MDP 3.0, is CME migrating to a new data comm protocol? | Reviews of Brokers and Data Feeds


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MDP 3.0, is CME migrating to a new data comm protocol?

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MDP 3.0, is CME migrating to a new data comm protocol?

Update: There wasn't any data feed problem in the end. The different tick charts have to do with the migration to the new MDP 3.0 data protocol, which bundles trades and therefore shows a different tick count and behaviour than it did before. The issue was that this change was expected to happen around September, but CQC already migrated over the weekend without any warning to their users.


Update 2: Eventually everyone will have to migrate to MDP 3.0. If you want your new volume chart to look like your old tick chart, just use a volume chart 3x the size of the tick chart. Link to study



CQC has been showing problems with tick data since yesterday, missing a lot of ticks.

Both charts are 2000 tick. The one on the left has CQC as data feed and the one on the right has Rhythmic.

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I read somewhere that this might be the issue:


Quoting 
"I talked with a Market Data Quality guy at the CME today, and the disparity so far seems to be related to the fact that the CME has been planning to move to a different, more lean & reliable data comm protocol. Since 1992 or so financial markets have been using "FIX/FAST" as the industry standard protocol, but CME is migrating to a new standard "MDP 3.0". In talking with CQG today, they just switched to the new protocol this weekend. "

Does anyone have any information about this migration to MDP 3.0 and if this might be the cause of the problem?


Last edited by Malthus; May 6th, 2015 at 02:20 PM.
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