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

  #45 (permalink)

Madison, WI
 
Trading Experience: Advanced
Platform: Sierra Charts, ALT
Favorite Futures: ES
 
aslan's Avatar
 
Posts: 614 since Jan 2010
Thanks: 345 given, 1,102 received

Interesting thread, but there seems to be a lot of mis-understandings.

The new protocol sends thru trades using an event based model. So if an aggressor order triggers 5 other orders (i.e. buy 5 @ market triggers 5 sell orders with qty = 1), a single trade entry is sent thru. To me, this is NOT bundling, but instead is correct behavior in that a single aggressor trade filled (or partially filled). The messages for the event also contain the number of orders and the qty that was filled against each order, so that trade could be surfaced as 5 single contract trades, but while that matches todays feed behavior, it seems like that is not the way to go IMO. Would you rather know that someone bought 100 or see 100 1 car entries fly by?

Say you have a single aggressor order that triggers a bunch of orders at different prices. In this case, multiple trade entries are sent thru, one for each price. These trade entries are bundled into the same event and have the same timestamp, but should be represented as multiple trades. Again, the order fill qty is available, so it could be broken down into smaller pieces based on the matched order vs the aggressor order. Again, this is not really bundling.

There are some other fringe cases for spreads, implied trades, and misc events, but I think the above are the major ones that matter.

Another type of bundling is the bundling of multiple messages into a packet that is sent over the network. I have not seen any doc on what kind of time window is used to do this bundling, but it is required to do this in order to have an efficient transfer of data. I suspect the window is rather small so as not to affect latency.

The event based model sends thru trades marked to the nano-second, but really there is not much use for this granularity for the mere mortal, especially when your latency is measured in ms. Also, most charting platforms won't be able to record the ns anyway, so will likely be truncated back to something less granular.

Also, the aggressor is properly marked, so things like delta should be fine.

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