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

  #15 (permalink)

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artemiso View Post
Can you clarify the problem? This behavior is semantically correct, 1 aggressor against 4 resting orders on the central book of size 5+2+1+12=20 at price 211175 should bundle like:

... 270=211175 271=20 ... 37705=5 ...

On the other hand if it's 2 separate, successive aggressors at the same price, in a real case:

##############################################################
Parsing Seq: 705041
##############################################################
Symbol: 6BU4
MDEntryPx: 16473
MDEntrySize: 2
NumberOfOrders: 2
AggressorSide: 1

Symbol: 6BU4
MDEntryPx: 16474
MDEntrySize: 6
NumberOfOrders: 2
AggressorSide: 1

##############################################################
Parsing Seq: 705062
##############################################################
Symbol: 6BU4
MDEntryPx: 16474
MDEntrySize: 3
NumberOfOrders: 2
AggressorSide: 1

Symbol: 6BU4
MDEntryPx: 16474
MDEntrySize: 5
NumberOfOrders: 2
AggressorSide: 1

Symbol: 6BU4
MDEntryPx: 16475
MDEntrySize: 1
NumberOfOrders: 2
AggressorSide: 1

Am I correct that the feedback you're giving is that they should unbundle the trade event into 4 events like this?

... 270=211175 271=5 ... 37705=2 ...
... 270=211175 271=2 ... 37705=2 ...
... 270=211175 271=1 ... 37705=2 ...
... 270=211175 271=12 ... 37705=2 ...

This would be semantically incorrect. I've been working with CME on their pre-production feed since early 2014 and they've always fixed the bugs within 1 week.

I don't think the issue is a bug personally.

I don't understand why someone would prefer a tick chart over a volume chart. And the volume chart is not changed in this scenario.

But to be honest, I have nothing to say really. I just wanted to quote you before you deleted your post, and say hello.

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