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

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Mount Martha, Victoria, Australia
Trading Experience: None
Platform: Acme VP & MP, Jigsaw
Favorite Futures: FESX FGBL
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Posts: 230 since Dec 2014
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trendwaves View Post
The answer to that question depends on exactly how your data provider chooses to report trades after they switch over to MDP 3.0.

Scenario 1: If your data provider, such as CQG/Continuum transmits the aggregated trade, then yes the "large amount of one lots" will no longer show up as "machine gun action" , and very well may show up as a single 600 lot trade print hitting the bid or ask.

Scenario 2: On the other hand, if your data provider, such as DTN is indicating they are considering doing, breaks apart the Trade Summary message back into all of the one lot fills from the order book then you will see no difference compared to pre-MDP 3.0. Your "machine gun action" will remain intact. But keep in mind, this 'price action' might lead you to think oh it's an iceberg being refreshed! , where it is simply just one or two large block "600 lot" market orders being filled by a large quantity of one lot limit orders in the book (as scenario 1 shows).

Looking at the CQG time and sales along side the DTN time and sales we see how the iceberg is actually a very small handful of large block market orders hitting into a price level where there are perhaps thousands of one lot orders awaiting a fill. Each 600 lot market order on the CQG side triggers hundreds of one lot 'machine gun' fills on the DTN side.

Nicely put trendwaves. Makes perfect sense now.

I see how the bundled data will had an adverse effect for DOM traders monitoring order flow. The more data that is whittled down the easier it is to engage in the process and not get caught short. I guess I'll reiterate Mike's point on how Traders essentially don't take well to change. Trading has evolved exponentially since the 90's with the rise of Island/BATS etc. We simply need to adapt to the change that is always forced upon us or face extinction!

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