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

  #69 (permalink)

Madison, WI
Trading Experience: Advanced
Platform: Sierra Charts, ALT
Favorite Futures: ES
aslan's Avatar
Posts: 614 since Jan 2010
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DionysusToast View Post
Do you have any links to show that they are bundling by individual aggressor trades?

Just look on the CME wiki, for example: Trade Summary

Just page down to the first image, and you can see how a msg is laid out with the trades, and the orders. The referenced example is an aggressor order that matched to multiple book levels: buy 40 @ market, and that results in trades of 10, 20, and 10 at three different prices, and matches 5 different target orders. So, this example is a little beyond what has been mentioned in this thread in that even the aggressor order is split up (has to be due to different prices), but you should get the idea if you just think of the same case where the aggressor order was a single entry vs 3.

The CME wiki is a little tricky to navigate, and a lot of info is inferred or missing (it is a wiki vs a spec), but you can get a lot of info there.

BTW, trendwaves post is dead on.

DionysusToast View Post
IQFeed seem to think it's collating trades by time.


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