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

  #87 (permalink)

Fort Worth TX USA
Trading Experience: Intermediate
Platform: NinjaTrader
Favorite Futures: ES
Posts: 40 since Sep 2015
Thanks: 12 given, 17 received

Volume based filter users - Read this.

mpxtreme View Post
I have been watching the data on Rithmic,Continuum and TT Net very carefully at the micro level since this was announced.I have witnessed differences in the tick data and the tick data derived signals between the 3 platforms I use.I have had to make adjustments back and forth several times.No warning from the brokers or data vendors.Some vendors posted bulletins on their websites.The best being Rithmic's statement.

After speaking to a few different people in the business of selling data this is what went on.
The switch to MDP 3.0 was at different stages beginning in March.By different stages I mean some futures contracts on the CME,Cbot,Nymex were switched to MDP 3.0 before others.You can imagine the havoc it created.Before the transition was complete many retail customers complained about the new data having less ticks and it being an "unfair and HFT beneficial" consolidated feed without really understanding what it really meant at the granular level.So what the data vendors did,confirmed by a few of them and as a further example, look at the posted bulletin a few posts up from IQFeed.

The CME sends the data bundled aggressor side...IQFeed breaks it up and sends it un-bundled/non aggressor and 3rd party charting apps or other vendors can re bundle it. Sounds like clean data?

So basically we are getting MDP 3.0 protocol feed with pre MDP 3.0 hybrid broken up data.Call it what you will.

Do we want data that is "touched" before we get it which is subject to each and every data vendors preferred way of getting that coded?I doubt very much IQfeed,Rithmic,Continuum and Tradestation coders are having lunch together to discuss how it should be done.

I heard that the HFT firms fought the new data for awhile since they played with it from 2013...I'm wondering why.

Furthermore..every time I sent an email to a broker or tech support a week apart I've received a different answer,a retracted statement or a clueless response.

In summary we are getting MDP 3.0 non aggressor side data while MDP 3.0 is suppose to be aggressor side.
The legacy data from 2009 until now has been non aggressor...

To those who were trading back prior to 2009 should know which they prefer.

IF any of the vendors,brokers,micro-structure data traders care to comment and enlighten us I am all ears.

So, where are we at with this. A friend asked me what I was using and I didnt' even know. I think most people don't know. Want to hear from aggressor side users...because they are the minority. And probably the ones making the money...just speculating.

I sent an email to rithmic and they have a special protocol- Rithmic 01 mdp3 gateway. This is not their default feed.

I'm going to have to spend a lot of time re-working all my settings. But I believe it'll pay off.

Again, aggressor side data users, please comment.

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