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

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Trading Experience: Advanced
Platform: NinjaTrader 8
Favorite Futures: ES, CL
trendwaves's Avatar
Posts: 697 since Dec 2012
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The Trade Summary data is the first type of message sent on the market data feed for a trade.

A Trade Summary message represents a distinct match comprised of all orders that traded together as the result of a single aggressing order, elected stop order, mass quote, or a market state event.

That's gonna hose up a lot of stuff in a hurry ... lol

But the good news is, maybe we get back our beloved aggregated time and sales they (CME) took away from us back in 2009.

@Malthus ... maybe rather than looking at two charts, study the Time and Sales of each stream and see if the old stream is thousands of one lot orders and the new stream is the actual initiating trades meaning a slower stream of 10, 20, 35, 100, 300, ... lot orders.

Be Patient and Trade Smart

Last edited by trendwaves; May 5th, 2015 at 05:20 PM.
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