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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This may depend upon the charting software and how the chart is built in that software. If the charting software starts drawing a new bar when the sum of volume for the current bar is greater than the bar interval, then this change will affect volume bars too.

For instance, if the charting software receives 100 trades each with size=1 at the same price, then a 10 volume chart will draw 10 bars with the price being the OHLC for all 10 bars. With this change, if data is summarized and instead of 100 trades, it receives 5 trades each with size=20, then the platform may draw just 5 bars.

Then the platform would be at fault. A volume bar is equal to the volume you specify, no less, no more. Exceptions would be session end/start where your platform should allow you to start a new bar.

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