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EOT Automated System

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Paris, France
Trading Experience: Advanced
Platform: Market Delta & Ninjatrader
Favorite Futures: ES
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Posts: 2,565 since Jun 2009
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Richard View Post
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)

Thank you for your explanation. This is the first I've heard that CME was previously bundling trades together into one tick. I just went to CME and found this:


Previously, data from a trade event involving multiple orders at the same price were reported mostly in
two data blocks. Now, trade events are reported with greater granularity. For a single trade event, a
trade data block will be sent for each resting order. This provides customers with better visibility into
market activity.

Now I understand Sylvester's point that a volume splitter could work better now than it did before (Putting aside the theories of why large traders are not always smart).

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