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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trendwaves View Post
I think we may be mixing terms in this thread. For me at least the term "bundling" refers to a data provider artificially collecting (or grouping) several trades into a packet and then once a fixed time duration has transpired the packet is transmitted, with the objective being to reduce output bandwidth. Interactive Brokers is a good example of a data provider doing this practice. This is what we up until now have referred to as "filtered" data.

It is my understanding MDP 3.0 is generating a single trade report for each individual aggressor trade that executes. Using the Big Mike 50 lot example, Mike's 50 lot trade would produce a single trade report of 50 lots in size, and within that trade report would also provide details on the individual (1, 2, 5, 12, 14 .... lot) trades that filled the 50 lot order. So in my view, this is not bundling in the classic sense. If you are concerned about that 2 lot limit order in the book that was used to fill part of Mike's 50 lot initiating trade, then the trade report provides that in the details of the report.

Now if Interactive Brokers (or some other data providers) chooses to further "bundle" these aggressor trades to achieve additional resource economy, that is completely outside the MDP 3.0 protocol as I understand it at this time.

I think some initial confusion may have arisen when we saw the details of the trade report, and the term bundling started being used to refer to the trade report details (those 1, 2, 5... lot trades) used to fill the initiating aggressor trade.

understood...

"It is my understanding MDP 3.0 is generating a single trade report for each individual aggressor trade that executes" - it's this specifically that I am interested in.

I haven't seen any documentation that states that this is the case. IQFeed seem to think it's collating trades by time.

So I'm wondering which documentation lead you to your understanding.

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