-B) for LMEsource v4 testing.
Exact test dates and environment details will be confirmed here.
For LMEsource v3 testing: LME Market Data Vendors should contact the LME Market Data team. Members and all other participants should contact the LME Trading Operations team for further information.
The retransmission service allows clients who have experienced gaps when receiving the real-time market feed to request a range of messages to be resent. The retransmission service is intended for use when a small number of messages have been lost on both the ‘A’ and ‘B’ channels
The refresh service listens to the real-time output multicast channels and keeps a cached state of the market (limits, order books full depth, highs, lows, etc.) in memory. It periodically publishes a snapshot of this information. There is a refresh channel for each real time channel.
Please contact Market Data with any queries regarding fees.
The Request for Quote functionality is not available on LMEsource v3 but it will be a new functionality introduced on LMEsource v4. Quote requests will be disseminated through the market data channels via Quote Request(356) messages. For more information please refer to the LMEsource v4 Client Interface Specifications.
LMEsource v3: a book is uniquely identified by an OrderbookID. An OrderbookID is an integer representation of 4 bytes, Shortname is a longer string representation (32 bytes) that provides a human readable descriptive name for the instrument. The Shortname is included in the Security Definition (301) message.
For reasons of efficiency, OrderbookID is used as the identifier that appears on every instrument’s order and trade messages.
LMEsource v4: A book is uniquely identified by the SecurityID. The SecurityID field is used to link order and trade messages to the instrument definition. Instrument State (312) messages that are only applicable to one instrument also use SecurityID to link back to the instrument definition. SecurityID is an unsigned integer representation of 8 bytes from Outright Definition (301) messages and Strategy Definition (302) messages.
LMEsource v3: rolling prompts Tom, Cash and 3 Month are available via the SegmentID field.
LMEsource v4: Rolling prompt codes are present in the PromptType and PromptDateLabel fields in the Outright Definition (301) message. Not all LME Metal Futures have rolling prompt dates. For more information please refer to the LMEsource v4 Client Interface Specifications.
On LMEsource v3, reference data is available for securities for which an orderbook is present on the trading platform.
On LMEselect v4, reference data will provide a full list of securities and tradeable instruments.