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EOT Automated System

  #47 (permalink)

Dallas TX/USA
Posts: 154 since Jun 2009
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cunparis View Post
Can you explain how the data was cooked before this change and how it's more raw now? I have the opposite opinion. I have the impression that orders were not bundled before and now they're broken up into smaller pieces.

This is the way I understood the news release...

The CME used to see 1000 1-contract orders pulsed in rapid succession for example, and they would bundle it and report a single 1000 contract trade. They were cooking the data and giving you a summary. Now, they don't bundle those trades anymore, and just give you the data raw.

It's not that the CME takes in a market order for 1000 contracts, and then reports 1000 1-contract trades. At least, that's not the way I read the news. (although, even if they did break up large trades, I still wouldn't cry about it because you would see 1000 1-contract orders coming across your datafeed in very short timeframe, and could "re-bundle" it yourself with ease)

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