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.
LMEsource is the LME's real-time multicast binary Market Data Platform. The initial version, LMEsource v3 was launched on 21st May 2018.
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.
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.
LMEsource v4 standardises and aligns its market data offering with the best in class OMD platform from HKEX.
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.
Uses industry standard data dissemination formats and technical protocols.
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.
|LMEselectMD||LMEsource v3||LMEsource v4|
|Available Market Data Products|
|Level 1 Product (Top of Book)|
|Level 2 Product (15 Price levels)|
|Level 3 Product (Tick by Tick)|
|ISINs||TIF (Published in both the sFTP and LMEselectMD)||TIF (Published in both the sFTP and LMEselectMD)|
|EOD Trade Statistics|
|Intraday Trade Statistics|
|Time of Event||millisecond||microsecond||nanosecond|
|Number of timestamps||2||2||2 (Level 3 order messages have 5)|
|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.|
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.
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.
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:
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.
LMEselectMD and LMEsource v3 will be decomissioned when all the Electronic, Ring, Inter-office and market data reports are migrated to LMEsource v4.
The LME is currently preparing Customer Test B (CT-B) for LMEsource v4 testing.
Exact test dates and enviornment details will be confirmed here.
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.
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.
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.
No, ‘Reference Data’ is only available for current business date. This enhancement will be captured in a future release.
Reference Prices are currently not available on LMEsource v3 but will be added on LMEsource v4. More details will published at a later date.
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.
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.
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.
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.
The latency of the Level 3 service has yet to be determined. Please revert back to this FAQs on a later date.
LMEsource v3 and v4 support binary protocol. For more information please refer to key differences table.