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


futures.io - futures trading strategies, market news, trading charts and platforms


Reviews of Brokers and Data Feeds


Review and discuss futures brokers, their requirements and features, or ask questions about brokers and data feeds




 

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

  #12 (permalink)

Madrid Spain
 
Trading Experience: Intermediate
Platform: Ninjatrader, TOS
Favorite Futures: ES
 
Malthus's Avatar
 
Posts: 247 since Oct 2014
Thanks: 1,220 given, 704 received

I received the following message from my broker:


Quoting 
CME Globex Legacy Market Data to MDP 3.0 Market Data Conversion


Here is the link to full details: CME Market Data Conversion

Per the CME, All Data Feeds will need to make this conversion by October 2015 All Legacy FIX/FAST Channels will be decommissioned.

Example: Here is how the change results in a different presentation of the ticks
If we had trades like this for ESM5

211175 vol 5
211175 vol 2
211175 vol 1
211175 vol 12
(total, 20 @)

Now we get a trade summary like this
211175 vol 20

Same volume, less detail.

This will affect your Tick Charts please be aware and adjust your trading strategies accordingly.


Reply With Quote
The following 4 users say Thank You to Malthus for this post: