LMEsource

the New LME Market Data Platform

LMEsource, the LME’s new multicast market data platform launched on 21st May 2018. Please find below a high level summary of LMEsource's features and timelines, as well as the technical specifications for phase one of the project. To be kept aware of project developments, timelines and for further information please contact the Market Data team.

Documents for Data Vendors, Members, and ISVs relating to LMEsource testing and production can be found on the Documentation and Specifications page.

FAQs

What is LMEsource?

LMEsource is the LME's real-time multicast binary Market Data Platform. The initial version, LMEsource v3 was launched on 21st May 2018.

What changes are happening to LMEsource?

The LME has embarked on a program to fully rebuild its electronic trading platform, LMEselect, and for LMEsource to work alongside the new trading platform, LMEsource v3 will be upgraded. For more information regarding the launch of LMEsource v4 please click here. 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.

What are the benefits of LMEsource v4, the new LME Market Data Platform?

Multicast

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 rationalize and increase its market data offering to better suit the requirements of market participants.

Binary Protocols

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.

Key differences between LMEselectMD, LMEsource v3 and LMEsource v4?

LMEselectMD LMEsource v3 LMEsource v4
Feed Details
Feed Type Unicast Multicast Multicast
Transmission Protocol FIX Binary Binary
Available Market Data Products
Level 1 Product (Top of Book) green light green light green light
Level 2 Product (15 Price levels) green light green light green light
Level 3 Product (Tick by Tick) red light red light green light
Recovery Mechanisms
Refresh Service red light green light green light
Retransmission service red light green light green light
Snapshot requests green light red light red light
Reference Data
ISINs TIF (Published in both the sFTP and LMEselectMD) TIF (Published in both the sFTP and LMEselectMD) green light
Trade Statistics
EOD Trade Statistics green light green light green light
Intraday Trade Statistics red light green light green light
Other Enhancements
Time of Event millisecond microsecond nanosecond
Number of timestamps 2 2 2 (Level 3 order messages have 5)
IOP red light red light green light
RFQ red light red light green light
Order and Trade Data Channel Can be requested in the same or differerent Market Data request. Available in different channels. Available on the same channel.
Options and Futures Data Same Market Data request. Same channels. Separate channels.
OrderID red light red light green light

How can I access LMEsource v4?

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.

Where can I access the Connectivity Guide?

The LME Systems Connectivity Guide, including channel IP details for LMEsource v3, is available here. The updated connectivity guide with channel IP details for LMEsource v4 will be published in due course.

What is the bandwidth requirement for LMEsource?

LMEsource v4

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.

LMEsource v3

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

 

When will the current LMEselectMD and LMEsource v3 be decommissioned?

LMEselectMD and LMEsource v3 will be decomissioned when all the Electronic, Ring, Inter-office and market data reports are migrated to LMEsource v4.

When is testing available for LMEsource?

The LME is currently preparing Customer Test B (CT-B) for LMEsource v4 testing.

Exact test dates and enviornment 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.

Is LMEsource available over Internet?

Multicast is not supported over Internet. LMEsource will only be available via LMEnet lines or via the Interxion London Campus Community Data Centre (CDC), for all environments.

Can I access LMEsource member test environment over the production CDC cross-connects?

No, member test environment requires an additional cross connect. It is physically separated from production CDC cross-connects. A single cross connect can be provided for member test environment. Members and all other participants should contact the LME Technical Account Management team for further information.

What are the Refresh and Retransmission services?

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.

Can I get ‘Reference Data’ for business day’s other than current business date from LMEsource?

No, ‘Reference Data’ is only available for current business date. This enhancement will be captured in a future release.

Can I request Reference Prices (Official, Closing, Settlement, etc) from LMEsource?

Reference Prices are currently not available on LMEsource v3 but will be added on LMEsource v4. More details will published at a later date.

What are the fees involved in distribution of LMEsource?

The latest distribution fees and fee schedule can be found here.

Please contact Market Data with any queries regarding fees. 

What multicast products will be available on LMEsource?

Base and Precious Level 1 and Level 2 products are available on LMEsource v3. A range of multicast products are provided, catering for the varying needs of our LMEsource v4 clients. Each product may contain multiple distinct multicast channels, and will contain data for both futures and options. More information will be provided in due course.

How will RFQ data be disseminated?

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.

How to identify the orderbook on LMEsource?

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.

Are rolling prompt codes available on LMEsource?

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. 

Will reference data be made available for all securites available for trading?

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.

How will IOP details be made available?

Indicative Opening price (IOP) will be published on LMEsource v4 via message 354.  The IOP is the predicted opening trade price which is calculated using the uncrossing algorithm during Pre-Open. If there are no crossed prices, no IOP is calculated or disseminated. If a tradable instrument does not have a crossed order book but does have both a bid and offer price then a mid-price (IOMP) will be calculated and published instead of the IOP.

Will Level 3 data mean higher bandwidth connectivity requirements?

The exact bandwidth requirements are still being determined, but we would expect the Level 3 product to require greater network bandwidth due to the greater number of messages disseminated.

How does the Level 3 latency compare to Level 1 and 2?

The latency of  the Level 3 service has yet to be determined. Please revert back to this FAQs on a later date.

Does LMEsource supports FIX protocol?

LMEsource v3 and v4 support binary protocol. For more information please refer to key differences table.

Contact us

For further information please email our Market data team.